/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/181030.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Tuesday, October 30, 2018, Vol. 19, No. 215 Headlines C R O A T I A AGROKOR DD: Zagreb Court Tosses Creditors' Settlement Appeal F R A N C E PEUGEOT SA: Moody's Affirms Ba1 CFR & Alters Outlook to Positive G E R M A N Y AIR BERLIN: Expects to Repay Big Part of EUR150MM Gov't. Loan G R E E C E ALPHA BANK: Fitch Raises Rating on Covered Bonds to BB+ I R E L A N D ARROW CMBS 2018: Fitch Gives B-(EXP) Rating to EUR20.9MM F Debt EUROMAX V: Fitch Withdraws 'Csf' Ratings on Two Tranches ROCKFORD TOWER 2018-1: Fitch Gives B-(EXP) Rating on F Debt L I T H U A N I A SMALL PLANET: Lithuanian Business Files for Restructuring * LITHUANIA: Company Bankruptcy Proceedings Down in 1st Half 2018 N E T H E R L A N D S CAIRN CLO X: Moody's Assigns B2 Rating to Class F Notes CAIRN CLO X: Fitch Assigns B-sf Rating to Class F Debt R U S S I A GLOBAL PORTS: Moody's Alters Outlook on Ba3 CFR to Stable S P A I N CGH BBK I: Fitch Affirms 'CCCsf' Rating on Class B Notes U N I T E D K I N G D O M FAB CBO 2004-1: Fitch Withdraws CCC Rating on Class S2 Debt FINSBURY SQUARE 2018-2: Moody's Gives (P)Caa2 Rating on 2 Classes FINSBURY SQUARE 2018-2: Fitch Gives CCC(EXP) Rating on Cl. E Debt ITHACA ENERGY: Moody's Revises Outlook on B3 CFR to Stable JAMIE'S ITALIAN: Owner Unable to Inject More Money Into Business REGIS: Company Voluntary Arrangement Okayed, 1,400 Jobs Saved ********* ============= C R O A T I A ============= AGROKOR DD: Zagreb Court Tosses Creditors' Settlement Appeal ------------------------------------------------------------ SeeNews reports that the Zagreb High Commercial Court has dismissed the appeals filed by the creditors of Croatian ailing concern Agrokor against the ruling that confirmed the company's debt settlement plan. According to SeeNews, the company said in a statement the court assessed the regularity of the ruling by analyzing the 87 individually lodged appeals and confirmed the settlement plan adopted by the creditors of Agrokor on June 4. The High Commercial Court in Zagreb on June 6 endorsed the settlement agreement, which envisages the establishment of a new Agrokor concern held by the creditors, in which the largest individual shareholder will be Russia's Sberbank with a 39.2% stake, SeeNews relates. Agrokor, as cited by SeeNews, said the High Commercial Court ruled that no significant violations were committed in the subject matter or in the procedure that preceded the ruling. Agrokor, which employs some 60,000 people in the region, has been undergoing restructuring led by a court-appointed crisis manager under Croatia's special law on companies of systemic importance passed in April last year with the aim of shielding the Croatian economy from big corporate bankruptcies, SeeNews discloses. =========== F R A N C E =========== PEUGEOT SA: Moody's Affirms Ba1 CFR & Alters Outlook to Positive ---------------------------------------------------------------- Moody's Investors Service has affirmed the Ba1 corporate family rating for Peugeot S.A. and the Ba1-PD probability of default rating and at the same time changed the outlook on all ratings to positive from stable. Concurrently, Moody's has also affirmed the Ba1 senior unsecured rating of GIE PSA Tresorerie. "PSA's outlook change to positive reflects the continued improvements in the company's operating performance and a stronger and faster improvement in the restructuring of Opel Vauxhall (Opel, OV). In addition, Moody's believes that PSA has additional potential to further improve its financial metrics although in an environment that will be more challenging towards year-end and in particular in 2019", says Falk Frey, a Senior Vice President and lead analyst for PSA. "The rating also reflects the expectation that PSA has restructured its business in a way that would offset its exposure to predominantly Europe and therefore higher risk of cyclicality by its agility to adjust capacity and cost quickly", Mr. Frey added. RATINGS RATIONALE PSA has demonstrated a remarkable turnaround of its operations since 2012 when the group was generating a highly negative EBITA negative free cash flows. Before the acquisition of Opel in 2017, PSA generated an EBITA margin of 4.0% (FY2016) and turned a net debt (as adjusted by Moody's) position of EUR8.2 billion (FY2013) into a Net cash position of EUR0.4 billion in 2016. These achievements are based on a significantly improved cost structure and manufacturing efficiencies that have resulted in a constantly lowered break-even point in Europe towards 1.4 million cars in 2017 which is approximately 35% below its current unit sale volumes in the region (2.0 million in 2017, excluding Opel). Moody's views the acquisition of Opel as a strengthening of PSA's competitive position in Europe and an opportunity to leverage PSA's two core platforms with future Opel and Vauxhall models. Therefore Moody's assumes that PSA will be much better prepared for a cyclical downturn in European car demand than in the last cyclical downturn. Moody's positively highlights that PSA's efforts to restructure Opel as part of its turnaround strategy have exceeded expectations, with Opel reporting a positive operating profit for the first time in two decades. For H1-2018 period, Opel has generated a recurring operating profit of EUR502 million, representing a recurring operating profit margin of 5.0%, which compares strongly to the -EUR179 million operating loss reported for the year 2017 (-2.5% margin). Moody's cautions that this recurring operating profit is largely offset by restructuring cost occurred within the Opel Vauxhall segment and Moody's expects that further substantial restructuring expenses will be required going forward, weighing on future cash flow generation. In 2018, PSA's continued strong performance is supported by its belated push into the fast-growing sport utility vehicle (SUV) segment, efforts to streamline and refresh its overall product line and improved manufacturing efficiencies. Moody's anticipates that the key model launches in 2018 under the Peugeot, Citroen, DS and Opel brand to boost PSA's sales performance in the remainder of 2018. This should help to regain some of its passenger car market share in Europe (EU+EFTA) which has continuously eroded from 2010 onwards down to 9.7% in 2016, slightly improved to 9.9% (excluding Opel) in 2017 and 10.4% in H1 2018. Moody's positively notes that the material investments necessary to employ PSA's electrification strategy will be spread over a larger vehicle base, while Opel's car models will leverage on PSA's recent efforts in CO2 emission reductions, having the lowest emission levels of European OEMs. Opel also provides PSA with a production facility in the UK that could hedge the combined group's production position in case of a hard Brexit. POSITIVE OUTLOOK The positive outlook reflects PSA's continued and ongoing improvements in operating performance driven by efficiency and cost structure improvements over the past years and successful and fast restructuring benefits from the integration of Opel that have resulted in credit metrics that could justify an upgrade should those be sustained over the next 12-18 months in an environment that might become more challenging for the industry. WHAT COULD CHANGE THE RATINGS UP/DOWN The ratings could come under upward pressure should (1) PSA generate positive free cash flows despite anticipated restructuring cash outflows; (2) leverage (debt/EBITDA) fall constantly below 2.0x; (3) profitability be restored to an EBITA margin at or above 5% sustainably and the company's liquidity profile remain solid. Given that in 2017 and based on LTM June 2018 PSAs metrics have been in line with these expectations, upward pressure on the ratings has increased significantly. The Ba1 ratings could come under pressure should (1) PSA or the combined PSA-Opel group exhibit a sustained negative market share development in its key markets; (2) FCF generation become negative for a sustained period of time also impacted by sizable restructuring expenses relating to the acquisition