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

              Sunday, January 7, 2024, Vol. 28, No. 6

                            Headlines

AGL CLO 28: Fitch Assigns 'BB-sf' Rating on Class E Notes
AUXILIOR TERM 2023-1: DBRS Gives Prov. BB(high) Rating on E Notes
BB-UBS TRUST 2012-TFT: DBRS Confirms C Rating on Class E Certs
BMO 2023-C7: Fitch Assigns Final 'B-sf' Rating on Class G-RR Certs
CAPITAL FOUR II: Fitch Assigns 'BB-sf' Rating on Class E-R Notes

COLT 2024-INV1: S&P Assigns B (sf) Rating on Class B-2 Certs
DTP COMMERCIAL 2023-STE2: Moody's Assigns Ba2 Rating to HRR Certs
GENERATE CLO 3: S&P Assigns BB- (sf) Rating on Class E-2R Notes
GOLDENTREE LOAN 16: Fitch Assigns 'B+sf' Rating on Class F-R Notes
GOODLEAP SUSTAINABLE 2023-4: Fitch Gives BB Rating on Cl. C Debt

JP MORGAN 2023-HE3: Fitch Assigns Final B Rating on Cl. B-2 Certs
KKR CLO 44: Moody's Assigns B3 Rating to $250,000 Class F Notes
KRR CLO 43: Fitch Assigns 'BBsf' Rating on Class E-R Notes
KRR CLO 44: Fitch Assigns 'BBsf' Rating on Class E Notes
MFA TRUST 2023-NQM4: Fitch Assigns Final 'B' Rating on Cl. B2 Certs

NLT TRUST 2023-1: Fitch Assigns Final 'B' Rating on Class B-2 Notes
OCP AEGIS 2023-29: Fitch Assigns 'BB+sf' Rating on Class E Notes
PRPM TRUST 2023-NQM3: Fitch Assigns Final 'B-' Rating on B2 Certs
VITALITY RE XV 2024: S&P Assigns 'BB+(sf)' Rating on Cl. B Notes
[*] Fitch Affirms 49 Classes on 10 CLOs, Outlooks Stable


                            *********

AGL CLO 28: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO
28 Ltd.

   Entity/Debt              Rating             Prior
   -----------              ------             -----
AGL CLO 28 Ltd.

   A                    LT  NRsf    New Rating   NR(EXP)sf
   A-J                  LT  AAAsf   New Rating   AAA(EXP)sf
   A-L1 Loans           LT  NRsf    New Rating   NR(EXP)sf
   A-L2 Loans           LT  NRsf    New Rating   NR(EXP)sf
   A-L2 Notes           LT  NRsf    New Rating   NR(EXP)sf
   B                    LT  AAsf    New Rating   AA(EXP)sf
   C-1                  LT  Asf     New Rating   A(EXP)sf
   C-2                  LT  Asf     New Rating   A(EXP)sf
   D                    LT  BBB-sf  New Rating   BBB-(EXP)sf
   E                    LT  BB-sf   New Rating   BB-(EXP)sf
   Subordinated Notes   LT  NRsf    New Rating   NR(EXP)sf

TRANSACTION SUMMARY

AGL CLO 28 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by AGL
CLO Credit Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.88, versus a maximum covenant, in accordance with
the initial expected matrix point of 27. 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
99.75% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.83% versus a
minimum covenant, in accordance with the initial expected matrix
point of 74.1%.

Portfolio Composition (Neutral): The largest three industries may
comprise up to 44.5% 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 (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.

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 'BBBsf' and 'AA+sf' for class AJ, between 'BB+sf'
and 'A+sf' for class B, between 'B-sf' 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 AJ 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, '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, 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.


AUXILIOR TERM 2023-1: DBRS Gives Prov. BB(high) Rating on E Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
notes to be issued by Auxilior Term Funding 2023-1, LLC (XCAP
2023-1, or the Issuer):

-- $63,000,000 Class A-1 Notes at R-1 (high) (sf)
-- $190,887,000 Class A-2 Notes at AAA (sf)
-- $50,000,000 Class A-3 Notes at AAA (sf)
-- $19,319,000 Class B Notes at AA (high) (sf)
-- $17,001,000 Class C Notes at A (high) (sf)
-- $14,300,000 Class D Notes at BBB (high) (sf)
-- $17,390,000 Class E Notes at BB (high) (sf)

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

-- Subordination, overcollateralization (OC), amounts held in the
Reserve Account, and excess spread create credit enhancement levels
that can support DBRS Morningstar's expected cumulative net loss
(CNL) of 2.50% under various stress scenarios using multiples of
5.25 times (x) of the expected CNL assumption with respect to the
Class A Notes, 4.75x with respect to the Class B Notes, 3.75x with
respect to the Class C Notes, 2.75x with respect to the Class D
Notes, and 2.00x with respect to the Class E Notes. Seasoning
credit was not given even though the collateral pool is seasoned,
on a weighted-average (WA) basis, by approximately 12 months.

-- The initial OC as of the Closing Date will be equal to 3.75%,
expected to build up to 8.75% of the current Securitization Value
subject to a floor of 1.00% of the original Aggregate
Securitization Value as of the Initial Cut-Off Date.

-- A non-amortizing cash Reserve Account equal to 1.00% of the
Aggregate Securitization Value as of the Initial Cut-Off Date.

-- The WA annual percentage rate for the collateral pool is
approximately 7.73%. The Securitization Value of collateral pool is
determined by discounting all leases and loans at 10.20%, thus,
creating excess spread that may be available to XCAP 2023-1.

-- Given the relatively short operating history of Auxilior
Capital Partners, Inc. (Auxilior or the Company), DBRS Morningstar
supplemented its review of the actual performance by the Company to
date in its assessment of the expected CNL for the transaction with
the review of (1) the performance of static collateral pools
originated by the equipment lease and loan originator, which had
been managed by the current Auxilior management team in the past,
and of (2) the proxy data related to comparable asset-backed
securities (ABS) transactions. Proxy data and the current market
information on equipment values were similarly referenced in the
assessment of the stressed recovery rate assumption.

-- Auxilior has experienced, since inception, a relatively small
amount of delinquencies, gross defaults and losses in each of its
three primary origination industry segments. Thus, since inception
in 2020 through the first half of 2023, the highest static pool
annual vintage cumulative gross default (CGD) and CNL rates
experienced by Auxilior in its overall managed portfolio were 0.75%
and 0.30%, respectively. The overall CGD and CNL rates experienced
for the managed portfolio through the first half of 2023 were 0.27%
and 0.11%, respectively, on the aggregate financed amount of $1.12
billion.

-- In its assessment of the CNL assumption for the transaction's
cash flow scenarios, DBRS Morningstar also referenced the
performance for the similar industry segments at the equipment
finance entity managed by the current Auxilior's management team in
the past, which then had been reviewed by DBRS Morningstar.

-- In addition, DBRS Morningstar referenced the proxy data for ABS
collateral pools originated and securitized by several comparable
captive lessors focused on transportation and construction
equipment. Furthermore, DBRS Morningstar reviewed information
available in the respective Franchise Disclosure Documents for the
majority of franchisors represented in the Contract Pool. DBRS
Morningstar also considered the relevant market data on the static
pool performance of franchisee obligors.

-- DBRS Morningstar's cash flow scenarios tested the ability of
the transaction to generate cash flows sufficient to service the
interest and principal payments under three different net loss
timing scenarios and during zero conditional prepayment rate (CPR)
and 12 CPR prepayment environments.

-- While XCAP 2023-1 allows inclusion of booked residuals in the
Aggregate Securitization Value for the transaction, the residuals
were given only a limited credit in DBRS Morningstar's cash flow
scenarios. As of the Initial Cut-Off Date, the discounted balance
of booked residuals accounted for approximately 4.54% of the
Aggregate Securitization Value.

-- The transaction is an inaugural term ABS sponsored by Auxilior,
which has been operating since 2020. Nevertheless, the Company's
senior management team includes seasoned professionals with a long
history of founding and growing successful commercial financing
businesses including equipment finance groups at DLL, Element
Financial/ECN Capital and PNC Financial Services.

-- Auxulior primarily originates small and middle-ticket equipment
leases and equipment loan contracts through strategic marketing
alliances and other program relationships with equipment vendors
and directly with end users of commercial equipment. Its top
relationships include well-known and established equipment vendors
and franchisors.

-- DBRS Morningstar deems Auxilior to be an acceptable originator
and servicer of equipment backed leases and loans. Auxilior will be
the Servicer and Administrator, and GreatAmerica Portfolio Services
will be the Backup Servicer.

-- XCAP 2023-1 is collateralized by small- to mid-ticket equipment
contracts and related assets, and the transaction exhibits modest
obligor concentrations, with the largest 10 obligors collectively
accounting for 12.74% of the Aggregate Securitization Value as of
the Initial Cut-Off Date. The collateral is diversified
geographically, with obligors located in Texas, Illinois, and
Pennsylvania accounting for 12.4%, 7.8%, and 7.7% of the Aggregate
Securitization Value. The contracts originated through Auxilior's
Construction and Infrastructure (CIG) origination industry segment
accounted for 50.3% of the Aggregate Securitization Value as of the
Initial Cut-Off Date. The contracts originated by Transportation
and Logistics (TLG) and Franchise Finance (FFG) origination
industry segments accounted for 30.0% and 19.7%, respectively.
Approximately, 56.9% of the highway transportation collateral
associated with TLG segment could be considered small fleet size,
with the remainder related to medium and large fleets. Also, as of
the Initial Cut-Off Date, approximately 36.7% of collateral
associated with TLG segment was represented by motorcoach and
school buses and minivans.

