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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, December 24, 2023, Vol. 27, No. 357

                            Headlines

37 CAPITAL CLO 4: Fitch Assigns 'BB-sf' Rating on Class E Notes
ABPCI DIRECT XVI: S&P Assigns Prelim BB- (sf) Rating on E Notes
ACC AUTO 2022-A: Moody's Lowers Rating on Class D Notes to Caa1
ACCESS GROUP 2007-1: Moody's Downgrades Rating on 2 Tranches to B1
ANTARES CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes

ATLAS SENIOR XXII: S&P Assigns Prelim BB- (sf) Rating on E Notes
BALLYROCK CLO 25: S&P Assigns BB- (sf) Rating on Class D Notes
BAYSWATER PARK: S&P Assigns BB- (sf) Rating on Class E Notes
BEAR STEARNS 2007-HE1: Moody's Hikes Rating on 2 Tranches to Caa1
BPR 2023-STON: Moody's Assigns Ba1 Rating to Cl. HRR Certs

CARVANA AUTO 2023-P5: S&P Assigns BB+ (sf) Rating on Class N Notes
CHENANGO PARK: S&P Lowers Class D Notes Rating to 'B (sf)'
DBJPM 2016-SFC: S&P Lowers Class A Certs Rating to 'B+ (sf)'
FORTRESS CREDIT XX: S&P Assigns BB- (sf) Rating on Class E Notes
GCAT 2023-NQM4: Fitch Gives 'B(EXP)sf' Rating on Class B-2 Notes

GLOBAL OUTREACH: Moody's Lowers Rating on Revenue Bonds to B1
GUGGENHEIM MM 2023-6: S&P Assigns Prelim BB-(sf) Rating on E Notes
JP MORGAN 2013-LC11: S&P Lowers Cl. X-B Certs Rating to 'B-(sf)'
MARANON LOAN 2023-2: S&P Assigns Prelim BB- (sf) Rating on E Notes
MARATHON CLO 2020-15: S&P Affirms BB- (sf) Rating on Class D Notes

MFA TRUST 2023-NQM4: Fitch Gives 'B(EXP)' Rating on Cl. B2 Certs
MIDOCEAN CREDIT XI: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
MKT 2020-525M: Fitch Lowers Rating on Class D Certs to 'BBsf'
OCP CLO 2023-30: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
ONE PEAKS 1: S&P Lowers Class F-R Notes Rating to 'CCC+ (sf)'

ORION CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes
PALMER SQUARE 2020-3: S&P Assigns Prelim 'B-' Rating in E-R2 Notes
PARALLEL LTD 2017-1: Moody's Lowers Rating on $5MM F Notes to Caa3
PRPM TRUST 2023-NQM3: Fitch Assigns 'B-(EXP)' Rating on B2 Notes
RR 24: Fitch Assigns 'BB+(EXP)' Rating on Class D-R Notes

SIXTH STREET XVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
SYMPHONY CLO 37: Fitch Assigns 'BBsf' Rating on Class E-R Notes
SYMPHONY CLO 37: Moody's Assigns B3 Rating to $125,000 F-R Notes
TRESTLES CLO VI: Fitch Assigns B-sf Rating on Class F Notes
TRINITAS CLO VIII: Moody's Cuts Rating on $26MM Cl. E Notes to B1

TRINITAS CLO XXV: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
US CAPITAL II: Fitch Hikes Rating on Two Tranches to 'B-sf'
VERUS SECURITIZATION 2023-8: S&P Assigns B (sf) on Class B-2 Notes
VOYA CLO 2023-1: Fitch Assigns Final 'BB-sf' Rating on Cl. E Notes
WAMU MORTGAGE 2005-AR6: Moody's Raises Rating on 2 Tranches to B1

[*] Moody's Takes Action on $326MM of US RMBS Issued 2004-2007
[*] Moody's Takes Action on 23 tranches of 12 FFELP Securitizations
[*] Moody's Upgrades Rating on $250MM of US RMBS Issued 2006-2007
[*] S&P Discontinues 'D' Ratings on 19 Classes From 8 US CMBS Deals
[*] S&P Takes Various Actions on 154 Classes From 27 US RMBS Deals

[*] S&P Takes Various Actions on 157 Rating From 15 U.S. RMBS Deals
[*] S&P Takes Various Actions on 267 Classes From 9 US RMBS Deals
[*] S&P Takes Various Actions on 479 Classes From 18 US RMBS Deals
[*] S&P Takes Various Actions on 90 Ratings From 15 U.S. RMBS Deals

                            *********

37 CAPITAL CLO 4: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to 37
Capital CLO 4, Ltd.

   Entity/Debt         Rating           
   -----------         ------           
37 Capital
CLO 4, Ltd.

   A-1L            LT  AAAsf  New Rating
   A-1N            LT  AAAsf  New Rating
   A-2             LT  AAAsf  New Rating
   B               LT  AAsf   New Rating
   C               LT  Asf    New Rating
   D               LT  BBB-sf New Rating
   E               LT  BB-sf  New Rating
   Subordinated    LT  NRsf   New Rating

TRANSACTION SUMMARY

37 Capital CLO 4, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Putnam
Advisory Company, Inc. (The). 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 23.75, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.01. 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
98.88% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.95% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.51%.

Portfolio Composition (Positive): The largest three industries may
comprise up to 45% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.

Portfolio Management (Neutral): The transaction has a 2.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.

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

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'A-sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'AA-sf'
for class B, between 'BB-sf' and 'A-sf' for class C, between less
than 'B-sf' and 'BBB-sf' for class D; and between less than 'B-sf'
and 'B+sf' for class E.

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

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

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

DATA ADEQUACY

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

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


ABPCI DIRECT XVI: S&P Assigns Prelim BB- (sf) Rating on E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to ABPCI Direct
Lending Fund CLO XVI L.P.'s floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by AB Private Credit Investors LLC.

The preliminary ratings are based on information as of Dec. 15,
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

  ABPCI Direct Lending Fund CLO XVI L.P.

  Class A, $180.00 million: AAA (sf)
  Class A-L, $48.00 million: AAA (sf)
  Class B, $36.00 million: AA (sf)
  Class C (deferrable), $36.00 million: A (sf)
  Class D (deferrable), $28.00 million: BBB- (sf)
  Class E (deferrable), $20.00 million: BB- (sf)
  Partnership interests, $49.44 million: Not rated



ACC AUTO 2022-A: Moody's Lowers Rating on Class D Notes to Caa1
---------------------------------------------------------------
Moody's Investors Service takes action on 40 classes of bonds
issued from 30 non-prime auto securitizations. The bonds are backed
by pools of retail automobile non-prime loan contracts originated
and serviced by multiple parties.

The complete rating actions are as follows:

Issuer: ACC Auto Trust 2022-A

Class B Notes, Upgraded to A3 (sf); previously on May 11, 2022
Definitive Rating Assigned Baa2 (sf)

Class C Notes, Upgraded to Ba1 (sf); previously on May 11, 2022
Definitive Rating Assigned Ba2 (sf)

Class D Notes, Downgraded to Caa1 (sf); previously on Mar 9, 2023
Downgraded to B3 (sf)

Issuer: American Credit Acceptance Receivables Trust 2021-4

Class D Asset Backed Notes, Upgraded to Aa1 (sf); previously on Sep
18, 2023 Upgraded to A1 (sf)

Issuer: American Credit Acceptance Receivables Trust 2022-2

Class B Asset Backed Notes, Upgraded to Aaa (sf); previously on Apr
29, 2022 Definitive Rating Assigned Aa1 (sf)

Class C Asset Backed Notes, Upgraded to Aa1 (sf); previously on Apr
29, 2022 Definitive Rating Assigned Aa3 (sf)

Issuer: American Credit Acceptance Receivables Trust 2022-4

Class C Asset Backed Notes, Upgraded to Aaa (sf); previously on Nov
18, 2022 Definitive Rating Assigned Aa2 (sf)

Class D Asset Backed Notes, Upgraded to Baa1 (sf); previously on
Nov 18, 2022 Definitive Rating Assigned Baa2 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2019-2

Class E Notes, Upgraded to Aaa (sf); previously on Sep 18, 2023
Upgraded to Aa2 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2020-1

Class E Notes, Upgraded to Aa3 (sf); previously on Mar 17, 2022
Upgraded to A2 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2020-3

Class D Notes, Upgraded to Aaa (sf); previously on Jun 22, 2022
Upgraded to Aa1 (sf)

Class E Notes, Upgraded to A1 (sf); previously on Jun 22, 2022
Upgraded to A2 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2021-3

Class D Notes, Upgraded to Aa2 (sf); previously on Jun 22, 2022
Upgraded to A1 (sf)

Issuer: AmeriCredit Automobile Receivables Trust 2022-2

Class C Notes, Upgraded to Aaa (sf); previously on Sep 18, 2023
Upgraded to Aa1 (sf)

Issuer: CIG Auto Receivables Trust 2021-1

Class D Notes, Upgraded to Aa2 (sf); previously on Jun 14, 2023
Upgraded to A1 (sf)

Issuer: CPS Auto Receivables Trust 2021-D

Class D Notes, Upgraded to Aaa (sf); previously on Sep 18, 2023
Upgraded to Aa2 (sf)

Issuer: CPS Auto Receivables Trust 2022-B

Class C Notes, Upgraded to Aaa (sf); previously on Sep 18, 2023
Upgraded to Aa2 (sf)

Class D Notes, Upgraded to A2 (sf); previously on Sep 18, 2023
Upgraded to Baa2 (sf)

Issuer: CPS Auto Receivables Trust 2022-D

Class B Notes, Upgraded to Aaa (sf); previously on Oct 26, 2022
Definitive Rating Assigned Aa1 (sf)

Class C Notes, Upgraded to Aa3 (sf); previously on Oct 26, 2022
Definitive Rating Assigned A1 (sf)

Issuer: CPS Auto Receivables Trust 2023-B

Class B Notes, Upgraded to Aaa (sf); previously on Apr 26, 2023
Definitive Rating Assigned Aa1 (sf)

Issuer: Credit Acceptance Auto Loan Trust 2021-2

Class C Notes, Upgraded to Aaa (sf); previously on Oct 2, 2023
Upgraded to Aa1 (sf)

Issuer: Credit Acceptance Auto Loan Trust 2021-3

Class B Notes, Upgraded to Aaa (sf); previously on Oct 2, 2023
Upgraded to Aa1 (sf)

Class C Notes, Upgraded to Aa1 (sf); previously on Oct 2, 2023
Upgraded to A1 (sf)

Issuer: Credit Acceptance Auto Loan Trust 2021-4

Class B Notes, Upgraded to Aa2 (sf); previously on Oct 28, 2021
Definitive Rating Assigned Aa3 (sf)

Issuer: Exeter Automobile Receivables Trust 2021-2

Class D Notes, Upgraded to Aa1 (sf); previously on Jun 14, 2023
Upgraded to Aa2 (sf)

Issuer: Exeter Automobile Receivables Trust 2021-3

Class D Notes, Upgraded to Aa2 (sf); previously on Jun 14, 2023
Upgraded to A1 (sf)

Issuer: Exeter Automobile Receivables Trust 2021-4

Class D Notes, Upgraded to Aa3 (sf); previously on Sep 18, 2023
Upgraded to A2 (sf)

Issuer: Exeter Automobile Receivables Trust 2022-6

Class C Notes, Upgraded to Aa2 (sf); previously on Dec 9, 2022
Definitive Rating Assigned Aa3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-3

Class E Notes, Upgraded to Aaa (sf); previously on Jun 14, 2023
Upgraded to Aa1 (sf)

Issuer: Santander Drive Auto Receivables Trust 2020-4

Class E Notes, Upgraded to Aaa (sf); previously on Jun 14, 2023
Upgraded to Aa2 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-1

Class E Notes, Upgraded to Aa2 (sf); previously on Jun 14, 2023
Upgraded to A1 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-2

Class E Notes, Upgraded to A2 (sf); previously on Sep 18, 2023
Upgraded to A3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-3

Class E Notes, Upgraded to A3 (sf); previously on Sep 18, 2023
Upgraded to Baa2 (sf)

Issuer: Santander Drive Auto Receivables Trust 2021-4

Class D Notes, Upgraded to Aaa (sf); previously on Sep 18, 2023
Upgraded to Aa1 (sf)

Class E Notes, Upgraded to Baa2 (sf); previously on Sep 18, 2023
Upgraded to Baa3 (sf)

Issuer: Santander Drive Auto Receivables Trust 2022-5

Class D Notes, Upgraded to A1 (sf); previously on Aug 24, 2022
Definitive Rating Assigned Baa1 (sf)

Issuer: Santander Drive Auto Receivables Trust 2022-6

Class D Notes, Upgraded to A3 (sf); previously on Sep 21, 2022
Definitive Rating Assigned Baa1 (sf)

Issuer: Veros Auto Receivables Trust 2022-1

Class B Notes, Upgraded to Aa1 (sf); previously on Jun 14, 2023
Upgraded to Aa2 (sf)

Class C Notes, Upgraded to Aa3 (sf); previously on Oct 2, 2023
Upgraded to A1 (sf)

RATINGS RATIONALE

The upgrade actions are primarily driven by the buildup of credit
enhancement due to structural features including a sequential pay
structure, non-declining reserve account and
overcollateralization.

The downgrade action for the class D notes in ACC Auto Trust 2022-A
is primarily driven by material declines in credit enhancement
available for the affected notes as a result of weak pool
performance. Overcollateralization declined to 8.7% of the
outstanding pool balance as of the November payment date compared
to a target level of 16.0%. Cumulative net losses-to-liquidation
remain elevated at 29.7% as of October 31.

Moody's lifetime cumulative net loss expectations are noted below
for the transaction pools. The loss expectations reflect updated
performance trends on the underlying pools. In Moody's analysis,
Moody's also considered the likelihood of higher future pool
expected losses due to rising borrower defaults driven by high
inflation and declining borrower excess savings, as well as lower
recoveries driven by softening used vehicle prices.

ACC Auto Trust 2022-A: 28.00%

American Credit Acceptance Receivables Trust 2021-4: 29.00%

American Credit Acceptance Receivables Trust 2022-2: 35.00%

American Credit Acceptance Receivables Trust 2022-4: 31.00%

AmeriCredit Automobile Receivables Trust 2019-2: 05.75%

AmeriCredit Automobile Receivables Trust 2020-1: 04.50%

AmeriCredit Automobile Receivables Trust 2020-3: 04.50%

AmeriCredit Automobile Receivables Trust 2021-3: 07.50%

AmeriCredit Automobile Receivables Trust 2022-2: 09.00%

CIG Auto Receivables Trust 2021-1: 16.50%

CPS Auto Receivables Trust 2021-D: 18.00%

CPS Auto Receivables Trust 2022-B: 22.00%

CPS Auto Receivables Trust 2022-D: 23.00%

CPS Auto Receivables Trust 2023-B: 24.00%

Credit Acceptance Auto Loan Trust 2021-2: 27.00%

Credit Acceptance Auto Loan Trust 2021-3: 27.00%

Credit Acceptance Auto Loan Trust 2021-4: 27.00%

Exeter Automobile Receivables Trust 2021-2: 18.00%

Exeter Automobile Receivables Trust 2021-3: 20.50%

Exeter Automobile Receivables Trust 2021-4: 22.50%

Exeter Automobile Receivables Trust 2022-6: 24.50%

Santander Drive Auto Receivables Trust 2020-3: 05.50%

Santander Drive Auto Receivables Trust 2020-4: 06.50%

Santander Drive Auto Receivables Trust 2021-1: 07.00%

Santander Drive Auto Receivables Trust 2021-2: 09.00%

Santander Drive Auto Receivables Trust 2021-3: 10.00%

Santander Drive Auto Receivables Trust 2021-4: 11.50%

Santander Drive Auto Receivables Trust 2022-5: 17.00%

Santander Drive Auto Receivables Trust 2022-6: 17.00%

Veros Auto Receivables Trust 2022-1: 22.00%

PRINCIPAL METHODOLOGY

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

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

Up

Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the ratings. Losses could decline from Moody's
original expectations as a result of a lower number of obligor
defaults or greater recoveries from the value of the vehicles
securing the obligors promise of payment. The US job market and the
market for used vehicles are also primary drivers of the
transaction's performance. Other reasons for better-than-expected
performance include changes in servicing practices to maximize
collections on the loans or refinancing opportunities that result
in a prepayment of the loan.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Losses could increase from Moody's
original expectations as a result of a higher number of obligor
defaults or a deterioration in the value of the vehicles securing
the obligors promise of payment. The US job market and the market
for used vehicles are also primary drivers of the transaction's
performance. Other reasons for worse-than-expected performance
include poor servicing, error on the part of transaction parties
including further restatement of performance data, lack of
transactional governance and fraud.


ACCESS GROUP 2007-1: Moody's Downgrades Rating on 2 Tranches to B1
------------------------------------------------------------------
Moody's Investors Service has downgraded four tranches and upgraded
one tranche of notes issued by two Access Group student loan
securitizations. The securitizations are backed by student loans
originated under the Federal Family Education Loan Program (FFELP)
that are guaranteed by the US government for a minimum of 97% of
defaulted principal and accrued interest.

The complete rating actions are as follows:

Issuer: Access Group, Inc. Series 2004-2

2004-2-A-4, Upgraded to Aaa; previously on Nov 17, 2016 Downgraded
to A1

2004-2-B, Downgraded to Ba1; previously on Nov 17, 2016 Downgraded
to Baa2

Issuer: Access Group, Inc. Series 2007-1

2007-A-5, Downgraded to Ba2; previously on Nov 17, 2016 Downgraded
to Baa3

2007-B, Downgraded to B1; previously on Nov 17, 2016 Downgraded to
Baa3

2007-C, Downgraded to B1; previously on Nov 17, 2016 Downgraded to
Baa3

RATINGS RATIONALE

The rating actions reflect updated performance of the transactions
and updated expected loss on the tranches across Moody's cash flow
scenarios. Moody's quantitative analysis derives the expected loss
for a tranche using 28 cash flow scenarios with weights accorded to
each scenario.