of Opel or due to the inability to reduce Opel's cash consumption; (3) the company's EBITA margin fall below 3.0%; (4) its leverage (debt/EBITDA) exceed 3.0x on a sustainable basis; (5) the groups liquidity profile materially weaken, or (6) if there are any emission-related issues that would lead to significant fines, or other remediation measures, which is currently not part of its assumptions. LIQUIDITY PSA's liquidity profile is solid, supported by a cash balance of EUR13.6 billion as of June 30, 2018, internally generated cash flows and access to committed covenanted syndicated credit facilities of EUR3.0 billion maturing in 2023 with two optional one-year extensions (excluding EUR1.2 billion at Faurecia). These credit facilities were undrawn as of June 2018 and PSA was compliant with the financial covenants included in these credit agreements. These sources are deemed to be more than sufficient to cover the anticipated cash outflows for capital expenditures, maturing debt, working capital needs as well as the cash outflow for the acquisition of Opel. Issuer: GIE PSA Tresorerie Affirmations: Commercial Paper, Affirmed NP BACKED Senior Unsecured Regular Bond/Debenture, Affirmed Ba1 Outlook Actions: Outlook, Changed To Positive From Stable Issuer: Peugeot S.A. Affirmations: LT Corporate Family Rating, Affirmed Ba1 Probability of Default Rating, Affirmed Ba1-PD BACKED Senior Unsecured Medium-Term Note Program, Affirmed (P)NP BACKED Senior Unsecured Medium-Term Note Program, Affirmed (P)Ba1 BACKED Senior Unsecured Regular Bond/Debenture, Affirmed Ba1 Outlook Actions: Outlook, Changed To Positive From Stable The principal methodology used in these ratings was Automobile Manufacturer Industry published in June 2017. ============= G E R M A N Y ============= AIR BERLIN: Expects to Repay Big Part of EUR150MM Gov't. Loan ------------------------------------------------------------- Bloomberg News' Alexander Kell reports that Tagesspiegel, citing Air Berlin insolvency administrator Lucas Floether, related that that over the next years, German government may recover a big part of a EUR150 million loan it gave to Air Berlin. Mr. Floether said, "We may even be able to repay the entire amount," Bloomberg relates. By now, about EUR80 million are paid back, Bloomberg discloses. "The other Air Berlin creditors are expected to receive payments only if the shareholder Etihad contributes additional funds," Bloomberg quotes Mr. Floether as saying. About Air Berlin In operation since 1978, Air Berlin PLC & Co. Luftverkehrs KG is a global airline carrier that is headquartered in Germany and is the second largest airline in the country. In 2016, Air Berlin operated 139 aircraft with flights to destinations in Germany, Europe, and outside Europe, including the United States, and provided passenger service to 28.9 million passengers. Within the first seven months of 2017, the Debtor carried approximately 13.8 million passengers. It employs approximately 8,481 employees. Air Berlin is a member of the Oneworld alliance, participating with other member airlines in issuing tickets, code-share flights, mileage programs, and other similar services. Air Berlin has racked up losses of about EUR2 billion over the past six years, and has net debt of EUR1.2 billion. On Aug. 15, 2017, Air Berlin applied to the Local District Court of Berlin-Charlottenburg, Insolvency Court for commencement of an insolvency proceeding. On the same day, the German Court opened preliminary insolvency proceedings permitting the Debtor to proceed as a debtor-in-possession, appointed a preliminary custodian to oversee the Debtor during the preliminary insolvency proceedings, and prohibited any new, and stayed any pending, enforcement actions against the Debtor's movable assets. To seek recognition of the German proceedings, representatives of Air Berlin filed a Chapter 15 petition (Bankr. S.D.N.Y. Case No. 17-12282) on Aug. 18, 2017. The Hon. Michael E. Wiles is the case judge. Thomas Winkelmann and Frank Kebekus, as foreign representatives, signed the petition. Madlyn Gleich Primoff, Esq., at Freshfields Bruckhaus Deringer US LLP, is serving as counsel in the U.S. case. =========== G R E E C E =========== ALPHA BANK: Fitch Raises Rating on Covered Bonds to BB+ ------------------------------------------------------- Fitch Ratings has upgraded Alpha Bank AE's (Alpha, CCC+/C/ccc+) Greek mortgage covered bonds programme to 'BB+' from 'BB-' and removed them from Rating Watch Positive. The Outlook is Stable. Fitch has reviewed the programme following the publication of the asset assumptions for Greek residential mortgage loans and the refinancing spread levels up to the 'BBB-' Country Ceiling. Fitch originally placed the programme on RWP after the upgrade of Greece and the revision of the Country Ceiling. The rating action also takes into account the upgrade of Alpha's Issuer Default Rating to the level of its Viability Rating. KEY RATING DRIVERS The covered bonds' rating is constrained by the 27% overcollateralisation the issuer has undertaken to maintain starting from the calculation period ending on October 31, 2018, as stated in the investor report that will be published in November 2018. The relied upon OC provides more protection than the 'BB+' breakeven OC of 26.5% and it is sufficient to withstand stresses at the 'B+' tested rating on a probability of default (PD) basis. Fitch has assigned the full recovery uplift of three notches, as the relied upon OC offsets the credit loss at the covered bonds' rating. The Stable Outlook is driven by the significant buffer provided by the uplift factors against a downgrade of Alpha's Long-Term IDR. The unchanged IDR uplift of two notches reflects the covered bonds' exemption from bail-in, that the issuer's Long-Term IDR is driven by its VR, and Fitch's view of the low risk of under- collateralisation at the point of resolution. Following the issuer's IDR upgrade to the level of its VR, Fitch takes into account the IDR as a starting point for the covered bond analysis. The IDR upgrade is neutral for the covered bond rating as the agency used to refer to the issuer's VR. The payment continuity uplift (PCU) remains at six notches, mirroring the programme's soft-bullet feature. The programme currently uses one notch of the assigned PCU. Fitch's continuity assessment also considers protection for interest payments of at least three months. The 26.5% breakeven OC is mainly driven by the 23% ALM loss component. This component includes the OC needed to bridge maturity and interest rate mismatches between assets and liabilities upon enforcement of the cover pool. It also includes the effect of the selected assets required amount (SARA) clause and an unmitigated commingling exposure. The second driver of the breakeven OC is the 3.7% credit loss, which takes into account the debt-to-income information that the issuer has provided on 21% of the cover pool. In accordance with Fitch's policies the issuer appealed and provided additional information to Fitch that resulted in a rating action, which is different than the original rating committee outcome. RATING SENSITIVITIES All else being equal, Alpha Bank AE's covered bonds could be upgraded up to the Country Ceiling, provided sufficient protection is available to withstand stresses associated with a higher rating. All else being equal, the covered bonds rating would be vulnerable to a downgrade if the relied-upon OC falls below Fitch's 'BB+' breakeven OC. The ratings of the covered bonds are not vulnerable to a downgrade of the issuer's IDRs down to 'C'. Fitch's breakeven OC for a given covered bonds rating will be affected by, among other factors, the profile of the cover assets relative to outstanding covered bonds, which can change over time, even in the absence of new issuance. Therefore, the breakeven OC for a covered bonds rating cannot be assumed to remain stable over time. ============= I R E L A N D ============= ARROW CMBS 2018: Fitch Gives B-(EXP) Rating to EUR20.9MM F Debt --------------------------------------------------------------- Fitch Ratings has assigned ARROW CMBS 2018 DAC's floating-rate