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary, "Baseline Macroeconomic Scenarios For
Rated Sovereigns: September 2023 Update" published on September 28,
2023. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.

-- The transaction is supported by an established structure and is
consistent with DBRS Morningstar's "Legal Criteria for U.S.
Structured Finance" methodology. Legal opinions covering true sale
and nonconsolidation will also be provided.

DBRS Morningstar's credit rating on the Class A-1, Class A-2, Class
A-3, Class B, Class C, Class D, and Class E Notes addresses the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the rated notes are the related
Noteholders' Monthly Accrued Interest, related Noteholders'
Interest Carryover Shortfall, and the related Note Balance.

DBRS Morningstar's credit rating does not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. The associated financial obligations that are not
financial obligations are the related interest on the Interest
Carryover Shortfall for each of the rated notes.

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

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



BB-UBS TRUST 2012-TFT: DBRS Confirms C Rating on Class E Certs
--------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the following classes
of Commercial Mortgage Pass-Through Certificates, Series 2012-TFT
issued by BB-UBS Trust 2012-TFT:

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

All trends are Stable, excluding Classes D and E, which have credit
ratings that generally do not carry a trend in commercial
mortgage-backed securities (CMBS) credit ratings.

The transaction was originally backed by three separate 7.5-year,
fixed-rate, interest-only (IO) first-mortgage loans; however, one
loan, Fashion Place, paid off in June 2021. The two remaining loans
are secured by Tucson Mall (Prospectus ID#1; 58.8% of the pool) in
Tucson, Arizona, and Town East Mall (Prospectus ID#3; 41.1% of the
pool) in the Dallas suburb of Mesquite, Texas. Both loans were
previously in special servicing because of defaults on the 2020
maturity dates.

During the time in special servicing, updated appraisals were
obtained for both collateral malls that showed significant value
declines from the respective issuance figures. Given the increased
risk of loss implied by those updated values, previous surveillance
has resulted in DBRS Morningstar downgrading its credit ratings on
certain classes, most recently in December 2022 when it downgraded
four classes. For the December 2022 review, DBRS Morningstar
derived an updated value for both remaining collateral properties
based on in-place net cash flows (NCFs), which suggested that the
combined value of the properties was not sufficient to cover the
outstanding loan amount, resulting in the downgrade of Classes B
through E. With this review, DBRS Morningstar confirmed its credit
ratings, reflecting the consistent year-over-year performance for
both loans, which remains below pre-pandemic levels and suggests
the DBRS Morningstar values derived in 2022 remain stable.

At issuance, the transaction had a balance of $567.8 million and
the loans were sponsored by GGP Limited Partnership, which
Brookfield Property Partners L.P. acquired in July 2018. As of the
November 2023 reporting, the trust reported an outstanding balance
of $329.6 million, reflecting a collateral reduction of 41.9% since
issuance as a result of the payoff of the Fashion Place loan in
June 2021 and the additional principal paydown and loan
amortization following loan modifications executed in 2021. The
loan modifications provided for maturity extensions for both loans
to June 2022, with two additional one-year extension options
available that required principal paydown to reduce the trust
exposure for both loans. The servicer has also required a full cash
flow sweep to remain in effect until the loans are paid in full. As
of October 2023, the Tucson Mall and Town East Mall loans reported
$8.9 million and $7.4 million, respectively, in excess cash flow
reserves. Both loans have met the required debt yield hurdles in
order to exercise their final extension option and both loans were
extended to the final maturity date in June 2024. Both loans are
currently on the servicer's watchlist.

The Tucson Mall loan is secured by a 667,581-square-foot (sf)
portion of a 1.3 million-sf super-regional mall in Tucson. The
property is currently anchored by Dillard's, Macy's, JCPenney,
Dick's Sporting Goods, and Forever 21, all of which own their own
improvements. As of the June 2023 rent roll, the total mall
occupancy rate was 93.3%, in line with the December 2022 figure of
94.5%. According to the most recent sales report, in-line sales for
the trailing 12-month (T-12) period ended June 30, 2023, were
reported to be $474 per square foot (psf), in comparison with the
YE2022 sales of $471 psf and the pre-pandemic YE2019 sales of $383
psf. Downward pressure on rents, combined with increasing operating
expenses, continues to stress the NCF as of the financials for the
year to date (YTD) ended June 30, 2023. The annualized Q2 2023 NCF
is reported at $13.0 million (with a debt service coverage ratio
(DSCR) of 1.20 times (x)), up slightly from the YE2022 NCF of $12.6
million but down from the YE2021 NCF of $14.6 million and the
Issuer's NCF of $24.1 million. The collateral was most recently
appraised in July 2021 at $121.0 million, representing a 70.0%
decline from the $400.0 million valuation at issuance.
Comparatively, the DBRS Morningstar value derived in December 2022
was $105.5 million, as further described below.

The Town East Mall loan is secured by a 421,206-sf portion of a 1.2
million-sf regional mall in Mesquite, 10 miles east of Dallas. The
property is anchored by Dillard's, JCPenney, and Macy's, none of
which are collateral for the loan. All three anchors have reported
ground lease expiration dates of December 31, 2023, and, according
to the servicer, the sponsor has recorded letter agreements with
all three anchor tenants, suggesting that the ground leases will be
extended. Other major retailers at the mall include Dick's Sporting
Goods, Forever 21, and H&M. According to the June 2023 rent roll,
mall occupancy was 80.1%, in line with YE2021 and YE2022 figures
and representative of the property's failure to backfill the no
collateral Sears anchor that was closed in April 2021. The
annualized Q2 2023 NCF is reported at $14.7 million, down from the
YE2022 NCF of $15.7 million and the Issuer's NCF of $16.8 million.
The DSCR for the YTD period ended June 30, 2023, was 1.64x,
representing a decline from the YE2022 and Issuer's DSCR of 2.07x
and 2.89x, respectively. In-line sales for the T-12 period ended
August 31, 2023, were reported to be $466 psf, in comparison with
the YE2022 sales of $496 psf and pre-pandemic YE2019 sales of $539
psf. As of June 2021, the property was revalued by the appraiser at
$187.0 million, a 26.4% decline from the issuance value of $254.0
million. Comparatively, the DBRS Morningstar value derived in
December 2022 was $181.3 million, as further described below.

DBRS Morningstar's credit ratings are based on a value analysis
completed during the December 2022 review. The values for both
malls were derived based on haircuts to the annualized NCF for the
YTD ended June 30, 2022, for each property. A steeper haircut was
applied in the analysis for the Tucson Mall property given the
significant deterioration in the appraised value and sustained low
revenues when compared with pre-pandemic levels. DBRS Morningstar
applied capitalization rates (cap rates) at the high end of DBRS
Morningstar's cap rate ranges for regional malls for both
properties, reflecting secondary market locations and Class B
property quality. For the Tucson Mall loan, the concluded DBRS
Morningstar value was $105.5 million, representing a 12.8% haircut
to the appraiser's July 2021 value of $121.0 million and a
whole-loan loan-to-value ratio (LTV) of 183.8%. DBRS Morningstar
maintained a negative qualitative adjustment to the LTV sizing of
-0.5% to reflect the cash flow volatility given the steep drop from
issuance expectations. For the Town East Mall loan, the concluded
DBRS Morningstar value was $181.3 million, representing a 3.0%
haircut to the June 2021 value of $187.0 million and a whole-loan
LTV of 74.8%. A positive qualitative adjustment of 0.25% for cash
flow volatility was applied to the LTV sizing to reflect the
generally stable in-place cash flows since issuance and the
relatively low delta between the issuance appraised value and the
most recent appraisal obtained by the special servicer.

When considering these values in the context of a potential
liquidation and recovery scenario, the top two classes (Classes A
and B) remain well insulated against loss, while those classes
below the top two are most exposed; these factors are reflected in
the barbelled credit ratings for this transaction. DBRS Morningstar
also notes the significant in-place reserves as a result of the
cash flow sweep and the above breakeven DSCR for both loans as
factors providing additional cushion against loss for Classes A and
B.

The DBRS Morningstar credit rating assigned to Class TE is lower
than the results implied by the LTV sizing benchmarks. Class TE is
a loan-specific certificate that is only entitled to payments of
interest and principal from the Town East Mall loan. This variance
is warranted given the sustained lower occupancy since Sears'
departure in 2021 and potential for further value volatility. Also,
the loan is scheduled to mature in June 2024 and, given the high
interest rate environment, the borrower may face challenges
securing takeout financing and may be required to provide
additional equity.

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


BMO 2023-C7: Fitch Assigns Final 'B-sf' Rating on Class G-RR Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to BMO 2023-C7 Mortgage Trust Commercial Mortgage
Pass-Through Certificates, Series 2023-C7.

- $3,363,000a class A-1 'AAAsf'; Outlook Stable;

- $127,548,000a class A-2 'AAAsf'; Outlook Stable;

- $6,802,000a class A-SB 'AAAsf'; Outlook Stable;

- $364,412,000a class A-5 'AAAsf'; Outlook Stable;

- $502,125,000ab class X-A 'AAAsf'; Outlook Stable;

- $90,561,000a class A-S 'AAAsf; Outlook Stable;

- $34,073,000a class B 'AA-sf'; Outlook Stable;

- $22,416,000a class C 'A-sf'; Outlook Stable;

- $147,050,000ab class X-B 'AA-sf'; Outlook Stable;

- $10,760,000ac class D 'BBBsf'; Outlook Stable;

- $10,760,000abc class X-D 'BBBsf'; Outlook Stable;

- $8,967,000ac class E 'BBB-sf'; Outlook Stable;

- $8,967,000abc class X-E 'BBB-sf'; Outlook Stable;

- $11,656,000ac class F 'BB-sf'; Outlook Stable;

- $11,656,000abc class X-F 'BB-sf'; Outlook Stable;

- $8,070,000acd class G-RR 'B-sf'; Outlook Stable.

