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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 14, 2024, Vol. 28, No. 13

                            Headlines

AFFIRM ASSET 2023-B: DBRS Confirms BB Rating on Class E Notes
AUXILIOR TERM 2023-1: DBRS Finalizes BB(high) Rating on E Notes
BANK OF AMERICA 2016-UBS10: DBRS Cuts Rating to C on 4 Classes
BARINGS CLO 2023-IV: S&P Assigns Prelim BB- (sf) Rating on E Notes
BREAN ASSET 2023-RM7: DBRS Finalizes B Rating on Cl. M4 Notes

DIAMETER CAPITAL 4: S&P Assigns Prelim 'BB-' Rating on D-R Notes
FAIRSTONE FINANCIAL 2020-1: Moody's Ups Cl. D Notes Rating to Ba1
GCAT 2023-NQM4: Fitch Gives 'Bsf' Rating on Class B-2 Certificates
GCAT TRUST 2024-NQM1: Fitch Gives 'B(EXP)' Rating on Cl. B-2 Certs
GS MORTGAGE 2011-GC5: DBRS Confirms C Rating on 4 Tranches

JP MORGAN 2021-1440: DBRS Cuts Certs Rating to CCC on 3 Classes
JPMCC MORTGAGE 2012-CIBX: DBRS Confirms C Rating on 3 Tranches
KKR STATIC I: Fitch Affirms BB+sf Rating on Class E Notes
MADISON PARK LXI: Moody's Assigns B3 Rating to $250,000 F Notes
MAGNETITE LTD XVIII: Moody's Ups Rating on Class E-R Notes to Ba2

NLT TRUST 2023-1: DBRS Gives B Rating on Class B-2 Notes
REGATTA FUNDING XIII: Moody's Cuts Rating on $35MM D Notes to B1
SEQUOIA MORTGAGE 2024-1: Fitch Gives 'BB(EXP)' Rating on B4 Certs
SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs
UBS-BARCLAYS 2012-C4: DBRS Cuts Class E Certs Rating to CCC

VERUS SECURITIZATION 2024-1: S&P Assigns Prelim B (sf) on B-2 Notes
VITALITY RE XV: Fitch Assigns BB+(EXP) Rating on 2024 Cl. B Notes
[*] DBRS Confirms 37 Credit Ratings in 14 CPS Trust Transactions
[*] DBRS Reviews 539 Classes From 48 US RMBS Transactions
[*] Moody's Hikes Ratings on $241MM of US RMBS Issued 2021-2022

[*] Moody's Takes Action on $29.3MM of US RMBS Issued 2003-2004
[*] S&P Takes Various Actions on 145 Classes From 50 US RMBS Deals

                            *********

AFFIRM ASSET 2023-B: DBRS Confirms BB Rating on Class E Notes
-------------------------------------------------------------
DBRS, Inc. confirms its ratings on the following notes issued by
Affirm Asset Securitization Trust 2023-B (Affirm 2023-B):

-- $869,320,000 Class A Notes at AAA (sf)
-- $72,730,000 Class B Notes at AA (sf)
-- $61,930,000 Class C Notes at A (sf)
-- $47,720,000 Class D Notes at BBB (sf)
-- $48,300,000 Class E Notes at BB (sf)

Initial notes totaling $750 million were issued (Initial Notes) on
September 19, 2023, the Initial Closing Date. The transaction
includes a feature known as Expandable Notes, whereby the Issuer
may issue Additional Notes (up to a maximum $1,500,000,000 of the
total Notes outstanding) at any point during the Revolving Period.
On December 15, 2023 (the Additional Notes Closing Date), the
Issuer has issued an additional $350 million of Additional Notes
for a total Note issuance of $1.1 billion.

The terms of the Additional Notes of each Class are the same as
those of the Initial Notes of that Class, except that the interest
due on the Additional Notes shall accrue from December 15, 2023 and
shall be payable starting on the first Payment Date following the
Additional Notes Closing Date.

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

(1) 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 COVID-19 pandemic scenarios,
which were first published in April 2020.

(2) The transaction's form and sufficiency of available credit
enhancement.

-- Subordination, overcollateralization, amounts held in the
Reserve Account, the Yield Supplement Overcollateralization Amount,
and excess spread create credit enhancement levels that are
commensurate with the ratings.

-- Transaction cash flows are sufficient to repay investors under
all AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) stress
scenarios in accordance with the terms of the Affirm 2023-B
transaction documents.

(3) Inclusion of structural elements featured in the transaction
such as the following:

-- Eligibility criteria for receivables that are permissible in
the transaction.

-- Concentration limits designed to maintain a consistent profile
of the receivables in the pool.

-- Performance-based Amortization Events that, when breached, will
end the revolving period and begin amortization.

(4) The experience, sourcing, and servicing capabilities of Affirm,
Inc. (Affirm).

(5) The experience, underwriting, and origination capabilities of
Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic
Bank, and Lead Bank.

(6) The ability of Nelnet Servicing to perform duties as a Backup
Servicer.

(7) The annual percentage rate charged on the loans and CRB, Celtic
Bank, and Lead Bank's status as the true lender.

-- All loans in the initial pool included in Affirm 2023-B are
originated by Affirm through its subsidiary ALS or by originating
banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and
Missouri, respectively, state-chartered FDIC-insured banks.

-- Loans originated by ALS utilize state licenses and
registrations and interest rates are within each state's respective
usury cap.

-- Loans originated by CRB are all within the New Jersey state
usury limit of 30.00%.

-- Loans originated by Celtic Bank are all within the Utah state
usury limit of 36.00%.

-- Loans originated by Lead Bank are originated below 36%.

-- Loans may be in excess of individual state usury laws; however,
CRB, Celtic Bank, and Lead Bank as the true lenders are able to
export rates that preempt state usury rate caps.

-- The loan pool only includes loans made to borrowers in New York
that have Contract Rates below the usury threshold.

-- Loans originated to borrowers in Iowa will be eligible to be
included in the Receivables to be transferred to the Trust. These
loans will be originated under the ALS entity using Affirm's state
license in Iowa.

-- Loans originated to borrowers in West Virginia will be eligible
to be included in the Receivables to be transferred to the Trust.
Affirm has the required licenses and registrations that will enable
it to operate the bank partner platform in West Virginia.

-- Affirm has obtained a supervised lending license from Colorado,
permitting Affirm to facilitate supervised loans in excess of the
Colorado annual rate cap, complying with Assurance of
Discontinuance's (AOD's) safe harbor.

-- Loans originated to borrowers in Vermont above the state usury
cap will be eligible to be included in the Receivables to be
transferred to the Trust. Affirm has the required licenses and
registrations in the state of Vermont.

-- Loans originated to borrowers in Connecticut with a Contract
Rate above the state usury cap will be ineligible to be included in
the Receivables to be transferred to the Trust until Affirm obtains
the required licenses and registrations in the state of
Connecticut. Inclusion of these Receivables will be subject to
Rating Agency Condition.

-- Under the loan sale agreement, Affirm is obligated to
repurchase any loan if there is a breach of representation and
warranty that materially and adversely affects the interests of the
purchaser.

(9) The legal structure and legal opinions that address the true
sale of the unsecured consumer loans, the nonconsolidation of the
Trust, and that the Trust has a valid perfected security interest
in the assets and consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance."

DBRS Morningstar's credit rating on the securities referenced
herein 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 Interest Distribution Amount 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 contractual payment obligation that is
not a financial obligation is the portion of Note Interest
Shortfall attributable to interest on unpaid Note Interest 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.


AUXILIOR TERM 2023-1: DBRS Finalizes BB(high) Rating on E Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes 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)
-- $196,360,000 Class A-2 Notes at AAA (sf)
-- $50,000,000 Class A-3 Notes at AAA (sf)
-- $19,666,000 Class B Notes at AA (high) (sf)
-- $17,307,000 Class C Notes at A (high) (sf)
-- $14,550,000 Class D Notes at BBB (high) (sf)
-- $17,700,000 Class E Notes at BB (high) (sf)

The 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 is 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 (calculated using the Discount Rate of 9.35%),
as of the Initial Cut-Off Date.

-- A non-amortizing cash Reserve Account equal to 1.00% of the
Aggregate Securitization Value (calculated using the Discount
Rate), 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 the Discount Rate
of 9.35%, 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 4.55% of the
Aggregate Securitization Value (calculated using the Discount
Rate).

-- 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 is the
Servicer and Administrator, and GreatAmerica Portfolio Services is
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 (all percentages in this bullet are
calculated using the Statistical Discount Rate of 10.20%). 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 have been 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.


BANK OF AMERICA 2016-UBS10: DBRS Cuts Rating to C on 4 Classes
--------------------------------------------------------------
DBRS Limited downgraded its credit ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2016-UBS10 issued by
Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10
as follows:

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

DBRS Morningstar also confirmed the credit ratings on the remaining
classes as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)

Classes E, X-E, F, X-F, and G have credit ratings that do not
generally carry a trend in Commercial Mortgage-Backed Security
(CMBS) credit ratings. All other classes have Stable trends.

The credit rating downgrades reflect the increased loss
expectations regarding the largest specially serviced loan, Belk
Headquarters loan (Prospectus ID #3, 9.2% of the current trust
balance), a dark office property in Charlotte, North Carolina,
which the borrower plans to transfer ownership to the trust. The
loan is further discussed below. DBRS Morningstar also notes the
increased credit risk profile to loans backed by office properties,
which is the highest property concentration comprising 35.3% of the
current pool balance. A noteworthy loan is 2100 Ross (Prospectus
ID#7, 5.7% of the current pool balance), which is secured by a
Class A high-rise building in the central business district (CBD)
of Dallas and occupancy at the subject has been trending downward.
In general, the office sector has been challenged, given the low
investor appetite for that property type and high vacancy rates in
many submarkets as a result of the shift in workplace dynamics.
Office loans and other loans that have exhibited increased risk
were analyzed with stressed loan-to-value ratios (LTVs) and/or
elevated probability of default (POD) penalties, as applicable. The
resulting weighted-average (WA) expected loss for these loans was
approximately 85% higher than the pool's WA expected loss. The
credit rating confirmations reflect the continued performance of
the remaining loans in the transaction that have generally
experienced minimal changes since the last credit rating action,
and reported a WA debt service coverage ratio (DSCR) of 1.84 times
(x) based on the most recent year-end financials available.

As of the November 2023 remittance, 41 of the original 52 loans
remain in the trust, with an aggregate balance of $578.5 million,
representing a collateral reduction of 34.0% since issuance. The
pool benefits from seven loans that are fully defeased,
representing 10.8% of the pool. Five loans, representing 17.7% of
the pool, are on the servicer's watchlist and are being monitored
primarily for low DSCR and/or occupancy concerns. There are two
specially serviced loans, representing 11.0% of the pool. Since
DBRS Morningstar's last review, Comfort Inn - Cross Lanes, WV
(Prospectus ID#34), which was previously special serviced, was
liquidated from the trust in March 2023 at a loss of $430,660. To
date, a cumulative loss of $1.0 million has been incurred, which is
well contained in the nonrated Class H.