notes expected ratings as follows: EUR135.8 million class A1: 'AAA(EXP)sf'; Outlook Stable EUR21.4 million class A2: 'AA+(EXP)sf'; Outlook Stable EUR0.4 million class X: 'NR(EXP)sf' EUR20.6 million class B: 'AA-(EXP)sf'; Outlook Stable EUR29.3 million class C: 'A-(EXP)sf'; Outlook Stable EUR32 million class D: 'BBB-(EXP)sf'; Outlook Stable EUR32.7 million class E: 'BB-(EXP)sf'; Outlook Stable EUR20.9 million class F: 'B-(EXP)sf'; Outlook Stable The transaction is a 95% securitisation of a EUR308.2 million commercial real estate loan, originated by Deutsche Bank and Societe Generale and backed by a Blackstone-sponsored portfolio of 89 primarily logistics/light industrial and mixed-use assets located across France, Germany and The Netherlands. The final ratings are contingent upon the receipt of final documents conforming to the information already received. KEY RATING DRIVERS Granular Portfolio The portfolio consists of 89 industrial buildings, including both "big box" and smaller urban logistics assets, as well as some light industrial units. The geographic spread covers France (for 53 sites), Germany (27) and The Netherlands (9). Tenant concentration is moderate, with most assets being multi-let. Portfolio income is generated by around 350 tenants in various sectors, based on physical occupancy of 90.7%. Diversity Brings Legal Complexity The portfolio serves growing pan-European logistics markets, while also featuring smaller units with good transport links into Paris, Lyon, Lille, Berlin, Munich and The Randstad. Geographic diversification is credit-positive but also adds legal risk. To mitigate French safeguard proceedings, the borrower group is held by a "double luxco" designed to thwart potential hostile borrower strategies. Limitations on French cross-collateralisation also create reliance on contractual protections and share pledge. Functional Assets, High Leverage The portfolio comprises mostly functional secondary properties that are generally fit for purpose. Some assets require modernisation or re-specification, but few fall into Fitch's weaker quality scores deemed at higher risk of extensive structural vacancy (grades 5-7 account for 5% of rental value). While portfolio income is resilient, the senior loan is highly leveraged, with a 69.7% loan-to-value ratio (LTV) and no scheduled amortisation. Mezzanine Loan Constrains Rating Additional leverage consists of a EUR78.1 million structurally and contractually subordinated mezzanine loan. Should the senior loan default, upon certain events, including commencement of enforcement, the mezzanine lender has 15 business days to elect to buy the senior loan at par plus accrued interest. The price excludes any costs incurred for enforcement and may not include default penalty interest. Given this, and the negative signal to potential bidders should the purchase not be exercised, the option's durability constrains the class F rating. KEY PROPERTY ASSUMPTIONS (all by market value) 'Bsf' weighted average (WA) cap rate: 8.1% 'Bsf' WA structural vacancy: 18.3% 'Bsf' WA rental value decline: 2.6% 'BBsf' WA cap rate: 8.7% 'BBsf' WA structural vacancy: 20.5% 'BBsf' WA rental value decline: 4.9% 'BBBsf' WA cap rate: 9.3% 'BBBsf' WA structural vacancy: 22.8% 'BBBsf' WA rental value decline: 7.6% 'Asf' WA cap rate: 10.0% 'Asf' WA structural vacancy: 25.1% 'Asf' WA rental value decline: 10.4% 'AAsf' WA cap rate: 10.7% 'AAsf' WA structural vacancy: 27.8% 'AAsf' WA rental value decline: 13.6% 'AAsf' WA cap rate: 11.5% 'AAsf' WA structural vacancy: 31.6% 'AAsf' WA rental value decline: 16.9% RATING SENSITIVITIES The change in model output that would apply if the capitalisation rate assumption for each property is increased by a relative amount is as follows: Current ratings: 'AAAsf'/'AA+sf'/'AA-sf'/'A-sf'/'BBB+sf'/'BB- sf'/'B-sf' Increase capitalisation rates by 10%: 'AA+sf'/'AA- sf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'/'CCCsf' Increase capitalisation rates by 20%: 'AAsf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB+sf'/'CCCsf'/'CCCsf' The change in model output that would apply if the rental value decline (RVD) and vacancy assumption for each property are increased by a relative amount is as follows: Increase RVD and vacancy by 10%: 'AA+sf'/'AA- sf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'/'CCCsf' Increase RVD and vacancy by 20%: 'AAsf'/'A+sf'/'A-sf'/'BBB- sf'/'BBsf'/'Bsf'/'CCCsf' The change in model output that would apply if the capitalisation rate, RVD and vacancy assumptions for each property are increased by a relative amount is as follows: Increase in all factors by 10%: 'AAsf'/'A+sf'/'A-sf'/'BBB- sf'/'BB-sf'/'CCCsf'/'CCCsf' Increase in all factors by 20%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BB- sf'/'Bsf'/'CCCsf'/'CCCsf' USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. EUROMAX V: Fitch Withdraws 'Csf' Ratings on Two Tranches -------------------------------------------------------- Fitch Ratings has affirmed and withdrawn the ratings of four tranches from Euromax V ABS and Euromax VI ABS, two structured finance collateralised debt obligations with exposure to various structured finance assets Euromax V ABS PLC: - Class D1 affirmed at 'Csf' - Class D2 affirmed at 'Csf' Euromax VI ABS limited: - Class G affirmed at 'CCsf' - Class H affirmed at 'Csf' Fitch is withdrawing these four ratings as they are no longer considered to be relevant to the agency's coverage. KEY RATING DRIVERS The affirmation reflects its expectation that interest and principal from the combo note components will not be sufficient to repay the notes. RATING SENSITIVITIES NA USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO 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 Recognised Statistical Rating Organisations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ROCKFORD TOWER 2018-1: Fitch Gives B-(EXP) Rating on F Debt ----------------------------------------------------------- Fitch Ratings has assigned Rockford Tower Europe CLO 2018-1 DAC expected ratings, as follows: Class A-1: 'AAA(EXP)sf'; Outlook Stable Class A-2: 'AAA(EXP)sf'; Outlook Stable Class B: 'AA(EXP)sf'; Outlook Stable Class C: 'A(EXP)sf'; Outlook Stable Class D: 'BBB-(EXP)sf'; Outlook Stable Class E: 'BB-(EXP)sf'; Outlook Stable Class F: 'B-(EXP)sf'; Outlook Stable Subordinated notes: 'NR(EXP)sf' The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed. Rockford Tower Europe CLO 2018-1 DAC is a securitisation of mainly senior secured loans and bonds (at least 90%) with a component of senior unsecured, mezzanine, high-yield bonds and second-lien assets. A total expected note issuance of EUR406.1 million will be used to fund a portfolio with a target par of EUR400 million. The portfolio will be managed by Rockford Tower Capital Management, L.L.C.. The CLO envisages a four-year reinvestment period and an 8.5-year weighted average life (WAL). KEY RATING DRIVERS 'B' Portfolio Credit Quality Fitch places the average credit quality of obligors in the 'B' range. The Fitch-weighted average rating factor (WARF) of the identified portfolio is 29.8. High Recovery Expectations At least 90% of the portfolio comprises senior secured obligations. Recovery prospects for these assets are typically more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-weighted average recovery rating (WARR) of the identified portfolio is 68.9%. Diversified Asset Portfolio The covenanted maximum exposure to the top 10 obligors for assigning the expected ratings is 20% of the portfolio balance. The transaction also includes limits on maximum industry exposure based on Fitch's industry definitions. The maximum exposure to the three largest (Fitch-defined) industries in the portfolio is covenanted at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management The transaction features a four-year reinvestment period and includes reinvestment criteria similar to other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Analysis Fitch used a customised proprietary cash flow model to replicate the principal and interest waterfalls and the various structural features of the transaction, and to assess their effectiveness, including the structural protection provided by excess spread diverted through the par value and interest coverage tests. RATING SENSITIVITIES A 125% default multiplier applied to the portfolio's mean default rate, and with this increase added to all rating default levels, would lead to a downgrade of up to three notches for the rated notes. A 25% reduction in recovery rates would lead to a downgrade of up to four notches for the rated notes. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO 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 Recognised Statistical Rating Organisations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ================= L I T H U A N I A ================= SMALL PLANET: Lithuanian Business Files for Restructuring --------------------------------------------------------- Victoria Moores at Air Tranport World reports that leisure operator Small Planet Airlines announced that its Lithuanian business -- Small Planet Airlines UAB -- has filed for restructuring under Lithuanian law, as a knock-on effect of debts at its German and Polish airlines that both hit financial difficulties this fall. According to ATW, Small Planet Airlines GmbH -- the group's German airline -- launched insolvency proceedings in September, after late aircraft deliveries, crew shortages and technical events collided with its rapid expansion plans. In October, Small Planet's Polish operation also entered "accelerated arrangement" restructuring proceedings, ATW recounts. These two restructuring processes have now taken their toll on Lithuanian operation Small Planet Airlines UAB, which had been expected to deliver a EUR3.4 million (US$3.9 million) operating profit in 2018, ATW discloses. However, the Lithuanian airline took on guarantees and joint liabilities for the German and Polish operations, creating exposure to their debts, ATW states. * LITHUANIA: Company Bankruptcy Proceedings Down in 1st Half 2018 ----------------------------------------------------------------- The Baltic Times reports that new figures from Lithuania's statistics office, Statistics Lithuania, show bankruptcy proceedings were launched against 1,130 companies in Lithuania in the first half of this year, down 33.3% from the same period last year. According to The Baltic Times, the figures revealed the majority of bankruptcies were registered among wholesale and retail companies (33.2%) and construction companies (15.7%) as well as firms involved in administrative and servicing activity (8.2%). The majority (95.1%) of companies with initiated bankruptcy proceedings were small enterprises with fewer than 10 companies, The Baltic Times discloses. ===================== N E T H E R L A N D S ===================== CAIRN CLO X: Moody's Assigns B2 Rating to Class F Notes ------------------------------------------------------- Moody's Investors Service announced that it has assigned the following definitive ratings to notes issued by Cairn CLO X B.V.: EUR223,000,000 Class A Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) EUR28,000,000 Class B-1 Senior Secured Floating Rate Notes due 2031, Assigned Aa2 (sf) EUR10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031, Assigned Aa2 (sf) EUR15,700,000 Class C-1 Senior Secured Deferrable Floating Rate Notes due 2031, Assigned A2 (sf) EUR10,000,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes due 2031, Assigned A2 (sf) EUR17,100,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031, Assigned Baa2 (sf) EUR25,050,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031, Assigned Ba2 (sf) EUR10,600,000 Class F Senior Secured Deferrable Floating Rate Notes due 2031, Assigned B2 (sf) RATINGS RATIONALE Moody's definitive ratings of the rated notes reflect the risks from defaults on the underlying portfolio of loans given the characteristics and eligibility criteria of the constituent assets, the relevant portfolio tests and covenants, as well as the transaction's capital and legal structure. Furthermore, Moody's considers that the collateral manager Cairn Loan Investments LLP ("Cairn") has sufficient experience and operational capacity and is capable of managing this CLO. The Issuer is a managed cash flow CLO. At least 90% of the portfolio must consist of senior secured obligations and up to 10% of the portfolio may consist of unsecured senior obligations, second-lien loans, mezzanine obligations and high yield bonds. The portfolio is expected to be 80% ramped as of the closing date and to comprise of predominantly corporate loans to obligors domiciled in Western Europe. The remainder of the portfolio will be acquired during the five month ramp-up period in compliance with the portfolio guidelines. Cairn will manage the CLO. It will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four and a half year reinvestment period. Thereafter, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations or credit improved obligations, and are subject to certain restrictions. In addition to the eight classes of notes rated by Moody's, the Issuer issued an aggregate EUR 35.45 million of Class M-1 Subordinated Notes and Class M-2 Subordinated Notes which are not rated. 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. Methodology underlying the rating action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Moody's modeled the transaction using CDOEdge, a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. Moody's used the following base-case modeling assumptions: Par Amount: EUR 365,000,000 Diversity Score: 38 Weighted Average Rating Factor (WARF): 2760 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 43% Weighted Average Life (WAL): 8.5 years Moody's has addressed the potential exposure to obligors domiciled in countries with local currency ceiling (LCC) of A1 or below. As per the portfolio constraints, exposures to countries with LCC of A1 or below cannot exceed 10%, with exposures to LCC of Baa1 to Baa3 further limited to 5% and with exposures of LCC below Baa3 not greater than 0%. CAIRN CLO X: Fitch Assigns B-sf Rating to Class F Debt ------------------------------------------------------ Fitch Ratings has assigned Cairn CLO X B.V. final ratings, as follows: Class A: 'AAAsf'; Outlook Stable Class B-1: 'AAsf'; Outlook Stable Class B-2: 'AAsf'; Outlook Stable Class C-1: 'Asf'; Outlook Stable Class C-2: 'Asf'; Outlook Stable Class D: 'BBBsf'; Outlook Stable Class E: 'BBsf'; Outlook Stable Class F: 'B-sf'; Outlook Stable M-1 subordinated notes: 'NRsf' M-2 subordinated notes: 'NRsf' Cairn CLO X B.V. is a securitisation of mainly senior secured loans and bonds (at least 90%) with a component of senior unsecured, mezzanine, high yield bonds and second-lien assets. A total expected note issuance of EUR374.9 million are being used to fund a portfolio with a target par of EUR365 million. The portfolio will be managed by Cairn Loan Investments LLP. The CLO envisages a 4.5-year reinvestment period and an 8.5-year weighted average life. KEY RATING DRIVERS 'B' Portfolio Credit Quality Fitch places the average credit quality of obligors in the 'B' range. The Fitch weighted average rating factor (WARF) of the identified portfolio is 31.4. High Recovery Expectations At least 90% of the portfolio comprises senior secured obligations. Recovery prospects for these assets are typically more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rating (WARR) of the identified portfolio is 64.5%. Diversified Asset Portfolio The transaction has different Fitch test matrices with different allowances for exposure to the 10 largest obligors (maximum 18% and 27.5%). The manager can then interpolate between these matrices. The transaction also includes limits on maximum industry exposure based on Fitch's industry definitions. The maximum exposure to the three largest (Fitch-defined) industries in the portfolio is covenanted at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management The transaction features a 4.5-year reinvestment period and includes reinvestment criteria similar to other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Analysis Fitch used a customised proprietary cash flow model to replicate the principal and interest waterfalls and the various structural features of the transaction, and to assess their effectiveness, including the structural protection provided by excess spread diverted through the par value and interest coverage tests. RATING SENSITIVITIES A 125% default multiplier applied to the portfolio's mean default rate, and with this increase added to all rating default levels, would lead to a downgrade of up to two notches for the rated notes. A 25% reduction in recovery rates would lead to a downgrade of up to five notches for the rated notes. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO 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 Recognised Statistical Rating Organisations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. =========== R U S S I A =========== GLOBAL PORTS: Moody's Alters Outlook on Ba3 CFR to Stable --------------------------------------------------------- Moody's Investors Service has changed to stable from negative the outlook on the Ba3 corporate family rating, Ba3-PD probability of default rating, and Ba3 senior unsecured instrument ratings of Global Ports Investments Plc, Russia's leading container port terminals operator. Concurrently, Moody's has affirmed these ratings. RATINGS RATIONALE The rating action reflects the company's gradual process of deleveraging, which started in 2018, and was underpinned by its improving operating performance and conservative financial policy. The robust recovery in the container market, amid a stabilising domestic economy, and GPI's move to a more flexible selling strategy helped the company accelerate growth in its container volumes in 1H 2018 to 16% from 7% in 2017 and a 19% drop in 2016. This strong rebound in volumes, coupled with the active expansion of the company's marine bulk cargo segment and tight cost controls, allowed GPI to offset persistent pricing pressure in the domestic container market. This was against the backdrop of a high level of competition with substantial excess capacities and growing share of exports operations. As a result, GPI's total revenue resumed growth of around 8% in H1 2018 after staying flat in 2017, while its adjusted EBITDA margin improved to around 65% from 63% in 2017, but down from 68% in 2016. Growing earnings, along with GPI's consistent adherence to a conservative financial policy focused on deleveraging with limited investment requirements and restricted dividend distributions, translated into adjusted net debt/EBITDA declining to 4.0x for the 12 months ended June 2018 compared with 4.6x in 2017 and funds from operations (FFO)/debt improving to 11.4% compared with 10.3% in 2017. Moody's expects GPI's total revenue to grow in the mid-low single digits and its adjusted EBITDA margin to stabilise at 65% in 2019, despite a potential slowdown in container market growth next year after the strong recovery in previous years, and in view of rising pressures on domestic demand from heightened inflationary expectations and ruble volatility. As a result, GPI will continue deleveraging in the next 12-18 months with adjusted net debt/EBITDA falling to below 4.0x and FFO/debt settling in the mid-teens in percentage terms. The company's credit profile will also remain supported by its very comfortable debt maturity profile with no major debt-service requirements until 2021. At the same time, while GPI's rating factors in its leading market share and strong geographic position in the strategically important Big Port of St. Petersburg and Vostochny Port in Russia's Far East, the rating remains constrained by the company's exposure to Russia's volatile and highly competitive container market. Although the increasingly wider use of containers in Russia and a sustainable trend for laden export growth have been contributing to a balanced market and greater stability, the segment remains highly dependent on economic cycles, domestic demand, and the ruble exchange rate. GPI is also exposed to the evolving regulatory and legal environment in Russia. Moody's, however, does not expect the recently introduced law on port tariffs to materially impact the company's credit profile, while also positively acknowledging the successful resolution of the dispute with the Russian Federal Antimonopoly Service (FAS) in December 2017. Moody's also considers GPI's new shareholding structure following the acquisition of a 30.75% stake in the company by Management Company "Delo" LLC in April 2018, to remain stable and supportive. RATIONALE FOR STABLE OUTLOOK The outlook on GPI's rating is stable, which reflects Moody's expectation that the company will continue adhering to its conservative financial policy focused on deleveraging, which, coupled with a prudent operating strategy, should help maintain a financial profile commensurate with the current rating. WHAT COULD CHANGE THE RATINGS UP/DOWN Positive pressure on GPI's rating could build if the company (1) demonstrated sustained growth in both volumes and revenues, while preserving stable profitability; (2) strengthened its financial metrics, especially if adjusted net debt/EBITDA trends towards 3.0x and FFO/debt increases sustainably above 15%; (3) maintained healthy liquidity; and (4) established a track record of a stable operating performance under the new tariff regulations and the absence of major disputes with state authorities, including FAS. Downward pressure on the ratings could occur if the operating environment and the competitive pressures in the Russian container cargo market become significantly more challenging, translating into continuously elevated net debt/EBITDA well above 4x and FFO/debt below 10%. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Privately Managed Port Companies published in September 2016. Global Ports Investments Plc is the largest container terminal operator in Russia with strong positions in the Baltics and Far East basins. GPI also handles marine bulk cargo, including coal, scrap metal, fertilisers, ro-ro, and other services. In the 12 months ended June 2018, GPI reported $343 million in revenue and $220 million in adjusted EBITDA. ========= S P A I N ========= CGH BBK I: Fitch Affirms 'CCCsf' Rating on Class B Notes -------------------------------------------------------- Fitch Ratings has upgraded five and affirmed 14 tranches of six Spanish RMBS transactions. The Outlooks are Stable. The transactions comprise Spanish mortgages serviced by Kutxabank, SA (BBB+/Stable/F2) for AyT CGH BBK I and BBK II (BBK I, BBK II); Liberbank, SA (BB/Stable/B) for AyT CGH Caja Cantabria I and CCM I (Cantabria I, CCM I); and Bankia, SA (BBB- /Positive/F3) for AyT CGH Caja Granada and AyT CGH Sa Nostra I (Granada, Sa Nostra I). KEY RATING DRIVERS Stable Performance Outlook The rating actions reflect Fitch's expectation of stable credit trends during the short- to medium-term, especially given the significant seasoning of the securitised portfolios of 13 years on average. Three-month plus arrears (excluding defaults) as a percentage of the current pool balance stood between 0.3% (Cantabria I) and 1.6% (Sa Nostra I), and cumulative defaults relative to the original portfolio balances at between 1.7% (BBK II) and 11.6% (CCM I) as of the last reporting periods. Rising Credit Enhancement (CE) Trend Fitch expects structural CE ratios for the senior notes in all transactions to increase, as the transactions are currently paying sequentially and the agency does not expect a switch to pro-rata in the near future, given trigger definitions. Payment Interruption Risk Fitch views Cantabria I and Granada as being exposed to payment interruption risk in the event of a servicer disruption event as the available mitigants remain insufficient to fully cover stressed senior fees, net swap payments and stressed senior note interests during a servicer replacement period. As a result, the class A and B notes' ratings are capped at 'A-sf' and 'A+sf' for Cantabria I and Granada respectively, five notches above the collection account bank (Liberbank and Bankia) ratings. Excessive Counterparty Exposure BBK II's class A note rating remains capped at the SPV account bank provider rating (Banco