Fitch does not expect to rate the following classes:

- $28,693,474acd class J-RR;

- $20,284,155ae Combined VRR Interest.

Fitch does not expect to rate the following loan-specific classes:

- $28,500,000f class WMA;

- $1,500,000fg class WMRR.

a) Since Fitch published its expected ratings on Nov. 27, 2023, a
loan with a current balance of $1.7 million was removed from the
pool. The balance for all the classes were updated as a result. At
the time the expected ratings were published, the initial
certificate balances of classes A-4 and A-5 were expected to be
$365,465,000 in aggregate, subject to a 5% variance. the balance
for class A-5 was finalized. The classes above reflect the final
ratings and deal structure.

b) Notional amount and interest-only (IO).

c) Privately placed and pursuant to Rule 144A.

d) Represents the "eligible horizontal interest" comprising at
least 2.3678% of the fair value of the pool.

e) An "eligible vertical interest" in the form of a "single
vertical security" with an initial principal balance of
approximately $20,284,155 (the "combined VRR interest"), which is
expected to represent approximately 2.7500% of the aggregate
principal balance of all the "ABS interests".

f) The transaction includes two classes of non-offered,
loan-specific certificates (non-pooled rake classes) related to the
companion loan of Woodfield Mall.

g) An "eligible vertical interest" in the form of a "single
vertical security" with an initial uncertificated principal balance
of approximately $1,500,000, which is expected to represent at
least 5.0% of the sum of the aggregate initial certificate balance
of all of the Woodfield Mall loan-specific certificates and the
initial uncertificated principal balance of the WMRR Interest.

Additionally, at the time the presale was issued, class X-B (which
is tied to the classes A-S, B and C) was rated 'A-(EXP)sf',
reflecting class C, the lowest rated tranche. Since Fitch published
its expected ratings, the class C pass-through rate was finalized
and will be variable rate (weighted average coupon), equal to the
weighted average of the net mortgage interest rates on the mortgage
loan, and therefore its payable interest will not have an impact on
the IO payments for class X-B.

Fitch updated class X-B to 'AA-sf' (from 'A-(EXP)sf' at the time of
the presale) reflecting the lowest tranche (class B) whose payable
interest has an impact on the IO payments. This is consistent with
Appendix 4 of Fitch's "Global Structured Finance Rating Criteria."

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 31 loans secured by 84
commercial properties having an aggregate principal balance of
$737,605,630 as of the cut-off date. The loans were contributed to
the trust by Bank of Montreal, Citi Real Estate Funding Inc., UBS
AG, Starwood Mortgage Capital LLC, RRECM Capital II, LLC (formerly
known as Sabal Capital II, LLC), Greystone Commercial Mortgage
Capital LLC and KeyBank National Association. The master servicer
is expected to be Midland Loan Services, a Division of PNC Bank,
National Association, and the special servicer is expected to be
KeyBank, National Association.

Fitch has withdrawn the expected rating of 'AAAsf(Exp)' for class
A-4 because the class was cancelled and will not be issued. The
classes above reflect the final ratings and deal structure.

KEY RATING DRIVERS

Lower Leverage Compared to Recent Transactions: The pool has lower
leverage compared to recent multiborrower transactions rated by
Fitch. The pool's Fitch loan-to-value ratio (LTV) of 87.6% is lower
than the YTD 2023 and 2022 averages of 88.4% and 99.3%,
respectively. The pool's Fitch net cash flow (NCF) debt yield (DY)
of 11.0% is higher than the YTD 2023 and 2022 averages of 10.8% and
9.9%, respectively. Excluding credit opinion loans, the pool's
Fitch LTV and DY are 88.7% and 10.5%, respectively, compared to the
equivalent conduit YTD 2023 LTV and DY averages of 91.6% and 10.8%,
respectively.

Lower Pool Concentration: The pool is less concentrated than
recently rated Fitch transactions. The top 10 loans in the pool
make up 54.0% of the pool, which is lower than the 2023 YTD average
of 63.3% and the 2022 average of 55.2%. The pool's effective loan
count of 24.1 is higher than the 2023 YTD average of 20.9 and
slightly below the 2022 average of 25.9.

Investment-Grade Credit Opinion Loans: Two loans representing 11.9%
of the pool received an investment-grade credit opinion. Woodfield
Mall (9.2% of the pool) received a standalone credit opinion of
'BBB+sf*' and 60 Hudson Street (2.7%) received a standalone credit
opinion of 'AAAsf*'. The pool's total credit opinion percentage is
in lower the YTD 2023 and 2022 averages of 18.8% and 14.4%,
respectively.

Property Type Concentration: Loans secured by retail properties
represent 39.9%, which is higher than the YTD 2023 and 2022
averages of 31.3% and 23.3%, respectively. Loans secured by
multifamily properties represent 19.3% of the pool by balance, well
above the YTD 2023 and 2022 averages of 6.1% and 13.3%,
respectively. Additionally, loans secured by office properties
represent only 15.6% of the pool, well below the YTD 2023 and 2022
averages of 28.4% and 36.2%, respectively.

RATING SENSITIVITIES

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

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

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

- 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less
than 'CCCsf'.

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

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

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

- 10% NCF Increase:
'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBBsf'/'BB+sf'/'B+sf'

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.

ESG CONSIDERATIONS

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


CAPITAL FOUR II: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Capital Four US CLO II Ltd. reset transaction.

   Entity/Debt         Rating               Prior
   -----------         ------               -----
Capital Four US
CLO II Ltd.

   A-1 14016CAA4   LT  PIFsf   Paid In Full   AAAsf
   A-2 14016CAJ5   LT  PIFsf   Paid In Full   AAAsf
   A-R             LT  NRsf    New Rating
   B 14016CAC0     LT  PIFsf   Paid In Full   AAsf
   B-R             LT  AAsf    New Rating
   C 14016CAE6     LT  PIFsf   Paid In Full   Asf
   C-1-R           LT  Asf     New Rating
   C-2-R           LT  Asf     New Rating
   D 14016CAG1     LT  PIFsf   Paid In Full   BBB-sf
   D-R             LT  BBB-sf  New Rating
   E 14016EAA0     LT  PIFsf   Paid In Full   BB-sf
   E-R             LT  BB-sf   New Rating
   X               LT  NRsf    New Rating

TRANSACTION SUMMARY

Capital Four US CLO II Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Capital Four US CLO Management LLC that originally closed September
2022. The CLO's secured notes were refinanced on Dec. 29, 2023 from
proceeds of new secured notes. Net proceeds from the issuance of
the secured 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 23.76, versus a maximum covenant, in accordance with
the initial expected matrix point of 24.25. Issuers rated in the
'B' rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.

Asset Security (Positive): The indicative portfolio consists of
96.5% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.53% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72.4%.

Portfolio Composition (Positive): The largest three industries may
comprise up to 42.5% 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 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 (Negative): 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 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 '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

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, 'Asf'
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.


COLT 2024-INV1: S&P Assigns B (sf) Rating on Class B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to COLT
2024-INV1 Mortgage Loan Trust's mortgage-backed certificates.

The certificate issuance is an RMBS transaction backed by 779
first-lien, fixed- and adjustable-rate, fully amortizing,
ability-to-repay (ATR)-exempt, business purpose investment property
residential mortgage loans to prime and nonprime borrowers (some
with interest-only periods). The loans are secured by single-family
residential properties, planned unit developments, condominiums,
townhomes, condotels, and two- to four-family residential
properties.

The preliminary ratings are based on information as of Jan. 3,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The pool's collateral composition;

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

-- The mortgage aggregator and reviewed originators; 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 Oct. 13, 2023, we updated our market
outlook as it relates to the 'B' projected archetypal loss level.
As a result, we revised and lowered our 'B' foreclosure frequency
to 2.50% from 3.25%, which reflects the level prior to April 2020,
preceding the COVID-19 pandemic. The updates reflect our benign
view of the U.S. mortgage and housing markets as demonstrated
through general national-level home price behavior, unemployment
rates, mortgage performance, and underwriting. In addition, the
U.S. economy has outperformed expectations following consecutive
quarters of contraction in the first half of 2022."

  Preliminary Ratings Assigned(i)

  COLT 2024-INV1 Mortgage Loan Trust

  Class A-1, $120,319,000: AAA (sf)
  Class A-2, $19,525,000: AA (sf)
  Class A-3, $23,920,000: A (sf)
  Class M-1, $13,903,000: BBB (sf)
  Class B-1, $11,245,000: BB (sf)
  Class B-2, $8,485,000: B (sf)
  Class B-3, $7,053,655: NR
  Class A-IO-S, Notional(ii): NR
  Class X, Notional(ii): NR
  Class R, N/A: NR

(i)The preliminary ratings address the ultimate payment of interest
and principal.
(ii)Interest can be deferred on the classes, the fixed coupons are
subject to the pool's net WAC rate, and interest rate on the class
B-1, B-2, and B-3 certificates equals the pool's net WAC.
(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 and is initially $204,450,655.
NR--Not rated.