The Belk Headquarters loan is secured by a 473,698-square-foot (sf)
Class B office property in suburban Charlotte. The subject
previously served as the headquarters for single tenant, Belk,
which had a lease extending to March 2031 but the tenant had gone
dark after shifting to a fully remote policy for its
corporate-level employees in 2021. The loan transferred to special
servicing in December 2022 at the request of the borrower and the
special servicer is working toward transferring the title of the
property to the lender. While the loan has remained current with a
YE2022 DSCR of 1.46x as Belk continues to honor its lease terms,
the value has likely declined significantly from the issuance value
of $96.9 million, given the challenged office landscape and soft
submarket. According to Reis, the Q3 2023 vacancy rate for the
Airport/Parkway submarket was 25.2% with an average asking rental
rate of $24.62 per sf (psf), which is approximately double Belk's
annual rental rate of $12.30 psf, providing upside potential in
rental revenue if the space is re-leased at market rates. A cash
flow sweep was triggered as a result of Belk's failure to occupy
its space and DBRS Morningstar has inquired about the balance on
this cash management account but a response is pending as of this
press release. As per the November 2023 reserve report, the loan
reported a total of $6.8 million in reserves, with $5.4 million
held in other reserves.

Considering the significant headwinds to backfill a completely
vacant office building in a challenging submarket, as well as the
low investor demand for this property type, DBRS Morningstar
liquidated this loan with a stressed value, resulting in a loss
approaching $48.0 million, which erodes the credit enhancement of
the trust, thereby supporting the credit rating downgrades.

The 2100 Ross loan is secured by a Class A high-rise building in
the Dallas CBD. Following the departure of its former largest
tenant, CBRE Group, Inc. (CBRE; formerly occupied 15.2% of the net
rentable area), at its March 2022 lease expiration, occupancy
declined with the September 2023 rent roll reporting an occupancy
rate of 63.4%, compared with YE2021 occupancy rate of 79.8%. DSCR
is expected to drop to near breakeven to account for CBRE's
departure, compared with the YE2022 DSCR of 1.15x, YE2021 DSCR of
1.32x, and issuance at 1.36x. Reis indicates a softening submarket
as office properties within the Dallas CBD submarket reported a Q3
2023 vacancy rate of 34.1%, up from the Q3 2022 vacancy rate of
29.6%. The loan is structured with a cash flow sweep tied to the
departure of CBRE, with the cash flow sweep subject to a cap of
$2.2 million (approximately $17 psf on CBRE's space). DBRS
Morningstar has requested an update from the service regarding the
balance of the cash management account. While the cash flow sweep
is a benefit, it is unlikely the amount will be sufficient to cover
a tenant improvement package for a new tenant. Given the increased
vacancy at the subject, coupled with the softening submarket
conditions, DBRS Morningstar analyzed this loan with an elevated
POD penalty to increase the loan's expected loss, resulting in an
expected loss that was 80% more than the pool's WA expected loss.

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


BARINGS CLO 2023-IV: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Barings CLO
Ltd. 2023-IV/Barings CLO 2023-IV 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 Barings LLC.

The preliminary ratings are based on information as of Jan. 10,
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 collateral pool's diversification;

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

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

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

  Preliminary Ratings Assigned

  Barings CLO Ltd. 2023-IV/Barings CLO 2023-IV LLC

  Class A, $320.00 million: AAA (sf)
  Class B, $57.50 million: AA (sf)
  Class C (deferrable), $32.50 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $51.30 million: Not rated



BREAN ASSET 2023-RM7: DBRS Finalizes B Rating on Cl. M4 Notes
-------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings to the
following Mortgage-Backed Notes, Series 2023-RM7 (the Notes) issued
by Brean Asset-Backed Securities Trust 2023-RM7:

-- $147.6 million Class A1 at AAA (sf)
-- $26.0 million Class A2 at AAA (sf)
-- $173.6 million Class AM at AAA (sf)
-- $7.4 million Class M1 at AA (sf)
-- $1.9 million Class M2 at A (sf)
-- $1.1 million Class M3 at BBB (sf)
-- $5.4 million Class M4 at B (sf)

Class AM is an exchangeable note. This class can be exchanged for
combinations of exchange notes as specified in the offering
documents.

The AAA (sf) credit rating reflects 112.6% of cumulative advance
rate. The AA (sf), A (sf), BBB (sf), and B (sf) ratings reflect
117.3%, 118.6%,119.3%, and 122.8% of cumulative advance rates,
respectively.

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

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

As of the September 30, 2023, cut-off date, the collateral has
approximately $154.2 million in current unpaid principal balance
(UPB) from 298 performing, two in default for insurance, and one in
default for occupancy fixed-rate jumbo reverse mortgage loans
secured by first liens on single-family residential properties,
condominiums, townhomes, multifamily (two- to four-family)
properties, cooperatives, planned unit developments, and
manufactured homes. About 72.6% of the loans by UPB were originated
in 2023, 16.7% in 2022, and the rest between 2021 and 2018. All
loans in this pool have a fixed interest rate with a 9.428%
weighted-average coupon.

The transaction uses a structure in which cash distributions are
made sequentially to each rated note until the rated amounts with
respect to such notes are paid off. No subordinate note shall
receive any payments until the balance of senior notes has been
reduced to zero.

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

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

If, on any Payment Date (1) the average one-month conditional
prepayment rate over the immediately preceding six-month period is
equal to or greater than 25%, or (2) if the average per annum
increase in the Case-Shiller Index, or, to the extent the
Case-Shiller is no longer published, the Home Price Index, over the
immediately preceding 12-month period is less than or equal to 0%
then on such date, 50% of available funds remaining after payment
of fees and expenses and interest to the Class A Notes will be
deposited into the Refunding Account, which may be used to purchase
additional mortgage loans.

DBRS Morningstar's credit ratings on the Notes address 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
Note Amount and Interest Accrual Amounts.

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.

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


DIAMETER CAPITAL 4: S&P Assigns Prelim 'BB-' Rating on D-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2A-R, A-2B-R, B-R, C-1-R, C-2-R, and D-R replacement notes
from Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC, a CLO
originally issued in January 2023 that is managed by Diameter CLO
Advisors LLC.

The preliminary ratings are based on information as of Jan. 10,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

On the Jan. 16, 2024, refinancing date, the proceeds from the
replacement notes will be used to redeem the original notes. S&P
said, "At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

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

-- The replacement class A-1-R, A-2A-R, A-2B-R, B-R, C-1-R, C-2-R,
and D-R notes are expected to be issued at a lower spread than the
original notes.

-- The reinvestment period will be extended three years.

-- The stated maturity will be extended one year.

-- Of the identified underlying collateral obligations, 99.70%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.

-- Of the identified underlying collateral obligations, 91.78%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.

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

  Preliminary Ratings Assigned

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

  Class A-1-R, $300.00 million: AAA (sf)
  Class A-2A-R, $62.50 million: AA (sf)
  Class A-2B-R, $10.00 million: AA (sf)
  Class B-R (deferrable), $34.00 million: A (sf)
  Class C-1-R (deferrable), $22.50 million: BBB (sf)
  Class C-2-R (deferrable), $6.00 million: BBB- (sf)
  Class D-R (deferrable), $16.25 million: BB- (sf)
  Subordinated notes, $42.85 million: Not rated

  Other Outstanding Debt

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

  Class A-1: AAA (sf)
  Class A-1L loans: AAA (sf)
  Class A-1N: AAA (sf)
  Class A-2A: AA (sf)
  Class A-2B: AA (sf)
  Class B (deferrable): A (sf)
  Class C-1 (deferrable): BBB (sf)
  Class C-2 (deferrable): BBB- (sf)
  Class D (deferrable): BB- (sf)
  Subordinated notes: Not rated



FAIRSTONE FINANCIAL 2020-1: Moody's Ups Cl. D Notes Rating to Ba1
-----------------------------------------------------------------
Moody's Investors Service upgrades three classes of notes from
Fairstone Financial Issuance Trust I, Series 2020-1. The collateral
backing these securitizations consists of secured and unsecured
personal loans originated in Canada by Fairstone Financial Inc.
(Fairstone). Fairstone also acts as the servicer of the loans.

A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.

The complete rating actions are as follows:

Issuer: Fairstone Financial Issuance Trust I, Series 2020-1

Series 2020-1 Class B Notes, Upgraded to Aa2 (sf); previously on
Oct 16, 2020 Definitive Rating Assigned A2 (sf)

Series 2020-1 Class C Notes, Upgraded to A3 (sf); previously on Oct
16, 2020 Definitive Rating Assigned Ba1 (sf)

Series 2020-1 Class D Notes, Upgraded to Ba1 (sf); previously on
Oct 16, 2020 Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

The upgrades are primarily a result of the buildup of credit
enhancement due to structural features including a sequential pay
structure, non-declining reserve account and overcollateralization
following the end of the three year revolving period on the
November 2023 payment date.

The action also reflects a reduction in Moody's cumulative net loss
(CNL) expectations for the underlying pool, reflecting stronger
collateral quality following the end of the revolving period
relative to the worst possible pool mix permissible by the
concentration limits during the revolving period. The lifetime
cumulative net loss (CNL) expectation was decreased to 15% from 19%
at transaction closing.

Additionally, the rating actions reflect the decentralized nature
of the loan servicing obligations, the reliance on Fairstone to
continue to provide service and support to its borrowers through
its branch system, and the challenges involved in transitioning
servicing to a replacement servicer, if required.

No action was taken on the other rated class of notes in this deal.
Collateral quality improved as indicated by the metrics observed,
but that class of notes is already at the highest achievable level
within Moody's rating scale after taking into account operational
risks as well as deal structure.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's
Approach to Rating Consumer Loan-Backed ABS" published in December
2022.

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

Up

Moody's could upgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. Moody's expectation of pool losses could decline as
a result of better than expected improvements in the economy,
changes to servicing practices that enhance collections or
refinancing opportunities that result in prepayments.

Down

Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectation of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the
economy, deficient servicing, inadequate transaction governance or
fraud.


GCAT 2023-NQM4: Fitch Gives 'Bsf' Rating on Class B-2 Certificates
------------------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed notes issued
GCAT 2023-NQM4 Trust (GCAT 2023-NQM4).

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

   A-1 36171FAA1        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
   A-IO-S               LT  NRsf  New Rating   NR(EXP)sf
   R                    LT  NRsf  New Rating   NR(EXP)s
   X                    LT  NRsf  New Rating   NR(EXP)sf

TRANSACTION SUMMARY

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

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

KEY RATING DRIVERS

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

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

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

Loan Documentation (Negative): Approximately 77.6% of the pool
loans were underwritten to less than full documentation.
Furthermore, 36.7% were underwritten to a 12- or 24-month bank
statement program for verifying income, which is not consistent
with Appendix Q standards and Fitch's view of a full documentation
program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the CFPB's ATR Rule, which reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigor
of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ability to repay. Additionally,
1.1% of the pool loans are an asset depletion product, 0.55% a CPA
or PnL product, and 5.7% a debt service coverage ratio product.