Santander, SA, Deposit Rating A/F1), as a material source of structural CE for this tranche is the reserve fund that is kept at the bank account. Open Interest Rate Risk BBK I, BBK II and CCM I are unhedged transactions with fixed-rate liabilities and floating-rate mortgages. This cash flow stress is particularly pronounced for both BBK transactions as under the prevailing low Euribor environment constant reserve fund drawings are being made to cover liquidity needs. Geographical Concentration The class A notes' rating of Sa Nostra I is capped at 'Asf' due to the significant geographical concentration in the Balearic region (around 99% of the portfolio balance), which exposes the transaction to performance volatility. In Fitch's view, the strong dependence of the Balearic economy on tourism poses a risk that cannot be addressed through structural features, limiting the notes rating to 'Asf'. The other five transactions are also exposed to geographical concentration risk in the Basque region, Cantabria, Andalucia and Castilla la Mancha. Fitch has applied a higher set of rating multiples to the base foreclosure frequency assumption to the portion of the portfolio that exceeds 2.5x the population within these regions. RATING SENSITIVITIES A worsening of the Spanish macroeconomic environment, especially employment conditions, or an abrupt shift of interest rates could jeopardise the underlying borrowers' affordability. This could have negative rating implications, especially for junior tranches that are less protected by structural CE. The rating of BBK II class A notes is sensitive to changes in the SPV account bank's ratings (Santander). With regards to Cantabria I and Granada, so long as payment interruption risk is not fully mitigated, the maximum achievable rating of the notes will remain capped at five notches above the respective collection account bank rating (Liberbank and Bankia). USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. For Sa Nostra I, because loan-by-loan portfolio data sourced from the European Data Warehouse did not include information on the prior-lien euro balance of second-lien loans, Fitch assumed this information to remain equal to when it was last available in November 2017. Moreover, because loan-by-loan portfolio data provided by Haya Titulizacion SGFT on restructured assets did not include the date last in arrears field, Fitch has estimated such date based on the historical account status field sourced from the European Data Warehouse. For BBK I, BBK II, Cantabria I, Granada and CCM I there were no findings that affected the rating analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, 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. SOURCES OF INFORMATION The information here was used in the analysis. Loan-by-loan data sourced from the European Data Warehouse as at: May 2018 for Granada and CCM I June 2018 for BBK I, BBK II and Cantabria I August 2018 for Sa Nostra I Issuer and servicer reports provided by Haya Titulizacion SGFT, S.A. as at: March 2018 for BBK I May 2018 for Granada and Sa Nostra I June 2018 for BBK II, Cantabria I and CCM I Fitch has taken the following rating actions: BBK I: Class A notes (ISIN ES0312273008): upgraded to 'Asf' from 'A-sf'; Outlook Stable BBK II: Class A notes (ISIN ES0312273362): affirmed at 'Asf'; Outlook Stable Class B notes (ISIN ES0312273370): affirmed at 'CCCsf'; Recovery Estimate (RE) 90% Cantabria I: Class A notes (ISIN ES0312273446): affirmed at 'A-sf'; Outlook Stable Class B notes (ISIN ES0312273453): affirmed at 'A-sf'; Outlook Stable Class C notes (ISIN ES0312273461): upgraded to 'BBsf' from 'B+sf'; Outlook Stable Class D notes (ISIN ES0312273479): affirmed at 'CCCsf'; RE 60% Granada: Class A notes (ISIN ES0312273164): affirmed at 'A+sf'; Outlook Stable Class B notes (ISIN ES0312273172): affirmed at 'A+sf'; Outlook Stable Class C notes (ISIN ES0312273180): upgraded to 'BBB+sf' from 'BB+sf'; Outlook Stable Class D notes (ISIN ES0312273198): affirmed at 'CCsf'; RE revised to 65% from 40% CCM I: Class A notes (ISIN ES0312273248): upgraded to 'AAsf' from 'Asf'; Outlook Stable Class B notes (ISIN ES0312273255): affirmed at 'Bsf'; Outlook Stable Class C notes (ISIN ES0312273263): affirmed at 'CCCsf'; RE 50% Class D notes (ISIN ES0312273271): affirmed at 'CCsf'; RE 0% Sa Nostra I: Class A notes (ISIN ES0312273123): affirmed at 'Asf'; Outlook Stable Class B notes (ISIN ES0312273131): affirmed at 'Asf'; Outlook Stable Class C notes (ISIN ES0312273149): affirmed at 'BBBsf'; Outlook Stable Class D notes (ISIN ES0312273156): upgraded to 'BB+sf' from 'BB-sf'; Outlook Stable =========================== U N I T E D K I N G D O M =========================== FAB CBO 2004-1: Fitch Withdraws CCC Rating on Class S2 Debt ----------------------------------------------------------- Fitch Ratings has affirmed and withdrawn the rating of a combination tranche FAB CBO 2004-1 Limited a structured finance collateralised debt obligation with exposure to various structured finance assets - Class S2 affirmed at 'CCCsf'; withdrawn Fitch is withdrawing this rating as it is no longer considered to be relevant to the agency's coverage. KEY RATING DRIVERS The affirmation reflects its expectation that interest and principal from the combination note will not be sufficient to repay the notes. RATING SENSITIVITIES NA USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO 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 Recognised Statistical Rating Organisations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. FINSBURY SQUARE 2018-2: Moody's Gives (P)Caa2 Rating on 2 Classes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional long-term credit ratings to the Notes to be issued by Finsbury Square 2018- 2 plc: GBP[-] million Class A Mortgage Backed Floating Rate Notes due [September 2068], Assigned (P)Aaa (sf) GBP[-] million Class B Mortgage Backed Floating Rate Notes due [September 2068], Assigned (P)Aa2 (sf) GBP[-] million Class C Mortgage Backed Floating Rate Notes due [September 2068], Assigned (P)A1 (sf) GBP[-] million Class D Mortgage Backed Floating Rate Notes due [September 2068], Assigned (P)Baa1 (sf) GBP[-] million Class E Mortgage Backed Floating Rate Notes due [September 2068], Assigned (P)Caa2 (sf) GBP[-] million Class X Floating Rate Notes due [September 2068], Assigned (P)Caa2 (sf) Moody's has not assigned a rating to the GBP[-] million Class Z Notes due [September 2068], which will also be issued at closing of the transaction. The portfolio backing this transaction consists of UK prime residential loans originated by Kensington Mortgage Company Limited ("KMC", not rated). The loans were sold by KMC to Koala Warehouse Limited (the "Seller", not rated) at the time of each loan origination date. On the closing date the Seller sells the portfolio to Finsbury Square 2018-2 plc. Approximately [88.7]% of the pool have been originated during 2018. RATINGS RATIONALE The ratings of the Notes take into account, among other factors: (i) the performance of the previous transactions launched by KMC; (ii) the credit quality of the underlying mortgage loan pool; (iii) legal considerations; (iv) the initial credit enhancement provided to the senior Notes by the junior Notes and the reserve fund; and (v) the ability to add new loans to the collateral pool during the prefunding period before the first interest payment date which could account for up to [30]% of the final collateral pool equivalent to GBP [181] million. Expected Loss and MILAN CE Analysis Moody's determined the MILAN credit enhancement (MILAN CE) and the portfolio's expected loss (EL) based on the pool's credit quality. The MILAN CE reflects the loss Moody's expects the portfolio to suffer in the event of a severe recession scenario. The expected portfolio loss of [2.2]% and the MILAN CE of [14.0]% serve as input parameters for Moody's cash flow model and tranching model, which is based on a probabilistic lognormal distribution. Portfolio expected loss of [2.2]%: this is higher than the UK Prime RMBS sector average of ca. 1.1% and was evaluated by assessing the originator's limited historical performance data