DTP COMMERCIAL 2023-STE2: Moody's Assigns Ba2 Rating to HRR Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to six
classes of CMBS securities, issued by DTP Commercial Mortgage Trust
2023-STE2, Commercial Mortgage Pass-through Certificates, Series
2023-STE2:

Cl. A, Definitive Rating Assigned Aaa (sf)

Cl. B, Definitive Rating Assigned Aa3 (sf)

Cl. C, Definitive Rating Assigned A3 (sf)

Cl. D, Definitive Rating Assigned Baa3 (sf)

Cl. E, Definitive Rating Assigned Ba1 (sf)

Cl. HRR, Definitive Rating Assigned Ba2 (sf)

RATINGS RATIONALE

The certificates are collateralized by a single loan backed by a
first-lien mortgage on the borrower's fee simple interest in 10
anchored retail centers located across nine states, totaling 3.4
million SF. Moody's ratings are based on the credit quality of the
loans 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 Securitizations 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 portfolio consists of 10 anchored retail centers
located across nine states and 10 distinct markets. Together, the
properties offer approximately 3,393,341 SF of aggregate NRA.
Individual properties average 339,334 SF in size, ranging from a
low of 112,253 SF to a high of 690,571 SF.

As of October 2023, the portfolio was 95.9% leased to 189 distinct
tenants. The top tenants include: AMC Theatre (231,800 SF; 10.4%
in-place base rent), Ross Dress for Less (181,294 SF; 4.6% in-place
base rent), Dick's Sporting Goods (182,754 SF; 4.4% in-place base
rent), Lowe's (260,554 SF; 4.3% in-place Base Rent), Kohl's
(237,169 SF; 4.2% in-place base rent), Best Buy (141,368 SF; 4.0%
in-place base rent), Marshalls (130,317 SF; 3.0% in-place base
rent), Michael's (96,806 SF; 2.5% in-place base rent), Old Navy
(84,095 SF; 2.5% in-place base rent) and ULTA (54,887 SF; 2.3%
in-place base rent).

The properties were either developed or re-developed at various
points between 1978 and 2015. They were acquired by the sponsor
between 1993 and 2012, who invested a total of $29.0 million ($8.54
PSF) into the portfolio to maintain or improve competitiveness from
2018 through 2023.

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 1.53x, compared to 1.48x at
Moody's provisional rating due to the expected interest rate
decreasing from 6.70% to 6.38%, which is higher than Moody's first
mortgage stressed DSCR (at a 9.25% constant) of 1.07x. Moody's DSCR
is based on Moody's stabilized net cash flow.

Moody's LTV ratio for the first mortgage balance is 94.3% based on
Moody's Value. The Moody's adjusted LTV ratio for the first
mortgage balance is 83.9%, compared to 83.8% issued at Moody's
provisional rating, based on Moody's adjusted Moody's value taking
into account 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 pool's weighted
average property quality grade is 2.33.

Notable strengths of the transaction include: strong anchor
tenancy, granular tenant roster, experienced sponsorship,
geographic diversity and cross collateralization.

Notable concerns of the transaction include: AMC tenant exposure
within the top three properties in the portfolio, interest-only
mortgage loan profile, rollover risk, secondary/tertiary market
exposure, and credit negative legal features.

The principal methodology used in these ratings 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.

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.


GENERATE CLO 3: S&P Assigns BB- (sf) Rating on Class E-2R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Generate CLO 3
Ltd./Generate CLO 3 LLC's floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Generate Advisors LLC. This is a
refinancing of its June 2016 transaction, which S&P Global Ratings
did not rate.

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

  Generate CLO 3 Ltd./Generate CLO 3 LLC

  Class A-2R, $256.00 million: Not rated
  Class B-2R, $48.00 million: AA (sf)
  Class C-2R (deferrable), $24.00 million: A (sf)
  Class D-2R (deferrable), $24.00 million: BBB- (sf)
  Class E-2R (deferrable), $12.00 million: BB- (sf)
  Subordinated notes, $53.70 million: Not rated



GOLDENTREE LOAN 16: Fitch Assigns 'B+sf' Rating on Class F-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to
GoldenTree Loan Management US CLO 16, Ltd.

   Entity/Debt           Rating               Prior
   -----------           ------               -----
GoldenTree Loan Management
US CLO 16, Ltd.

   X-R              LT   NRsf   New Rating
   A 38138VAC0      LT   PIFsf  Paid In Full   AAAsf
   A-R              LT   NRsf   New Rating
   A-J 38138VAE6    LT   PIFsf  Paid In Full   AAAsf
   A-J-R            LT   AAAsf  New Rating
   B 38138VAG1      LT   PIFsf  Paid In Full   AAsf
   B-R              LT   AAsf   New Rating
   C 38138VAJ5      LT   PIFsf  Paid In Full   Asf
   C-R              LT   Asf    New Rating
   D 38138VAL0      LT   PIFsf  Paid In Full   BBB-sf
   D-R              LT   BBB-sf New Rating
   E 38138GAA7      LT   PIFsf  Paid In Full   BB-sf
   E-R              LT   BB-sf  New Rating
   F 38138GAC3      LT   PIFsf  Paid In Full   B+sf
   F-R              LT   B+sf   New Rating

TRANSACTION SUMMARY

GoldenTree Loan Management US CLO 16, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) managed by
GLM II, LP that originally closed in December 2022. The CLO's
secured notes will be refinanced in whole on Dec. 22, 2023 (the
first refinancing date) from proceeds of new secured notes. The
secured and subordinated notes will provide financing on a
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. The weighted average rating factor (WARF) of the indicative
portfolio is 23.9, versus a maximum covenant, in accordance with
the initial expected matrix point of 27.0. 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
98.1% 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 68.54%.

Portfolio Composition (Positive): The largest three industries may
constitute up to 44.5% 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
that of 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 analysis of matrices is one month 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
metrics; the results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-J-R notes,
between 'BB+sf' and 'A+sf' for class B-R notes, between 'B+sf' and
'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf'
for class D-R notes, between less than 'B-sf' and 'B+sf' for class
E-R notes, and between less than 'B-sf' and 'Bsf' for class F-R
notes.

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

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

At all other rating levels, 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 notes,
'A+sf' for class C-R notes, 'A-sf' for class D-R notes, 'BBBsf' for
class E-R notes and 'BB+sf' for class F-R notes.

DATA ADEQUACY

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

Overall, 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.


GOODLEAP SUSTAINABLE 2023-4: Fitch Gives BB Rating on Cl. C Debt
----------------------------------------------------------------
Fitch Ratings has assigned GoodLeap Sustainable Home Solutions
Trust Series 2023-4 (GoodLeap 2023-4) final ratings as detailed
below.

   Entity/Debt              Rating             Prior
   -----------              ------             -----
GoodLeap Sustainable Home
Solutions Trust
Series 2023-4

   A                    LT  Asf    New Rating   A(EXP)sf
   B                    LT  BBBsf  New Rating   BBB(EXP)sf
   C                    LT  BBsf   New Rating   BB(EXP)sf

TRANSACTION SUMMARY

The transaction is a securitization of 20-to-25-year consumer loans
primarily backed by solar equipment.

KEY RATING DRIVERS

Performance Assumptions Informed by FICO: Given material
differences in loan performance by borrowers' FICO scores, Fitch
defined lifetime default expectations for ranges of FICO scores.
The weighted average base case default rate is 9.8% for the seven
Fitch-defined groups. In contrast, Fitch did not differentiate its
recovery assumption by FICO scores and assumed a 25% base case
recovery rate. Fitch's rating default rates (RDRs) for 'Asf',
'BBBsf' and 'BBsf' are 29.4%, 21.5% and 14.7%, respectively.
Fitch's rating recovery rates (RRRs) are 21.8%, 24.0% and 26.0%,
respectively.

Rating Sensitive to Small Changes: Slight deviations from Fitch's
performance assumptions can have a material rating impact,
particularly in certain model scenarios. To ensure robust ratings,
Fitch's analysis considers the notes' ability to repay under severe
stresses, sensitivities, and the effectiveness of amortization
triggers.

Turbo Sequential on Trigger Breach: The notes will initially
amortize based on target over-collateralization (OC) percentages.
Should asset performance deteriorate, first, additional principal
will be paid to cover any defaulted amounts; second, once the
cumulative loss trigger is breached, the payment waterfall will
switch to "turbo" sequential to the senior class.

Standard, Reputable Counterparties; No Swap: The transaction
account is with Wilmington Trust Company (A /Negative/F1), and the
servicer's lockbox account is with KeyBank National Association
(BBB+ /Stable/F2). Commingling risk is mitigated by the daily
transfer of collections, high Automated Clearing House (ACH) share
at closing and the ratings of KeyBank.

Established Lender but New Assets: GoodLeap is one of the largest
solar loan lenders in the U.S. Underwriting is mostly automated and
in line with those of other U.S. ABS originators. Other than the
solar lending business, GoodLeap also originates home efficiency
loans and mortgages. Some loan servicing is outsourced to Genpact
(UK) Limited, the sub-servicer, while GoodLeap has increased its
role in direct servicing over time. Servicing disruption risk is
further mitigated by the appointment of Vervent, Inc. as the backup
servicer.

RATING SENSITIVITIES

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

Additional performance data that imply annualized default rates
(ADRs) in excess of 1.2% or show lower-than-expected prepayment
rates may contribute to an Outlook revision to Negative or a
downgrade.

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

Increase of defaults (Class A / B / C)

+10%: 'Asf' / 'BBBsf' / 'BBsf'

+25%: 'A-sf' / 'BBBsf' / 'BBsf'

+50%: 'BBBsf' / 'BBBsf' / 'BBsf'

Decrease of recoveries (Class A / B / C)

-10%: 'A-sf' / 'BBBsf' / 'BBsf'

-25%: 'Asf' / 'BBBsf' / 'BBsf'

-50%: 'Asf' / 'BBBsf' / 'BBsf'

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

+10% / -10%: 'A-sf'/ 'BBBsf' / 'BBsf'

+25% / -25%: 'BBB+sf' / 'BBBsf' / 'BBsf'

+50% / -50%: 'BBB-sf' / 'BB+sf' / 'BBsf''

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

Fitch does not rate solar transactions 'AAAsf' due to limited data
history. The rating cap may be lifted should more robust
performance data be provided. Positive rating actions may also
result from data specific to the level of defaults after the
investment tax credit due date, more data on recoveries, and the
performance of interest-only loans.