Limited Advancing (Mixed): The deal is structured to three months
of servicer advances for delinquent P&I. The limited advancing
reduces loss severities, as there is a lower amount repaid to the
servicer when a loan liquidates and liquidation proceeds are
prioritized to cover principal repayment over accrued but unpaid
interest. The downside to this is the additional stress on the
structure side, as there is limited liquidity in the event of large
and extended delinquencies.

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

A-3 certificates until they are reduced to zero. Furthermore, the
provision to re-allocate principal to pay interest on the 'AAAsf'
and 'AAsf' rated notes prior to other principal distributions is
highly supportive of timely interest payments to that class with
limited advancing.

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

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

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

RATING SENSITIVITIES

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

The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 41.1% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.

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

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third-party review firms. The third-party due
diligence described in Form 15E focused on a credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment(s)
to its analysis:

- A 5% PD credit was applied at the loan level for all loans graded
either 'A' or 'B';

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

ESG CONSIDERATIONS

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

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


GCAT TRUST 2024-NQM1: Fitch Gives 'B(EXP)' Rating on Cl. B-2 Certs
------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by GCAT 2024-NQM1 Trust (GCAT 2024-NQM1).

   Entity/Debt        Rating           
   -----------        ------              
GCAT 2024-NQM1
Trust

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

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
to be issued by GCAT 2024-NQM1 Trust as indicated above. The
certificates are supported by 613 loans with a total balance of
approximately $287 million as of the cutoff date.

A majority of the loans were originated by Arc Home LLC (Arc),
United Wholesale Mortgage, AmWest, and Quontic Bank (Quontic), with
all other originators contributing less than 10%. All loans are
currently, or will be, serviced by NewRez LLC (dba Shellpoint
Mortgage Servicing [SMS]) and AmWest.

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 9.7% 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 4.7% YoY nationally as of October 2023 despite modest
regional declines, but are still being supported by limited
inventory.

Non-QM Credit Quality (Negative): The collateral consists of 613
loans, totaling $287 million and seasoned approximately five months
in aggregate, calculated as the difference between the origination
date and the cutoff date. The borrowers have a strong credit
profile (744 FICO and 40% debt-to-income [DTI] ratio) and moderate
leverage (79% sustainable loan-to-value [sLTV] ratio). The pool
consists of 68.3% of loans where the borrower maintains a primary
residence, while 31.7% of pool loans are an investor property or a
second home. Additionally, 11.8% are designated as qualified
mortgage (QM) loans, while 5% are higher-price QM (HPQM) and 47%
are non-QM loans.

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

Loan Documentation (Negative): Approximately 89.9% of the pool
loans were underwritten to less than full documentation.
Furthermore, 38.8% were underwritten to a 12- or 24-month bank
statement program for verifying income, which is not consistent
with Fitch's view of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the CFPB's ATR Rule, which reduces the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigor
of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ability to repay. Additionally,
19.24% is a CPA or PnL product, and 18.14% is a debt service
coverage ratio product.

Limited Advancing (Mixed): The deal is structured to three months
of servicer advances for delinquent P&I. The limited advancing
reduces loss severities, as there is a lower amount repaid to the
servicer when a loan liquidates and liquidation proceeds are
prioritized to cover principal repayment over accrued but unpaid
interest. The downside to this is the additional stress on the
structure side, as there is limited liquidity in the event of large
and extended delinquencies.

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

The structure includes a step-up coupon feature where the fixed
interest rate for class A-1, A-2 and A-3 will increase by 100bps,
subject to the net weighted average coupon (WAC), starting on the
February 2028 payment date. This reduces the modest excess spread
available to repay losses. On each payment date on or after the
step-up date, interest distribution amounts otherwise allocable to
the unrated class B-3, to the extent available, may be used to
reimburse any unpaid cap carryover amount for classes A-1, A-2 and
A-3.

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

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

RATING SENSITIVITIES

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

The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 41.3% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.

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

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

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

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

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

The third-party due diligence described in Form 15E focused on a
credit, compliance and property valuation review. Fitch considered
this information in its analysis and, as a result, Fitch made the
following adjustment(s) to its analysis:

- A 5% PD credit was applied at the loan level for all loans graded
either 'A' or 'B';

- Fitch lowered its loss expectations by approximately 52bps as a
result of the diligence review.

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.


GS MORTGAGE 2011-GC5: DBRS Confirms C Rating on 4 Tranches
----------------------------------------------------------
DBRS Limited downgraded its credit rating on one class of
Commercial Mortgage Pass-Through Certificates, Series 2011-GC5
issued by GS Mortgage Securities Trust 2011-GC5 as follows:

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

DBRS Morningstar also confirmed its credit ratings on six classes
as follows:

-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class C at C (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)

The trends on Classes A-S, X-A, and B are Stable. Classes C, D, E,
and F have ratings that typically do not carry trends in commercial
mortgage-backed securities (CMBS) credit ratings.

The downgrade action is driven by a moderate increase in DBRS
Morningstar's loss projections in conjunction with concerns
surrounding the disposition of the remaining five loans, four of
which are secured by regional malls in secondary or tertiary
markets that have shown performance declines from issuance. Three
of these loans (79.1% of the pool) are in special servicing. Since
DBRS Morningstar's last rating action, the collateral remains
unchanged, although one loan (6.4% of the pool), was returned to
the master as a result of a loan modification. Given the
concentration of the transaction, DBRS Morningstar's ratings are
based on a recoverability analysis of the outstanding assets, which
continues to indicate the four lowest-rated classes are likely to
experience losses relative to the DBRS Morningstar's concluded
values for the remaining assets.

As of the December 2023 reporting, the pool's collateral has been
reduced by approximately 75.6%. The transaction has been relatively
insulated from losses to date as the principal balance of the
unrated Class G certificate has been eroded by only 13.1% because
of realized losses, with $43.6 million of unpaid principal
remaining. Two of the loans in special servicing, however, became
real estate owned (REO) in Q3 2023, and based on the most recent
appraisals obtained from Q2 2023, the property value for both
assets has declined by over 70.0% since issuance. Based on the
updated values, the resulting loan-to-value ratio (LTV) for each
loan exceeded 160%, and DBRS Morningstar believes loss severities
of approximately 70.0% are likely for each loan, implying the
principal balance of Class D would be eroded by over 50%.

The larger of the two loans, Park Place Mall (Prospectus ID#1,
36.1% of the pool) is secured by a portion of a regional mall in
Tucson. The mall was originally owned by Brookfield Properties;
however, after the loan transferred to special servicing in
September 2020, the loan sponsor indicated it would no longer be
contributing capital to support the property or loan. According to
several news articles, the mall was sold at a foreclosure auction
to Pacific Retail Capital Partners (PRCP) in October 2023 at a
purchase price equal to the June 2023 appraised value of $87.0
million, a significant drop from the issuance value of $313.0
million. The smaller of the two loans, Champlain Center (Prospectus
ID#13, 6.4% of the pool), is secured by a regional mall in
Plattsburgh, New York. Loan modification discussions were
originally ongoing but, according to the servicer, reached an
impasse regarding the borrower's issue with the recourse guaranty.
The property was reappraised in May 2023 at a value of $17.2
million, a sharp decline from the issuance value of $61.0 million.

The third special serviced loan and largest loan in the pool, 1551
Broadway (Prospectus ID#2, 36.6% of the pool), is secured by a
26,500-square-foot (sf) retail property in Times Square in midtown
Manhattan. The property includes a 25-story LED sign and is fully
occupied by sole tenant American Eagle Outfitters, with a scheduled
lease expiration in February 2024. According to the servicer, a
short-term renewal of the tenant's lease is under consideration;
however, negotiations are ongoing, and an agreement has not yet
been reached. The loan has been in special servicing since November
2021 and is flagged as a nonperforming matured balloon with the
last payment being made in September 2023. According to the latest
servicer update, the borrower is currently making efforts to secure
financing and/or sell the property to pay off the senior and
mezzanine loans, the former of which is in the trust. The current
workout strategy is listed as full payoff per the latest reporting;
however, the servicer continues to dual track legal remedies and
hold workout discussions with the borrower. The property was most
recently appraised in December 2022 at a value of $378.0 million, a
significant decrease from the January 2022 appraised value of
$442.0 million, but greater than the appraised value from issuance
of $360.0 million. The resulting LTV is 47.6%, suggesting that even
in an event of an adverse liquidation scenario, loss to the trust
is unlikely.

The two remaining loans in the pool, Parkdale Mall & Crossing
(Prospectus ID#5, 13.8% of the pool) and Ashland Town Center
(Prospectus ID#9, 7.2% of the pool) were previously in special
servicing, but both received loan modifications in 2022, which
extended their respective maturity dates.

Parkdale Mall & Crossing is secured by a regional mall and adjacent
strip mall in Beaumont, Texas. The loan has been in special
servicing since February 2021. The loan sponsor, CBL Properties,
filed for bankruptcy in November 2020 and emerged from bankruptcy
in November 2021. The sponsor requested and received a maturity
extension to March 2026 and was subsequently returned to the master
servicer in October 2022. According to the March 2023 reporting,
the property was 92.4% occupied, and the loan reported a debt
service coverage ratio (DSCR) of 0.96 times (x), with performance
generally flat year over year. Despite the sponsor's commitment to
the property, and the loan's return to the master servicer, the
February 2022 appraised value of $42.1 million is well below the
current outstanding loan balance of $58.9 million, reflecting an
LTV of 140.0%, and the asset has experienced sustained performance
declines since issuance. As such, DBRS Morningstar believes there
is continued significant term and refinance risk associated with
this loan.

Ashland Town Center is secured by a regional mall in Ashland,
Kentucky, and was transferred to special serving in July 2021 for
imminent default having failed to repay ahead of its original
maturity. The sponsor, Washington Prime Group, was granted a loan
modification in November 2022, extending the loan maturity to July
2023 with two additional one-year extension options. The borrower
exercised the first of two options to July 2024. Per the June 2023
financials, the property reported an occupancy rate of 99.7%, with
a DSCR of 2.44x. The property was re-appraised in September 2022
for $42.9 million, a 9.0% increase from the 2021 appraised value;
however, still below the issuance appraised value of $66.0 million.
Based on the updated value, the resulting LTV is 40.0%. Given these
factors, DBRS Morningstar believes the near-term performance
outlook is stable, but this does not rule out the likelihood for
potential losses should the borrower fail to pay off the loan at
the extended maturity date.

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


JP MORGAN 2021-1440: DBRS Cuts Certs Rating to CCC on 3 Classes
---------------------------------------------------------------
DBRS Limited downgraded the credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates issued by J.P. Morgan
Chase Commercial Mortgage Securities Trust 2021-1440 as follows:

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

All trends have been changed to Negative from Stable.

The credit rating downgrades and trend changes reflect DBRS
Morningstar's liquidation scenario for the specially-serviced
underlying loan, which is secured by an office property in Midtown
Manhattan with significant exposure to bankrupt WeWork and a
scheduled 2024 lease expiry for the second-largest tenant, which is
currently dark. The borrower communicated a desire to transfer
title to the lender, prompting the loan's transfer to special
servicing in September 2023. As of the November 2023 remittance
report, the loan remains current and with the special servicer. An
updated appraisal has not been provided to date; however, DBRS
Morningstar notes that the as-is value has likely declined
significantly from issuance, as further described below. Based on
the liquidation scenario analyzed for this review, DBRS Morningstar
expects losses could be realized through the Class C Certificate,
supporting the downgrades for all rated classes.