and benchmarking with other UK Prime RMBS transactions. It also takes into account Moody's stable UK Prime RMBS outlook and the UK economic environment. MILAN CE of [14.0]%: this is higher than the UK Prime RMBS sector average of ca. 8.7% and follows Moody's assessment of the loan- by-loan information taking into account the historical performance available and the following key drivers: (i) although Moody's have classified the loans as prime, it believes that borrowers in the portfolio often have characteristics which could lead to them being declined from a high street lender; (ii) the weighted average CLTV of [73.47]%, (iii) the very low seasoning of [0.51] years, (iv) the proportion of interest-only loans [23.96]%; (v) the proportion of buy-to-let loans ([20.10]%); (vi) the absence of shared equity, fast track or self-certified loans; and (vii) the possibility for new loans to be added to the collateral pool by the first interest payment date which could account for up to [30]% of the final collateral pool equivalent to GBP [181] million. Transaction structure At closing the mortgage pool balance consists of GBP [418.6] million of loans. On closing, the Reserve Fund is equal to [2.1]% of the principal amount outstanding of Class A to E Notes and will be reduced to [2.0]% of the original balance of Class A to E Notes on the first interest payment date. This amount will only be available to pay senior expenses, Class A, Class B, Class C and Class D Notes interest and to cover losses. The Reserve Fund will not be amortising as long as the Class D Notes are outstanding. After Class D has been fully amortised, the Reserve Fund will be equal to [0.0]%. The Reserve Fund will be released to the revenue waterfall on the final legal maturity or after the full repayment of Class D Notes. If the Reserve Fund is less than [1.5]% of the principal outstanding of Class A to E, a liquidity reserve fund will be funded with principal proceeds up to an amount equal to [2.0]% of the Classes A and B. Operational risk analysis KMC is acting as servicer and cash manager of the pool from the closing date. In order to mitigate the operational risk, there is a back-up servicer facilitator (Intertrust Management Limited, not rated, also acting as corporate services provider), and Wells Fargo Bank International Unlimited Company (not rated) is acting as a back-up cash manager from close. All of the payments under the loans in the securitised pool will be paid into the collection account in the name of KMC at Barclays Bank PLC ("Barclays", A2/P-1 and A2(cr)/P-1(cr)). There is a daily sweep of the funds held in the collection account into the issuer account. In the event Barclays rating falls below Baa3 the collection account will be transferred to an entity rated at least Baa3. There is a declaration of trust over the collection account held with Barclays in favour of the Issuer. The issuer account is held in the name of the Issuer at Citibank N.A., London Branch (A1/(P)P-1 and A1(cr)/P-1(cr)) with a transfer requirement if the rating of the account bank falls below A3. To ensure payment continuity over the transaction's lifetime the transaction documents including the swap agreement incorporate estimation language whereby the cash manager can use the three most recent servicer reports to determine the cash allocation in case no servicer report is available. The transaction also benefits from principal to pay interest for Class A to D Notes, subject to certain conditions being met. Interest rate risk analysis [89.7]% of the loans in the pool are fixed-rate mortgages, which will revert to three-month sterling LIBOR plus margin between February 2019 and September 2023. [10.3]% of the loans in the closing pool are floating-rate mortgages linked to three-month sterling LIBOR. The Note coupons are linked to three-month sterling LIBOR, which leads to a fixed-floating rate mismatch in the transaction. To mitigate the fixed-floating rate mismatch the structure benefits from a fixed-floating swap. The swap follows a scheduled notional and will mature the earlier of the date on which floating rating Notes have redeemed in full or the date on which the swap notional is reduced to zero. BNP Paribas (Aa3/P-1 and Aa3(cr)/P-1(cr)) acting through its London Branch, is the swap counterparty for the fixed-floating swap in the transaction. After the fixed rate loans revert to floating rate, there is a basis risk mismatch in the transaction, which results from the mismatch between the reset dates of the three-month LIBOR of the loans in the pool and the three-month LIBOR used to calculate the interest payments on the Notes. Moody's has taken into consideration the absence of basis swap in its cash flow modelling. Principal Methodology The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in September 2017. The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Factors that would lead to an upgrade or downgrade of the ratings: Significantly different loss assumptions compared with its expectations at close due to either a change in economic conditions from its central scenario forecast or idiosyncratic performance factors would lead to rating actions. For instance, should economic conditions be worse than forecast, the higher defaults and loss severities resulting from a greater unemployment, worsening household affordability and a weaker housing market could result in downgrade of the ratings. Deleveraging of the capital structure or conversely a deterioration in the Notes available credit enhancement could result in an upgrade or a downgrade of the rating, respectively. Moody's issues provisional ratings in advance of the final sale of securities, but these ratings only represent Moody's preliminary credit opinion. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavour to assign definitive ratings to the Notes. A definitive rating may differ from a provisional rating. FINSBURY SQUARE 2018-2: Fitch Gives CCC(EXP) Rating on Cl. E Debt ----------------------------------------------------------------- Fitch Ratings has assigned Finsbury Square 2018-2 plc's notes expected ratings as follows: Class A: 'AAA(EXP)sf'; Outlook Stable Class B: 'AA(EXP)sf'; Outlook Stable Class C: 'A(EXP)sf'; Outlook Stable Class D: 'A-(EXP)sf'; Outlook Stable Class E: 'CCC(EXP)sf'; RE 100% Class X: 'BB(EXP)sf'; Outlook Stable Class Z: Not rated The assignment of the final ratings is contingent on the receipt of final documents conforming to information already received. The transaction is a securitisation of owner-occupied and buy-to- let (BTL) mortgages originated in the UK by Kensington Mortgage Company Limited. The transaction features recent origination and the residual origination of the Gemgarto 2015-2 transaction, to be called in November 2018. KEY RATING DRIVERS Pre-funding Mechanism The transaction contains a pre-funding mechanism through which further loans may be sold to the issuer, with proceeds from the over-issuance of notes at closing standing to the credit of the pre-funding reserves. Fitch has received loan-by-loan information on additional mortgage offers that could form part of the collateral once advanced by the seller. However, Fitch has assumed the pool will evolve to the maximum extent permitted by the constraints outlined in the transaction documents. Product Switches Permitted Eligibility criteria govern the type and volume of product switches, but these loans may earn a lower margin than the reversionary interest rates under their original terms. Fitch has assumed the portfolio quality will migrate to the weakest permissible under the product switch restrictions. Help-to-Buy Equity Loans Eight percent of the pool comprises loans in which the UK government has lent up to 40% inside London and 20% outside London of the property purchase price in the form of an equity loan. This allows borrowers to fund a 5% cash deposit and mortgage the remaining balance. When determining these borrowers' foreclosure frequency (FF) via debt-to-income and sustainable loan-to-value ratios, Fitch has taken the balances of the mortgage loan and equity loan into account. Self-employed Borrowers