Subject to those conditions, good transaction performance, credit
enhancement at the target over-collateralization levels and ADRs
materially below 1.2% would support an upgrade.

Decrease of defaults (Class A / B / C)

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

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

-50%: 'AAAsf' / 'A+sf' / 'A+sf'

Increase of recoveries (Class A / B / C)

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

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

+50%: 'A+sf' / 'Asf' / 'BBB+sf'

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

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

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

-50% / +50%: 'AAAsf' / 'A+sf' / 'A+sf'

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to 51 sample loans. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.

DATA ADEQUACY

Similar to other solar ABS originators, GoodLeap can provide
historical information only covering a small share of the whole up
to 25-year loan tenor. Fitch applied default and recovery stresses
at the high or median-high level of the criteria range. The
amortizing nature of the assets and the application of an annual
default rate to the static portfolio allowed us to determine
lifetime default assumptions.

In addition, Fitch considered proxy data from other originators and
borrower characteristics (including demographics and fairly high
FICO scores) to derive asset assumptions, as envisaged under the
Consumer ABS Rating Criteria. Taking into account this analytical
approach, the rating committee decided to cap the rating in the
'Asf' rating category, in line with other solar ABS transactions.

CRITERIA VARIATION

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

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

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.


JP MORGAN 2023-HE3: Fitch Assigns Final B Rating on Cl. B-2 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to JP Morgan Mortgage
Trust 2023-HE3 (JPMMT 2023-HE3).

   Entity/Debt         Rating            Prior
   -----------         ------            -----
JPMMT 2023-HE3

   A-1             LT AAAsf New Rating   AAA(EXP)sf
   M-1             LT AAsf  New Rating   AA(EXP)sf
   M-2             LT Asf   New Rating   A(EXP)sf
   M-3             LT BBBsf New Rating   BBB(EXP)sf
   B-1             LT BBsf  New Rating   BB(EXP)sf
   B-2             LT Bsf   New Rating   B(EXP)sf
   B-3             LT NRsf  New Rating   NR(EXP)sf
   B-4             LT NRsf  New Rating   NR(EXP)sf
   BX              LT NRsf  New Rating   NR(EXP)sf
   A-IO-S          LT NRsf  New Rating   NR(EXP)sf
   X               LT NRsf  New Rating   NR(EXP)sf
   R               LT NRsf  New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned final ratings to the residential mortgage-backed
certificates backed by a second lien, prime, open home equity line
of credit (HELOC) on residential properties to be issued by J.P.
Morgan Mortgage Trust 2023-HE3 (JPMMT 2023-HE3) as indicated. This
is the third transaction rated by Fitch that includes prime-quality
second lien HELOCs with open draws off the JPMMT shelf and the
third, second lien HELOC transaction off the JPMMT shelf.

The loans associated with the draws allocated to the participation
certificate are 3,002 nonseasoned, performing, prime-quality second
lien HELOC loans with a current outstanding balance (as of the
cutoff date) of $257.82 million. The collateral balance based on
the maximum draw amount is $322.76 million, as determined by Fitch.
As of the cutoff date, 100% of the HELOC lines are open or on a
temporary freeze, and may be opened in the future. The aggregate
available credit line amount, as of the cutoff date, is expected to
be $45.39 million, per transaction documents. As of the cutoff
date, weighted average utilization of the HELOCs is 91.1%, per the
transaction documents.

The main originators in the transaction are loanDepot.com, LLC and
United Wholesale Mortgage. All other originators make up less than
10% of the pool. The loans are serviced by Specialized Loan
Servicing LLC and loanDepot.com, LLC.

Distributions of principal are based on a modified sequential
structure, subject to the transaction's performance triggers.
Interest payments are made sequentially to all classes, except B-4,
which is a principal-only class, while losses are allocated reverse
sequentially once excess spread is depleted.

Draws will be funded by JPMorgan Mortgage Acquisitions Corp.
(JPMMAC). This transaction will not use a variable funding note
(VFN) structure, rather, it will use participation certificates.
JPMMT 2023-HE3 is only entitled to cash flows based on the amount
drawn as of the cutoff date. The remaining available draws will be
allocated to the JPMorgan participation certificate (JPM PC) if
they are drawn in the future. See the Highlights section of the
presale for a description.

In Fitch's analysis, the agency assumes 100% of the HELOCs are 100%
drawn on day one. As a result, all Fitch-determined percentages are
based off the maximum HELOC draw amount.

The servicers, Specialized Loan Servicing LLC and loanDepot.com,
LLC, will not be advancing delinquent monthly payments of principal
and interest (P&I).

The collateral comprises 100% adjustable-rate loans, adjusted based
on the prime rate, none of which reference Libor. The A-1, M-1,
M-2, and M-3 certificates are floating rate and use SOFR as the
index; they are capped at the net weighted average coupon (WAC).
The annual rate on the B-1, B-2 and B-3 certificates with respect
to any distribution date (and the related accrual period) will be
equal to the net WAC for such distribution date. The B-4
certificates are entitled to distributions of principal only and
will not receive any distributions of interest. There is no
exposure to Libor in this transaction.

The transaction will comply with both US risk retention and EU/UK
risk retention requirements.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.0% above a long-term sustainable level (versus
9.42% on a national level as of 2Q23, up 1.82% since last quarter).
Housing affordability is the worst it has been in decades driven by
both high interest rates and elevated home prices. Home prices have
increased 1.87% yoy nationally as of October 2023 despite modest
regional declines but are still being supported by limited
inventory.

High-Quality Prime Mortgage Pool (Positive): The participation
interest is in a fixed pool of draws related to 3,002
prime-quality, performing, adjustable-rate open-ended HELOCs that
have two-, three-, five- or 10-year interest-only periods and
maturities of up to 30 years. The open-ended HELOCs are secured by
second liens on primarily one- to four-family residential
properties (including planned unit developments), condominiums,
site condos and townhouses, totaling $323 million (includes maximum
HELOC draw amount). The loans were made to borrowers with strong
credit profiles and relatively low leverage.

The loans are seasoned at an average of five months, according to
Fitch, and two months, per the transaction documents. The pool has
a weighted average (WA) original FICO score of 746, as determined
by Fitch, indicative of very high credit-quality borrowers. About
45.5%, as determined by Fitch, of the loans have a borrower with an
original FICO score equal to or above 750. The original WA combined
loan to value (CLTV) ratio, as determined by Fitch, of 66.8%,
translates to a sustainable loan to value (sLTV) ratio of 73.9%.

The transaction documents stated a WA drawn LTV of 16.7% and a WA
drawn CLTV of 65.5%. The LTVs represent moderate borrower equity in
the property and reduced default risk, compared with a borrower
CLTV over 80%. Of the pool loans, 39.8% were originated by a retail
or correspondent channel with the remaining 60.2% being originated
by a broker channel. 100% of the loans are underwritten to full
documentation. Based on Fitch's review of the documentation, the
agency considered 98.9% of the loans to be fully documented.

Of the pool, 97.9% comprise loans where the borrower maintains a
primary or secondary residence; the remaining 2.1% are investor
loans. Single-family homes, planned unit developments (PUDs),
townhouses and single-family attached dwellings constitute 94.6% of
the pool (94.1%, per the transaction documents). Condominiums and
site condos make up 4.0% (4.3% per the transaction documents),
while multifamily homes make up 1.5% of the pool (1.6% per the
transaction documents). The pool consists of loans with the
following loan purposes, according to Fitch: purchases (2.4%),
cash-out refinances (97.5%) and rate-term refinances (0.1%). The
transaction documents show 97.6% of the pool to be cash-out
refinances. Fitch considers a loan a rate term refinance if the
cash-out amount is less than $5,000 (there was one loan with a
cash-out amount less than $5,000), which explains the difference in
the cash-out amount percentages.

None of the loans in the pool are over $1.0 million, and the
maximum draw amount is $500,000.

Of the pool loans, 39.8% are concentrated in California. The
largest MSA concentration is in the Los Angeles-Long Beach-Santa
Ana, CA MSA (14.7%), followed by Riverside-San Bernardino-Ontario,
CA MSA (5.9%) and San Diego-Carlsbad-San Marcos, CA MSA (5.3%). The
top three MSAs account for 26% of the pool. As a result, no
probability of default (PD) penalty was applied for geographic
concentration.

Second-Lien HELOC Collateral (Negative): The entirety of the
collateral pool consists of second-lien HELOC loans originated by
loanDepot.com LLC, United Wholesale Mortgage and other originators.
Fitch assumed no recovery and 100% loss severity (LS) on second
lien loans, based on the historical behavior of the loans in
economic stress scenarios. Fitch assumes second lien loans default
at a rate comparable to first lien loans, after controlling for
credit attributes, no additional penalty was applied.

Modified Sequential Structure with No Advancing of DQ P&I (Mixed):
The proposed structure is a modified-sequential structure in which
principal is distributed pro rata to the A-1, M-1, M-2 and M-3
classes to the extent the performance triggers are passing. To the
extent triggers are failing, principal is paid sequentially. The
transaction also benefits from excess spread that can be used to
reimburse for realized and cumulative losses, and cap carryover
amounts.