The underlying floating-rate loan is interest only through its
initial maturity date in March 2024 and has two 12-month extension
options for a fully extended maturity in March 2026. The loan is
sponsored by CIM Group, a fully integrated real estate private
equity firm, and QSuper Board, an Australian super fund. As of the
August 2023 rent roll, the collateral property was 85.4% leased,
with the largest tenants being WeWork (40.3% of the net rentable
area (NRA), lease expiry in June 2035), Macy's Inc. (Macy's; 26.6%
of the NRA, lease expiry in January 2024), and Mizuho Capital
Markets L.L.C. (Mizuho; 5.3% of the NRA, lease expiry in May 2026).
At issuance, it was noted that both Macy's and Mizuho were dark and
a reserve was established for the remainder of the Macy's rent
obligations (the initial balance of $34.0 million has been drawn
down to $2.9 million as of the November 2023 remittance). When
accounting for the dark tenants, the physical occupancy rate as of
the August 2023 rent roll was 53.6%.

WeWork filed for bankruptcy in early November 2023 and, to date,
has filed a request to reject 67 active leases across the company's
locations in the United States and Canada. The subject location was
not included in the filing. According to the special servicer,
WeWork has recently been paying a reduced rental rate of $55.00 per
square foot (psf), lower than the contractual rate of $73.51 psf as
of August 2023. The special servicer notes the tenant has requested
a further reduction in the rental rate as part of another amendment
to the lease, expressing a desire to remain in place at the
property. At issuance, it was noted that approximately 92.0% of the
WeWork space was being used by Pinterest and Amazon as clients of
WeWork. DBRS Morningstar has requested an update on the status of
those contracts, but the servicer has advised the tenant is not
required to provide that information. According to an article
published by CoStar in August 2023, Amazon re-upped for 210,000 sf
(70.0% of the WeWork space) at the subject.

At issuance, the loan was structured with $30.0 million in upfront
reserves, $27.3 million of which funded a rollover reserve, and the
remaining $2.7 million funded a capital expenditure reserve. A
$15.8 million outstanding tenant improvement and leasing costs
reserve was also established to cover outstanding obligations
associated with the WeWork space. According to the November 2023
loan-level reserve report, approximately $33.1 million is held
across all reserves, with $26.4 million in a rollover reserve. The
loan also features a full cash sweep that commenced at loan
closing, which was to build until $20.0 million was collected in an
excess cash reserve. Trapped proceeds could be used for approved
capex and leasing costs after the initial rollover and capex
reserves had been depleted and $20.6 million of future equity
contributions were fully invested. The excess cash reserve account
had a balance of $8.5 million in December 2022, but was most
recently reported at $1.4 million as per the servicer's November
2023 update provided to DBRS Morningstar. Further clarification on
the status of reserves has been requested given the excess cash
reserve appears to have been depleted ahead of the depletion of the
leasing and capex reserves. There has not been excess cash to trap
for a few years; however, the loan has reported a below breakeven
debt service coverage ratio (DSCR) since YE2021 due to an increase
in the operating expense ratio, which climbed from 43.4% in YE2021
to 55.5% in YE2022.

Given the low physical occupancy rate, a stressed DBRS Morningstar
value was derived for this review, based on a blended approach that
gave credit to the in-place tenancy and an estimate of revenue for
the vacant space, less the cost to re-lease to a stabilized rate of
18.1%. The estimated stabilized occupancy rate was based on the
availability rate reported by CBRE for the subject's Manhattan
Midtown submarket as of Q3 2023. Rents were estimated at $74.50
psf, based on the average rents reported for the submarket by CBRE
and the subject's leases in place. Tenant improvements for vacant
space were estimated at $100 psf and credit was given to the
leasing reserves currently on hand with the servicer. The resulting
DBRS Morningstar value of $205.0 million compares with the issuance
DBRS Morningstar value of $353.9 million and results in an as-is
loan-to-value (LTV) ratio of 195.0%. A liquidation scenario based
on stressed DBRS Morningstar value suggests losses would be
realized into the Class C certificate, supporting the CCC (sf)
credit ratings for that class and the rated classes below. Given
the lack of an updated appraisal, the ongoing WeWork bankruptcy
proceedings, and the general uncertainty surrounding the investor
demand for high vacancy office collateral, DBRS Morningstar
believes there remains significant unknowns that could further
increase the credit risks for this transaction, supporting the
Negative trends for Classes A and B with this review.

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


JPMCC MORTGAGE 2012-CIBX: DBRS Confirms C Rating on 3 Tranches
--------------------------------------------------------------
DBRS Limited Mortgage Pass-Through Certificates, Series 2012-CIBX
issued by JPMCC 2012-CIBX Mortgage Trust:

-- Class E at C (sf)
-- Class F at C (sf)
-- Class G at C (sf)

These classes have credit ratings that do not typically carry
trends for commercial mortgage-backed securities (CMBS) credit
ratings.

There have been minimal changes since DBRS Morningstar's last
credit rating action in January 2023. Today's credit rating
confirmations reflect the ongoing credit risk driven by the two
remaining loans in the pool, Jefferson Mall (Prospectus ID#4, 50.8%
of the pool balance) and Southpark Mall (Prospectus ID#5, 49.2% of
the pool balance). Although the loans received modifications and
returned to the master servicer in April 2023 and June 2023,
respectively, DBRS Morningstar remains concerned about the
historical underperformance of the underlying properties, high
rollover concentration, previous maturity defaults, and significant
declines in appraised value since issuance. Given these concerns
and the concentration of the pool, DBRS Morningstar's credit
ratings are based on a recoverability analysis of the two remaining
assets. Based on the most recent appraisal values, future losses at
disposition could be contained to Classes F, G, and the unrated
Class NR; however, when subject to additional stress tests, Class E
continues to remain exposed to possible losses at resolution,
supporting the maintenance of the C (sf) credit ratings across all
classes. Mitigating some of these concerns is the added hard
lockbox as part of the loans' modification that requires the
application of 40% to 60% of excess cash flow to pay down the loan
balances. The loans continue to perform with above-breakeven debt
service coverage ratios (DSCRs) and, as of the November 2023
remittance, transaction reserves totaled $10.0 million.

As of the November 2023 remittance, there has been 91.8% of
collateral reduction since issuance. The pool has incurred losses
of $18.3 million to date, which are contained to the unrated Class
NR certificate. There was also a total of $1.2 million in
cumulative interest shortfalls on this class as of November 2023.

The largest loan in the pool, Jefferson Mall, is secured by 281,020
square feet (sf) of a 957,000-sf super-regional mall in Louisville,
Kentucky. The loan was transferred to the special servicer in
February 2021 because of imminent nonmonetary default following the
bankruptcy filing of the sponsor, CBL & Associates Properties, Inc.
(CBL), in November 2020. After emerging from bankruptcy, the
sponsor executed a modification to achieve full reinstatement of
the loan while retaining CBL as the property manager and sponsor.
Modification terms included an extension of the maturity date to
June 2026, as well as the execution of a hard lockbox requiring the
application of excess cash flow to be applied to principal payments
and a capital expenditure reserve.

The noncollateral anchor tenants include JCPenney, Dillard's,
Overstock Furniture (temporary resident in the former dark Sears
space), and Round 1 Entertainment (permanent tenant in the former
Macy's space). As per the rent roll dated June 2023, the property
was 99.2% occupied. The largest collateral tenants are H&M (8.1% of
the net rentable area (NRA), lease expiry in January 2026), Ross
Dress for Less (8.1% of the NRA, lease expiry in January 2028), and
Old Navy (5.9% of the NRA, lease expiry in January 2024). Near-term
rollover is concentrated with leases representing 38.2% of the NRA
scheduled to expire by YE2024, including Old Navy and the
fifth-largest tenant, Jo-Ann Fabrics and Crafts. Based on the most
recent financials, the subject reported a YE2022 DSCR of 1.25 times
(x), compared with YE2021 and YE2020 DSCRs of 1.11x and 1.73x,
respectively. The most recent appraisal, dated February 2021,
valued the property at $34.7 million, down 66% from the appraised
value of $101.7 million at issuance. DBRS Morningstar's various
scenarios projected a loan-level loss severity of at least 55%.

The Southpark Mall loan is secured by a regional mall in Colonial
Heights, Virginia. The loan is also sponsored by CBL and
transferred to the special servicer in February 2021 following
CBL's bankruptcy filing. Similar to Jefferson Mall, modification
terms included an extension of the maturity date to June 2026, as
well as the execution of a hard lockbox requiring the application
of excess cash flow to be applied to principal payments and
reserves.

The noncollateral anchor tenants include JCPenney and Macy's.
Collateral tenant Dick's Sporting Goods (28.6% of the NRA, lease
expiry in November 2024) occupies a third anchor pad. The loan was
added to the servicer's watchlist in December 2023 for a low DSCR
and late payment; however, the most recent remittance indicates the
loan is paid through November. DBRS Morningstar has asked for
further clarification on this matter. According to the June 2023
rent roll, the property was 98.1% occupied, and other major tenants
include Regal Cinemas (17.3% of the NRA, lease expiry in July 2032)
and H&M (5.1% of the NRA, lease expiry in November 2029). There is
a heavy concentration of near-term rollover, with leases
representing 51.3% of the NRA scheduled to expire by YE2024,
including the largest collateral tenant, Dick's Sporting Goods. The
June 2023 annualized DSCR was reported at 1.13x, compared with
YE2022 and YE2021 DSCRs of 1.38x and 1.44x, respectively. The most
recent appraisal, dated February 2021, valued the property at $40.0
million, down 61% from the appraised value of $103.0 million at
issuance. DBRS Morningstar's various scenarios projected a
loan-level loss severity of at least 45%.

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


KKR STATIC I: Fitch Affirms BB+sf Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to KKR
Static CLO I Ltd., refinancing notes. Fitch has also affirmed the
rating of the outstanding class E notes. The Outlooks remain
Stable.

   Entity/Debt             Rating               Prior
   -----------             ------               -----
KKR Static CLO I Ltd.

   A-L 48255QAC7       LT  PIFsf   Paid In Full   AAAsf
   A-N 48255QAA1       LT  PIFsf   Paid In Full   AAAsf
   A-R                 LT  AAAsf   New Rating
   B 48255QAE3         LT  PIFsf   Paid In Full   AA+sf
   B-R                 LT  AA+sf   New Rating
   C 48255QAG8         LT  PIFsf   Paid In Full   A+sf
   C-R                 LT  A+sf    New Rating
   D 48255QAJ2         LT  PIFsf   Paid In Full   BBB+sf
   D-R                 LT  BBB+sf  New Rating
   E 48255RAA9         LT  BB+sf   Affirmed       BB+sf

TRANSACTION SUMMARY

KKR Static CLO I Ltd. (the issuer) is a static arbitrage cash flow
collateralized loan obligation (CLO) managed by KKR Financial
Advisors II, LLC, that originally closed in July 2022. The CLO's
secured notes were partially refinanced on Jan. 3, 2024 (the first
refinancing date) from the proceeds of new secured notes.