The rating actions on Access Group, Inc. Series 2007-1 also
consider the change in the weighted average remaining term for the
transactions. Due to the significant increases in forbearance from
March 2020 to March 2021, the weighted average remaining term of
the pool is largely unchanged from 164.6 months in March 2021 to
162.6 months in September 2023, increasing the risk of notes not
paying down by their legal final maturity dates.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Securities Backed by FFELP Student Loans"
published in April 2021.

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

Up

Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the ratings
owing to a build-up in credit enhancement or upgrades of the CR
Assessment on the swap counterparty.

Down

Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. In addition, because the US Department of
Education guarantees at least 97% of principal and accrued interest
on defaulted loans, Moody's could downgrade the rating of the notes
if it were to downgrade the rating on the United States government.
Moody's could also downgrade the rating owing to downgrades of the
CR Assessment on the swap counterparty.


ANTARES CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Antares CLO 2023-2
Ltd./Antares CLO 2023-2 LLC's floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by Antares Capital Advisers LLC, a wholly owned
subsidiary of Antares Capital L.P.

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 debt through portfolio
identification and ongoing management; and

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

  Ratings Assigned

  Antares CLO 2023-2 Ltd./Antares CLO 2023-2 LLC

  Class A, $290.00 million: AAA (sf)
  Class B, $57.50 million: AA (sf)
  Class C (deferrable), $32.50 million: A (sf)
  Class D (deferrable), $27.50 million: BBB- (sf)
  Class E (deferrable), $27.50 million: BB- (sf)
  Subordinated notes, $70.19 million: Not rated.



ATLAS SENIOR XXII: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Atlas Senior
Loan Fund XXII Ltd./Atlas Senior Loan Fund XXII LLC 's
floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Crescent Capital Group L.P.

The preliminary ratings are based on information as of Dec. 15,
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 debt through portfolio
identification and ongoing management; and

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

  Preliminary Ratings Assigned

  Atlas Senior Loan Fund XXII Ltd./Atlas Senior Loan Fund XXII LLC

  Class A1 $217.00 million: AAA (sf)
  Class AJ $14.00 million: AAA (sf)
  Class B $35.00 million: AA (sf)
  Class C (deferrable) $21.00 million: A (sf)
  Class D (deferrable) $19.25 million: BBB (sf)
  Class E (deferrable) $12.25 million: BB- (sf)
  Subordinated notes $33.75 million: Not rated



BALLYROCK CLO 25: S&P Assigns BB- (sf) Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ballyrock CLO 25
Ltd./Ballyrock CLO 25 LLC's floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Ballyrock Investment Advisors LLC, a
subsidiary of Fidelity Management & Research Co. 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 debt through portfolio
identification and ongoing management; and

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

  Ratings Assigned

  Ballyrock CLO 25 Ltd./ Ballyrock CLO 25 LLC

  Class A-1a, $20.00 million: AAA (sf)
  Class A-1a loans, $268.00 million: AAA (sf)
  Class A-1b, $9.00 million: AAA (sf)
  Class A-2 (deferrable), $45.00 million: AA (sf)
  Class B (deferrable), $27.00 million: A (sf)
  Class C (deferrable), $27.00 million: BBB- (sf)
  Class D (deferrable), $16.87 million: BB- (sf)
  Subordinated notes, $42.00 million: Not rated



BAYSWATER PARK: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Bayswater Park CLO
Ltd./Bayswater Park CLO LLC's floating-rate debt.

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

The ratings reflect S&P's view of:

-- The collateral pool's diversification;

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

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

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

  Ratings Assigned

  Bayswater Park CLO Ltd./Bayswater Park CLO LLC

  Class A-1, $310.00 million: Not rated
  Class A-2, $10.00 million: Not rated
  Class B, $57.00 million: AA (sf)
  Class C (deferrable), $33.00 million: A (sf)
  Class D (deferrable), $28.75 million: BBB- (sf)
  Class E (deferrable), $16.25 million: BB- (sf)
  Subordinated notes, $45.60 million: Not rated



BEAR STEARNS 2007-HE1: Moody's Hikes Rating on 2 Tranches to Caa1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four bonds
issued by Bear Stearns Asset Backed Securities I Trust 2007-HE1.
The collateral backing this deal consists of subprime mortgages.

The complete rating actions are as follows:

Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE1

Cl. II-1A-2, Upgraded to Caa1 (sf); previously on Aug 7, 2013
Confirmed at Caa3 (sf)

Cl. II-1A-3, Upgraded to Caa3 (sf); previously on May 9, 2017
Upgraded to Ca (sf)

Cl. II-2A, Upgraded to Caa1 (sf); previously on Jan 15, 2019
Upgraded to Caa2 (sf)

Cl. II-3A, Upgraded to Ba1 (sf); previously on Jan 15, 2019
Upgraded to B1 (sf)

RATINGS RATIONALE

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

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.


BPR 2023-STON: Moody's Assigns Ba1 Rating to Cl. HRR Certs
----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by BPR 2023-STON Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2023-STON:

Cl. A, Definitive Rating Assigned Aaa (sf)

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

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa2 (sf)

Cl. HRR, Definitive Rating Assigned Ba1 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The certificates are collateralized by a first-lien mortgage on
Stonestown Galleria (the "Property"), an 757,058 SF two- and
three-story regional shopping center and open-air lifestyle center
located in San Francisco, CA. Moody's ratings are based on the
credit quality of the loan and the strength of the securitization
structure.

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

The collateral consists of an enclosed two- and three-story
component as well as an open-air lifestyle component. In 2016, the
sponsor purchased the Macy's-owned anchor box and in 2018, after
Macy's vacated, started redeveloping the box to reposition the
property as community hub. There are currently a mix of nearly 100
shops, restaurants and entertainment experiences throughout both
the enclosed and open-air lifestyle areas of the site. Key
retailers include Sport Basement (75,983 SF, 10.0% of NRA, 10.4% of
base rent), Regal Cinemas (59,650 SF, 7.9% of NRA, 9.1% of base
rent), Whole Foods Market (45,000 SF, 5.9% of NRA, 6.7% of base
rent), Target (91,952 SF, 12.1% of NRA, 6.0% of base rent) and
Round 1 (52,060 SF, 6.9% of NRA, 6.0% of base rent).

As of September 2023, the mall reported an occupancy rate of 85.5%
(inclusive of SNO tenants). The collateral property has a six-year
average historical occupancy rate of 97.0%. In terms of in-line
space, the property's occupancy rate was 99.0% in 2019, 90.4% in
2020, 86.0% in 2021, 76.3% in 2022 and 82.7 as of September 2023.

In terms of store performance, reported sales for in-line retailers
averaged $779 PSF (excluding Apple) during the August 2023 TTM
period, reflecting an occupancy cost ratio of 12.0%. In-line sales
are up from the 2020 sales figure of $343 PSF and up from the
pre-pandemic 2019 sales figure of $701 PSF.

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

The Moody's first mortgage DSCR is 1.31x, which is lower than
Moody's first mortgage stressed DSCR at a 9.25% constant is 1.12x.
Moody's DSCR is based on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 87.1% based on
Moody's Value. Moody's did not adjust the property's Moody's value
for the current interest rate environment.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property quality
grade is 2.25.

Notable strengths of the transaction include: low MLTV, strong
sales, dominant position in the market, recent capital investment,
demographics, and strong sponsorship.

Notable concerns of the transaction include: weak expense recovery
ratio, weak NOI margins, interest-only loan profile, the return of
equity, and credit negative legal features.

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

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

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

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

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


CARVANA AUTO 2023-P5: S&P Assigns BB+ (sf) Rating on Class N Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Carvana Auto Receivables
Trust 2023-P5's automobile asset-backed notes.

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

The ratings reflect S&P's view of:

-- The availability of 14.27%, 11.53%, 9.57%, 5.90%, and 6.67%
credit support (hard credit enhancement and haircut to excess
spread) for the class A (class A-1, A-2, A-3, and A-4), B, C, D,
and N notes, respectively, based on final post-pricing stressed
cash flow scenarios. These credit support levels provide over
5.00x, 4.00x, 3.33x, 2.33x, and 1.73x coverage of S&P's expected
cumulative net loss (ECNL) of 2.30% for the class A, B, C, D, and N
notes, respectively.

-- The expectation that under a moderate ('BBB') stress scenario
(2.00x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A+ (sf)', 'BBB+ (sf)', and 'BB+ (sf)' ratings on
the class A, B, C, D, and N notes, respectively, are within its
credit stability limits.

-- The timely interest and principal payments by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
ratings.

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

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

-- S&P's operational risk assessment of Bridgecrest Credit Co. LLC
as servicer, as well as the backup servicing agreement with Vervent
Inc.

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

-- The transaction's payment and legal structures.

  Ratings Assigned

  Carvana Auto Receivables Trust 2023-P5(i)

  Class A-1, $23.76 million: A-1+ (sf)
  Class A-2, $67.00 million: AAA (sf)
  Class A-3, $67.00 million: AAA (sf)
  Class A-4, $39.13 million: AAA (sf)
  Class B, $7.13 million: AA (sf)
  Class C, $4.47 million: A+ (sf)
  Class D, $4.48 million: BBB+ (sf)
  Class N(ii), $5.43 million: BB+ (sf)

(i)Class XS notes will be issued, which are unrated and may be
retained or sold in one or more private placements.
(ii)The class N notes will be paid to the extent funds are
available after the overcollateralization target is achieved, and
they will not provide any enhancement to the senior classes.



CHENANGO PARK: S&P Lowers Class D Notes Rating to 'B (sf)'
----------------------------------------------------------
S&P Global Ratings lowered its rating on the class D notes from
Chenango Park CLO Ltd. S&P also removed the class from CreditWatch,
where S&P placed it with negative implications on Oct. 24, 2023. At
the same time, S&P affirmed its ratings on the class A-1a, A-2, B,
C, and E notes from the same transaction.

The rating actions follow its review of the transaction's
performance using data from the Nov. 6, 2023, trustee report.

The transaction has paid down $13.37 million to the class A-1a
notes since our July 2020 rating actions. Following are the changes
in the reported overcollateralization (O/C) ratios since the May 6,
2020, trustee report, which S&P used for its previous rating
actions:

-- The class A O/C ratio improved to 131.30% from 130.62%.

-- The class B O/C ratio improved to 118.48% from 118.29%.

-- The class C O/C ratio declined to 110.02% from 110.10%.

-- The class D O/C ratio declined to 105.40% from 105.61%.

While the senior O/C ratios increased due to the lower balances of
the senior notes, the junior O/C ratios declined due to a
combination of par losses and 'CCC' haircuts.

The lowered rating reflects the decrease in credit support
available to the class D notes, primarily due to par losses since
our last rating action.

The affirmed ratings reflect adequate credit support at the current
rating levels, though further deterioration in the credit support
available to the notes could result in further ratings changes.

S&P said, "Although our cash flow analysis indicated higher ratings
for the class A-2 and B notes, our rating actions reflect
additional sensitivity runs that considered the CLO's exposure to
lower-quality assets and distressed prices observed in the
portfolio. We limited the upgrade on some classes to offset future
potential credit migration in the underlying collateral. Moreover,
our rating actions consider that the collateral manager, as
permitted under the transaction documents, has been retaining part
of the unscheduled principal proceeds for further reinvestments.
Since such investments could alter the portfolio's characteristics
and does not allow for the notes to be paid down faster, we
preferred to retain more cushion in the rating level.

"Although the cash flow results indicated a lower rating for the
class E notes, we view the overall credit seasoning as an
improvement to the transaction and also considered the relatively
stable O/C ratios that currently have a moderate cushion over their
minimum requirements. However, any increase in defaults and/or par
losses could lead to a negative rating action on the class E notes
in the future.

"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.

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

Chenango Park CLO Ltd. has transitioned its liabilities to
three-month CME term SOFR as its underlying index with the credit
spread adjustment recommended by the Alternative Reference Rates
Committee (ARRC). S&P's cash flow analysis reflects this change and
assumes that the underlying assets have also transitioned to a term
SOFR as their respective underlying index. If the trustee reports
indicated a credit spread adjustment in any asset, its cash flow
analysis considered the same.

  Rating Lowered

  Chenango Park CLO Ltd.

   Class D to 'B (sf)' from 'BB- (sf)/Watch Neg'

  Ratings Affirmed

  Chenango Park CLO Ltd.

   Class A-1a: AAA (sf)
   Class A-2: AA (sf)
   Class B: A (sf)
   Class C: BBB- (sf)
   Class E: B- (sf)



DBJPM 2016-SFC: S&P Lowers Class A Certs Rating to 'B+ (sf)'
------------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes of
commercial mortgage pass-through certificates from DBJPM 2016-SFC
Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P
affirmed its ratings on two other classes from the transaction.

This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a portion of a fixed-rate, interest-only (IO) mortgage whole
loan secured by the borrower's fee simple and leasehold interests
in Westfield San Francisco Centre and San Francisco Emporium, a
1.45 million-sq.-ft. mixed-use (urban retail mall and class B
office) property, 749,521 sq. ft. of which serves as collateral, in
the Union Square neighborhood of San Francisco.

Rating Actions

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

-- That since S&P's last review in October 2023, the loan exposure
has increased partly because the borrower has stopped making its
debt service payments (the loan is paid through September 2023).

-- That, additionally, due to declining occupancy (to a
servicer-reported 46.0% currently from 52.8% as noted in S&P's
October 2023 review), the underlying collateral property is not
generating sufficient cash flow to cover operating expenses. In
addition to advancing debt service payments, the master servicer,
Wells Fargo Bank N.A. (Wells Fargo), advanced $4.5 million for real
estate taxes and insurance expenses in December 2023, bringing
total advances to date to $9.4 million versus no advancing in S&P's
October 2023 review.

-- S&P's expected-case valuation, which, while unchanged from its
last review, is 74.0% lower than the valuation it derived at
issuance due primarily to reported decreases in occupancy and net
cash flow (NCF) at the property.

-- S&P's view that the continued increase in total loan exposure
and longer resolution timing will likely lead to reduced recoveries
and liquidity support to the bondholders.

S&P said, "In our October 2023 review, the loan had a reported
current payment status. We expect the collateral property's
performance to continue to deteriorate due to the closure of the
Nordstrom's flagship store and other retailers, stemming partly
from high crime and homelessness plaguing the city. At that time,
we assumed occupancy would fall to 35.0% (from a reported 52.8%
rate per the Dec. 31, 2022, rent roll) after considering additional
tenant movements."

Since then, the borrower has been delinquent on its debt service
payments (the loan is paid through September 2023). In addition,
the reported occupancy decreased to 46.0%, and the underlying
collateral property is no longer generating sufficient cash flow to
cover operating expenses. Resultingly, Wells Fargo has advanced
$9.4 million to date for interest ($4.8 million), operating
expenses ($4.5 million), and other expenses ($116,250). Including
unpaid accrued interest of $63,367, the whole loan exposure is
currently at $567.4 million, versus $558.0 million in our October
2023 review.

Pursuant to the transaction documents, Wells Fargo provided an
officer's certificate of nonrecoverable principal and interest
advances executed on Nov. 7, 2023. Wells Fargo, in consultation
with the special servicer, deemed the loan nonrecoverable because
it anticipated that the property's performance will continue to
decline due to outside factors, such as crime and political issues
in the local area, that would take significant time to resolve.
Consequently, all classes experienced interest shortfalls according
to the November 2023 trustee remittance report. However, Wells
Fargo reversed its nonrecoverable determination decision, stating
that it was premature, and the November 2023 trustee remittance
report was restated to depict full interest advances to the
bondholders.

Wells Fargo reported an occupancy of 46.0% and NCF of $8.3 million
as of the six months ended June 30, 2023. S&P said, "Since the
latest reported property performance was generally in line with our
expectations, we maintained our $16.5 million NCF, 8.0%
capitalization rate, and $205.9 million (or $275 per sq. ft.)
valuation assumptions that we derived in our October 2023 review."

The downgrade on class B to 'CCC (sf)' and affirmation on classes C
and D at 'CCC (sf)' and 'CCC- (sf)', respectively, also reflect
S&P's view that, due to current market conditions and their
position in the payment waterfall, these classes are or remain at a
heightened risk of default and loss and are susceptible to
liquidity interruption.

In addition, although the model-indicated rating was lower than the
revised rating on class A, S&P tempered its downgrade on class A
because it weighed certain qualitative considerations. These
included:

-- The significant market value decline using the $1.2 billion
issuance appraisal value that would need to occur before class A
experiences principal losses;

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

-- The senior position of the class in the payment waterfall.

The special servicer, Midland Loan Services, stated that it is
currently working with the receiver, which was appointed on Oct.
16, 2023, to address life safety issues and stabilize the property
(there are no material leasing prospects noted at this time).
Midland will then consider all disposition options once the
property's performance is stabilized. Midland also indicated that
an updated appraisal report has been ordered but has not yet been
finalized. The resolution timing is currently unknown.

S&P said, "We will continue to monitor the performance of the
property and loan. If we receive information that differs
materially from our expectations, such as an updated value from the
special servicer that is at or substantially below our
expectations, shortfalls due to appraisal reduction amount or
nonrecoverable determination by the master servicer, reported
negative changes in the property's performance beyond what we have
already considered, or a liquidation strategy that negatively
affects the transaction's liquidity and recovery, we may revisit
our analysis and take further rating actions as we deem
appropriate.

"We lowered our rating on the class X-A IO certificates based on
our criteria for rating IO securities, in which the rating on the
IO security would not be higher than that of the lowest-rated
reference class. Class X-A's notional amount references classes A
and B."