The transaction has a lockout feature benefitting more senior
classes if performance deteriorates. If the applicable credit
support percentage of the M-1, M-2 or M-3 class is less than the
sum of (i) 150% of the original applicable credit support
percentage for that class plus (ii) 50% of the non-performing loan
percentage plus (iii) the charged-off loan percentage, then that
class is locked out of receiving principal payments and the
principal payments are redirected to the most senior class. To the
extent any class of certificates is a locked-out class, each class
of certificates subordinate to such locked-out class will also be a
locked-out class. Due to this lockout feature, the M classes will
be locked out, starting day one.

The A-1 and M classes are floating rate classes based on the SOFR
index and are capped at the net WAC. The annual rate on the B-1,
B-2 and B-3 certificates with respect to any distribution date (and
the related accrual period) will be equal to the net WAC for such
distribution date. Class B-4 is a principal-only class and is not
entitled to receive interest. If no excess spread is available to
absorb losses, losses will be allocated to all classes reverse
sequentially, starting with class B-4. The servicer will not
advance delinquent monthly payments of P&I.

180-Day Chargeoff Feature (Positive): Loans that become 180 days
delinquent based on the MBA delinquency method, except for those in
a forbearance plan, will be charged off. The 180-day chargeoff
feature will result in losses being incurred sooner, while a larger
amount of excess interest is available to protect against losses.
This compares favorably to a delayed liquidation scenario where the
loss occurs later in the life of the deal and less excess is
available.

RATING SENSITIVITIES

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 41.5% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

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

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC. The third-party due diligence described in
Form 15E focused on four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch decreased its
loss expectations by 0.93% at the 'AAAsf' stress due to 100% due
diligence with no material findings.

DATA ADEQUACY

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

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

ESG CONSIDERATIONS

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.


KKR CLO 44: Moody's Assigns B3 Rating to $250,000 Class F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued by KKR CLO 44 Ltd. (the "Issuer" or "KKR 44").

Moody's rating action is as follows:

US$310,000,000 Class A-1 Senior Secured Floating Rate Notes due
2036, Definitive Rating Assigned Aaa (sf)

US$10,000,000 Class A-2 Senior Secured Floating Rate Notes due
2036, Definitive Rating Assigned Aaa (sf)

US$250,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2036, Definitive Rating Assigned B3 (sf)

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

RATINGS RATIONALE

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

KKR 44 is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans, cash, and eligible investments,
and up to 10.0% of the portfolio may consist of second lien loans,
unsecured loans and permitted non-loan assets. Moody's expect the
portfolio to be fully ramped as of the closing date.

KKR Financial Advisors II, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four-year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

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

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

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

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

Par amount: $500,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2745

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 5.50%

Weighted Average Recovery Rate (WARR): 46.00%

Weighted Average Life (WAL): 7.0 years

Methodology Underlying the Rating Action

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

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

The performance of the Rated 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.


KRR CLO 43: Fitch Assigns 'BBsf' Rating on Class E-R Notes
----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO
43 Ltd. Reset transaction.

   Entity/Debt           Rating           
   -----------           ------           
KKR CLO 43 Ltd.

   A-1-R            LT   NRsf    New Rating
   A-2-R            LT   NRsf    New Rating
   B-R              LT   AAsf    New Rating
   C-R              LT   Asf     New Rating
   D-R              LT   BBB-sf  New Rating
   E-R              LT   BBsf    New Rating
   F-R              LT   NRsf    New Rating
   X                LT   NRsf    New Rating

TRANSACTION SUMMARY

KKR CLO 43 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by KKR
Financial Advisors II, LLC. The deal originally closed in December
2022. The CLO's secured notes were refinanced in whole on Dec. 22,
2023 from proceeds of new secured and subordinated notes. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $385 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. 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
96.73% first lien senior secured loans and has a weighted average
recovery assumption of 74.56%. 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 (Neutral): The largest three industries may
constitute up to 40% 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 that of other
recent CLOs.

Portfolio Management (Positive): The transaction has a 4.1-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 '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

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.


KRR CLO 44: Fitch Assigns 'BBsf' Rating on Class E Notes
--------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO
44 Ltd.

   Entity/Debt              Rating           
   -----------              ------           
KKR CLO 44 Ltd.

   A-1                  LT  AAAsf   New Rating
   A-2                  LT  NRsf    New Rating
   B                    LT  AAsf    New Rating
   C                    LT  Asf     New Rating
   D                    LT  BBB-sf  New Rating
   E                    LT  BBsf    New Rating
   F                    LT  NRsf    New Rating
   Subordinated Notes   LT  NRsf    New Rating

TRANSACTION SUMMARY

KKR CLO 44 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by KKR
Financial Advisors II, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
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'/'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
96.7% first-lien senior secured loans and has a weighted average
recovery assumption of 74.83%. 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 39.5% 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
CLOs.

Portfolio Management (Neutral): The transaction has a four-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 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-1, between
'BB+sf' and 'A+sf' for class B, between 'BB-sf' 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-1 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, 'Asf' 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.


MFA TRUST 2023-NQM4: Fitch Assigns Final 'B' Rating on Cl. B2 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates to be issued by MFA 2023-NQM4 Trust
(MFA 2023-NQM4).

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

   A1             LT  AAAsf  New Rating   AAA(EXP)sf
   A2             LT  AAsf   New Rating   AA(EXP)sf
   A3             LT  Asf    New Rating   A(EXP)sf
   M1             LT  BBBsf  New Rating   BBB(EXP)sf
   B1             LT  BBsf   New Rating   BB(EXP)sf
   B2             LT  Bsf    New Rating   B(EXP)sf
   B3             LT  NRsf   New Rating   NR(EXP)sf
   AIOS           LT  NRsf   New Rating   NR(EXP)sf
   XS             LT  NRsf   New Rating   NR(EXP)sf
   R              LT  NRsf   New Rating   NR(EXP)sf
   COLLAT         LT  NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed certificates to be
issued by MFA 2023-NQM4 Trust (MFA 2023-NQM4) as indicated. 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 subserviced by
ServiceMac LLC. The structure was updated post-pricing and the
coupons for A1, A2, A3 and M1 classes decreased between
50bps-70bps, which increased the weighted average excess spread to
127bps, a 58bps increase from the previous WA excess spread of
69bps. Additionally, the M1 class is now paying a fixed-rate coupon
compared with Net WAC in the previous structure.

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.

Fitch's treatment of alternative loan documentation increased
'AAAsf' expected losses by 250bps, 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. Fitch's
expected losses for DSCR loans account for 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 Fitch's rating stresses, the agency 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.
Global Structured Finance Transactions'.

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.


NLT TRUST 2023-1: Fitch Assigns Final 'B' Rating on Class B-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to NLT 2023-1 Trust.

   Entity/Debt        Rating            Prior
   -----------        ------            -----
NLT 2023-1 Trust

   A-1            LT  AAAsf New Rating   AAA(EXP)sf
   A-2            LT  AAsf  New Rating   AA(EXP)sf
   A-3            LT  Asf   New Rating   A(EXP)sf
   M-1            LT  BBBsf New Rating   BBB(EXP)sf
   B-1            LT  BBsf  New Rating   BB(EXP)sf
   B-2            LT  Bsf   New Rating   B(EXP)sf
   B-3            LT  NRsf  New Rating   NR(EXP)sf
   B-4            LT  NRsf  New Rating   NR(EXP)sf
   B              LT  NRsf  New Rating   NR(EXP)sf
   PT             LT  NRsf  New Rating   NR(EXP)sf
   XS             LT  NRsf  New Rating   NR(EXP)sf
   R              LT  NRsf  New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed notes to be issued by
NLT 2023-1 Trust, Mortgage-Backed Notes, Series 2023-1 (NLT 2023-1)
as indicated above. The notes are supported by 547 loans with a
balance of $172.33 million (this includes $1.3 million of deferred
balances) as of the cutoff date. This will be the first NLT
transaction rated by Fitch that has loans with exceptions to a
government-sponsored entity (GSE) guidelines (scratch & dent [S&D]
loans).

The notes are secured by a pool of re-performing and performing,
fixed-rate, adjustable-rate and step-rate, fully amortizing and
interest-only (IO) mortgage loans primarily secured by first liens
on one- to four-family residential properties, condominiums/co-ops,
manufactured housing and planned unit developments.

Based on the transaction documents, 92.5% of the pool comprises
collateral that had a defect or exception to guidelines making it
ineligible to remain in a GSE pool and the remaining 7.5% are
performing loans seasoned six months or more, according to Fitch

According to Fitch, 80.8% of the loans are nonqualified mortgages
(non-QM, or NQM) as defined by the Ability to Repay (ATR) rule (the
Rule), 0.0% are safe-harbor QM loans and the remaining are exempt
from the QM rule as they are investment properties or were
originated prior to the ATR rule taking effect in January 2014. The
discrepancy in non-QM percentages is due to Fitch considering
scratch and dent loans originated after January 2014 as non-QM
loans.

Per the transaction documents, CrossCountry Mortgage, LLC (CCM)
originated 14.0% of the loans, Fairway Independent Mortgage
Corporation (Fairway) originated 10.1%, and the remaining 75.9%
were originated by various other third-party originators, each
contributing less than 10%. Fitch assesses Fairway and CCM as
'Average' originators. The loans were aggregated by Nomura, which
Fitch considers an 'Acceptable' aggregator.

Fay Servicing LLC (Fay) will service 100% of the loans. Fitch rates
Fay 'RSS2'. Fay has been the servicer on prior Fitch-rated S&D
transactions. Fitch believes that Fay Servicing has the requisite
controls and practices in place to effectively servicer S&D loans.