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
98.41% first-lien senior secured loans and has a weighted average
recovery assumption of 74.55%.

Portfolio Composition (Positive): The largest three industries
constitute 31.3% of the portfolio balance in aggregate while the
top five obligors represent 4.82% of the portfolio balance in
aggregate. The level of diversity is in line with other recent
CLOs.

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

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

KEY PROVISION CHANGES

The refinancing is being implemented via the refinancing
supplemental indenture, which amended certain provisions of the
transaction. The changes include but are not limited to; extending
the refinancing notes non-call period until July 2024, removing the
A-L loan tranche and reducing the refinancing notes liability
spreads.

FITCH ANALYSIS

KKR Static CLO I Ltd. is a static pool CLO. The issuer is not
permitted to purchase any loans after the closing date (other than
rescue financing assets). As such, there are no collateral quality
tests or concentration limitations. Fitch's analysis is based on
the latest portfolio presented to Fitch from the trustee report as
of Nov. 30, 2023 that includes 231 assets from 198 primarily high
yield obligors. The portfolio balance, including the amount of
positive cash, was approximately $377.3 million. As per the latest
trustee report, the transaction passes all of its coverage tests.

The weighted average rating factor of the current portfolio is
'B'/'B-'. Fitch has an explicit rating, credit opinion or private
rating for 39.4% of the current portfolio par balance; ratings for
59.8% of the portfolio were derived from using Fitch's Issuer
Default Rating (IDR) Equivalency Map. Defaulted assets, assets
without a public rating or a Fitch credit opinion represent 0.8% of
the current portfolio par balance.

In lieu of a traditional stress portfolio, Fitch ran a maturity
extension scenario on the current portfolio to account for the
issuer's ability to extend the weighted average life of the
portfolio to 4.6 years as a result of maturity amendments. The
scenario also considers a one-notch downgrade on the Fitch IDR
Equivalency Rating for assets with a Negative Outlook on the
derived rating of the obligor, as described in Fitch's CLO and
Corporate CDO Rating Criteria.

Fitch generated projected default and recovery statistics of the
Fitch Stressed Portfolio (FSP) using its portfolio credit model
(PCM) on the underlying collateral pool excluding defaulted assets.
The PCM default and recovery rate outputs for the FSP at the
'AAAsf' rating stress were 49.0% and 39.6%, respectively. The PCM
default and recovery rate outputs for the FSP at the 'AA+sf' rating
stress were 48.1% and 48.6%, respectively. The PCM default and
recovery rate outputs for the FSP at the 'A+sf' rating stress were
43.1% and 58.5%, respectively. The PCM default and recovery rate
outputs for the FSP at the 'BBB+sf' rating stress were 36.8% and
67.9%, respectively. The PCM default and recovery rate outputs for
the FSP at the 'BB+sf' rating stress were 31.0% and 73.5%,
respectively. The PCM default and recovery rate outputs for the FSP
at the 'B+sf' rating stress were 26.5% and 77.7%, respectively.

In the analysis of the current portfolio, the class A-R, B-R, C-R,
D-R, and E notes passed the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', and
'BB+sf' rating thresholds in all nine cash flow scenarios with
minimum cushions of 15.0%, 7.4%, 6.6%, 8.4%, and 10.7%,
respectively. In the analysis of the FSP, the class A-R, B-R, C-R,
D-R, and E notes passed the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', and
'BB+sf' rating thresholds in all nice cash flow scenarios with a
minimum cushion of 12.0%, 6.7%, 4.7%, 6.4%, and 7.9%,
respectively.

The Stable Outlook on the class A-R, B-R, C-R, D-R, and E notes
reflects the expectation that the notes have a sufficient level of
credit protection to withstand potential deterioration in the
credit quality of the portfolio.

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'A+sf' and 'AAAsf' for class A-R, between 'BBBsf'
and 'AA+sf' for class B-R, between 'BBsf' and 'A+sf' for class C-R,
between 'B-sf' and 'BBB+sf' for class D-R; 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-R notes; and as
these notes are in the highest rating category of 'AAAsf'.

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

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

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

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.


MADISON PARK LXI: Moody's Assigns B3 Rating to $250,000 F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to two classes of
notes issued by Madison Park Funding LXI, Ltd. (the "Issuer" or
"Madison Park Funding LXI").

Moody's rating action is as follows:

US$272,000,000 Class A Floating Rate Senior Notes due 2037,
Assigned Aaa (sf)

US$250,000 Class F Deferrable Floating Rate Junior Notes due 2037,
Assigned B3 (sf)

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

RATINGS RATIONALE

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

Madison Park Funding LXI is a managed cash flow CLO. The issued
debt will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90% of the portfolio must consist
of first lien senior secured loans, cash and eligible investments,
and up to 10% of the portfolio may consist of loans that are not
senior secured. The portfolio is approximately 75% ramped as of the
closing date.

Credit Suisse Asset Management, 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 approximate five
year reinvestment period. Thereafter, subject to certain
restrictions, the Manager may reinvest unscheduled principal
payments and proceeds from sales of credit risk assets.

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

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the 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: $425,000,000

Diversity Score: 55

Weighted Average Rating Factor (WARF): 3048

Weighted Average Spread (WAS): 3.80%

Weighted Average Coupon (WAC): 7.0%

Weighted Average Recovery Rate (WARR): 46.50%

Weighted Average Life (WAL):  8.03 years

Methodology Underlying the Rating Action:

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

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

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


MAGNETITE LTD XVIII: Moody's Ups Rating on Class E-R Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Magnetite XVIII, Limited:

US$30,210,000 Class C-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class C-R Notes"), Upgraded to Aa1 (sf); previously
on June 8, 2023 Upgraded to Aa3 (sf)

US$30,740,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class D-R Notes"), Upgraded to A3 (sf); previously
on November 15, 2018 Assigned Baa3 (sf)

US$28,090,000 Class E-R Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class E-R Notes"), Upgraded to Ba2 (sf); previously
on November 15, 2018 Assigned Ba3 (sf)

Magnetite XVIII, Limited, originally issued in November 2016 and
refinanced in November 2018 and December 2021 is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in August 2021.

A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.

RATINGS RATIONALE

The rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since June 2023. The Class A-R2
notes have been paid down by approximately 36.0% or $103.2 million
since then. Based on Moody's calculation, the OC ratios for the
Class C, Class D and Class E notes are currently 132.06%, 118.72%
and 108.69%%, respectively, versus June 2023 levels of 124.21%,
114.84% and 107.43%, respectively.

Nevertheless, the credit quality of the portfolio has deteriorated
since June 2023. Based on Moody's calculation, the weighted average
rating factor (WARF) is currently 2965 compared to 2750 on June
2023.

No actions were taken on the Class A-R2, Class B-R, and Class F-R
notes because their expected losses remain commensurate with their
current ratings, after taking into account the CLO's latest
portfolio information, its relevant structural features and its
actual over-collateralization and interest coverage levels.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:

Performing par and principal proceeds balance: $360,585,317

Defaulted par: $1,890,283

Diversity Score: 57

Weighted Average Rating Factor (WARF): 2965

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.11%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.67%

Weighted Average Life (WAL): 3.2 years

In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, decrease in overall WAS or net interest
income, lower recoveries on defaulted assets.

Methodology Used for the Rating Action

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

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

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


NLT TRUST 2023-1: DBRS Gives B Rating on Class B-2 Notes
--------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the
Mortgage-Backed Notes, Series 2023-1 (the Notes) to be issued by
NLT 2023-1 Trust (the Trust) as follows:

-- $125.8 million Class A-1 at AAA (sf)
-- $10.9 million Class A-2 at AA (sf)
-- $8.1 million Class A-3 at A (sf)
-- $6.8 million Class M-1 at BBB (sf)
-- $4.2 million Class B-1 at BB (sf)
-- $3.7 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Notes reflects 27.00% of
credit enhancement provided by the subordinate notes. The AA (sf),
A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 20.65%,
15.95%, 12.00%, 9.55%, and 7.40% of credit enhancement,
respectively.

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

This transaction is a securitization of a portfolio of seasoned
performing and reperforming first-lien residential mortgages funded
by the issuance of the Notes. The Notes are backed by 547 loans
with a total principal balance of $172,334,522, which includes the
deferred principal balance of $1,278,010, as of the Cut-Off Date
(October 31, 2023).

DBRS Morningstar calculated the portfolio to be approximately 40
months seasoned, though the ages of the loans are quite diverse,
ranging from three months to 358 months. The majority of the loans
(73.1%) had origination guideline or document deficiencies, which
prevented them from being sold to Fannie Mae, Freddie Mac, or
another purchaser, and the loans were subsequently put back to the
sellers. In its analysis, DBRS Morningstar assessed such defects
and applied certain penalties, consequently increasing expected
losses on the mortgage pool.

As of the Cut-Off Date, 97.5% of the loans are current (including
0.5% bankruptcy-performing loans), and 2.0% of the loans are 30
days delinquent under the Mortgage Bankers Association (MBA)
delinquency method. Under the MBA delinquency method, 75.2% and
89.6% of the mortgage loans have been zero times 30 days delinquent
for the past 24 months and 12 months, respectively.

In the portfolio, 10.2% of the mortgage loans are modified. The
modifications happened more than two years ago for 52.2% of the
loans that DBRS Morningstar classified as modified. Within the
pool, 44 mortgages have an aggregate non-interest-bearing deferred
amount of $1,278,010, which comprises 0.7% of the total principal
balance.

NLT 2023-1 represents the first rated scratch & dent securitization
for the Sponsor, Nomura Corporate Funding Americas, LLC (NCFA),
with mostly seasoned performing and reperforming residential
mortgage loans. The Sponsor is registered with the U.S. Securities
and Exchange Commission and incorporated in the state of Delaware.
NCFA has been purchasing reperforming loans (RPLs) since 2014.

The Sellers, NWL Company, LLC and NNPL Trust Series 2012-1,
acquired the mortgage loans from multiple originators. The Sellers
will then contribute the loans to the Trust through an affiliate,
Nomura Asset Depositor Company, LLC. (the Depositor). As the
Sponsor, NCFA or one of its majority-owned affiliates will acquire
and retain a 5% eligible vertical interest in each class of Notes
(other than the Class R Notes) and the Trust certificate to satisfy
the credit risk retention requirements. The loans were originated
and previously serviced by various entities.

As of the Cut-Off Date, all the loans are being serviced by Fay
Servicing, LLC. There will not be any advancing of delinquent
principal and interest (P&I) on any mortgages by the Servicer or
any other party to the transaction; however, the Servicer is
obligated to make advances in respect of homeowners association
fees in super lien states and, in certain cases, taxes and
insurance as well as reasonable costs and expenses incurred in the
course of servicing and disposing of properties.

When the aggregate pool balance is reduced to less than 10% of the
balance as of the Cut-Off Date, the Class XS or the redemption
right holder may purchase all of the mortgage loans and real estate
owned properties from the Issuer, as long as the aggregate proceeds
meet a minimum price that meets or exceeds par plus interest.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class A-3 and more subordinate P&I
bonds will not be paid from principal proceeds until the more
senior classes are retired.