Property-Level Analysis

The loan collateral, Westfield San Francisco Centre and San
Francisco Emporium, is a 1.45 million-sq.-ft. mixed-use property
located at 865 Market St. in downtown San Francisco, comprising 1.2
million sq. ft. of retail (553,366 sq. ft. of which is collateral)
and 241,255 sq. ft. of class B office space. The Westfield San
Francisco Centre portion was originally developed in 1988. The San
Francisco Emporium portion, which was a redevelopment of the
Emporium department store that dated to the 1890s, was codeveloped
by the sponsors in 2006 into retail and class B office space. The
mall is anchored by Bloomingdale's (338,928 sq. ft.,
noncollateral). Nordstrom, which occupied the other noncollateral
anchor space totaling 312,000 sq. ft., vacated in August 2023. A
186,200-sq.-ft. portion of the Westfield San Francisco Centre is
subject to a ground lease, with San Francisco Unified School
District as the ground lessor and the borrowers as the ground
lessee. The ground lease is from July 1, 1983, to June 30, 2043,
with one 15-year extension option. At issuance, the annual minimum
ground rent was $3.3 million and is adjusted every five years based
on a percentage of the ground lessee's gross revenues or cost of
living index increases. The loan sponsors are Westfield America
Inc., an affiliate of Unibail-Rodamco-Westfield, and Forest City
Realty Trust Inc., which was acquired by Brookfield Asset
Management.

Transaction Summary

The 10-year, fixed-rate, IO mortgage whole loan had an initial and
current balance of $558.0 million, paid an annual fixed interest
rate of 3.39%, and, prior to being accelerated due to the
borrower's payment default, matured on Aug. 10, 2026.

The whole loan comprises 28 promissory notes:

-- 24 senior pari passu A notes totaling $433.1 million; and

-- Four junior trust B notes totaling $124.9 million.

The senior A notes are pari passu to each other and are senior to
the $124.9 million subordinate B notes.

The trust loan, totaling $306.9 million (as of the Dec. 12, 2023,
trustee remittance report), consists of eight of the senior notes
totaling $182.0 million and the four junior B notes totaling $124.9
million. The remaining portion of the whole loan, totaling $251.1
million, is in five U.S. CMBS transactions:

-- JPMCC Commercial Mortgage Securities Trust 2016-JP3 ($60.0
million);

-- JPMDB Commercial Mortgage Securities Trust 2016-C4 ($23.6
million);

-- CD 2016-CD1 Mortgage Trust ($60.0 million);

-- COMM 2016-COR1 Mortgage Trust ($23.5 million); and

-- DBJPM 2016-C3 Mortgage Trust ($84.0 million).

The loan, which has a foreclosure in progress payment status,
transferred to the special servicer, Midland Loan Services, on June
21, 2023, due to imminent default. The master servicer, Wells Fargo
Bank N.A., reported a debt service coverage of 0.87x for the six
months ended June 30, 2023, down from 1.05x in 2022 and 2021, and
1.68x in 2020. To date, the trust has not incurred any principal
losses.

  Ratings Lowered

  DBJPM 2016-SFC Mortgage Trust

  Class A to 'B+ (sf)' from 'BBB+ (sf)'
  Class B to 'CCC (sf)' from 'BB (sf)'
  Class X-A to 'CCC (sf)' from 'BB (sf)'

  Ratings Affirmed

  DBJPM 2016-SFC Mortgage Trust

  Class C: CCC (sf)
  Class D: CCC- (sf)



FORTRESS CREDIT XX: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Fortress Credit BSL XX
Ltd./Fortress Credit BSL XX LLC's fixed- and floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by FC BSL CLO Manager III LLC, an
affiliate of Fortress Investment Group LLC.

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

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

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

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

  Ratings Assigned

  Fortress Credit BSL XX Ltd./Fortress Credit BSL XX LLC

  Class A, $250.0 million: AAA (sf)
  Class B-1, $38.0 million: AA (sf)
  Class B-2, $10.0 million: AA (sf)
  Class C (deferrable), $24.0 million: A (sf)
  Class D (deferrable), $24.0 million: BBB- (sf)
  Class E (deferrable), $14.0 million: BB- (sf)
  Subordinated notes, $43.4 million: Not rated



GCAT 2023-NQM4: Fitch Gives 'B(EXP)sf' Rating on Class B-2 Notes
----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued GCAT 2023-NQM4 Trust (GCAT 2023-NQM4).

   Entity/Debt       Rating           
   -----------       ------           
GCAT 2023-NQM4

   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
   X             LT  NR(EXP)sf  Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by GCAT 2023-NQM4 Trust as indicated above. The
certificates are supported by 520 loans with a total balance of
approximately $290 million as of the cutoff date.

A majority of the loans were originated by Arc Home LLC (Arc),
FirstGuaranty Mortgage Corp. (FGMC), HomeXpress Mortgage Corp
(HomeXpress), and Quontic Bank (Quontic), with all other
originators each contributing less than 5%. All loans are
currently, or will be, serviced by NewRez LLC (dba Shellpoint
Mortgage Servicing [SMS]).

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Housing affordability
is deemed to be at its worst levels in decades, driven by both high
interest rates and elevated home prices. Home prices have increased
3.4% yoy nationally as of October 2023, notwithstanding modest
regional declines, but are still being supported by limited
inventory.

Non-QM Credit Quality (Mixed): The collateral consists of 520
loans, totaling $290 million and seasoned approximately 25 months
in aggregate, calculated as the difference between the origination
date and the cutoff date. The borrowers have a moderate credit
profile (738 FICO and 36% debt to income [DTI] ratio) and leverage
(68% sustainable loan to value [sLTV] ratio). The pool consists of
79.0% of loans where the borrower maintains a primary residence,
while 21.0% of pool loans are an investor property or a second
home. Additionally, 12.0% are designated as qualified mortgage (QM)
loans, while 0.3% are higher-price QM (HPQM), and 46.6% are non-QM
loans.

For the remaining loans, the Ability to Repay Rule (Rule) does not
apply, either due to the loan being an investor property or as the
loan was originated through a Community Development Financial
Institution (CDFI).

Loan Documentation (Negative): Approximately 77.6% of the pool
loans were underwritten to less than full documentation.
Furthermore, 36.7% 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 CFPB's ATR 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 ability to repay. Additionally,
1.1% of the pool loans are an asset depletion product, 0.55% a CPA
or PnL product, and 5.7% a DSCR product.

Limited Advancing (Mixed): The deal is structured to three months
of servicer advances for delinquent principal and interest (P&I).
The limited 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 to this is the
additional stress on the structure side, as there is limited
liquidity in the event of large and extended delinquencies.

Modified Sequential-Payment Structure (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. Furthermore, the
provision to re-allocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions is
highly supportive of timely interest payments to that class with
limited advancing.

On each payment date, interest distribution amounts otherwise
allocable to the unrated class B-3, to the extent available, may be
used to reimburse any unpaid cap carryover amount for classes A-1,
A-2 and A-3.

As an additional analysis to Fitch's rating stresses, Fitch ran a
WAC deterioration scenario that varied by rating stress. The
ratings are based off of the most conservative rating scenario. The
WAC cut was derived by assuming a 2.5% cut (based on the most
common historical modification rate) on 40% (historical Alt-A
modification percentage) of the performing loans. Although the WAC
reduction stress is based on historical modification rates, Fitch
did not include the WAC reduction stress in its testing of the
delinquency trigger.

Fitch viewed the WAC deterioration as more of a pre-emptive cut,
given the ongoing macroeconomic and regulatory environment. Under
the WAC deterioration scenario, a portion of borrowers will likely
be impaired but will not ultimately default due to modifications
and reduced P&I. The WAC deterioration scenario had the largest
impact on the back-loaded benchmark scenario and resulted in higher
credit enhancement being needed to achieve the same ratings as in
the non-WAC deterioration scenario.

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 41.1% 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

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third-party review firms.

The third-party due diligence described in Form 15E focused on a
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% PD credit was applied at the loan level for all loans graded
either 'A' or 'B';

- Fitch lowered its loss expectations by approximately 32bps as a
result of the diligence review.

ESG CONSIDERATIONS

GCAT 2023-NQM4 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to the Rep & Warranty framework
without sufficient offsetting mitigants, which has a negative
impact on the credit profile, and is relevant to the ratings in
conjunction with other factors.

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


GLOBAL OUTREACH: Moody's Lowers Rating on Revenue Bonds to B1
-------------------------------------------------------------
Moody's Investors Service downgraded Global Outreach Charter
Academy Inc, FL's outstanding rated revenue bonds to B1 from Ba3,
due to a substantial increase in leverage, dependence on untested
enrollment growth to support debt service, and management that
continues to be characterized by key person risk and a strong
appetite for expansion.  The outlook is stable.

RATINGS RATIONALE

The B1 rating assigned to GOCA reflects a combination of factors
that contribute to a highly speculative credit risk profile. These
include very high leverage, a balloon debt structure that will
require continued market access, potential construction and ramp-up
risks, generally weak student demand, unclear benefits from a
change in management structure, and looming charter expiration
dates.

GOCA's increased leverage stems from an accumulation of debt
surpassing $70 million. This debt includes a structure with a $25
million balloon payment due in 2032 and a $23 million payment due
in 2033. Both payments possess a three-year optional puts to
facilitate market access, as the school lacks the financial assets
necessary to redeem these bonds at maturity. Despite a history of
successful construction risk management, any disruption to current
construction projects could impede the growth of enrollment and
revenue, both of which are essential to counterbalance escalating
operating expenses and debt service costs.

Enrollment risk is heightened by low demand, evidenced by modest
waitlists across all campuses. While prior enrollment growth aligns
nearly with go-forward projections, the school's 'D' grade presents
an additional risk factor; though this is somewhat offset by GOCA's
niche market position focused on families where english is a second
language. The school has charters set to expire on June 30, 2024
and June 30, 2025, and continued low performance grades could
potentially influence the renewal process. A renewal period of less
than five years could be worrisome, whereas a renewal for ten years
or more would be favorable.

The management structure of GOCA carries key person risk, as key
management responsibilities are held by related family members. The
management's strong growth orientation led to a recent
restructuring, which established a separate management company. The
implications of this change on the school's cost and operations
remain uncertain. The founder and CEO of the new management
company, is the son of the founder of GOCA and the former CEO of
GOCA. In addition he operates a separate development company with
an extensive development portfolio.

These financial and operational factors collectively contribute to
GOCA's highly speculative risk profile. Forthcoming reviews will
focus on continued monitoring of these factors and implications for
the school's financial stability.

RATING OUTLOOK

The stable outlook for GOCA is supported by its consistent track
record of adhering to construction budgets and timelines, as well
as generally achieving anticipated enrollment growth. A shift
towards a negative outlook would occur if the organization fails to
meet its construction goals, or if enrollment falls significantly
below projections. Conversely, a positive outlook would result from
successfully meeting construction targets and fully enrolling the
schools within the obligated group

FACTORS THAT COULD LEAD TO AN UPGRADE OF THE RATINGS

-- Completion of all construction projections on time and budget,
with ramp up to full enrollment of all facilities

-- Substantially improved school grade

-- Significant increase in financial resources

-- Demonstration of continued market access

FACTORS THAT COULD LEAD TO A DOWNGRADE OF THE RATINGS

-- Inability to grow enrollment and the waitlist

-- Delays in construction or ramp up of enrollment levels

-- Charter school renewal of less than 5 years

-- Any Weakening of financial resources

-- Additional debt issuance

LEGAL SECURITY

All debt is on parity and secured by payments to be made by GOCA
Properties LLC (the obligor) to the Florida Development Education
Finance Corporation (the issuer) pursuant to the Loan Agreement.
GOCA Properties LLC's sole member is Global Outreach Charter
Academy Inc.

Under the Master Indenture, all of the bonds are equally and
ratably secured by the pledge and assignment of a security interest
in the Trust Estate. The first lien mortgage is supported through a
Future Advancement and Mortgage Spreader Agreement, where all the
facilities owned by GOCA LLC equally share in the lien of all
facilities. The bond covenants include a 1.1x debt service coverage
ratio and days cash on hand of at least 45 days. If the ratio is
less than 1.1x and days cash on hand is less than 75 days or days
cash is less than 45 days GOCA is required to hire an independent
management consultant to review and analyze operations, submit
written reports, and make such recommendations, as to the operation
and administration of GOCA to achieve at least 1.1 x ratio for the
following year.

An event of default arising from failure to achieve the debt
service coverage ratio shall only occur if the ratio is below 1.0x.
Additional covenants include an additional bonds test which
requires a historical coverage ratio for the prior 12 months of at
least 1.1x debt Service plus lease payments and a projected
coverage ratio that requires 1.2x future Maximum Annual debt
Service including all parity debt as well as the additional debt
and lease payments. The debt service reserve fund is at least 10%
of principal amount of 2022 bonds, 125% of annual debt service, or
100% of MADS.

PROFILE

Global Outreach Charter School, Inc. is a K-12 charter school
system based in Jacksonville, Florida operating three schools
across four campuses. As of the 2021-2024 academic year, the
organization served 1,970 students from kindergarten through
twelfth grade at three of its four campuses. GOCA
Elementary-Middle, GOCA High and GOCA Intracoastal. GOCA Arts, is
anticipated to open in fall 2024. GOCA operates under four charters
each of the charters for the obligated group has a five-year term,
with expiration dates in 2024, 2025, 2026 and 2029 respectively.
The recent bond issuance will facilitate the establishment of GOCA
Intercoastal and expand its student capacity.

METHODOLOGY

The principal methodology used in these ratings was US Charter
Schools published in September 2016.


GUGGENHEIM MM 2023-6: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Guggenheim
MM CLO 2023-6 LLC's floating-rate debt.

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

The preliminary ratings are based on information as of Dec. 15,
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

  Guggenheim MM CLO 2023-6 LLC

  Class A, $183.0 million: AAA (sf)
  Class A-L, $92.5 million: AAA (sf)
  Class B, $47.5 million: AA (sf)
  Class C (deferrable), $38.0 million: A (sf)
  Class D (deferrable), $28.5 million: BBB- (sf)
  Class E (deferrable), $28.5 million: BB- (sf)
  Subordinated notes, $57.0 million: Not rated



JP MORGAN 2013-LC11: S&P Lowers Cl. X-B Certs Rating to 'B-(sf)'
----------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from J.P. Morgan
Chase Commercial Mortgage Securities Trust 2013-LC11, a U.S. CMBS
transaction.

The downgrades on classes A-S, B, C, D, and E primarily reflect:

-- The adverse selection of the remaining assets in the
transaction (four of the remaining five assets are specially
serviced, constituting 79% of the total pool balance);

-- S&P's concerns regarding reduced liquidity support to the
remaining classes in the event that appraisal reduction amounts are
increased, resulting in higher appraisal subordinate entitlement
reduction (ASER), or non-recoverability determinations are made on
the specially serviced assets;

-- S&P's  revised view on the Tysons Commerce Center valuation
informed by the updated appraisal valuation released by the special
servicer;

-- S&P's concern of additional property level advancing on the
World Trade Center I & II asset that heightens the risk of the
asset being deemed non-recoverable;

-- S&P's view that although Chandler Crossings Portfolio loan has
been modified and will be returned to the master servicer in
December 2023 (as confirmed by the special servicer), the loan
still presents concerns given the year-end 2022 debt service
coverage ratio (DSCR) was 0.51x; and

-- The risk that Pecanland Mall loan may become delinquent when
its DSCR falls below 1.0x given the continued deterioration in the
occupancy at the property.

S&P said, "The downgrade of class D to 'CCC- (sf)' further reflect
our view that the risk of default and loss for this class is
elevated due to our expectations surrounding interest shortfall
risk as well as principal loss risk upon the eventual resolution of
the specially serviced assets.

"Our downgrade on class E to 'D (sf)' reflects the current interest
shortfalls outstanding on the class. We expect the interest
shortfalls on this class will remain outstanding for the
foreseeable future.

"While the model-indicated ratings were higher than the revised
ratings on classes A-S, B, and C, we downgraded these classes
because, in our view, the transaction faces adverse selection, with
79% of the assets in special servicing. We also considered the
potential for reduced liquidity support from the four specially
serviced assets, particularly in the event that the property
performance and/or market values decline more than our
expectations, which can result in an increase in the appraisal
reduction amounts or non-recoverability determinations on the
assets. While class A-S, as the front-pay bond, benefits from
principal amortization, the ultimate repayment of its outstanding
principal amount is dependent on the resolution of the specially
serviced assets or the repayment of the corrected loan, Chandler
Crossings Portfolio.

"We will continue to monitor the transaction's performance,
especially any developments around the performance, refinancing, or
workouts of the specially serviced assets. To the extent future
developments differ meaningfully from our underlying assumptions,
we may take further rating actions as we deem necessary.

"We lowered our ratings on the classes X-A and X-B interest-only
(IO) certificates based on our criteria for rating IO securities,
in which the rating on the IO securities would not be higher than
that of the lowest-rated reference class. The notional amount on
class X-A references class A-S, and the notional amount on class
X-B refences classes B and C."

Loan Details

World Trade Center I and II ($97.2 million pooled trust amount;
30.3% of the pooled trust balance)

World Trade Center I and II is the largest remaining asset in the
pool and is comprised of two adjacent 1979-built class A office
properties totaling 770,221 sq. ft. in the central business
district of Denver. The properties are 28 and 29 stories tall and
share an indoor and outdoor plaza between them.

The asset has a balance of $97.2 million and total exposure of
$109.1 million (down from a $114.4 million loan balance at
issuance). The buildup in exposure was caused by $1.0 million in
cumulative ASERs, $8.5 million in principal and interest advances,
$903,123 in other expense advances, and $567,336 in accrued, unpaid
advance interest. The asset became real estate-owned (REO) in June
2022. Due to the decline in occupancy observed at the property, S&P
is concerned that property protection advances may be needed, which
can result in a buildup in total exposure, increasing the risk of
the loan being deemed non-recoverable.

S&P noted in its last review that the asset was being marketed for
sale by Newmark Knight Frank. However, per the special servicer
comments, no acceptable offers have been received, and the special
servicer is now considering leasing vacant spaces at the property.
Based on the third-party valuations as well as its analysis of the
collateral, S&P Global Ratings expected-case value is $57.0 million
($74.0 per sq. ft.), an amount below the $82.3 million appraisal
value as of December 2022 released by the special servicer.