There is no Libor exposure in this transaction. The majority of the
loans in the collateral pool comprise fixed-rate mortgages, 4.78%
of the pool comprises adjustable-rate mortgages (ARMs) and 0.59%
are step-rate mortgages. The ARM and step-rate loans in the pool
reference: the one-year constant Maturity Treasury and 30-day,
six-month and one-year Secured Overnight Financing Rate (SOFR). The
loans that were originated with an index based off of one-year or
six-month Libor were transitioned to one-year or six-month SOFR
indexes (this impacted 0.78% of the pool).

The offered class A-1 notes do not have Libor exposure as the
coupons are fixed rate and capped at the net weighted average
coupon (WAC). The class A-2, A-3, M-1, B-1, B-2, B-3, and B-4 notes
have coupons based on the net WAC. The class B and PT notes are
exchangeable and will not have a note rate but are entitled on each
payment date to receive the interest payment amount and interest
carryforward amounts otherwise payable to the related initial
exchangeable notes for such payment date.

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 11.1% above a long-term sustainable level (vs.
9.42% on a national level as of 2Q23, up 1.82% since last quarter).
Housing affordability is the worst it has been in decades driven by
both high interest rates and elevated home prices. Home prices have
increased 1.87% YoY nationally as of October 2023, despite modest
regional declines, but are still being supported by limited
inventory.

Nonprime Credit Quality (Negative): The collateral consists of 547
first lien fixed-rate, adjustable-rate and step-rate, fully
amortizing balloon and IO mortgages with maturities of up to 38
years totaling $172.3 million (including deferred balances). The
pool is seasoned at 39 months, per the transaction documents (43
months, as determined by Fitch).

The borrowers in this pool have relatively strong credit profiles
with a Fitch-determined WA FICO score of 723 (727 WA original FICO
and 729 WA updated FICO per the transaction documents) and a 39.8%
Fitch-determined debt-to-income ratio (DTI), as well as moderate
leverage, with an original combined loan-to-value ratio (CLTV), as
determined by Fitch, of 78.6%, translating to a Fitch-calculated
sustainable LTV ratio (sLTV) of 73.8%.

In Fitch's analysis, Fitch re-coded occupancy based on due
diligence findings for some loans; as a result, Fitch will have
more investor properties in its analysis than are shown in the
transaction documents. Fitch's analysis considers 78.3% of the pool
consisting of loans where the borrower maintains a primary
residence (83.0% based on transaction documents), while 17.1%
comprises investor properties (11.9% based on transaction
documents) and 4.6% represents second homes (4.6% per transaction
documents).

In Fitch's analysis, Fitch re-coded property types based on due
diligence findings; as a result, the percentages will not tie out
to the property types in the transaction documents. In Fitch's
analysis, the majority of the loans (76.4%) are to single-family
homes and planned unit developments (PUDs); 9.4% are to condos;
1.9% are to co-ops; and 12.3% are to multifamily homes,
manufactured housing and other property types. In the analysis,
Fitch treated manufactured properties and properties coded as other
occupancy types as multifamily; as a result, the probability of
default (PD) was increased for these loans.

In total, 76.6% of the loans were originated through a retail
channel. According to Fitch, 80.8% of the loans are designated as
non-QM loans and 0.0% are safe-harbor QM loans, while the remaining
19.2% are exempt from QM status as they were originated prior to
the ATR rule taking effect in January 2014 or since the occupancy
type is investor occupied. In Fitch's analysis, Fitch considered
scratch and dent loans originated after January 2014 to be non-QM
since they are no longer eligible to be in GSE pools; as a result,
Fitch's non-QM, QM and loans exempt from QM percentages will not
tie out to the transaction documents.

The pool contains 21 loans over $1.0 million, with the largest loan
at $2.4 million.

Fitch determined that self-employed borrowers make up 27.3% of the
pool and salaried borrowers make up 72.7%; Fitch's self-employed
borrower number includes 6.5% unknowns; hence, it may differ from
the transaction documents. About 17.1% of the pool comprises loans
for investor properties, according to Fitch. According to Fitch,
there are no second liens in the pool and 45 loans (7%) have
subordinate financing.

Around 22.2% of the pool is concentrated in California. The largest
MSA concentration is in the New York City MSA (10.5%), followed by
the Los Angeles MSA (7.8%), and the San Francisco MSA (5.0%). The
top three MSAs account for 23.3% of the pool. As a result, there
was no penalty for geographic concentration.

According to Fitch, 98% of the pool is current as of the cut-off
date. Overall, the pool characteristics resemble nonprime
collateral; therefore, the pool was analyzed using Fitch's nonprime
model.

Guideline Exception Loans (Negative): Of the collateral, 92.5%
consists of loans that had defects or exceptions to guidelines at
origination with a substantial portion originally underwritten to
GSE guidelines. The exceptions ranged from those that are
immaterial to Fitch's analysis (loan seasoning and mortgage
insurance issues) to those that are handled by Fitch's model due to
tape attributes (prior delinquencies and LTVs above guidelines) to
loans with potential compliance exceptions that received loss
adjustments (loans with miscalculated DTIs and potential ATR
issues). In addition, loans with missing documentation may extend
foreclosure timelines or increase loss severity (LS), which Fitch
is able to account for in its loss analysis.

Non-QM Loans with Less than Full Documentation (Negative):
Approximately 36.1% of the pool was underwritten to less than full
documentation, according to Fitch. Specifically, 85.9% was
underwritten to conventional Fannie Mae/Freddie Mac guidelines,
9.1% was underwritten to FHA guidelines and 5.0% was underwritten
to VA guidelines. Overall, Fitch increased the PD on non-full
documentation loans to reflect the additional risk.

In Fitch's analysis, Fitch considered less than full documentation
loans as 16.0% stated documentation, 9.1% less than full
documentation and 11.0% no documentation. The remaining 63.9% were
considered full documentation. Due to due diligence findings and
documentation treatment of certain loan documentation types,
Fitch's documentation types will not match the documentation types
in the transaction documents.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial 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.

Loan Count Concentration (Negative): The loan count for this pool
(547 loans) results in a loan count concentration penalty. The loan
count concentration penalty applies when the WA number (WAN) of
loans is less than 300; in this pool, the WAN is 294. The loan
count concentration for this pool results in a 1.06x penalty, which
increases loss expectations by 10 basis points (bps) at the 'AAAsf'
rating category.

Sequential Deal Structure with No Advancing (Mixed): The
transaction utilizes a sequential payment structure with no
advancing of delinquent principal and interest. In a sequential
structure, the subordinate classes do not receive principal until
the senior classes are repaid in full. 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 no
advancing.

Losses will be allocated to the notes in reverse sequential order
starting with class B-4.

The transaction has excess interest, which will help protect the
classes from losses if they are to occur.

There is not advancing of delinquent principal and interest in this
transaction. This results in a lower LS, since funds will not have
to be paid out to the servicer for delinquent principal and
interest amounts on which they advanced. However, the credit
enhancement (CE) will be increased as principal funds will need to
be used to pay interest if loans become delinquent.

The coupons on the class A-1 notes are based on the lower of the
net WAC or the stated coupon. The coupons on the class A-2, A-3,
M-1, B-1, B-2, B-3, and B-4 notes are based on the net WAC. The
class B and PT notes do not have a stated coupon but are paid
interest based on the classes with which they are exchangeable.

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 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 42.2%, 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 analysis 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 SitusAMC. The third-party due diligence described in
Form 15E focused on six areas: compliance review, credit review,
valuation review, data integrity, servicing comment review and
title review. Fitch considered this information in its analysis.
Based on the results of the 100% due diligence performed on the
pool, Fitch did adjust the expected losses.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria".

The sponsor, Nomura Corporate Funding Americas, LLS, engaged
SitusAMC to perform the review. 100% of the loans were reviewed for
compliance and they received initial and final grades for this
subcategory. 82.8% of the loans reviewed received a credit and
valuation review by SitusAMC and they received initial and final
grades for these subcategories.

For seasoned loans a payment history review was performed, a
custodial reviewed was performed, a servicer comment review was
performed and a tax and title search was performed. This is in
addition to the servicer confirming the payment history and the
current lien status.

Fitch also received notes on exceptions based on the post close QC
performed by the GSEs on 92.5% of the pool. Fitch took these notes
into account during its analysis of the transaction.

An exception and waiver report was provided to Fitch, indicating
that the pool of reviewed loans has a number of exceptions and
waivers. Fitch determined that some of the exceptions and waivers
do materially affect the overall credit risk of the loans, and it
increased its loss expectations on these loans to account for the
issues found in the due diligence process on the loans that are
considered scratch and dent with material findings. For the
remaining loans, Fitch did not consider the exceptions (if any) to
be material due to the presence of compensating factors, such as
having liquid reserves, a FICO above guideline requirements or LTVs
or DTIs below guideline requirements. Therefore, no adjustments
were needed to compensate for these occurrences on the non-scratch
and dent loans.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. 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 data tape layout were populated by the
due diligence company and no material discrepancies were noted.

ESG CONSIDERATIONS

NLT 2023-1 Trust has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated operational risk, which
resulted in an increase in expected losses. While the reviewed
originators and servicing parties did not have a material impact on
the expected losses, the Tier 2 R&W framework with an unrated
counterparty along with approximately 37% of the loans in the pool
being underwritten by originators that have not been assessed by
Fitch resulted in an increase in the expected losses. This 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.


OCP AEGIS 2023-29: Fitch Assigns 'BB+sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to OCP Aegis
CLO 2023-29, Ltd.

   Entity/Debt             Rating           
   -----------             ------            
OCP Aegis CLO
2023-29, Ltd.