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


REGATTA FUNDING XIII: Moody's Cuts Rating on $35MM D Notes to B1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Regatta XIII Funding Ltd.:

US$60,250,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Upgraded to Aaa (sf); previously on July
16, 2018 Assigned Aa2 (sf)

US$27,250,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class B Notes"), Upgraded to Aa3 (sf);
previously on July 16, 2018 Assigned A2 (sf)

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

US$35,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Downgraded to B1 (sf); previously
on July 16, 2018 Assigned Ba3 (sf)

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

A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.

RATINGS RATIONALE

These rating actions reflect the benefit of the end of the
reinvestment period on July 2023. In light of the reinvestment
restrictions during the amortization period which limit the ability
of the manager to effect significant changes to the current
collateral pool, Moody's analyzed the deal assuming a higher
likelihood that the collateral pool characteristics will be
maintained and continue to satisfy certain covenant requirements.
In particular, Moody's assumed that the deal will benefit from
lower weighted average rating factor (WARF), higher weighted
average spread (WAS) and diversity levels compared to their
respective covenant levels. Moody's modeled a WARF, WAS and
diversity score of 2749, 3.36% and 86 compared to the current
covenant levels of 2851, 3.30% and 85. The Class A-1 notes have
been paid down by approximately 4% or $14.9 million since November
2022.

The downgrade rating action on the Class D notes reflects the
specific risks to the junior notes posed by par loss observed in
the underlying CLO portfolio. Based on the trustee's November 2023
[1] report, the OC ratio for the Class D notes is reported at
103.86% versus November 2022 [2] level of 105.39%.

No actions were taken on the Class A-1 and Class C notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:

Performing par and principal proceeds balance: $527,451,412

Defaulted par:  $4,986,884

Diversity Score: 86

Weighted Average Rating Factor (WARF): 2749

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.36%

Weighted Average Recovery Rate (WARR): 47.44%

Weighted Average Life (WAL): 4.30 years

In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, decrease in overall WAS or net interest
income, lower recoveries on defaulted assets.

Methodology Used for the Rating Action

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

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

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


SEQUOIA MORTGAGE 2024-1: Fitch Gives 'BB(EXP)' Rating on B4 Certs
-----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Sequoia Mortgage Trust 2024-1 (SEMT
2024-1).

   Entity/Debt       Rating           
   -----------       ------            
SEMT 2024-1

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

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Sequoia Mortgage Trust 2024-1 (SEMT 2024-1)
as indicated above. The certificates are supported by 410 loans
with a total balance of approximately $440.86 million as of the
cutoff date. The pool consists of prime jumbo fixed-rate mortgages
acquired by Redwood Residential Acquisition Corp. (Redwood) from
various mortgage originators. Distributions of P&I and loss
allocations are based on a senior-subordinate, shifting-interest
structure.

KEY RATING DRIVERS

High Quality Mortgage Pool (Positive): The collateral consists of
410 loans totaling approximately $440.9 million and seasoned at
approximately eight months in aggregate, as determined by Fitch.
The borrowers have a strong credit profile (775 model FICO and
35.4% debt-to-income ratio [DTI]) and moderate leverage (75.1%
sustainable loan-to-value ratio [sLTV] and 67.5% mark-to-market
combined LTV ratio [cLTV]).

Overall, the pool consists of 91.8% in loans where the borrower
maintains a primary residence, while 8.2% are of a second home;
80.3% of the loans were originated through a retail channel.
Additionally, 99.6% are designated as qualified mortgage (QM) loans
and 0.4% are designated as QM rebuttable presumption.

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 9.8% above a long-term sustainable level (versus
9.4% on a national level as of 2Q23, up 1.8% since the prior
quarter). Home prices increased 4.7% yoy nationally as of October
2023, despite modest regional declines, but are still being
supported by limited inventory.

Shifting-Interest Structure (Negative): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps to maintain subordination for a longer period should
losses occur later in the life of the transaction. The applicable
credit support percentage feature redirects subordinate principal
to classes of higher seniority if specified credit enhancement
levels are not maintained.

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature most commonly used by Redwood's program for
loans more than 120 days delinquent (a stop-advance loan). Unpaid
interest on stop-advance loans reduces the amount of interest that
is contractually due to bondholders in reverse-sequential order.
While this feature helps to limit cash flow leakage to subordinate
bonds, it can result in interest reductions to rated bonds in high
delinquency scenarios.

RATING SENSITIVITIES

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 41.4% 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 Clayton, AMC and Consolidated Analytics. The
third-party due diligence described in Form 15E focused on credit,
compliance, and property valuation. Fitch considered this
information in its analysis and, as a result, Fitch made the
following adjustment(s) to its analysis: a 5% reduction in its
analysis. This adjustment resulted in a 13bps reduction to the
'AAAsf' expected loss.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on about 90.2% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." Clayton, AMC, and Consolidated Analytics were
engaged to perform the review. Loans reviewed under this engagement
were given credit, compliance and valuation grades and assigned
initial grades for each subcategory. Minimal exceptions and waivers
were noted in the due diligence reports. Refer to the Third-Party
Due Diligence section of the presale report for further details.

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

ESG CONSIDERATIONS

SEMT 2024-1 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in SEMT 2024-1 and includes strong R&W and transaction due
diligence as well as a strong aggregator, which resulted in a
reduction in the expected losses. This has a positive 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.


SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs
---------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of the
Commercial Mortgage Pass-Through Certificates, Series 2020-COVE
issued by SG Commercial Mortgage Securities Trust 2020-COVE as
follows:

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

All trends are Stable.

The credit rating confirmations reflect DBRS Morningstar's overall
outlook for the transaction, which remains in line with issuance
expectations. Although the underlying collateral has experienced
some fluctuations in occupancy, there has been positive leasing
momentum at the property, as further detailed below. The subject is
a high-quality, Class A multifamily development that benefits from
a prime waterfront location, superior amenities, and strong
submarket fundamentals. In addition, the transaction benefits from
experienced sponsorship provided by Maximus Real Estate Partners
(Maximus), an established San Francisco Bay Area investor.

Maximus acquired the property in 2013 and has since invested more
than $50 million in capital improvements, including extensive
exterior and common area renovations as well as high-end
renovations of all the apartment units. The 238-unit property is in
an irreplaceable waterfront location in Marin County, with many
units having unobstructed views of the San Francisco skyline.
Amenities include a 52-slip boat marina, three pools, two spas, a
playground, a clubhouse, and a fitness center. Tenant services
include, but are not limited to, on-site fitness classes,
housekeeping, dry-cleaning, and package drop-off and pick-up.
Downtown San Francisco is directly across the bay from the
property, approximately 14 miles by car or 30 minutes by ferry. The
trust debt of $160.0 million is a pari passu participation in a
whole loan totaling $210.0 million. The loan is interest only (IO)
throughout its five-year loan term with a scheduled maturity in
March 2025.

According to the June 2023 rent roll, the property was 80.2%
occupied, a decline from 91.9% in June 2022 and 96.0% at issuance.
However, this figure does not include an additional 15 signed
leases indicated on the rent roll that were scheduled to commence
in July 2023 and August 2023, suggesting the current occupancy rate
is likely closer to 85.5%. DBRS Morningstar has requested
additional information from the servicer to further clarify the
drivers behind the recent fluctuation in occupancy. The submarket
offers a limited supply of multifamily properties given the lack of
vacant land and environmental constraints on further development,
resulting in historically low submarket vacancy. Although vacancy
rates within the South Marin submarket have increased 30 basis
points between YE2022 and Q3 2023, average submarket vacancy
remains below the San Francisco average of 4.3% and the national
average of 5.1%, according to Reis. Market fundamentals are
expected to remain strong through to the loan's maturity in 2025,
with vacancy rates projected to remain below 3.5%. Although average
rental rates at the property declined marginally between June 2022
($5,852/unit) and June 2023 ($5,676/unit), they remain well above
the submarket's average asking rental rate of $3,361/unit for
comparable properties.

The YE2022 net cash flow (NCF) was reported to be $11.9 million, up
from $11.2 million at YE2021. The most recent financials received
to date are for the trailing six months ended June 2023, which
indicate an annualized NCF of $9.4 million – reflective of the
property's lower occupancy rate. DBRS Morningstar's credit ratings
are based on a value analysis completed at issuance that considered
a capitalization rate of 5.25%, which was applied to the DBRS
Morningstar NCF of $10.7 million, resulting in a DBRS Morningstar
value of $204.3 million and a whole loan-to-value ratio (LTV) of
102.8%. The DBRS Morningstar value represents a 28.3% haircut to
the appraiser's value of $285.0 million. DBRS Morningstar
maintained positive qualitative adjustments to the LTV sizing
benchmarks totaling 6.5% to account for low cash flow volatility,
strong property quality, and market fundamentals.

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


UBS-BARCLAYS 2012-C4: DBRS Cuts Class E Certs Rating to CCC
-----------------------------------------------------------
DBRS Limited downgraded the credit rating on one class of the
Commercial Mortgage Pass-Through Certificates, Series 2012-C4
issued by UBS-Barclays Commercial Mortgage Trust 2012-C4 as
follows:

-- Class E to CCC (sf) from B (low) (sf)

DBRS Morningstar also confirmed its credit rating on the following
class:

-- Class F at C (sf)

There are no trends, as the CCC (sf) and C (sf) credit rating
categories generally do not carry trends in commercial
mortgage-backed securities (CMBS) ratings.

The credit rating downgrade reflects the sustained concerns
surrounding the three remaining loans in the pool, all of which are
in special servicing and past their respective maturity dates. In
addition, since DBRS Morningstar's last review in January 2023,
updated values were provided and are well below issuance values.
DBRS Morningstar's credit ratings are based on a liquidation
scenario applied to the loans in the pool, which resulted in
approximately $58.0 million in total losses, which is expected to
be contained to the nonrated Class G and Class F, which is rated C
(sf). However, the projected losses provide little cushion on Class
E against additional loss and/or performance volatility on the
remaining collateral. In addition, interest shortfalls had begun to
accrue on Class E since June 2023, with $0.5 million on Class E and
a total of $5.1 million for the trust as per the December 2023
remittance. Given these factors, the CCC (sf) and C (sf) credit
ratings on Classes E and F, respectively, are supported.

The loan with the largest loss projection is Newgate Mall
(Prospectus ID#6; 60.5% of the pool), which is secured by the
in-line space and two anchor spaces of a single-level regional mall
in Ogden, Utah. The loan transferred to the special servicer in
March 2020, two months prior to its May 2020 maturity date. The
property became real estate owned (REO) in April 2021 and is
targeted for sale by Q4 2024. In the meantime, management will
continue its efforts to renew existing leases, seek prospective
tenants, and consider redevelopment options on a sale perspective.
Following the departure of the former anchor Sears in 2018, as well
as several other tenants, collateral occupancy dropped to 64.3% as
of June 2019. Although the occupancy rate increased to 75.0% as per
the August 2023 rent roll, DBRS Morningstar notes that the majority
of the leases signed in 2023 are short term, and there is a
significant number of lease expirations scheduled over the next 12
months. In addition, the noncollateral anchor, Burlington, has
confirmed its departure in the near term. According to the June
2023 appraisal, co-tenancy clauses for in-line tenants Foot Locker
and Torrid (collectively 1.3% of the net rentable area (NRA)) will
be triggered once Burlington vacates.