Pecanland Mall loan ($74.1 million pooled trust amount; 23.1% of
the pooled trust balance)

This loan is the second-largest in the pool and is secured by
433,200 sq. ft. of a 965,238-sq.-ft. class B regional mall property
in Monroe, La. Major anchors and tenants at the property include
Dillard's (noncollateral; 165,930 sq. ft.), JCPenney
(noncollateral; 138,426 sq. ft.), a vacant anchor space formerly
occupied by Sears (noncollateral; 122,032 sq. ft.), Belk
(noncollateral; 105,650 sq. ft.), and Tilt Studio (collateral;
63,436 sq. ft.).

The loan has a pooled trust balance of $74.1 million (down from a
$90.0 million loan balance at issuance) and total exposure of $74.2
million. The buildup in exposure was caused by $80,608 in other
expense advances, and $2,133 in accrued unpaid advance interest.

Since S&P's last review, the occupancy at the property has declined
further to 76.9% as of June 2023. Given the deterioration in
occupancy, S&P believes that the DSCR of the loan may fall below
1.0x (from 1.32x as of year-end 2022) and add liquidity stress to
the transaction. Based on the third-party valuations as well as our
analysis of the collateral, the S&P Global Ratings expected-case
value is $43.0 million. Furthermore, the borrower has expressed an
interest in transferring ownership of the property to the trust,
which indicates the future prospect of the property performance is
likely declining.

Chandler Crossings Portfolio loan ($67.5 million pooled trust
amount; 21.0% of the pooled trust balance)

This loan is the third-largest in the pool and is secured by the
borrower's fee simple interest in three adjacent multifamily
student housing properties totaling 852 units (2,772 beds) in East
Lansing, Mich. The subject properties are approximately 2.5 miles
from Michigan State University.

The loan transferred to the special servicer on Feb. 1, 2023, due
to imminent maturity default. The sponsor, Pierce Education
Properties, was not able to refinance the outstanding mortgage by
the maturity date. According to recent special servicer comments,
the loan has been returned to the master servicer as of Nov. 8,
2023, after a loan modification and maturity date extension.

The loan was modified, and the modification terms included a
principal paydown of $3.6 million, a maturity date extension to
June 2025, increasing the loan interest rate to 5.169% effective
July 1, 2024, and converting the loan to IO effective Aug. 1, 2023.
We have not changed our S&P Global Ratings expected-case value of
$43.6 million since the last review (which is 34.0% lower than the
$66.0 million appraised value as of March 2023). The most recent
reported DSCR for the loan is 0.51x as of year-end 2022.

Other specially serviced loans

As of the November 2023 trustee remittance report, two other loans
were with the special servicer.

Dulles View is the fourth-largest loan in the pool ($50.7 million
loan balance; 15.8% of the pool balance) with a total exposure of
$51.1 million. The loan, which matured on April 4, 2023,
transferred to special servicing on March 6, 2023, for imminent
maturity default. The loan is secured by two eight-story, suburban
office buildings totaling 355,543 sq. ft. in Herndon, Va. Per the
special servicer's comments, the borrower was unable to sell or
refinance the property and has proposed transferring ownership of
the property to the trust via an agreed foreclosure.

Tysons Commerce Center is the fifth-largest loan in the pool ($31.6
million; 9.8%) with a total exposure of $33.1 million. The loan,
which matured on April 1, 2023, transferred to special servicing
due to imminent maturity default. The loan is secured by an
eight-story office building totaling 181,542 sq. ft. in Tyson's
Corner, Va. Per the special servicer's comments, a deed in lieu of
foreclosure is currently being pursued for the loan, and, if
approved, title transfer is anticipated by year-end 2023. The loan
received an updated appraisal value of $18.3 million (64% below the
issuance appraisal value of $51.1 million) as of June 7, 2023, and
we based our S&P Global Ratings value on the updated third-party
valuation, which is 39.3% below our value of $30.2 million at last
review.

Transaction Summary

As of the November 2023 trustee remittance report, the collateral
pool balance was $321.1 million, which is 24.4% of the pool balance
at issuance. The pool currently includes four fixed-rate loans and
one REO asset, down from 52 loans at issuance. Four of these assets
($253.6 million, 79.0%) are with the special servicer, with three
of them ($179.5 million, 55.9%) being delinquent on their debt
service payments. According to the special servicer, Greystone, the
Chandler Crossings Portfolio loan ($67.5 million, 21.0%) was
returned to the master servicer on Nov. 8, 2023.

Using adjusted servicer-reported numbers, we calculated a 1.16x S&P
Global Ratings weighted-average DSCR and 156.2% S&P Global Ratings
weighted average loan-to-value ratio using an 8.55% S&P Global
Ratings weighted average capitalization rate.

To date, the pooled bonds have experienced $6,666 in principal
losses.

  Ratings Lowered

  J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11

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



MARANON LOAN 2023-2: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Maranon Loan
Funding 2023-2 Ltd.'s fixed- and floating-rate debt.

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

The preliminary ratings are based on information as of Dec. 15,
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

  Maranon Loan Funding 2023-2 Ltd./Maranon Loan Funding 2023-2 LLC

  Class A-1, $222.00 million: AAA (sf)
  Class A-2, $10.00 million: AAA (sf)
  Class B, $44.00 million: AA (sf)
  Class C (deferrable), $32.00 million: A- (sf)
  Class D (deferrable), $20.00 million: BBB- (sf)
  Class E (deferrable), $24.00 million: BB- (sf)
  Variable dividend notes, $44.60 million: Not rated



MARATHON CLO 2020-15: S&P Affirms BB- (sf) Rating on Class D Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1S-R
replacement debt from Marathon CLO 2020-15 Ltd./Marathon CLO
2020-15 LLC, a CLO originally issued in 2020 that is managed by
Marathon Asset Management L.P. At the same time, S&P withdrew its
ratings on the class A-1S debt following payment in full on the
Dec. 20, 2023, refinancing date. S&P also affirmed its ratings on
the class A-1J-R, A-2-R, B-R, C-R and D debt, which were not
refinanced.

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

-- The new class A1-S-R notes refinanced the class A1-S notes.

  Replacement And Refinanced Debt Issuances

  Replacement debt

  -- Class A-1S-R, $240 million: Three-month CME Term SOFR + 1.58%

  Refinanced debt

  -- Class A-1S, $240 million: Three-month CME Term SOFR +
1.96161%

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

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


  Rating Assigned

  Marathon CLO 2020-15 Ltd./Marathon CLO 2020-15 LLC

  Class A-1S-R, $240 million: AAA (sf)

  Rating Withdrawn

  Marathon CLO 2020-15 Ltd./Marathon CLO 2020-15 LLC

  Class A-1S to Not rated from 'AAA (sf)'

  Ratings Affirmed

  Marathon CLO 2020-15 Ltd./Marathon CLO 2020-15 LLC

  Class A-1J-R: AAA (sf)
  Class A-2-R: AA (sf)
  Class B-R: A (sf)
  Class C-R: BBB- (sf)
  Class D: BB- (sf)

  Other Outstanding Debt

  Marathon CLO 2020-15 Ltd./Marathon CLO 2020-15 LLC

  Subordinated notes: Not rated



MFA TRUST 2023-NQM4: Fitch Gives 'B(EXP)' Rating on Cl. B2 Certs
----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by MFA 2023-NQM4 Trust (MFA 2023-NQM4).

   Entity/Debt        Rating           
   -----------        ------            
MFA 2023-NQM4

   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
   XS             LT NR(EXP)sf  Expected Rating
   R              LT NR(EXP)sf  Expected Rating
   COLLAT         LT NR(EXP)sf  Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by MFA 2023-NQM4 Trust (MFA 2023-NQM4) as indicated
above. The certificates are supported by 508 nonprime loans with a
total balance of approximately $295 million as of the cutoff date.

Loans in the pool were originated by multiple originators,
including Excelerate Capital, Citadel Servicing Corporation d/b/a
Acra Lending and others. Loans were aggregated by MFA Financial,
Inc (MFA). Loans are currently serviced by Planet Home Lending and
Citadel Servicing Corporation whose loans are are subserviced by
ServiceMac 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 7.9% above a long-term sustainable level (versus
9.4 % on a national level as of 2Q23, up 1.82% % from the prior
quarter). Home prices have increased 1.87% % yoy nationally as of
October 2023. Fitch views the long-term sustainable valuation of
assets for the portfolio equal to $428.2 million.

Non-QM Credit Quality (Negative): The collateral consists of 508
loans totaling $295 million and seasoned approximately 10 months in
aggregate as calculated by Fitch. The borrowers have a moderate
credit profile of a 733 Fitch model FICO and leverage with a 68.8 %
sustainable loan-to-value ratio (sLTV).

The pool consists of 44.1 % of loans where the borrower maintains a
primary residence, while 55.9% comprise an investor property or
second home as calculated by Fitch. Additionally, 56.6 % are
nonqualified mortgage (non-QM) while the QM rule does not apply to
the remainder. This pool consists of a variety of weaker
borrower/collateral types, including second lien, foreign nationals
and nonstandard property types.

Fitch's expected loss in the 'AAAsf' stress is 25.0%. This is
mainly driven by the non-QM collateral, the significant investor
cash flow product concentration and a pool level adjustment related
to loan concentration.

Loan Documentation (Negative): Approximately 90.4 % of loans in the
pool were underwritten to less than full documentation and 45.4%
were underwritten to a bank statement program for verifying income.
A key distinction between this pool and legacy Alt-A loans is 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.

This reduces 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 a borrower's ATR.

Its treatment of alternative loan documentation increased 'AAAsf'
expected losses by 250 bps, compared with a deal of 100% fully
documented loans.

High Percentage of DSCR Loans (Negative): There are 225 debt
service coverage ratio (DSCR) products in the pool (44.3% by loan
count). These business purpose loans are available to real estate
investors that are qualified on a cash flow basis, rather than debt
to income (DTI), and borrower income and employment are not
verified.

Compared with standard investment properties, for DSCR loans, Fitch
converts the DSCR values to a DTI and treats as low documentation.
Fitch's treatment for DSCR loans results in a higher Fitch reported
nonzero DTI. Further no ratio loans are treats as 100% DTI. Its
expected losses for DSCR loans is 31.25% in the 'AAAsf' stress.

Pool Level Adjustments (Negative): The pool has a weighted average
number (WAN) of 176 and is incurring approximately a 243bps penalty
at 'AAA'. RMBS pools with an initial WAN below 300 loans are
subject to PD penalties that are applied to the pool's
model-generated PD. The variability of defaults inherently
increases when a portfolio depends on a small number of assets. The
WAN for this portfolio is significantly less than the number of
assets due to the lumpy largest loans. The pool consists of 508
loans and the 10 largest loans by UPB account for 17.0% of the
pool.

Additionally, the largest 20 loans account for 27.2% of the UPB.
The WAN for this portfolio is significantly less than the number of
assets due to the lumpy largest loans. If some of the large loans
prepay, the concentration risk will decrease.

Approximately 42.768% of the pool is concentrated in California
with moderate MSA concentration. The largest MSA is Los Angeles MSA
(25.6%) followed by the Miami MSA (13.5%) and the San Diego MSA
(5.1%). The top three MSAs account for 44.2% of the pool. As a
result, there was a 1.06x PD penalty applied which increased the
'AAA' expected loss by 64bps.

In total, Fitch adjusted the 'AAA' pool level loss expectations by
307bps due to loan and geographic concentration risks.

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.

Advances of delinquent principal and interest (P&I) will not be
made on the mortgage loans. 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.

MFA 2023-NQM4 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. Any class B-3 interest distribution amount will
be distributed to the class A-1, A-2 and A-3 certificates on and
after the step-up date if the cap carryover amount is greater than
zero. This increases the P&I allocation for the senior classes.

As additional analysis to its rating stresses, Fitch took into
account a WAC deterioration that varied by rating stress. The WAC
cut was derived by assuming a 2.5% cut, based on the most common
historical modification rate) on 40% (historical Alt-A modification
percentage) of the performing loans. Although the WAC reduction
stress is based on historical modification rates, Fitch did not
include the WAC reduction stress in its testing of the delinquency
trigger.

Fitch viewed the WAC deterioration as more of a pre-emptive cut
given the ongoing macroeconomic and regulatory environment. A
portion of borrowers will likely be impaired but will not
ultimately default due to modifications and reduced P&I.
Furthermore, this approach had the largest impact on the
back-loaded benchmark scenario.

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 analysis was conducted at the
state and national level to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.

The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 40.2% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. 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. A 10% gain
in home prices would result in a full category upgrade for the
rated class excluding those assigned 'AAAsf' ratings.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton, Consolidated Analytics, Infinity, Canopy,
Selene, Stonehill and Evolve. 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 to its
analysis: a 5% credit at the loan level for each loan where
satisfactory due diligence was completed. This adjustment resulted
in 44bps reduction to 'AAAsf' losses.

ESG CONSIDERATIONS

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


MIDOCEAN CREDIT XI: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean
Credit CLO XI Ltd refinancing notes.

   Entity/Debt          Rating               Prior
   -----------          ------               -----
MidOcean Credit
CLO XI Ltd

   A-1 59801AAA2    LT PIFsf  Paid In Full   AAAsf
   A-1-R            LT AAAsf  New Rating
   A-2a 59801AAC8   LT PIFsf  Paid In Full   AAAsf
   A-2b 59801AAE4   LT PIFsf  Paid In Full   AAAsf
   A-2-R            LT AAAsf  New Rating
   B 59801AAG9      LT PIFsf  Paid In Full   AAsf
   B-R              LT AAsf   New Rating
   C 59801AAJ3      LT PIFsf  Paid In Full   A+sf
   C-1-R            LT Asf    New Rating
   C-2-R            LT Asf    New Rating
   D 59801AAL8      LT PIFsf  Paid In Full   BBBsf
   D-R              LT BBB-sf New Rating
   E 59801CAA8      LT PIFsf  Paid In Full   BB-sf
   E-R              LT BB-sf  New Rating

TRANSACTION SUMMARY

MidOcean Credit CLO XI Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by MidOcean Credit RR
Manager LLC that originally closed in November 2022. The CLO's
secured notes were refinanced in whole on Dec. 15, 2023 (the first
refinancing date) from the proceeds of the issuance of new secured
notes. After the first refinancing date, the CLO will have a
1.8-year reinvestment period and a 1-year non-call period.

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 23.28, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.0. 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
94.7% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.0% versus a
minimum covenant, in accordance with the initial expected matrix
point of 67.2%.

Portfolio Composition (Neutral): The largest three industries may
comprise up to 41.0% 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 1.8-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 WAL used for the transaction stress portfolio
and matrices analysis is 9 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.

KEY PROVISION CHANGES

The refinancing is being implemented via the refinancing
supplemental indenture and conformed indenture, which amended
certain provisions of the transaction. The changes include but are
not limited to:

- Class A-2a and A-2b notes are combined in one new class A-2-R and
class C notes are broken out to class C-1-R (floating) and C-2-R
(fixed);

- Non-call period for the refinancing notes will extend to December
2024;

- Trustee was changed from State Street Bank and Trust Company with
Virtus Group, LP as the collateral administrator to U.S. Bank Trust
Company, National Association;

- Approximately $3.5 million of par and principal proceeds will be
applied to pay expenses related to the first refinancing of secured
debt and the remaining will be distributed to equity holders;

- WAL extended to 6.75 years;

- A new Fitch test matrix;

- Uptier priming language introduced in indenture;

FITCH ANALYSIS

The current portfolio dated Nov. 25, 2023, includes 289 assets from
252 primarily high yield obligors. Fitch's analysis is based on the
$350,000,000 target par. The weighted average rating of the
indicative portfolio is 'B'. Fitch has an explicit public rating,
private rating or a credit opinion for 44.9% of the current
portfolio balance; ratings for 54.9% of the portfolio were derived
from using Fitch's Issuer Default Rating equivalency map. Assets
without a public rating or a Fitch credit opinion represent 0.3% of
the current portfolio balance and was assumed to be rated 'CCC'.

Analysis focused on the Fitch stressed portfolio (FSP) and cash
flow model analysis was conducted for the first refinancing. The
FSP included the following concentrations, reflecting the maximum
limitations per the indenture or Fitch's assumption:

- Largest five obligors: 2.5% each for top three and 2.0% each,
below top three, for an aggregate of 11.5%;

- Largest three industries: 15%, 13%, and 13%, respectively;

- Assets rated 'CCC+' or below: 7.5%;

- Assumed risk horizon: six years;

- Minimum weighted average coupon of 7.0%;

- Minimum weighted average spread of 3.5% for the matrix point;

- Maximum weighted average rating factor of 25.0 for the matrix
point;

- Minimum weighted average recovery rate of 67.2% as the matrix
point.

Projected default and recovery statistics of the FSP were generated
using Fitch's portfolio credit model (PCM). The PCM default rate
outputs for the FSP at the 'AAAsf' rating stress were 50.1%, 'AAsf'
rating stress were 46.7%, 'Asf' rating stress were 41.5%, 'BBB-sf'
rating stress were 32.5% and 'BB-sf' rating stress were 27.3%,
respectively. The PCM recovery rate outputs for the FSP at the
'AAAsf' rating stress were 34.9%, 'AAsf' rating stress were 41.5%,
'Asf' rating stress were 51.5%, 'BBB-sf' rating stress were 60.7%
and 'BB-sf' rating stress were 66.0%, respectively.

In the analysis of the current portfolio the class A-1-R, A-2-R,
B-R, C-1-R, C-2-R, D-R, and E-R notes passed the 'AAAsf', 'AAAsf',
'AAsf', 'Asf', 'Asf', 'BBB-sf' and 'BB-sf' rating thresholds in all
nine cash flow scenarios with minimum cushions of 13.3%, 10.2%,
11.0%, 12.4%, 12.4%, 11.1% and 13.7%, respectively. In the analysis
of the FSP, the class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-R, and E-R
notes passed the 'AAAsf', 'AAAsf', 'AAsf', 'Asf', 'Asf', 'BBB-sf'
and 'BB-sf' rating thresholds in all nine cash flow scenarios with
minimum cushions of 2.7%, 0.1%, 0.7%, 0.3%, 0.3%, 0.7% and 0.0%,
respectively.