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

TRANSACTION SUMMARY

OCP Aegis CLO 2023-29, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Onex
Credit Partners, LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $450 million of primarily first lien senior secured
leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Neutral): The average credit quality of the
indicative portfolio is 'BB-'/'B+', which is higher than that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 18.27, versus a maximum covenant, in
accordance with the initial expected matrix point of 19. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.

Asset Security (Positive): The indicative portfolio consists of
100% first-lien senior secured loans. The weighted average recovery
rate (WARR) of the indicative portfolio is 78.28% versus a minimum
covenant, in accordance with the initial expected matrix point of
76.3%.

Portfolio Composition (Positive): The largest three industries may
comprise up to 52% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
obligor and geographic concentrations is in line with other recent
CLOs. The industry concentrations are higher than 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. 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 'Asf' and 'AAAsf' for class A-1, between 'A-sf'
and 'AA+sf' for class A-2, between 'BBB-sf' and 'AAsf' for class B,
between 'BBsf' and 'A+sf' for class C, between 'B-sf' and 'BBB+sf'
for class D; and between less than 'B-sf' and 'BB-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 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.


PRPM TRUST 2023-NQM3: Fitch Assigns Final 'B-' Rating on B2 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by PRPM 2023-NQM3 Trust (PRPM
2023-NQM3).

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

   A1             LT  AAAsf  New Rating   AAA(EXP)sf
   A2             LT  AAsf   New Rating   AA(EXP)sf
   A3             LT  Asf    New Rating   A(EXP)sf
   M1             LT  BBBsf  New Rating   BBB(EXP)sf
   B1             LT  BBsf   New Rating   BB(EXP)sf
   B2             LT  B-sf   New Rating   B-(EXP)sf
   B3             LT  NRsf   New Rating   NR(EXP)sf
   AIOS           LT  NRsf   New Rating   NR(EXP)sf
   XS             LT  NRsf   New Rating   NR(EXP)sf
   P              LT  NRsf   New Rating   NR(EXP)sf
   R              LT  NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Fitch has rated 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. 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.

The coupons on the A-1 to A-3 classes have decreased following the
pricing of the transaction on Dec. 19, 2023. Additionally, the M-1
bond now has a fixed-rate coupon instead of floating based off the
net WAC. Fitch re-ran its cash flow analysis to test the updated
structure and the final ratings passed the respective stresses.

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
for single-family homes, townhomes and PUDs; 5.6% are for condos;
and 16.4% are for 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 Fitch's rating stresses, the agency
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.


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

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

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

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

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

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

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



[*] Fitch Affirms 49 Classes on 10 CLOs, Outlooks Stable
--------------------------------------------------------
Fitch Ratings, on Dec. 20, 2022, affirmed 49 classes from 10
collateralized loan obligations (CLOs). The Rating Outlooks on all
rated tranches remain Stable.

   Entity/Debt            Rating           Prior
   -----------            ------           -----
Magnetite XXIV,
Limited

   A-R 55954WAL3      LT AAAsf  Affirmed   AAAsf
   B-R 55954WAN9      LT AAsf   Affirmed   AAsf
   C-R 55954WAQ2      LT  Asf   Affirmed   Asf
   D-R 55954WAS8      LT BBB-sf Affirmed   BBB-sf

Anchorage Capital
CLO 25, Ltd.

   A-2 03329WAC1      LT AAAsf  Affirmed   AAAsf
   B 03329WAE7        LT AA+sf  Affirmed   AA+sf
   C 03329WAG2        LT A+sf   Affirmed   A+sf
   D 03329WAJ6        LT BBB+sf Affirmed   BBB+sf

Park Blue CLO
2022-II, Ltd.

   B-1 70018CAE6      LT AAsf   Affirmed   AAsf
   B-2 70018CAG1      LT AAsf   Affirmed   AAsf
   C 70018CAJ5        LT A+sf   Affirmed   A+sf
   D 70018CAL0        LT BBB+sf Affirmed   BBB+sf
   E 70018LAA4        LT BBsf   Affirmed   BBsf

Anchorage Capital
CLO 24

   A-2 03331GAC2      LT AAAsf  Affirmed   AAAsf
   B 03331GAE8        LT AAsf   Affirmed   AAsf
   C 03331GAG3        LT Asf    Affirmed   Asf
   D-1 03331GAJ7      LT BBB+sf Affirmed   BBB+sf
   D-2 03331GAL2      LT BBB-sf Affirmed   BBB-sf

Canyon CLO
2022-2, Ltd

   B 13877LAC0        LT AAsf   Affirmed   AAsf
   C 13877LAE6        LT Asf    Affirmed   Asf
   D 13877LAG1        LT BBB-sf Affirmed   BBB-sf
   E 13877MAA2        LT BB-sf  Affirmed   BB-sf

Voya CLO 2018-3,
Ltd.

   A-1A 92917KAA2     LT AAAsf  Affirmed   AAAsf
   A-1B-R 92917KAN4   LT AAAsf  Affirmed   AAAsf
   A-2 92917KAB0      LT AAAsf  Affirmed   AAAsf
   B 92917KAC8        LT AA+sf  Affirmed   AA+sf

OCP CLO 2015-9, Ltd.

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

Magnetite XXXIV,
Limited

   B 55952MAC7        LT AAsf   Affirmed   AAsf
   C 55952MAE3        LT Asf    Affirmed   Asf
   D 55952MAG8        LT BBB-sf Affirmed   BBB-sf
   E 55954VAA9        LT BBsf   Affirmed   BBsf

OCP CLO 2016-12 Ltd.

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

Silver Point
CLO 1, Ltd.

   A-2 828085AC4      LT AAAsf  Affirmed   AAAsf
   B 828085AJ9        LT AAsf   Affirmed   AAsf
   C-1 828085AE0      LT Asf    Affirmed   Asf
   C-2 828085AL4      LT Asf    Affirmed   Asf
   D 828085AG5        LT BBB-sf Affirmed   BBB-sf
   E 82808DAA1        LT BB+sf  Affirmed   BB+sf

TRANSACTION SUMMARY

All 10 CLOs are secured primarily by first-lien, senior secured
leveraged loans. All transactions are still in their reinvestment
periods, except for Voya CLO 2018-3, Ltd. (Voya 2018-3) that exited
its reinvestment period in October 2023.

KEY RATING DRIVERS

Cash Flow Analysis

The affirmations are driven by the portfolios' stable performance
since last rating actions and by credit enhancement (CE) levels
against relevant rating stress loss levels. Fitch analyzed each CLO
based on the current portfolio and an updated Fitch Stressed
Portfolio (FSP) cash flow analysis. The FSP analysis was also
deemed appropriate for Voya 2018-3 due to its ability to continue
to reinvest after the end of its reinvestment period, subject to
certain conditions, which has also been observed in other
Fitch-rated CLOs managed by Voya Asset Management in the
post-reinvestment period. The FSP analysis stressed the current
portfolios as of the latest trustee reporting to account for
permissible concentration and collateral quality test (CQT) limits
of each transaction.

The current ratings are in line with their respective model-implied
ratings (MIRs), as defined in Fitch's "CLOs and Corporate CDOs
Rating Criteria," except for class B, C and E notes in Canyon CLO
2022-2, Ltd., class B-R, C-R and D-R notes in Magnetite XXIV,
Limited (Magnetite XXIV), and class C notes in Magnetite XXXIV,
Limited. The aforementioned notes were affirmed one notch below the
MIR, with the exception of the class D-R notes in Magnetite XXIV,
which was affirmed two notches below the MIR. The variations are
due to limited positive cushions at the respective MIR rating
levels above the current ratings, in view of potential portfolio
deterioration in the context of weakening macroeconomic
environment.

The Stable Outlooks for all remaining tranches reflect Fitch's
expectation that the notes have sufficient level of credit
protection to withstand potential deterioration in the credit
quality of the portfolios in stress scenarios commensurate with
each class' rating.

Stable Asset Performance, Asset Credit Quality and Asset Security

As of the latest reporting, the credit quality of the portfolios is
generally at the 'B'/'B-' rating level. The average Fitch weighted
average rating factors (WARF) of the performing portfolios is 25.3,
while the average Fitch weighted average recovery rate (WARR) is at
74.9%. Average exposure to issuers with a Negative Outlook and
Fitch's watchlist is 16.1% and 6.1%, respectively. Please refer to
the supplemental Rating Action Report in the "Related Content"
section above for additional portfolio specific information.

RATING SENSITIVITIES

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

Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing and the
notes' credit enhancement do not compensate for the higher loss
expectation than initially assumed. Fitch conducted rating
sensitivity analysis on the closing date of each CLO, incorporating
increased levels of defaults and reduced levels of recovery rates
among other sensitivities. The outcome of the analysis at initial
rating assignment remain in line with Fitch's expectations.

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

Except for tranches already at the highest 'AAAsf' rating, upgrades
may occur in the event of better-than-expected portfolio credit
quality and transaction performance. Fitch conducted rating
sensitivity analysis on the closing date of each CLO, incorporating
increased levels of defaults and reduced levels of recovery rates
among other sensitivities. The outcome of the analysis at initial
rating assignment remain in line with Fitch's expectations.

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.


                            *********

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
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets.  At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled.  Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets.  A company may establish reserves on its balance sheet for
liabilities that may never materialize.  The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.

On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts.  The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.

Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/books/to order any title today.

Monthly Operating Reports are summarized in every Saturday edition
of the TCR.

The Sunday TCR delivers securitization rating news from the week
then-ending.

TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.

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

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA.
Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon,
Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.

Copyright 2024.  All rights reserved.  ISSN: 1520-9474.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.  Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.

The TCR subscription rate is $975 for 6 months delivered via
e-mail.  Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each.  For subscription information, contact Peter A.
Chapman at 215-945-7000.

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