The June 2023 appraisal valued the property at $22.4 million, up
slightly from the October 2022 value of $20.7 million, but
approximately 73.0% below the issuance value of $83.0 million. DBRS
Morningstar views the uptick in value as evidence that the
Davis/Weber Counties submarket vacancy has improved, based on the
2022 vacancy rate of 3.9%, in comparison with the annual average
rate of 5.3% for the past 11 years, as stated in the appraisal.
However, given the property's dated appearance, secondary/tertiary
location, increased rollover risk, generally challenged lending
environment resulting from the rise in interest rates, and the
overall lack of liquidity for this property type, DBRS Morningstar
maintained a stressed haircut to the most recent appraisal,
indicating a loss approaching $43.0 million, which would erode the
majority of the unrated Class G certificate.

The second-largest loan, Evergreen Plaza (Prospectus ID#12, 24.4%
of the pool), is secured by an anchored retail center in Staten
Island, New York. The loan was transferred to special servicing in
August 2022 after its grocery store anchor tenant (previously 62.0%
of the NRA), vacated in July 2022. As a result, the property's
performance has since declined and the sponsor was unable to secure
refinancing ahead of the loan's December 2022 maturity. The
servicer is pursuing foreclosure and a receiver was appointed in
August 2023, but, according to several online publications, the
property appears to have closed down. Per the December 2023
remittance report, a September 2023 value was noted to be $19.0
million, which is the same value reported in the January 2023
appraisal report. DBRS Morningstar has requested clarification from
the special servicer and is awaiting a response. The $19.0 million
figure is 50.8% lower than the issuance value of $38.6 million and,
per the January 2023 appraisal, an occupancy rate of 23.3% was
reported. Given the possibility of the property being fully dark,
DBRS Morningstar applied additional stress to the appraisal value,
resulting in a loss severity in excess of 42.0%.

The last loan in the pool is secured by Fashion Square (Prospectus
ID#23; ¬15.1% of the pool), a mixed-use property in St. Louis,
Missouri, comprising 13,000 square feet (sf) of retail space,
75,000 sf of office space, and 72 multifamily units. The loan
transferred to special servicing in July 2022 for imminent default
and has surpassed its December 2022 maturity date after the sponsor
was unable to secure refinancing because of the upcoming lease
expiry for office tenant U.S. Bank (42.6% of the NRA) in April
2023; however, according to the August 2023 rent roll, the tenant
extended its lease for one year. The property became REO in April
2023 and the servicer is working toward improving occupancy prior
to disposition scheduled in December 2024. A September 2023
appraisal valued the property at $11.2 million, a 55.1% drop from
the issuance value of $25.0 million. DBRS Morningstar's liquidation
scenario for this loan resulted in a loss severity in excess of
41.2%.

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


VERUS SECURITIZATION 2024-1: S&P Assigns Prelim B (sf) on B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2024-1's mortgage-backed notes.

The note issuance is an RMBS transaction backed by primarily newly
originated first- and second-lien, fixed- and adjustable-rate
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and non-prime borrowers. The
loans are secured by single-family residences, townhouses,
planned-unit developments, two- to four-family residential
properties, condominiums, condotels, townhouses, mixed-use
properties, and five- to 10-unit multifamily residences. The pool
has 1,360 loans backed by 1,369 properties, which are primarily
non-qualified mortgage (non-QM)/ability-to-repay (ATR)-compliant,
and ATR-exempt loans, with some QM/non-higher-priced mortgage (safe
harbor) and QM rebuttable presumption loans. Of the 1,360 loans,
one is a cross-collateralized loan backed by 10 properties.

The preliminary ratings are based on information as of Jan. 10,
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, representations and warranties framework, prior credit
events, and geographic concentration;

-- The mortgage aggregator, Invictus Capital Partners; and

-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On Oct. 13, 2023, we updated our market
outlook as it relates to the 'B' projected archetypal loss level,
and therefore revised and lowered our 'B' foreclosure frequency to
2.50% from 3.25%, which reflects the level prior to April 2020,
preceding the Covid-19 pandemic. The update reflects our benign
view of the mortgage and housing markets as demonstrated through
general national-level home price behavior, unemployment rates,
mortgage performance, and underwriting. Per our latest
macroeconomic update, the U.S. economy has outperformed
expectations following consecutive quarters of contraction in the
first half of 2022."

  Preliminary Ratings Assigned

  Verus Securitization Trust 2024-1(i)

  Class A-1, $433,211,000: AAA (sf)
  Class A-2, $69,103,000: AA (sf)
  Class A-3, $87,695,000: A (sf)
  Class M-1, $47,705,000: BBB- (sf)
  Class B-1, $28,764,000: BB- (sf)
  Class B-2, $17,539,000: B (sf)
  Class B-3, $17,539,564: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class XS, notional(ii): Not rated
  Class R, not applicable: Not rated

  (i)The collateral and structural information reflect the
preliminary private placement memorandum dated Jan. 9, 2024; the
preliminary ratings address the ultimate payment of interest and
principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.



VITALITY RE XV: Fitch Assigns BB+(EXP) Rating on 2024 Cl. B Notes
-----------------------------------------------------------------
Fitch Ratings expects to assign ratings to the Series 2024
Principal-At-Risk Variable Rate Notes issued by Vitality Re XV
Limited (Vitality Re XV, the Issuer), a Cayman Islands exempted
company to be licensed as a Class C insurer.

Both classes of Notes have a scheduled termination date of Jan. 7,
2028. The expected principal amount for Class A is $140,000,000 and
for Class B is $60,000,000 with no amortization in both cases. The
Interest Spread for both classes has not been determined but
interest payments are quarterly.

This preliminary rating is based on the 'weakest-link' of the
following key rating drivers: i) medical benefit ratio
excess-of-loss (XoL) risk assessment, ii) the issuer default rating
of ceding insurer(s), and iii) the credit quality of the permitted
investments. Fitch believes the risk assessment of the medical
benefit ratio XoL presents the greatest risk.

   Entity/Debt               Rating           
   -----------               ------            
Vitality Re XV
Limited Series 2024

   Class A Notes
   Principal-at-Risk
   Variable Rate Notes   LT BBB+(EXP)sf  Expected Rating

   Class B Principal
   -at-Risk Variable
   Rate Notes            LT BB+(EXP)sf   Expected Rating

This is the fifteenth medical benefit ratio "ILS bond" for covered
business underwritten by Aetna Life Insurance Company (ALIC). To
date, noteholders have not experienced any principal loss on any
prior transaction - of which, Vitality Re XII Limited (matures
2025), Vitality Re XIII Limited (2026) and Vitality Re XIV Limited
(2027) will be outstanding following the issuance of Vitality Re
XV.

Capitalized but undefined terms have the meaning set forth in the
Preliminary Offering Circular Supplement and the Offering Circular
for the Notes.

TRANSACTION SUMMARY

The Series 2024 Notes (Class A and Class B) provide collateralized,
multi-year, indemnity-based annual aggregate XoL reinsurance
protection to Health Re, Inc, a Vermont domiciled special purpose
financial insurance company wholly-owned by Aetna, Inc. (Aetna),
that assumes a quota share of certain commercial group health
insurance policies (the "Covered Business") underwritten by ALIC.

The Covered Business to be ceded to Health Re (and for which
Vitality Re XV will provide XoL coverage) primarily consists of
commercial insured accident and health business -- namely Preferred
Provider Organization (PPO), Point of Service (POS) and Indemnity
products -- directly written by ALIC (reportable in ALIC's
statutory annual statements as Accident and Health Group except for
the Excluded Risks). For the nine months ended Sept. 30, 2023, ALIC
earned $9.6 billion of premiums on 1.9 million members for the
Covered Business (full-year premiums for 2022 and 2021 were $11.9
billion and $10.5 billion, respectively).

Each Class of Notes is "principal-at-risk" where a loss of
principal will be triggered if the Covered Business experiences a
medical benefit ratio (MBR) in excess of a predetermined attachment
point (MBR Attachment) set at inception and reset annually prior to
the second, third and fourth Annual Risk Periods. The initial MBR
Attachment level is 100% for the Class B Notes and 106% for the
Class A Notes. A total loss of principal (MBR Exhaustion) will
occur if the MBR reaches 106% and 120% for the Class B and Class A
Notes, respectively.

There are four Annual Risk Periods - each spanning January 1 to
December 31. Milliman, Inc. (Milliman) acting as Modeling Agent
will deliver the MBR Risk Analysis Report which informs the
probabilities of attachment and expected loss. Milliman will also
act as the Reset Agent and will deliver a Reset Report for the
second, third and fourth Annual Risk Periods utilizing the Updated
Health Industry Exposure Data and the Updated Aetna Exposure Data.
The updated MBR Attachment and updated MBR Exhaustion will be
established to maintain the same modeled probability of attachment
and expected loss as the initial modeled probabilities (used in the
MBR Risk Analysis Report) and will be effective January 1 of each
Annual Risk Period. The Interest Spread will not change.

The Notes may be redeemed due to listed Early Redemption Events
such as i) clean-up events, ii) failure of Health Re to meet
applicable Vermont capital requirements, iii) a change in
regulation or legislation affecting ALIC (or Health Re) that causes
ALIC to elect to terminate coverage, iv) Health Re defaults on an
Installment Premium payment, v) a replacement is not found
following failure of the Reset Agent, Claims Reviewer, or Loss
Reserve Specialist to perform their obligations, or vi) Health Re
elects to terminate the XOL Agreement under certain conditions. An
Early Termination Event Premium will be paid to noteholders for
events (ii) and (iv).

Health Re may, at its option, elect to require Vitality Re XV to
extend the term of each XoL Agreement (thereby extending the
maturity date of the related Class of Notes) past the Scheduled
Termination Date. This extension may be four additional quarters
with the Final Extended Redemption Date being Jan. 8, 2029 and is
not considered an additional risk period. Generally, claims
incurred in a given calendar year are 99% completely paid within 12
months after the end of that year.

KEY RATING DRIVERS

Medical Benefit Ratio XoL Risk Assessment.

Initial Modeled MBR Attachment Probability corresponds to 'a-' for
Class A and 'bb+' for Class B credit opinion (Neutral trait).
Milliman modeled the one-year attachment probability based on the
base case analysis as 4 bp and 48 bp for the Class A and Class B
Notes, respectively. Fitch qualitatively incorporated scenario test
results (see below) to assess the modelled risk for Class A as
'bbb+' and Class B as 'bb+'. The sensitivity tests provide an
additional level of conservatism, which Fitch considered in the
analysis of modelled results and incorporated into the final
assessment of modelled risk relative to the baseline result.