Fitch assigned 'AAAsf', 'AAAsf', 'AAsf', 'Asf', 'Asf', 'BBB-sf' and
'BB-sf' ratings with a Stable Rating Outlook to the class A-1-R,
A-2-R, B-R, C-1-R, C-2-R, D-R, and E-R notes, respectively, because
it believes the notes can sustain a robust level of defaults
combined with low recoveries, as well as other factors, such as the
degree of cushion when analyzing the indicative portfolio and the
strong performance in the sensitivity scenarios.

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'A-sf' and 'AA+sf' for class A-1-R, between
'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf'
for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between
less than 'B-sf' and 'BB+sf' for class D-R; and between less than
'B-sf' and 'B+sf' for class E-R.

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

Upgrade scenarios are not applicable to the class A-1-R and class
A-2-R notes; as these notes are in the highest rating category of
'AAAsf'. Variability in key model assumptions, such as increases in
recovery rates and decreases in default rates, could result in an
upgrade. Fitch evaluated the notes' sensitivity to potential
changes in such metrics; the minimum rating results under these
sensitivity scenarios are 'AAAsf' for class B-R, 'A+sf' for class
C-R, 'A-sf' for class D-R; and 'BBB+sf' for class E-R.

DATA ADEQUACY

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

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


MKT 2020-525M: Fitch Lowers Rating on Class D Certs to 'BBsf'
-------------------------------------------------------------
Fitch Ratings has downgrades two and affirmed three classes of MKT
2020-525M Mortgage Trust, commercial mortgage pass-through
certificates, series 2020-525M. Fitch has also revised the Rating
Outlooks to Negative from Stable on affirmed classes A, B and X-A;
classes C and D have been assigned Negative Outlooks following
their downgrades.

   Entity/Debt          Rating            Prior
   -----------          ------            -----
MKT 2020-525M

   A 55316PAA5      LT  AAAsf  Affirmed    AAAsf
   B 55316PAE7      LT  AA-sf  Affirmed    AA-sf
   C 55316PAG2      LT  BBBsf  Downgrade   A-sf
   D 55316PAJ6      LT  BBsf   Downgrade   BBB-sf
   X-A 55316PAC1    LT  AA-sf  Affirmed    AA-sf

KEY RATING DRIVERS

Declining Occupancy and Cash Flow; Weak Submarket: The downgrades
and Negative Outlooks reflect the continued deterioration of
collateral performance combined with further weakening of submarket
fundamentals since Fitch's last rating action. The Negative
Outlooks reflect possible further downgrades should property net
cash flow (NCF) and occupancy and/or market conditions deteriorate
beyond Fitch's view of sustainable performance, and with limited
leasing activity and lack of property and submarket stabilization
over the next one to two years. Fitch will continue to monitor both
property and submarket leasing traction.

Property occupancy declined to 74.5% as of the September 2023 rent
roll, from 88.8% in September 2022, 91.4% at YE 2021 and 97.3% at
issuance. According to Costar and as of 3Q23, the office submarket
vacancy, availability rate and asking rents were 25.3%, 31.3% and
$59.56 psf, respectively, down from vacancy and rental levels of
18.1% and $68.52 at the last rating action; the metrics have
significantly worsened from 5.3% and $73.94 at the time of
issuance.

Fitch has revised downward its assumption of sustainable cash flow
for the property to $50.3 million, or 5.3% below Fitch's issuance
NCF of $53.1 million, reflecting the loss of tenants, Sephora
(10.8% of NRA, Oct. 31, 2023 lease expiration) and Zurich American
Insurance Company (3.8%; 2022/2023 lease expiration), and
incorporates additional stresses to dark tenants and those with
near-term lease expirations.

The Fitch NCF also assumes a lease up of vacant spaces grossed up
to a discounted rate below in-place rents and a sustainable
long-term occupancy assumption of 80%. Recent leasing activity at
the property includes an executed 12-year lease for a top floor
(2.7% of NRA) that commences in June 2024. Furthermore, Fitch's
analysis incorporated a higher stressed capitalization rate of
8.25%, up from 7.25% at issuance, to factor increased office sector
and submarket performance concerns, resulting in a Fitch-stressed
valuation decline that is approximately 50% below the issuance
appraisal.

The largest tenants at the property include: Amazon (39.5% of NRA;
Jan. 31, 2028 lease expiration has Jan. 31, 2025 termination option
with 12 months' notice [17.3% of NRA]; April 30, 2029 with Feb. 28,
2027 option [2.8%]; Feb. 28, 2030 with Feb. 28, 2027 option
[11.1%]; Jan. 31, 2031 with Jan. 31, 2029 option [8.3%]) and Wells
Fargo Bank, NA (13.7% of NRA; June 30, 2025).

The majority of the leases expire during the loan term, with the
highest rollover concentrations in 2025 and 2028, when 19.2%
(including Wells Fargo) and 17.2% (Amazon) of the NRA expire
respectively. The largest tenant, Amazon, has invested significant
capital in its spaces in addition to sponsor contributions.
Additionally, there are termination fees and a cash flow sweep
associated with the Amazon spaces.

High-Quality Office Collateral in Prime Location: The 525 Market
Street property is a 38-story, class A office building located in
the South Financial District office submarket of San Francisco, per
CoStar. The property is the third largest office building in San
Francisco by square footage and is certified LEED Platinum by the
U.S. Green Building Council. At issuance, Fitch assigned a property
quality grade of 'A-'.

Full Term, Interest-Only Loan: The loan is interest only for the
10-year term, maturing February 2030, with a fixed rate coupon of
2.95%. In its analysis, Fitch applied an upward loan-to-value (LTV)
hurdle adjustment due to the sub-3% coupon.

Fitch Leverage: The Fitch-stressed debt service coverage ratio
(DSCR) and LTV for class D, the lowest rated class by Fitch are
1.01x and 87.9%, respectively. The $682.0 million mortgage whole
loan has a Fitch-stressed DSCR and LTV of 0.80x and 110.2%,
respectively, and debt of $659 psf.

The sponsor, NYSTRS (51.0% of ownership) acquired the property in
1998 and DWS (formerly RREEF; 49.0% of ownership) acquired a 49.0%
interest in the sponsor as part of this transaction.

RATING SENSITIVITIES

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

Downgrades are possible should property NCF and occupancy and/or
market conditions deteriorate beyond Fitch's view of sustainable
performance, including if Wells Fargo and rolling tenants fail to
renew/extended their leases and new leases are signed at rates
significantly below market rates, as well as with lack of leasing
momentum and/or property and market stabilization.

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

Upgrades are not considered likely given the current ratings
reflect Fitch's view of sustainable performance, but may be
possible with significant and sustained improvement in Fitch NCF,
positive leasing to occupancy levels and rates above market and
with greater certainty on the borrower's ability to refinance the
loan.

The Negative Outlooks could be revised to Stable if property
performance stabilizes, leasing activity increases and there are
more sale and lease comparables to gauge the overall health of the
San Francisco office market.

ESG CONSIDERATIONS

MKT 2020-525M has an ESG Relevance Score of '4' [+] for Waste &
Hazardous Materials Management; Ecological Impacts due to the
collateral's LEED Platinum Certification and lower environmental
site risk and associated remediation/liability costs along with
sustainable building practices including Green building certificate
credentials, which has a positive impact on the credit profile, and
is relevant to the rating[s] in conjunction with other factors.

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


OCP CLO 2023-30: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP CLO
2023-30 Ltd./OCP CLO 2023-30 LLC's floating-rate debt.

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

The preliminary ratings are based on information as of Dec. 19,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- S&P views 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

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

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



ONE PEAKS 1: S&P Lowers Class F-R Notes Rating to 'CCC+ (sf)'
-------------------------------------------------------------
S&P Global Ratings raised its rating on the class B-R debt from
Peaks CLO 1 Ltd., a CLO transaction originally issued in July 2014
that was refinanced in July 2018 and is managed by ArrowMark
Colorado Holdings LLC. At the same time, S&P downgraded its ratings
on the class E-R and F-R debt and removed these ratings from
CreditWatch, where S&P placed them with negative implications in
October 2023. S&P also affirmed its ratings on the class A-1-R,
A-2-R, A-3-R, C-R, and D-R debt from the same transaction.

The rating actions follow S&P's review of the transaction's
performance using data from the October 2023 trustee report.
Although the same portfolio backs all of the tranches, there can be
circumstances such as this one, where the ratings on the tranches
may move in opposite directions due to support changes in the
portfolio. This transaction is experiencing opposing rating
movements because it experienced both principal paydowns (which
increased the senior credit support) and faced principal losses and
a decline in credit quality, which decreased the junior credit
support.

S&P placed the junior debt ratings on CreditWatch negative based on
the decline in their credit support, a failing
overcollateralization (O/C) test, the continued deferral of
interest, and preliminary indicative cash flow results.

The transaction has paid down $40.87 million in collective paydowns
to the class A-1-R, A-2-R, and A-3-R debt since S&P's October 2021
rating actions. The reported O/C ratios have changed since the July
2021 trustee report, which we used for its previous rating
actions:

-- The class A/B O/C ratio improved to 143.86% from 138.80%.

-- The class C O/C ratio improved to 127.31% from 127.23%.

-- The class D O/C ratio declined to 112.84% from 116.42% and is
currently failing.

-- The class E O/C ratio declined to 106.04% from 111.25% and is
currently failing.

While the senior O/C ratios experienced a positive movement due to
the more dominant impact of the paydowns to the senior notes, the
junior O/C ratios declined due to a combination of par losses and
increased haircuts following an increase in the portfolio's
exposure to 'CCC' or lower rated quality assets. Collateral
obligations with ratings in the 'CCC' category have increased, with
$21.75 million reported as of the October 2023 trustee report,
compared with $13.24 million reported as of the July 2021 trustee
report. The class D and E O/C ratios are currently below the
respective O/C test minimum values. As a result, the class E-R and
F-R debt are currently deferring interest.

However, despite the larger concentrations in the 'CCC' category,
the transaction, especially the senior tranches, has also benefited
from a drop in the weighted average life due to underlying
collateral's seasoning, with 3.36 years reported as of the October
2023 trustee report, compared with 4.31 years reported at the time
of S&P's October 2021 rating actions.

The upgraded rating reflects the improved credit support available
to the class B-R debt at the prior rating levels.

The lowered ratings reflect the deteriorated credit quality of the
underlying portfolio and the decrease in credit support available
to the class E-R and F-R debt.

The affirmed ratings reflect adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the debt could results in further ratings
changes.

Although S&P's cash flow analysis indicated higher ratings for the
class C-R and D-R debt, its rating actions reflect additional
sensitivity runs that considered the CLO's exposure to lower
quality assets and distressed prices S&P noticed in the portfolio.

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

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

Peaks CLO 1 Ltd. has transitioned its liabilities to three-month
CME term SOFR as its underlying index with the Alternative
Reference Rates Committee-recommended credit spread adjustment. Our
cash flow analysis reflects this change and assumes that the
underlying assets have also transitioned to a term SOFR as their
respective underlying index. If the trustee reports indicated a
credit spread adjustment in any asset, our cash flow analysis
considered the same.

  Ratings Raised

  Peaks CLO 1 Ltd.

  Class B-R to 'AA+ (sf)' from 'AA (sf)'

  Ratings Lowered And Removed From CreditWatch Negative

  Peaks CLO 1 Ltd.

  Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg'
  Class F-R to 'CCC+ (sf)' from 'B- (sf)/Watch Neg'

  Ratings Affirmed

  Peaks CLO 1 Ltd.

  Class A-1-R: AAA (sf)
  Class A-2-R: AAA (sf)
  Class A-3-R: AAA (sf)
  Class C-R: A (sf)
  Class D-R: BBB- (sf)



ORION CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Orion CLO 2023-2 Ltd.'s
floating-rate debt.

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

  Orion CLO 2023-2 Ltd./Orion CLO 2023-2 LLC

  Class A, $213.00 million: AAA (sf)
  Class A loans, $75.00 million: AAA (sf)
  Class B, $54.00 million: AA (sf)
  Class C (deferrable), $27.00 million: A (sf)
  Class D (deferrable), $27.00 million: BBB- (sf)
  Class E (deferrable), $15.75 million: BB- (sf)
  Subordinated notes, $46.25 million: Not rated



PALMER SQUARE 2020-3: S&P Assigns Prelim 'B-' Rating in E-R2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 replacement debt and
proposed new class X debt from Palmer Square CLO 2020-3 Ltd./Palmer
Square CLO 2020-3 LLC, a CLO originally issued in December 2020,
which was first refinanced in December 2021 and is managed by
Palmer Square Europe Capital Management LLC.

The preliminary ratings are based on information as of Dec. 19,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Dec. 21, 2023, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."

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

-- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-R2 and E-R2
debt is expected to be issued at a higher spread over three-month
term SOFR than the original debt.

-- The original class A-1b-R and A-2-R debt is expected to be
combined into the newly issued class A-2-R2 debt.

-- The non-call date will be extended three years while the stated
maturity and reinvestment periods will be extended five years.

-- Class X debt is expected to be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the span of 19 payment dates beginning
with the payment date in May 2024.

-- There will be no additional subordinated notes issued in
connection with the proposed refinancing.

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

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

  Preliminary Ratings Assigned

  Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC

  Class X, $2.00 million: AAA (sf)
  Class A-1-R2, $248.00 million: AAA (sf)
  Class A-2-R2, $56.00 million: AA (sf)
  Class B-R2 (deferrable), $24.00 million: A (sf)
  Class C-R2 (deferrable), $24.00 million: BBB- (sf)
  Class D-R2 (deferrable), $13.60 million: BB- (sf)
  Class E-R2 (deferrable), $7.40 million: B- (sf)



PARALLEL LTD 2017-1: Moody's Lowers Rating on $5MM F Notes to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Parallel 2017-1 Ltd.:

US$34,000,000 Class B-R Senior Secured Floating Rate Notes due 2029
(the "Class B-R Notes"), Upgraded to Aaa (sf); previously on
February 12, 2020 Assigned Aa1 (sf)

US$26,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C-R Notes"), Upgraded to Aa1 (sf);
previously on October 14, 2022 Upgraded to A1 (sf)

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

US$5,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class F Notes"), Downgraded to Caa3 (sf); previously
on October 14, 2022 Downgraded to Caa1 (sf)

Parallel 2017-1 Ltd, originally issued in June 2017 and partially
refinanced in February 2020 is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in July 2021.

RATINGS RATIONALE

The upgrade rating actions on the Class B-R notes and Class C-R
notes are primarily a result of deleveraging of the senior notes
and an increase in the Class B and Class C over-collateralization
(OC) ratios since November 2022. The Class A-1-R notes have been
paid down by approximately 57.4% or $112.4 million since that time.
Based on the trustee's November 2023 report, the OC ratios for the
Class B and Class C notes are currently at 152.25% and 127.44%,
respectively[1], versus November 2022 trustee reported levels of
133.27% and 120.53%, respectively[2].

The downgrade rating action on the Class F notes reflects the
specific risks to the junior notes posed by par loss observed in
the underlying CLO portfolio. Based on the trustee's November 2023
report, the implied OC ratio for Class F notes is currently at
99.40%[3] versus November 2022 trustee reported level of
103.41%[4].

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: $206,231,424

Defaulted par: $3,727,240

Diversity Score: 58

Weighted Average Rating Factor (WARF): 3120

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.12%

Weighted Average Recovery Rate (WARR): 47.90%

Weighted Average Life (WAL): 2.7 years

Par haircut in OC tests and interest diversion test: 2.2%

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.


PRPM TRUST 2023-NQM3: Fitch Assigns 'B-(EXP)' Rating on B2 Notes
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed notes to be issued by PRPM 2023-NQM3 Trust (PRPM
2023-NQM3).

   Entity/Debt          Rating           
   -----------          ------           
PRPM 2023-NQM3

   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
   XS               LT  NR(EXP)sf   Expected Rating
   P                LT  NR(EXP)sf   Expected Rating
   R                LT  NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by PRPM 2023-NQM3 Trust, Mortgage Pass-Through
Certificates, Series 2023-NQM3 (PRPM 2023-NQM3 Trust), as indicated
above. The certificates are supported by 516 loans with a balance
of $236.4 million as of the cutoff date. This will be the third
PRPM NQM transaction rated by Fitch and the sixth PRPM transaction
in 2023.

Nexera Holding LLC d/b/a Newfi Lending (Newfi) originated 23% of
the loans and the remaining 77% of the loans were originated by
various other third-party originators. Fitch assesses NewFi Lending
as an 'Average' originator.

Fay Servicing, LLC (Fay Servicing) will service 100% of the loans
in the pool. Fitch rates Fay Servicing as 'RSS2'/Stable.

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 9.1% above a long-term sustainable level (versus
9.4% on a national level as of 2Q23, up 1.8% since last quarter).
Housing affordability is the worst it has been in decades, driven
by both high interest rates and elevated home prices, driving
national overvaluation. Home prices have increased 1.9% yoy
nationally as of October 2023, despite regional declines, but are
still being supported by limited inventory. Fitch views the
long-term sustainable valuation of the assets in this portfolio
equal to $299 million.

Nonprime Credit Quality (Mixed): Collateral consists of fixed- and
adjustable-rate loans with maturities of up to 40 years.
Specifically, the pool comprises 85.5%, 30-year fully amortizing
loans and 10.7%, 30- and 40-year loans with a five- and 10-year
interest-only (IO) period. The pool is seasoned at about 11 months
in aggregate, as determined by Fitch.

Borrowers in this pool have relatively strong credit profiles with
a 743 weighted average (WA) FICO score (747 WA FICO, per
transaction documents) and a 42.3% debt-to-income ratio (DTI), both
as determined by Fitch, as well as moderate leverage, with an
original combined loan-to-value ratio (CLTV) of 74.9%, translating
to a Fitch-calculated sustainable LTV ratio (sLTV) of 79.1%. Fitch
considered 42.4% of the pool to consist of loans where the borrower
maintains a primary residence, while 47.0% comprise investor
properties and 10.6% represent second homes.

The pool also includes cross-collateralized loans (one loan to
multiple properties) that were underwritten to DSCR/investor
guidelines; these loans account for approximately 6.1% of the pool.
In the analysis of these loans, Fitch used the most conservative
collateral attributes of the properties associated with the loan,
and all properties are in the same MSA.

A majority of the loans (78.0%, according to Fitch's analysis) are
to single-family homes, townhomes and PUDs; 5.6% are to condos; and
16.4% are to multifamily housing. In the analysis, Fitch treated
the cross-collateralized loans as multifamily in its analysis, and
the PD was increased for these loans as a result. In total, 70.3%
of the loans were originated through a nonretail channel.
Additionally, 45.2% of the loans are designated as non-qualified
mortgage (non-QM), 9.3% are designated as QM Rebuttable Presumption
or Safe Harbor, while the remaining 45.5% are exempt from QM
status.

The pool contains 44 loans over $1.0 million, with the largest loan
at $3.44 million. The largest loan in the pool is a primary
occupancy purchase in Southwest Ranches, FL and has the following
collateral attributes: 735 borrower FICO and 75% LTV.

About 47.0% of the pool comprise loans for investor properties
(15.6% underwritten to borrowers' credit profiles and 31.4%
comprising investor cash flow loans). There are no second liens in
the pool and 0.5% of the loans have subordinate financing.

Of the pool loans, 100% were current as of Nov. 30, 2023.

High Concentration of Dirty Current Loans (Negative): Of the pool,
98 loans, or 20.3%, are dirty current, meaning the loans
experienced a prior delinquency in the past 24 months but are now
performing. These loans were seasoned on average 15 months and
consisted primarily of non-full documentation programs. Fitch
received servicing commentary from the issuer on one loan, which
indicated the prior delinquency was related to a servicing
transfer, and Fitch did not increase the expected loss rate. The
payment histories of the remaining dirty current loans were treated
as provided. The dirty current loans had a 1.54x PD penalty
relative to the clean current loans.

Loan Documentation: Bank Statement, Asset Depletion and DSCR Loans
(Negative): Approximately 81.2% of the pool loans were underwritten
to less than full documentation, according to Fitch. Specifically,
32.1% were underwritten to a 12-month or 24-month bank statement
program for verifying income, which is not consistent with Fitch's
view of a full documentation program. Additionally, 1.0% of the
loans comprise a 1099 product; 9.8% are a CPA or P&L product; 5.7%
are a WVOE product; and 31.4% are a DSCR product. Overall, Fitch
increased the PD on the non-full documentation loans to reflect the
additional risk.

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

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

To provide liquidity and ensure timely interest will be paid to the
'AAA' and 'AA' rated classes and ultimate interest on the remaining
rated classes, principal will need to be used to pay for interest
accrued on delinquent loans. This will result in stress on the
structure and the need for additional credit enhancement compared
with a pool with limited advancing.

Modified Sequential-Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while excluding subordinate bonds from principal until classes A-1,
A-2 and A-3 are reduced to zero. To the extent that either a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
classes A-1, A-2 and A-3 until they are reduced to zero.

The transaction has excess spread that will be available to
reimburse the certificates for losses or interest shortfalls. The
excess spread may be reduced on and after February 2028, since
classes A-1, A-2 and A-3 have a step-up coupon feature that goes
into effect on and after that date. To mitigate the impact of the
step-up feature, interest payments are redirected from class B-3 to
pay any cap carryover interest for the A-1, A-2 and A-3 classes on
and after February 2028.

As additional analysis to its rating stresses, Fitch considered a
WAC deterioration that varied by rating stress. The WAC cut was
derived by assuming a 2.5% cut (based on the most common historical
modification rate) on 40% (historical Alt-A modification
percentage) of the performing loans. Although the WAC reduction
stress is based on historical modification rates, Fitch did not
include the WAC reduction stress in its testing of the delinquency
trigger.

Fitch viewed the WAC deterioration as more of a pre-emptive cut
given the ongoing macroeconomic and regulatory environment. A
portion of borrowers will likely be impaired but will not
ultimately default due to modifications and reduced P&I.
Furthermore, this approach had the largest impact on the
back-loaded benchmark scenario.

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
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 40.9%, at 'AAA'. The analysis indicates there is
some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

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

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Infinity, Maxwell, Canopy, Consolidated Analytics,
Digital Risk, Mission, Selene, StoneHill, Phoenix, Evolve, Wipro,
Covius and Clayton. 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. Based on the results of the 100% due diligence performed
on the pool, Fitch reduced the overall 'AAAsf' expected loss by 43
bps.

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." AMC,
Infinity, Maxwell, Canopy, Consolidated Analytics, Digital Risk,
Mission, Selene, StoneHill, Phoenix, Evolve, Wipro, Covius and
Clayton were engaged to perform the review. Loans reviewed under
this engagement were given compliance, credit and valuation grades,
and assigned initial grades for each subcategory. Minimal
exceptions and waivers were noted in the due diligence reports.
Refer to the Third-Party Due Diligence section for more detail.

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

ESG CONSIDERATIONS

PRPM 2023-NQM3 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated operational risk, which
has a negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

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


RR 24: Fitch Assigns 'BB+(EXP)' Rating on Class D-R Notes
---------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
RR 24 LTD.

   Entity/Debt        Rating           
   -----------        ------           
RR 24 Ltd

   A-1a-R         LT NR(EXP)sf   Expected Rating
   A-1b-R         LT AAA(EXP)sf  Expected Rating
   A-2-R          LT AA+(EXP)sf  Expected Rating
   B-R            LT A+(EXP)sf   Expected Rating
   C-1-R          LT BBB+(EXP)sf Expected Rating
   C-2-R          LT BBB-(EXP)sf Expected Rating
   D-R            LT BB+(EXP)sf  Expected Rating
   E-R            LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

RR 24 LTD (the issuer) is an arbitrage cash flow collateralized
loan obligation (CLO) that will be managed by Redding Ridge Asset
Management LLC that originally closed in December 2022. The
original notes will be refinanced on Dec. 21, 2023 from proceeds of
new secured notes. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $700 million of primarily first lien senior secured
leveraged loans, which is an upsize of approximately $100 million
compared to the current portfolio.

KEY RATING DRIVERS

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

Asset Security (Positive): The indicative portfolio consists of
96.82% first-lien senior secured loans and has a weighted average
recovery assumption of 74.17%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.

Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.

Portfolio Management (Neutral): The transaction has a 2.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.

Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings. The WAL used for the transaction stress portfolio
is nine months less than the WAL covenant to account for structural
and reinvestment conditions after the reinvestment period. In
Fitch's opinion, these conditions would reduce the effective risk
horizon of the portfolio during stress periods.

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1b-R, between
'BB+sf' and 'A+sf' for class A-2-R, between 'BB-sf' and 'BBB+sf'
for class B-R, between less than 'B-sf' and 'BBB-sf' for class
C-1-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and
between less than 'B-sf' and 'BBsf' for class D-R.

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

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

Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class A-2-R, 'A+sf' for class C-1-R,
'Asf' for class C-2-R, and 'BBB+sf' for class D-R.

DATA ADEQUACY

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

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


SIXTH STREET XVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, D-R and E-R debt and proposed new class X
debt from Sixth Street CLO XVI Ltd./Sixth Street CLO XVI LLC, a CLO
originally issued in November 2020 that is managed by Sixth Street
CLO XVI Management LLC.

The preliminary ratings are based on information as of Dec. 14,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Dec. 21, 2023, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."

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

-- The replacement debt is expected to be issued at a higher
weighted average cost of debt than the original debt.

-- The stated maturity and reinvestment period will each be
extended by approximately 4.25 years.

-- The non-call period will be updated to Jan. 20, 2026.

-- The weighted average life test will be updated to eight years
after the refinancing date.

-- The required minimum overcollateralization (O/C) tests will be
updated for the replacement class B-R, C-R, D-R and E-R debt,
whereas the interest coverage tests will remain unchanged.

-- The replacement class A-1-R debt is expected to be issued at a
floating spread, replacing the current class A-1a and A-1b notes'
floating spread and fixed coupon, respectively.

-- The class X debt will be added to the capital stack and is
expected to be paid down using interest proceeds during the first
eight payment dates beginning with the April 2024 payment date.

-- There will be no additional subordinated notes issued on the
first refinancing date.

  Replacement And Original Debt Issuances

  Replacement debt

-- Class X, $2.00 million: Three-month CME term SOFR + 1.30%

-- Class A-1-R, $248.00 million: Three-month CME term SOFR +
1.79%

-- Class A-2-R, $8.00 million: Three-month CME term SOFR + 1.95%

-- Class B-R, $48.00 million: Three-month CME term SOFR + 2.45%

-- Class C-R, $24.00 million: Three-month CME term SOFR + 2.90%

-- Class D-R, $24.00 million: Three-month CME term SOFR + 4.65%

-- Class E-R, $14.00 million: Three-month CME term SOFR + 7.42%

-- Subordinated notes, $39.10 million: Not applicable

Original debt

-- Class A-1a, $235.00 million: Three-month CME term SOFR + 1.32%
+ CSA(i)

-- Class A-1b, $5.00 million: 1.66%

-- Class A-2, $6.00 million: Three-month CME term SOFR + 1.65% +
CSA(i)

-- Class B, $57.00 million: Three-month CME term SOFR + 1.85% +
CSA(i)

-- Class C, $22.50 million: Three-month CME term SOFR + 2.40% +
CSA(i)

-- Class D, $24.50 million: Three-month CME term SOFR + 3.70% +
CSA(i)

-- Class E, $14.00 million: Three-month CME term SOFR + 7.32% +
CSA(i)

-- Subordinated notes, $39.10 million: Not applicable

(i)CSA--Credit spread adjustment, which equals 0.26161%.

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

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

  Preliminary Ratings Assigned

  Sixth Street CLO XVI Ltd./Sixth Street CLO XVI LLC

  Class X, $2.00 million: AAA (sf)
  Class A-1-R, $248.00 million: AAA (sf)
  Class A-2-R, $8.00 million: AAA (sf)
  Class B-R, $48.00 million: AA (sf)
  Class C-R (deferrable), $24.00 million: A (sf)
  Class D-R (deferrable), $24.00 million: BBB- (sf)
  Class E-R (deferrable), $14.00 million: BB- (sf)
  Subordinated notes, $39.10 million: Not rated



SYMPHONY CLO 37: Fitch Assigns 'BBsf' Rating on Class E-R Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Symphony
CLO 37, Ltd.

   Entity/Debt         Rating               Prior
   -----------         ------               -----
Symphony
CLO 37, Ltd.

   A-1AR           LT NRsf   New Rating
   A-1BR           LT NRsf   New Rating
   A-2 87169VAE5   LT PIFsf  Paid In Full   AAAsf
   A-2R            LT AAAsf  New Rating
   B-1 87169VAG0   LT PIFsf  Paid In Full   AAsf
   B-2 87169VAJ4   LT PIFsf  Paid In Full   AAsf
   B-2R            LT AAsf   New Rating
   B-R             LT AAsf   New Rating
   C 87169VAL9     LT PIFsf  Paid In Full   Asf
   C-R             LT A+sf   New Rating
   D-1 87169VAN5   LT PIFsf  Paid In Full   BBBsf
   D-2 87169VAQ8   LT PIFsf  Paid In Full   BBB-sf
   D-R             LT BBB-sf New Rating
   E 87169WAA1     LT PIFsf  Paid In Full   BB-sf
   E-R             LT BBsf   New Rating
   F-R             LT NRsf   New Rating

TRANSACTION SUMMARY

Symphony CLO 37, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Symphony Alternative Asset Management LLC that originally closed in
December 2022. The CLO's secured notes were refinanced on Dec. 18,
2023 from proceeds of new secured and subordinated notes. Net
proceeds from the issuance of the secured and additional
subordinated notes will provide financing on a upsized portfolio of
approximately $500 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. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.

Asset Security (Positive): The indicative portfolio consists of
98.2% first-lien senior secured loans and has a weighted average
recovery assumption of 76.9%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.

Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.

Portfolio Management (Positive): The transaction has a 5.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.

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

The WAL used for the transaction stress portfolio 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.

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between
'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-R; and
between less than 'B-sf' and 'B+sf' for class E-R.

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

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

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

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.


SYMPHONY CLO 37: Moody's Assigns B3 Rating to $125,000 F-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
CLO refinancing notes (the "Refinancing Notes") issued by Symphony
CLO 37, Ltd. (the "Issuer").

Moody's rating action is as follows:

US$285,000,000 Class A-1aR Senior Secured Floating Rate Notes due
2037 (the "Class A-1aR Notes"), Definitive Rating Assigned Aaa
(sf)

US$25,000,000 Class A-1bR Senior Secured Fixed Rate Notes due 2037
(the "Class A-1bR Notes"), Definitive Rating Assigned Aaa (sf)

US$125,000 Class F-R Senior Secured Deferrable Floating Rate Notes
due 2037 (the "Class F-R Notes"), Definitive Rating Assigned B3
(sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least 90%
of the portfolio must consist of first lien senior secured loans
and eligible investments, and up to 10% of the portfolio may
consist second-lien loans, unsecured loans and non-loan assets.

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

In addition to the issuance of the Refinancing Notes, the other
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; changes to the
overcollateralization test levels and changes to the base matrix
and modifiers.

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

Portfolio par: $500,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3110

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 7.50%

Weighted Average Recovery Rate (WARR): 47.50%

Weighted Average Life (WAL): 8 years

Methodology Underlying the Rating Action:

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

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

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


TRESTLES CLO VI: Fitch Assigns B-sf Rating on Class F Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Trestles
CLO VI, Ltd.

   Entity/Debt              Rating           
   -----------              ------           
Trestles CLO VI,
Ltd.

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

TRANSACTION SUMMARY

Trestles CLO VI, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by APC
Asset Development II, LP. 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 24.02, versus a maximum covenant, in accordance with
the initial matrix point of 26. 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
99.25% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.93% versus a
minimum covenant, in accordance with the initial matrix point of
73.4%.

Portfolio Composition (Positive): The largest three industries may
comprise up to 40% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.

Portfolio Management (Neutral): The transaction has a 2.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.

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

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

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB-sf' and 'AAsf' for class B-1, between
'BB+sf' and 'AA-sf' for class B-2, between 'BB-sf' and 'A+sf' for
class C-1, between 'B+sf' and 'A-sf' for class C-2, between less
than 'B-sf' and 'BBB-sf' for class D, between less than 'B-sf' and
'B+sf' for class E; and between less than 'B-sf' and 'B-sf' for
class F.

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-1, 'AAAsf' for class B-2, 'A+sf'
for class C-1, 'A+sf' for class C-2, 'A+sf' for class D, 'BBB+sf'
for class E; and 'BBB-sf' for class F.

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.


TRINITAS CLO VIII: Moody's Cuts Rating on $26MM Cl. E Notes to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Trinitas CLO VIII, Ltd. (the "CLO" or "Issuer"):

US$55,000,000 Class B Floating Rate Notes due 2031 (the "Class B
Notes"), Upgraded to Aa1 (sf); previously on July 13, 2018 Assigned
Aa2 (sf)

US$26,500,000 Class C Deferrable Floating Rate Notes due 2031 (the
"Class C Notes"), Upgraded to A1 (sf); previously on July 13, 2018
Assigned A2 (sf)

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

US$26,000,000 Class E Deferrable Floating Rate Notes due 2031 (the
"Class E Notes"), Downgraded to B1 (sf); previously on July 13,
2018 Assigned Ba3 (sf)

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

RATINGS RATIONALE

The upgrade ratings actions are primarily a result of deleveraging
of the senior notes since October 2022. The Class A notes have been
paid down by approximately 9.7% or $31.1 million since October
2022. The deal has also benefited from a shortening of the
portfolio's weighted average life since October 2022.

The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by credit deterioration
observed in the underlying CLO portfolio. Based on the trustee's
October 2023 report [1], the OC ratio for the Class E notes is at
103.94%, versus October 2022 [2] reported level of 107.28%.
Furthermore, the trustee-reported weighted average rating factor
(WARF) has been deteriorating and the current level is at 3009 [3],
compared to 2927 in October 2022 [4].

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: $452,756,948

Defaulted par:  $7,112,334

Diversity Score: 71

Weighted Average Rating Factor (WARF): 2993

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.43%

Weighted Average Recovery Rate (WARR): 47.77%

Weighted Average Life (WAL): 4.1 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 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.


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

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

The preliminary ratings are based on information as of Nov. 14,
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

  Trinitas CLO XXV Ltd./Trinitas CLO XXV LLC

  Class A-1, $242.00 million: AAA (sf)
  Class A-2, $14.00 million: AAA (sf)
  Class B, $48.00 million: AA (sf)
  Class C-1 (deferrable), $6.50 million: A+ (sf)
  Class C-2 (deferrable), $13.50 million: A+ (sf)
  Class D-1 (deferrable), $20.00 million: BBB+ (sf)
  Class D-2 (deferrable), $6.00 million: BBB- (sf)
  Class E (deferrable), $14.00 million: BB- (sf)
  Subordinated notes, $39.83 million: Not rated



US CAPITAL II: Fitch Hikes Rating on Two Tranches to 'B-sf'
-----------------------------------------------------------
Fitch Ratings has affirmed the ratings on 11 classes, upgraded two
classes and assigned Rating Outlooks to two classes from four U.S.
trust preferred collateralized debt obligations (CDOs). The Rating
Outlooks for six of the affirmed classes remain Stable.

   Entity/Debt            Rating          Prior
   -----------            ------          -----
Preferred Term
Securities VIII,
Ltd./Inc.

   A-2 74041PAB6      LT AAsf  Affirmed   AAsf
   B-1 74041PAC4      LT Csf   Affirmed   Csf
   B-2 74041PAD2      LT Csf   Affirmed   Csf
   B-3 74041PAE0      LT Csf   Affirmed   Csf

U.S. Capital
Funding I,
Ltd./Corp.