Performance Under Various Sensitivity Analysis (Negative). Milliman
provided nine claim trend scenarios with the attachment probability
for Class A Notes ranging from


[*] DBRS Confirms 37 Credit Ratings in 14 CPS Trust Transactions
----------------------------------------------------------------
DBRS, Inc. upgraded 13 credit ratings and confirmed 37 credit
ratings in 14 CPS Auto Receivables Trust transactions.

The Issuers are:

CPS Auto Receivables Trust 2021-B
CPS Auto Receivables Trust 2022-B
CPS Auto Receivables Trust 2019-C
CPS Auto Receivables Trust 2022-D
CPS Auto Receivables Trust 2022-C
CPS Auto Receivables Trust 2023-B
CPS Auto Receivables Trust 2023-A
CPS Auto Receivables Trust 2021-C
CPS Auto Receivables Trust 2020-B
CPS Auto Receivables Trust 2021-D
CPS Auto Receivables Trust 2020-C
CPS Auto Receivables Trust 2022-A
CPS Auto Receivables Trust 2020-A
CPS Auto Receivables Trust 2021-A

The Affected Ratings are available at https://bit.ly/3S5CMtC

The credit rating actions are based on the following analytical
considerations:

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

-- The transaction parties' capabilities with regard to
originating, underwriting, and servicing.

-- The credit rating actions are the result of collateral
performance to date and DBRS Morningstar's assessment of future
performance assumptions.

-- The transactions' capital structures and the form and
sufficiency of available credit enhancement. The current level of
hard credit enhancement and estimated excess spread are sufficient
to support the DBRS Morningstar-projected remaining cumulative net
loss assumption at a multiple of coverage commensurate with the
credit ratings.

Notes: The principal methodology applicable to the credit ratings
is DBRS Morningstar Master U.S. ABS Surveillance (October 22,
2023).


[*] DBRS Reviews 539 Classes From 48 US RMBS Transactions
---------------------------------------------------------
DBRS, Inc. reviewed 539 classes from 48 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 48
transactions 41 are classified as pre-crisis transactions, three
are classified as reperforming, two are classified as prime
transactions, one is classified as Non-QM, and one is classified as
HELOC. Of the 539 classes reviewed, DBRS Morningstar upgraded 35
credit ratings, confirmed 501 credit ratings, and discontinued
three credit ratings.

The Affected Ratings are available at https://bit.ly/3S4JXlH

The Issuers are:

Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-HE3
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-HE1
Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust
C-BASS 2004-CB5 Trust
C-BASS 2004-CB6 Trust
C-BASS 2004-CB8 Trust
C-BASS 2006-RP1 Trust
C-BASS 2007-MX1 Trust
C-BASS 2005-CB7 Trust
C-BASS 2006-CB8 Trust
C-BASS 2006-CB1 Trust
C-BASS 2006-CB6 Trust
C-BASS 2006-CB2 TRUST
C-BASS 2005-CB5 Trust
C-BASS 2007-SL1 Trust
Credit Suisse First Boston Mortgage Securities Corp. Home Equity
Asset Trust 2006-4
Credit Suisse First Boston Mortgage Securities Corp. Home Equity
Asset Trust 2005-8
Credit Suisse First Boston Mortgage Securities Corp. Home Equity
Asset Trust 2006-2
Credit Suisse First Boston Mortgage Securities Corp. Home Equity
Asset Trust 2006-6
BNC Mortgage Loan Trust 2007-4
Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-5
New Century Home Equity Loan Trust 2004-3
New Century Home Equity Loan Trust 2004-4
C-BASS 2006-CB3 Trust
C-BASS 2005-CB8 Trust
Park Place Securities Inc., Series 2005-WCH1
Park Place Securities Inc., Series 2004-WHQ2
Merrill Lynch Mortgage Investors Trust, Series 2005-SL1
Citigroup Mortgage Loan Trust 2014-A
NYMT Loan Trust 2022-CP1
Citigroup Mortgage Loan Trust 2021-RP6
CHNGE Mortgage Trust 2022-5
Towd Point Mortgage Trust 2021-SJ2
TIAA Bank Mortgage Loan Trust 2018-3
GSAMP Trust 2005-HE3
Fremont Home Loan Trust 2005-D
BNC Mortgage Loan Trust 2007-1
J.P. Morgan Mortgage Trust 2005-A2
WinWater Mortgage Loan Trust 2015-4
PRMI Securitization Trust 2022-CMG1
Morgan Stanley Capital I Inc. Trust 2006-NC2
Citigroup Mortgage Loan Trust 2006-WFHE3
First Franklin Mortgage Loan Trust 2005-FFH3
Securitized Asset Backed Receivables LLC Trust 2005-OP2
Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6
Structured Asset Securities Corporation Mortgage Loan Trust
2005-S3
CWABS Asset-Backed Certificates Trust 2004-AB2
Meritage Mortgage Loan Trust 2005-2

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

The credit rating actions are the result of DBRS Morningstar's
application of its "U.S. RMBS Surveillance Methodology," published
on March 3, 2023.


[*] Moody's Hikes Ratings on $241MM of US RMBS Issued 2021-2022
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 100 bonds
from seven US residential mortgage-backed transactions (RMBS).
Citigroup Mortgage Loan Trust 2021-J3 and OBX Trust 2021-J3 Trust
are backed by prime jumbo, non-conforming mortgage loans. RATE
Mortgage Trust 2021-J3 is backed by prime jumbo and agency eligible
mortgage loans. OBX 2021-INV1 Trust, OBX 2021-INV2 Trust, OBX
2022-INV4 Trust, and Bayview MSR Opportunity Master Fund Trust
2021-INV5 are backed by prime quality, agency eligible, non-owner
occupied mortgage loans.

The related entities are:

- Bayview MSR Opportunity Master Fund Trust 2021-INV5
- Citigroup Mortgage Loan Trust 2021-J3
- OBX 2021-INV1 Trust
- OBX 2021-INV2 Trust
- OBX 2021-J3 Trust
- OBX 2022-INV4 Trust
- RATE Mortgage Trust 2021-J3

A list of Affected Credit Ratings is available at
https://urlcurt.com/u?l=uPCnGv

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.

In its analysis, Moody's considered the additional risk of default
on modified loans. Generally, Moody's apply a 7x multiple to the
Probability of Default (PD) for private label modified mortgage
loans and an 8x multiple to the PD for agency-eligible modified
mortgage loans. However, Moody's may apply a lower multiple to the
PD for loans that were granted short-term payment relief as long as
there were no other changes to the loan terms, such as a reduced
interest rate or an extended loan term, which can be used to lower
the monthly payment on the loan. For loans granted short-term
payment relief, servicers will generally defer the missed payments,
which could be added as a non-interest-bearing balloon payment due
at the end of the loan term. Alternatively, servicers could extend
the maturity on the loan to match the number of missed payments.

OBX 2021-INV1 Trust, OBX 2021-INV2 Trust, OBX 2022-INV4 Trust, and
RATE Mortgage Trust 2021-J3 feature a structural deal mechanism
that the servicer and the securities administrator will not advance
principal and interest to loans that are 120 days or more
delinquent. The interest distribution amount will be reduced by the
interest accrued on the stop advance mortgage loans (SAML) and this
interest reduction will be allocated reverse sequentially first to
the subordinate bonds, then to the senior support bond, and then
pro-rata among senior bonds. Once a SAML is liquidated, the net
recovery from that loan's liquidation is allocated first to pay
down the loan's outstanding principal amount and then to repay its
accrued interest. The recovered accrued interest on the loan is
used to repay the interest reduction incurred by the bonds that
resulted from that SAML. Elevated delinquency levels in these
transactions could increase the risk of interest shortfalls due to
stop advancing.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.

No action was taken on the remaining rated tranches because there
were no material changes in collateral quality, and credit
enhancement remains commensurate with the current ratings.

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

Up

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

Down

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

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

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


[*] Moody's Takes Action on $29.3MM of US RMBS Issued 2003-2004
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven bonds
and downgraded the rating of one bond from four US residential
mortgage-backed transactions (RMBS), backed by Alt-A and subprime
mortgages issued by multiple issuers.

A list of Affected Credit Ratings is available at
https://urlcurt.com/u?l=QmPQEW

The complete rating actions are as follows:

Issuer: Chase Funding Trust, Series 2004-2

Cl. IA-5, Upgraded to Aaa (sf); previously on Jun 30, 2022 Upgraded
to Aa1 (sf)

Cl. IM-1, Upgraded to Ba1 (sf); previously on Aug 6, 2018 Upgraded
to Ba3 (sf)

Issuer: Impac CMB Trust Series 2003-9F

Cl. A-1, Upgraded to Aaa (sf); previously on Jun 27, 2022 Upgraded
to Aa2 (sf)

Cl. M, Upgraded to Aaa (sf); previously on Jun 27, 2022 Upgraded to
A1 (sf)

Issuer: Impac CMB Trust Series 2004-9 Collateralized Asset-Backed
Bonds, Series 2004-9

Cl. 2-A, Downgraded to B1 (sf); previously on Dec 12, 2018 Upgraded
to Ba3 (sf)

Underlying Rating: Downgraded to B1 (sf); previously on Dec 12,
2018 Upgraded to Ba3 (sf)

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

Issuer: Structured Asset Securities Corp Trust 2004-11XS

Cl. 1-A5A, Upgraded to A3 (sf); previously on Mar 16, 2023 Upgraded
to Baa2 (sf)

Cl. 1-A5B, Upgraded to A3 (sf); previously on Mar 16, 2023 Upgraded
to Baa2 (sf)

Underlying Rating: Upgraded to A3 (sf); previously on Mar 16, 2023
Upgraded to Baa2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Negative on December 19, 2023)

Cl. 1-A6, Upgraded to A2 (sf); previously on Mar 16, 2023 Upgraded
to Baa1 (sf)

Underlying Rating: Upgraded to A2 (sf); previously on Mar 16, 2023
Upgraded to Baa1 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Negative on December 19, 2023)

RATINGS RATIONALE

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

No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations. These include the potential impact of
collateral performance volatility on ratings.

Principal Methodology

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

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

Up

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

Down

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

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


[*] S&P Takes Various Actions on 145 Classes From 50 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 145 ratings from 50 U.S.
RMBS transactions issued between 1998 and 2007. The review yielded
23 upgrades, seven downgrades, one withdrawal, 19 discontinuances,
and 95 affirmations.

A list of Affected Ratings can be viewed at:

             https://rb.gy/kte8pe

Analytical Considerations

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

-- Collateral performance or delinquency trends;

-- An increase or decrease in available credit support;

-- A small loan count;

-- Missed interest payments;

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

-- Payment priority.

Rating Actions

S&P said, "The rating changes reflect our view regarding the
associated transaction-specific collateral performance, structural
characteristics, and/or the application of specific criteria
applicable to these classes. See the ratings list below for the
specific rationales associated with each of the classes with rating
transitions.

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

"We withdrew our ratings on one class from one transaction due to
the small number of loans remaining in the related group. Once a
pool has declined to a de minimis amount, its future performance
becomes more difficult to project. As such, we believe there is a
high degree of credit instability that is incompatible with any
rating level."




                            *********

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are $25 each.  For subscription information, contact Peter A.
Chapman at 215-945-7000.

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