   A-2 903329AC4      LT AAsf  Affirmed   AAsf
   B-1 903329AE0      LT B+sf  Affirmed   B+sf
   B-2 903329AG5      LT B+sf  Affirmed   B+sf

U.S. Capital
Funding II,
Ltd./Corp.

   A-2 90390KAB0      LT AAsf  Affirmed   AAsf
   B-1 90390KAC8      LT B-sf  Upgrade    CCCsf
   B-2 90390KAD6      LT B-sf  Upgrade    CCCsf

ALESCO Preferred
Funding III,
Ltd./Inc.

   A-2 01448MAB5      LT AAsf  Affirmed   AAsf
   B-1 01448MAC3      LT Csf   Affirmed   Csf
   B-2 01448MAD1      LT Csf   Affirmed   Csf

TRANSACTION SUMMARY

The CDOs are collateralized primarily by trust preferred securities
(TruPS) issued by banks.

KEY RATING DRIVERS

All but one of the transactions deleveraged from collateral
redemptions and/or excess spread, which led to the senior classes
of notes receiving paydowns ranging from 19% to 65% of their last
review note balances. The remaining deal did not have any paydowns.
The magnitude of the deleveraging for each CDO is reported in the
accompanying rating action report.

For two transactions, the credit quality of the collateral
portfolios, as measured by a combination of Fitch's bank scores and
public ratings, deteriorated, with the other two exhibiting stable
or positive credit migration. No new cures, deferrals or defaults
have been reported since last review.

The upgrades for the class B-1 and B-2 (together, the class B)
notes in U.S. Capital Funding II, Ltd./Corp. were driven by the
improvement of credit enhancement (CE) as a result of funds
received related to the bankruptcy of an asset that had occurred in
2010. The notes' CE also increased due to reverse turbo payments
that have been made to the class B notes on each payment date since
May 2023. However, the notes' ratings were one rating category
lower than their model-implied ratings (MIR) due to the sensitivity
of modelling results to the direction of interest rates,
particularly given the outstanding outsized interest rate hedge
agreement.

The ratings for the class B-1 and B-2 notes in U.S. Capital Funding
I, Ltd./Corp. were capped by the outcome of the WAN overlay, which
was two notches lower than their MIRs.

The Stable Outlooks on eight tranches in this review reflect
Fitch's expectation that the classes have sufficient levels of
credit protection to withstand potential deterioration in the
credit quality of the portfolios in stress scenarios commensurate
with the classes' ratings.

Fitch considered the rating of the issuer account bank in the
ratings for the class A-2 notes in all four transactions due to the
transaction documents not conforming to Fitch's "Structured Finance
and Covered Bonds Counterparty Rating Criteria." These transactions
are allowed to hold cash, and their transaction account bank (TAB)
does not collateralize cash. Therefore, these classes of notes are
capped at the same rating as that of its TAB.

RATING SENSITIVITIES

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

Downgrades to the rated notes may occur if a significant share of
the portfolio issuers default and/or experience negative credit
migration, which would cause a deterioration in rating default
rates.

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

Future upgrades to the rated notes may occur if a transaction
experiences improvement in CE through deleveraging from collateral
redemptions and/or interest proceeds being used for principal
repayment.

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.

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.


VERUS SECURITIZATION 2023-8: S&P Assigns B (sf) on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2023-8's mortgage-backed notes.

The note issuance is an RMBS transaction backed by primarily newly
originated first- and second-lien, fixed- and adjustable-rate
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and non-prime borrowers. The
loans are secured by single-family residences, townhouses,
planned-unit developments, two- to four-family residential
properties, condominiums, condotels, townhouses, mixed-use
properties, and five- to 10-unit multifamily residences. The pool
has 995 loans backed by 1,006 properties, which are primarily
non-qualified mortgage (non-QM)/ability-to-repay (ATR)-compliant
and ATR-exempt loans, with some QM/non-higher-priced mortgage (safe
harbor) and QM rebuttable presumption loans. Of the 995 loans, four
are cross-collateralized loans backed by 15 properties.

S&P said, "After we assigned our preliminary ratings on Dec. 4,
2023, the issuer dropped 13 loans from the pool and updated both
the balances and payment histories for all the loans to reflect a
cutoff date of Dec. 1, 2023, resulting in a final pool balance of
$515,361,023. The bond sizes were correspondingly reduced such that
subordination credit enhancement for the rated bonds remained the
same. After assessing the final pool and the capital structure, the
final ratings we assigned are unchanged from our preliminary
ratings on all classes."

The ratings reflect S&P's view of:

-- The pool's collateral composition;

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

-- The mortgage aggregator, Invictus Capital Partners; and

-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On Sept. 25, 2023, we updated our market
outlook as it relates to the 'B' projected archetypal loss level,
and therefore revised and lowered our 'B' foreclosure frequency to
2.50% from 3.25%, which reflects the level prior to April 2020,
preceding the COVID-19 pandemic. The update reflects our benign
view of the mortgage and housing markets as demonstrated through
general national-level home price behavior, unemployment rates,
mortgage performance, and underwriting. Per our latest
macroeconomic update, the U.S. economy has outperformed
expectations following consecutive quarters of contraction in the
first half of 2022."

  Ratings Assigned

  Verus Securitization Trust 2023-8(i)

  Class A-1, $321,327,000: AAA (sf)
  Class A-2, $51,279,000: AA (sf)
  Class A-3, $62,358,000: A (sf)
  Class M-1, $34,272,000: BBB- (sf)
  Class B-1, $20,356,000: BB- (sf)
  Class B-2, $10,308,000: B (sf)
  Class B-3, $15,461,023: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class XS, notional(ii): Not rated
  Class R, not applicable: Not rated

(i)The ratings address the ultimate payment of interest and
principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.



VOYA CLO 2023-1: Fitch Assigns Final 'BB-sf' Rating on Cl. E Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Voya CLO 2023-1, Ltd.

   Entity/Debt        Rating             Prior
   -----------        ------             -----
Voya CLO
2023-1, Ltd

   A-1            LT  NRsf   New Rating   NR(EXP)sf
   A-2            LT  AAAsf  New Rating   AAA(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   LT  NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Voya CLO 2023-1, Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Voya
Alternative Asset Management LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $350 million of primarily first lien
senior secured leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 23.21, versus a maximum covenant, in
accordance with the initial expected matrix point of 26.75. 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 99%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 75.6% versus a minimum
covenant, in accordance with the initial expected matrix point of
75.5%.

Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.

Portfolio Management (Neutral): The transaction has a 5.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.

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

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

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB-sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D, and
between less than 'B-sf' and 'B+sf' for class E.

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

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

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

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.


WAMU MORTGAGE 2005-AR6: Moody's Raises Rating on 2 Tranches to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 13 bonds from
three US residential mortgage-backed transactions (RMBS), backed by
option ARM mortgages issued by WaMu Mortgage Pass-Through
Certificates in 2005.

The complete rating actions are as follows:

Issuer: WaMu Mortgage Pass-Through Certificates Series 2005-AR6
Trust

Cl. 1-A-1A, Upgraded to Baa2 (sf); previously on Feb 21, 2019
Upgraded to Ba1 (sf)

Cl. 1-A-1B, Upgraded to B1 (sf); previously on May 7, 2018 Upgraded
to B3 (sf)

Cl. 2-A-1B2, Upgraded to Baa1 (sf); previously on Feb 21, 2019
Upgraded to Baa3 (sf)

Cl. 2-A-1B3, Upgraded to Baa1 (sf); previously on Feb 21, 2019
Upgraded to Baa3 (sf)

Cl. 2-A-1C, Upgraded to B1 (sf); previously on May 7, 2018 Upgraded
to B3 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR19

Cl. A-1B2, Upgraded to Baa1 (sf); previously on May 6, 2022
Upgraded to Baa2 (sf)

Cl. A-1B3, Upgraded to Baa1 (sf); previously on May 6, 2022
Upgraded to Baa2 (sf)

Cl. A-1C3, Upgraded to Baa3 (sf); previously on May 6, 2022
Upgraded to Ba2 (sf)

Cl. A-1C4, Upgraded to Baa3 (sf); previously on May 6, 2022
Upgraded to Ba2 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR2

Cl. 1-A-1B, Upgraded to Baa3 (sf); previously on May 6, 2022
Upgraded to Ba2 (sf)

Cl. 2-A-1B, Upgraded to Baa3 (sf); previously on May 6, 2022
Upgraded to Ba2 (sf)

Cl. 2-A-2B, Upgraded to Baa3 (sf); previously on May 6, 2022
Upgraded to Ba2 (sf)

Cl. 2-A-3, Upgraded to Baa2 (sf); previously on May 6, 2022
Upgraded to Ba1 (sf)

RATINGS RATIONALE

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

Principal Methodology

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

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

Up

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

Down

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

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


[*] Moody's Takes Action on $326MM of US RMBS Issued 2004-2007
--------------------------------------------------------------
Moody's Investors Service, on Dec. 19, 2023, upgraded the ratings
of 25 bonds and downgraded the ratings of six bonds from 12 US
residential mortgage-backed transactions (RMBS), backed by Alt-A,
option ARM and subprime mortgages issued by multiple issuers.

The complete rating actions are as follows:

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
Series MO 2006-HE6

Cl. A1, Upgraded to Aaa (sf); previously on Mar 2, 2023 Upgraded to
Aa1 (sf)

Cl. A5, Upgraded to Aa2 (sf); previously on Mar 2, 2023 Upgraded to
A2 (sf)

Issuer: Bear Stearns Mortgage Funding Trust 2007-AR3

Cl. I-A-1, Upgraded to B2 (sf); previously on May 19, 2022 Upgraded
to Caa1 (sf)

Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates,
Series 2005-3

Cl. A-1, Upgraded to Baa1 (sf); previously on Mar 16, 2023 Upgraded
to Baa2 (sf)

Underlying Rating: Upgraded to Baa1 (sf); previously on Mar 16,
2023 Upgraded to Baa2 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Cl. A-1I, Upgraded to Baa1 (sf); previously on Mar 16, 2023
Upgraded to Baa2 (sf)

Underlying Rating: Upgraded to Baa1 (sf); previously on Mar 16,
2023 Upgraded to Baa2 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Cl. A-2, Upgraded to Baa1 (sf); previously on Mar 16, 2023 Upgraded
to Baa2 (sf)

Cl. A-2I, Upgraded to Baa1 (sf); previously on Mar 16, 2023
Upgraded to Baa2 (sf)

Cl. A-NA, Upgraded to Baa1 (sf); previously on Mar 16, 2023
Upgraded to Baa2 (sf)

Underlying Rating: Upgraded to Baa1 (sf); previously on Mar 16,
2023 Upgraded to Baa2 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)

Cl. NIO*, Downgraded to C (sf); previously on Oct 27, 2017
Confirmed at Ca (sf)

Issuer: CSFB Home Equity Asset Trust 2007-3

Cl. 1-A-1, Upgraded to Ba1 (sf); previously on Mar 2, 2023 Upgraded
to B1 (sf)

Cl. 2-A-3, Upgraded to Ba1 (sf); previously on Mar 2, 2023 Upgraded
to B1 (sf)

Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Mar 2, 2023
Upgraded to Caa3 (sf)

Issuer: J.P. Morgan Alternative Loan Trust 2007-S1

Cl. A-1, Upgraded to Baa1 (sf); previously on Sep 9, 2021 Upgraded
to Baa3 (sf)

Cl. A-2, Upgraded to B1 (sf); previously on Mar 16, 2023 Upgraded
to B3 (sf)

Issuer: Nomura Home Equity Loan Trust 2005-FM1

Cl. M-3, Upgraded to Baa2 (sf); previously on Mar 16, 2023 Upgraded
to Ba1 (sf)

Issuer: RAMP Series 2004-KR1 Trust

Cl. M-I-1, Upgraded to A3 (sf); previously on Feb 28, 2023 Upgraded
to Baa2 (sf)

Cl. M-II-1, Upgraded to A2 (sf); previously on Feb 28, 2023
Upgraded to Baa1 (sf)

Issuer: RASC Series 2005-EMX2 Trust

Cl. M-5, Upgraded to Aaa (sf); previously on Mar 16, 2023 Upgraded
to Aa2 (sf)

Cl. M-6, Upgraded to Baa1 (sf); previously on Mar 16, 2023 Upgraded
to Ba1 (sf)

Cl. M-7, Upgraded to Caa1 (sf); previously on Mar 6, 2018 Upgraded
to Caa3 (sf)

Issuer: Soundview Home Loan Trust 2006-WF1

Cl. A-4, Upgraded to A1 (sf); previously on Mar 10, 2023 Upgraded
to A3 (sf)

Issuer: Structured Asset Investment Loan Trust 2004-8

Cl. A1, Downgraded to A1 (sf); previously on Mar 16, 2023
Downgraded to Aa2 (sf)

Cl. A2, Downgraded to A1 (sf); previously on Mar 16, 2023
Downgraded to Aa2 (sf)

Cl. A4, Downgraded to A1 (sf); previously on Mar 16, 2023
Downgraded to Aa2 (sf)

Cl. M1, Downgraded to Ba2 (sf); previously on Mar 16, 2023
Downgraded to Baa3 (sf)

Cl. M2, Downgraded to B2 (sf); previously on Mar 16, 2023
Downgraded to Ba3 (sf)

Issuer: Structured Asset Securities Corp Trust 2007-WF1

Cl. A1, Upgraded to A2 (sf); previously on Mar 10, 2023 Upgraded to
Baa2 (sf)

Cl. A5, Upgraded to Caa2 (sf); previously on Dec 19, 2019 Upgraded
to Ca (sf)

Cl. A6, Upgraded to A2 (sf); previously on Mar 10, 2023 Upgraded to
Baa2 (sf)

Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-2
Trust

Cl. M-2, Upgraded to Aaa (sf); previously on Feb 28, 2023 Upgraded
to Aa3 (sf)

Cl. M-3, Upgraded to Baa3 (sf); previously on Feb 28, 2023 Upgraded
to Ba2 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

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

The rating downgrade of Class NIO, an interest only bond from Chevy
Chase Funding LLC, Mortgage-Backed Certificates, Series 2005-3,
reflects the updated performance of the underlying collateral and
bonds.

Principal Methodologies

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

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

Up

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

Down

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

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

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


[*] Moody's Takes Action on 23 tranches of 12 FFELP Securitizations
-------------------------------------------------------------------
Moody's Investors Service, on Dec. 19, 2023, downgraded the ratings
of 22 classes of notes and upgraded the rating of one class of
notes issued from 12 FFELP loan securitizations sponsored and
administered by Navient Solutions, LLC (Navient) and Nelnet, Inc
(Nelnet). The securitizations are backed by student loans
originated under the Federal Family Education Loan Program (FFELP)
that are guaranteed by the US government for a minimum of 97% of
defaulted principal and accrued interest.

The complete rating actions are as follows:

Issuer: CIT Education Loan Trust 2005-1

Cl. A-4, Downgraded to Ba1 (sf); previously on May 17, 2022
Downgraded to Baa2 (sf)

Cl. B, Downgraded to A1 (sf); previously on Oct 18, 2016 Upgraded
to Aaa (sf)

Issuer: Nelnet Education Loan Funding, Inc. (2004 Indenture)

2004-1-A2, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3
(sf) Placed Under Review for Possible Downgrade

Issuer: Nelnet Student Loan Trust 2005-4

Cl. A-4L, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. A-4AR-1, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. A-4AR-2, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3
(sf) Placed Under Review for Possible Downgrade

Cl. B, Upgraded to Baa2 (sf); previously on Oct 6, 2023 Baa3 (sf)
Placed Under Review for Possible Downgrade

Issuer: Nelnet Student Loan Trust 2007-1

Cl. A-4, Downgraded to Baa2 (sf); previously on Oct 1, 2020
Downgraded to A3 (sf)

Cl. B-2, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3
(sf) Placed Under Review for Possible Downgrade

Issuer: Nelnet Student Loan Trust 2012-2

Class B Notes, Downgraded to Aa1 (sf); previously on Oct 19, 2023
Aaa (sf) Placed Under Review for Possible Downgrade

Issuer: SLM Student Loan Trust 2010-2

Class A Notes, Downgraded to Ba1 (sf); previously on Oct 6, 2023
Baa3 (sf) Placed Under Review for Possible Downgrade

Class B Notes, Downgraded to A1 (sf); previously on Oct 19, 2023
Aaa (sf) Placed Under Review for Possible Downgrade

Issuer: SLM Student Loan Trust 2011-2

Class A-2 Notes, Downgraded to A1 (sf); previously on Oct 19, 2023
Aa1 (sf) Placed Under Review for Possible Downgrade

Issuer: SLM Student Loan Trust 2012-1

Class A-3, Downgraded to B1 (sf); previously on Jun 23, 2023
Downgraded to Ba2 (sf)

Class B, Downgraded to Baa3 (sf); previously on Sep 16, 2016
Downgraded to A1 (sf)

Issuer: SLM Student Loan Trust 2012-2

Class A, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3
(sf) Placed Under Review for Possible Downgrade

Class B, Downgraded to A1 (sf); previously on Mar 5, 2019 Upgraded
to Aaa (sf)

Issuer: SLM Student Loan Trust 2012-6

Class A-3, Downgraded to B1 (sf); previously on Jun 23, 2023
Downgraded to Ba2 (sf)

Class B, Downgraded to Baa1 (sf); previously on Nov 1, 2016
Downgraded to A1 (sf)

Issuer: SLM Student Loan Trust 2012-7

Class A-3, Downgraded to B1 (sf); previously on Jun 23, 2023
Downgraded to Ba2 (sf)

Class B, Downgraded to Baa1 (sf); previously on Mar 5, 2019
Upgraded to A1 (sf)

Issuer: SLM Student Loan Trust 2014-1

Floating Rate Class A-3 Notes, Downgraded to B1 (sf); previously on
Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade

Floating Rate Class B Notes, Downgraded to Baa1 (sf); previously on
Sep 16, 2016 Confirmed at Aa1 (sf)

RATINGS RATIONALE

The rating actions reflect the latest performance and Moody's
updated expected loss on the tranches across Moody's cash flow
scenarios. Moody's quantitative analysis derives the expected loss
for a tranche using 28 cashflow scenarios with weights accorded to
each scenario. The rating actions also resolve the downgrade
reviews announced on October 6 and October 19, 2023 on certain
notes.

The downgrade actions on the Class B notes in SLM Student Loan
Trust 2010-2 and Nelnet Student Loan Trust 2012-2 and the Class A-2
notes in SLM Student Loan Trust 2011-2 resolve the review actions
announced on October 19, 2023, and reflect the correction of
Moody's prior analysis of these notes.

The rating downgrades to Ba1 on Class A notes in SLM Student Loan
Trust 2010-2 and SLM Student Loan Trust 2012-2, the Class 2004-1-A2
notes in Nelnet Education Loan Funding, Inc. (2004 Indenture), the
Class A-4L, Class A-4AR-1 and Class A-4AR-2 notes in Nelnet Student
Loan Trust 2005-4, the Class B-2 notes in Nelnet Student Loan Trust
2007-1, and Class A-4 notes in CIT Education Loan Trust 2005-1, as
well as the rating downgrades to B1 on the Class A-3 notes from SLM
Student Loan Trust 2012-1, SLM Student Loan Trust 2012-6, SLM
Student Loan Trust 2012-7 and SLM Student Loan Trust 2014-1,
reflect the uncertainty regarding Navient's and Nelnet's
willingness and ability to support the notes by paying them off
prior to their legal final maturity dates. Based on Moody's
cashflow modeling projection, in Moody's most likely scenario that
does not consider sponsor support, these notes will not pay off
prior to their legal final dates.  The transaction documents
include a 10% optional call provision which, if exercised by
Navient or Nelnet, would pay down the notes. In addition, Navient
had also previously amended SLM Student Loan Trust 2012-1, 2012-2,
2012-6, 2012-7 and 2014-1 to establish a revolving credit facility
that enables the trust to borrow money from Navient Corporation on
a subordinated basis, in order to pay off the notes ahead of their
final maturity dates. Although some sponsors have previously
supported other similar transactions by exercising the optional
call provision or doing additional loan purchases, more recently,
certain deals were not supported due to limited current market
interest in FFELP loans. The rating downgrades to Ba1 reflect the
higher likelihood for these notes to miss pay off by their legal
final maturity dates should the relevant sponsor not exercise the
optional call provision prior to those dates. For the bonds
downgraded to B1, Moody's analysis considered that these bonds will
likely reach their maturity dates of 2026 to 2029 and remain
outstanding before the transactions reach their 10% pool factor
when the sponsor can exercise the optional call provision.

The rating downgrades to A1 on Class B notes from CIT Education
Loan Trust 2005-1 and SLM Student Loan Trust 2012-2, as well as the
rating downgrades to Baa1 on Class B notes from SLM Student Loan
Trust 2012-6, SLM Student Loan Trust 2012-7 and SLM Student Loan
Trust 2014-1, consider the potential suspension of interest
payments to the Class B notes due to the increased likelihood of
failure of the Class A notes to pay down by their legal final
maturity. The structures of these transactions provide that Class B
interest would be diverted to pay Class A principal upon default of
a Class A note. Moody's analysis indicates that there will be
sufficient cash flow available to make all required payments
(including any deferred interest and interest on interest) to Class
B noteholders by the Class B final maturity date, which occurs much
later than the final maturity date of the relevant downgraded Class
A notes. The maturity dates for these Class B notes range from 2043
to 2072.

The rating downgrades on the Class A-4 notes from Nelnet Student
Loan Trust 2007-1 and the Class B notes from SLM Student Loan Trust
2012-1 are a result of Moody's analysis indicating that these
tranches will not pay off by final maturity dates in some of
Moody's 28 cash flow scenarios, thus causing the tranches to incur
expected losses that are higher than the expected loss benchmarks
set in Moody's idealized loss tables for the current ratings.

The rating upgrade on the Class B notes from Nelnet Student Loan
Trust 2005-4 is primarily a result of Moody's analysis indicating
that the expected losses across Moody's cash flow scenarios is
consistent with the expected loss benchmarks in Moody's idealized
loss tables for the upgraded rating.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Securities Backed by FFELP Student Loans"
published in April 2021.

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

Up

Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the ratings
owing to a build-up in credit enhancement.

Down

Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. Moody's could also downgrade the rating
further if sponsor's willingness or ability to support the notes by
paying off the outstanding amount of the notes by their legal final
maturity date is diminished. In addition, because the US Department
of Education guarantees at least 97% of principal and accrued
interest on defaulted loans, Moody's could downgrade the rating of
the notes if it were to downgrade the rating on the United States
government.


[*] Moody's Upgrades Rating on $250MM of US RMBS Issued 2006-2007
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eight bonds
from seven US residential mortgage-backed transactions (RMBS),
backed by subprime mortgages issued by multiple issuers.

Complete rating actions are as follows:

Issuer: Citigroup Mortgage Loan Trust 2007-AMC4

Cl. A-1, Upgraded to Aa2 (sf); previously on Mar 14, 2023 Upgraded
to A2 (sf)

Cl. A-2D, Upgraded to Aaa (sf); previously on Mar 14, 2023 Upgraded
to Aa3 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-20

Cl. 1-A, Upgraded to Baa2 (sf); previously on Mar 14, 2023 Upgraded
to Ba2 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-21

Cl. 1-A, Upgraded to Ba2 (sf); previously on Mar 14, 2023 Upgraded
to B1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-22

Cl. 2-A-4, Upgraded to Ba2 (sf); previously on Mar 14, 2023
Upgraded to B1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2007-3

Cl. 1-A, Upgraded to Baa3 (sf); previously on Mar 14, 2023 Upgraded
to Ba3 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2007-9

Cl. 2A4, Upgraded to Ba3 (sf); previously on Mar 14, 2023 Upgraded
to B3 (sf)

Issuer: Saxon Asset Securities Trust 2007-3

Cl. 1-A, Upgraded to Aaa (sf); previously on Mar 10, 2023 Upgraded
to Aa3 (sf)

RATINGS RATIONALE

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

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.


[*] S&P Discontinues 'D' Ratings on 19 Classes From 8 US CMBS Deals
-------------------------------------------------------------------
S&P Global Ratings discontinued its 'D (sf)' ratings on 19 classes
of commercial mortgage pass-through certificates from eight U.S.
CMBS transactions.

S&P said, "We discontinued these ratings according to our
surveillance and withdrawal policies. We previously lowered the
ratings on these classes to 'D (sf)' because of accumulated
interest shortfalls that we believed would remain outstanding for
an extended period of time and, for the interest-only classes, due
to our interest-only criteria. We view a subsequent upgrade to a
rating higher than 'D (sf)' to be unlikely under the relevant
criteria for the classes within this review."

  Ratings Discontinued

  -- COMM 2012-LTRT class X-B to not rated from 'D (sf)'

  -- COMM 2012-LTRT class E to not rated from 'D (sf)'

  -- COMM 2012-CCRE4 Mortgage Trust class B to not rated from 'D
(sf)'

  -- COMM 2012-CCRE4 Mortgage Trust class X-B to not rated from 'D
(sf)'

  -- COMM 2012-CCRE4 Mortgage Trust class C to not rated from 'D
(sf)'

  -- UBS Barclays Commercial Mortgage Trust 2012-C4 class E to not
rated from 'D (sf)'

  -- UBS Barclays Commercial Mortgage Trust 2012-C4 class F to not
rated from 'D (sf)'

  -- BWAY 2015-1740 Mortgage Trust class B to not rated from 'D
(sf)'

  -- BWAY 2015-1740 Mortgage Trust class X-A to not rated from 'D
(sf)'

  -- BWAY 2015-1740 Mortgage Trust class C to not rated from 'D
(sf)'

  -- BWAY 2015-1740 Mortgage Trust class X-B to not rated from 'D
(sf)'

  -- Palisades Center Trust 2016-PLSD class C to not rated from 'D
(sf)'

  -- Palisades Center Trust 2016-PLSD class X-NCP to not rated from
'D (sf)'

  -- Palisades Center Trust 2016-PLSD class B to not rated from 'D
(sf)'

  -- Palisades Center Trust 2016-PLSD class A to not rated from 'D
(sf)'

  -- Palisades Center Trust 2016-PLSD class D to not rated from 'D
(sf)'

  -- J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-

  -- PTC class HRR to not rated from 'D (sf)'

  -- GS Mortgage Securities Corp. Trust 2018-3PCK class HRR to not
rated from 'D (sf)'

  -- J.P. Morgan Chase Commercial Mortgage Securities Trust
2019-FL12 class EYT3 to not rated from 'D (sf)'



[*] S&P Takes Various Actions on 154 Classes From 27 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 154 ratings from 27 U.S.
RMBS transactions issued between 2003 and 2006. The review yielded
four upgrades, one downgrade, 87 affirmations, four
discontinuances, and 58 withdrawals.

A list of Affected Ratings can be viewed at:

           https://rb.gy/ycbovk

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.

These considerations may include:

-- Collateral performance or delinquency trends,

-- An increase or decrease in available credit support,

-- Historical missed interest payments or interest shortfalls,

-- Available subordination and/or overcollateralization,

-- Expected duration,

-- Payment priority,

-- Tail risk,

-- A small loan count, and

-- The assessment of reduced interest payments due to loan
modifications and other credit-related events.

Rating Actions

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

The upgrades primarily reflect the classes' increased credit
support that is sufficient to withstand projected losses at higher
rating levels.

S&P said, "The rating affirmations reflect our view that our
projected credit support, collateral performance, and
credit-related reductions in interest on these classes have
remained relatively consistent with our prior projections.

"In addition, we withdrew our ratings on 58 classes from 13
transactions due to the small number of loans remaining in the
related group. Once a pool has declined to a de minimis amount, its
future performance becomes more difficult to project. As such, we
believe there is a high degree of credit instability that is
incompatible with any rating level. Additionally, as a result, we
applied our principal-only criteria "Methodology For Surveilling
U.S. RMBS Principal-Only Strip Securities For Pre-2009
Originations," published Oct. 11, 2016, which resulted in
withdrawing two ratings from two transactions. Furthermore, we also
applied our interest-only criteria "Criteria | Structured Finance |
General: Global Methodology For Rating Interest-Only Securities,"
published April 15, 2010, which resulted in withdrawing six ratings
from three transactions.

"Additionally, in accordance with our surveillance and withdrawal
policies, we discontinued two ratings from two transactions with
observed interest shortfalls/missed interest payments during recent
remittance periods. We previously had lowered the ratings on these
classes to 'D (sf)' because of principal losses, accumulated
interest shortfalls/missed interest payments, and/or credit-related
reductions in interest due to loan modifications. We view a
subsequent upgrade to a rating higher than 'D (sf)' to be unlikely
under the relevant criteria."



[*] S&P Takes Various Actions on 157 Rating From 15 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of the ratings on 157
classes from 15 U.S. RMBS nonqualified mortgage (non-QM) and agency
investor transactions. The review yielded 35 upgrades, of which 18
were removed from CreditWatch positive, and 122 affirmations, of
which 13 were removed from CreditWatch positive.

A list of Affected Ratings can be viewed at:

            https://rb.gy/op5t6r

S&P said, "All of the transactions within this review had one or
more classes that were placed on CreditWatch positive on Oct. 17,
2023, following the revision to our 'B' foreclosure frequency for
an archetypal pool of U.S. mortgage loans to 2.50% from 3.25%--the
level prior to the COVID-19 pandemic and our April 2020 update. The
revision was based on our benign view of the state of the U.S.
residential mortgage and housing market as demonstrated through
general national level home price behavior, unemployment rates,
mortgage performance, and underwriting.

"In addition to our revised 'B' foreclosure frequency, we
considered changes in collateral performance, credit enhancement
levels, payment mechanics, and other credit drivers. The upgrades
primarily reflect the revised archetypal foreclosure frequency
assumption, a growing percentage of credit support, low
delinquencies, and/or very low accumulative losses to date.

"The affirmations reflect our view that the projected collateral
performance relative to our projected credit support on these
classes remains relatively consistent with our prior projections.

"For all transactions, we used the same mortgage operational
assessment, representation and warranty, and due diligence factors
that were applied at issuance."

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;

-- Historical interest shortfalls or missed interest payments;

-- Loan modifications;

-- Priority of principal payments;

-- Priority of loss allocation;

-- Available subordination and/or credit enhancement floors; and

-- Large balance loan exposure/tail risk.



[*] S&P Takes Various Actions on 267 Classes From 9 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of the ratings on 267
classes from nine U.S. RMBS New Residential Mortgage Loan Trust
transactions. The review yielded upgrades on 128 ratings, 65 of
which were also removed from CreditWatch positive, and affirmations
on 139 ratings, seven of which were also removed from CreditWatch
positive.

A list of Affected Ratings can be viewed at:

           https://rb.gy/vd376a

S&P said, "All of the transactions within this review had one or
more classes that were placed on CreditWatch positive on Oct. 17,
2023, following the revision to our 'B' foreclosure frequency for
an archetypal pool of U.S. mortgage loans to 2.50% from 3.25%--the
level prior to the COVID-19 pandemic and our April 2020 update. The
revision was based on our benign view of the state of the U.S.
residential mortgage and housing market as demonstrated through
general national level home price behavior, unemployment rates,
mortgage performance, and underwriting.

"In addition to our revised 'B' foreclosure frequency, we
considered changes in collateral performance, credit enhancement
levels, payment mechanics, and other credit drivers. The upgrades
primarily reflect the revised archetypal foreclosure frequency
assumption, a growing percentage of credit support, and low
accumulative losses to date.

"The affirmations reflect our view that the projected collateral
performance relative to our projected credit support on these
classes remains relatively consistent with our prior projections.

"For all transactions, we used the same representation and warranty
and loan modification factors that were applied at issuance."

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;

-- Historical interest shortfalls or missed interest payments;

-- Loan modifications;

-- The priority of principal payments;

-- The priority of loss allocation; and

-- Available subordination and/or credit enhancement floors.



[*] S&P Takes Various Actions on 479 Classes From 18 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of the ratings on 479
classes from 18 U.S. RMBS prime jumbo, non-qualified mortgage, and
investor transactions. The review yielded 82 upgrades (59 of which
were removed from CreditWatch positive), 396 affirmations (25 of
which were also removed from CreditWatch positive), and one
discontinuance due to the class being paid in full.

A list of Affected Ratings can be viewed at:

            https://rb.gy/ou8zhq

S&P Said, "All of the transactions within this review had one or
more classes that were placed on CreditWatch positive on Oct. 17,
2023, following the revision to our 'B' foreclosure frequency for
an archetypal pool of U.S. mortgage loans to 2.50% from 3.25%--the
level prior to the COVID-19 pandemic and our April 2020 update. The
revision was based on our benign view of the state of the U.S.
residential mortgage and housing market as demonstrated through
general national-level home price behavior, unemployment rates,
mortgage performance, and underwriting.

"In addition to our revised 'B' foreclosure frequency, we
considered changes in collateral performance, credit enhancement
levels, payment mechanics, and other credit drivers. The upgrades
primarily reflect the revised archetypal foreclosure frequency
assumption, a growing percentage of credit support, low
delinquencies, and very low accumulative losses to date.

"The affirmations reflect our view that the projected collateral
performance relative to our projected credit support on these
classes remains relatively consistent with our prior projections.

"For all transactions, we used the same mortgage operational
assessment, representation and warranty, and due diligence factors
that were applied at issuance."

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;

-- Historical interest shortfalls or missed interest payments;

-- Loan modifications;

-- Priority of principal payments;

-- Priority of loss allocation;

-- Available subordination and/or credit enhancement floors; and

-- Large balance loan exposure/tail risk.



[*] S&P Takes Various Actions on 90 Ratings From 15 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of the ratings on 90
classes from 15 U.S. RMBS non-qualified mortgage transactions. The
review yielded 29 upgrades, 11 of which were also removed from
CreditWatch positive, and 61 affirmations, 14 of which were also
removed from CreditWatch positive.

A list of Affected Ratings can be viewed at:

             https://rb.gy/ti8p6r

S&P said, "All of the transactions within this review had one or
more classes that were placed on CreditWatch positive on Oct. 17,
2023, following the revision to our 'B' foreclosure frequency for
an archetypal pool of U.S. mortgage loans to 2.50% from 3.25%--the
level prior to the COVID-19 pandemic and our April 2020 update. The
revision was based on our benign view of the state of the U.S.
residential mortgage and housing market as demonstrated through
general national level home price behavior, unemployment rates,
mortgage performance, and underwriting.

"In addition to our revised 'B' foreclosure frequency, we
considered changes in collateral performance, credit enhancement
levels, payment mechanics, and other credit drivers. The upgrades
primarily reflect the revised archetypal foreclosure frequency
assumption, a growing percentage of credit support, low
delinquencies, and/or very low accumulative losses to date.

"The affirmations reflect our view that the projected collateral
performance relative to our projected credit support on these
classes remains relatively consistent with our prior projections.

"Additionally, we placed the GS Mortgage-Backed Securities Trust
2021-NQM1 class B-2 certificates on CreditWatch with negative
implications. The CreditWatch placement reflects an increase in
total delinquencies in recent performance periods. The increase is
primarily driven by a single borrower who went delinquent and who
makes up approximately 15.8% (133 properties across 46 unique
loans) of the total pool balance remaining as of November 2023 (up
from 8.5% of the total pool balance at issuance). We had also
highlighted the risk to this one individual borrower in our
publication at the time of issuance. Given the significant exposure
to this one borrower, we have requested additional detail from the
relevant transaction parties. We will continue to monitor the
delinquency trends and the overall performance of the transaction,
and we expect to resolve the CreditWatch placement within 90 days.

"For all transactions, we used the same mortgage operational
assessment, representation and warranty, and due diligence factors
that were applied at issuance."

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;

-- Historical interest shortfalls or missed interest payments;

-- Loan modifications;

-- The priority of principal payments;

-- The priority of loss allocation;

-- Available subordination and/or credit enhancement floors, and

-- Large balance loan exposure/tail risk.



                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
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then-ending.

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                            *********

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