Kensington may choose to lend to self-employed individuals with only one year's income verification completed. Fitch believes that this practice is less conservative compared with other prime lenders. Fitch applied an increase of 30% to the FF for self- employed borrowers with verified income instead of the 20% increase, as per its criteria. RATING SENSITIVITIES Material increases in the frequency of defaults and loss severity on defaulted receivables producing losses greater than Fitch's base case expectations may result in negative rating action on the notes. Fitch's analysis showed that a 30% increase in the weighted average FF, along with a 30% decrease in the weighted average recovery rate, would imply a downgrade to 'AA-sf' from 'AAAsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Fitch conducted a review of a small targeted sample of Kensington's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ITHACA ENERGY: Moody's Revises Outlook on B3 CFR to Stable ---------------------------------------------------------- Moody's Investors Service affirmed Ithaca Energy Limited's B3 Corporate Family Rating and B3-PD probability of default rating, and withdrew the Caa1 rating assigned to its $300 million senior unsecured notes due July 2019, which were recently repaid early as part of a holistic debt refinancing exercise. Concurrently, Moody's has changed the outlook on all ratings to stable from negative. RATINGS RATIONALE The stabilisation of the rating outlook follows the recent completion by Ithaca of the refinancing of its debt facilities, whereby it termed out its debt maturity profile, while strengthening its capital structure with the support of its 100%- owner Delek Group. The refinancing involved increasing the size of Ithaca's existing RBL facility to $400 million from $245 million and extending its maturity to December 2022 from May 2019, while simultaneously retiring the existing $140 million term loan that was due to mature in May 2019. Concurrently, Ithaca raised a new five-year $300 million second lien term loan guaranteed by Delek Group and maturing in 2023, which was used to repay its existing $300 million senior unsecured notes due July 2019. In addition, Ithaca received a $100 million subordinated shareholder loan from its parent Delek, which Moody's treats as 100% equity under its Hybrid Equity Credit rating methodology. The shareholder loan replaced the $70 million future acquisition fund that had been provided by Delek as cash collateral for the $140 million term loan, along with an existing $30 million loan. The revised capital structure gives Ithaca ample headroom to accommodate its recently announced acquisition of all the Greater Stella Area (GSA) licences and associated infrastructure interests of Dyas UK Limited and Petrofac Limited (Ba1 stable), which is expected to complete around the end of 2018, but with an effective date of January 1, 2018. The consideration for the deal comprises an initial cash payment at completion of approximately $130 million (net of estimated interim period cash flows of approximately $80 million), with existing deferred payments to Petrofac being revised and rescheduled such that $120 million is payable over the period 2020 to 2023. While still modest in size relative to the B3 rating, Ithaca's 2018 pro-forma production and 2P reserve base (as of year-end 2017) will increase by approximately 50% and 25% respectively post GSA acquisitions, to 22,000 barrels of oil equivalent per day (boepd) and 89.5 million barrels of oil equivalent (boe). In addition, Ithaca will gain full control and flexibility over the long term development of the GSA production hub, which is central to its growth strategy. From a financial standpoint, Moody's expects that the acquisitions will have a very limited impact on the level of Ithaca's debt at 2018 year-end, because the upfront payment of $130 million will be largely funded with Delek's shareholder loan. Based on price assumptions of $70 and $65 per barrel for Brent, and 53 and 45 pence per therm for NBP gas in 2018 and 2019 respectively, Moody's estimates that Ithaca's adjusted total debt to EBITDA will stand at 4.0x at year-end 2018, reflecting the absence of any contribution from the GSA acquisitions, compared to 6.0x in 2017, and further decline to 3.3x in 2019, as incremental production from the GSA boosts Ithaca's operating profitability and cash flow. What Could Change the Rating - Up Timely development of the GSA satellite fields, sustainable production of 25,000 boepd, further debt reduction from free cash flow with adjusted total debt to EBITDA declining below 3x on a sustained basis and continuing investment in new development projects to increase the 1P reserve base could support an upgrade. What Could Change the Rating - Down Conversely a rating downgrade may result from weakening free cash flow generation putting undue stress on the group's liquidity profile and/or a material decline in the group's 1P reserve life from the level of 4.2 years estimated by Moody's pro-forma the GSA acquisitions and Wytch Farm divestment. The principal methodology used in these ratings was Independent Exploration and Production Industry published in May 2017. Ithaca Energy Limited is a UK-based independent exploration and production company with all of its assets and production in the United Kingdom Continental Shelf region of the North Sea. The company's growth strategy is focused on the appraisal and development of undeveloped discoveries while maximising production from its existing asset base. In H1 2018, Ithaca's production averaged 15,460 boepd. JAMIE'S ITALIAN: Owner Unable to Inject More Money Into Business ---------------------------------------------------------------- Helena Horton at The Telegraph reports that chef and entrepreneur Jamie Oliver admitted that he has no more money to prop up his ailing empire. Last September, his previously successful Jamie's Italian restaurants veered on the edge of bankruptcy, which forced the chef to inject GBP13 million of his own savings into the business to stop it from going bust, The Telegraph recounts. According to The Telegraph, when asked by the Mail on Sunday whether he would be willing to do this again if his restaurants faltered in the future, he said: "I haven't got any more [money]. I tried to do the right thing, I've never been paid by the restaurant group, I've always reinvested. My living was always the other side." He said that although he is not broke, he does not have the means to keep ploughing millions into the restaurant chain, The Telegraph notes. Earlier this year, the restaurant chain, which first opened a restaurant in 2008, revealed it would close 12 sites and ask for rent cuts at 11 more as part of a CVA (company voluntary arrangement) as it struggled with debts of GBP71.5 million, The Telegraph relates. More than 600 people lost their jobs, but Mr. Oliver, as cited by The Telegraph, said that he had no choice but to restructure in order to preserve the 1,600 jobs that remain. In an interview with the Financial Times earlier this year, the 43-year-old multimillionaire chef said the business "had simply run out of cash", The Telegraph recounts. According to The Telegraph, the FT said Mr. Oliver was left with no choice but to instruct his bankers to inject GBP7.5 million from his own savings into the restaurants, and a further GBP5.2 million of his own money after that. This was topped up by around GBP37 million of loans from HSBC and subsidies from other companies within the Jamie Oliver Group, including its publishing and media arm Jamie Oliver Holdings, The Telegraph states. REGIS: Company Voluntary Arrangement Okayed, 1,400 Jobs Saved ------------------------------------------------------------- Alex Turner at TheBusinessDesk.com reports that hairdressing chain Regis has obtained approval for its company voluntary arrangement (CVA), which it says will protect 1,400 jobs and all of its salons. The Coventry-based company, which also operates the Supercuts brand, said it was "optimistic for the future ahead", TheBusinessDesk.com relates. The CVA sought rent reductions in half of its 220 sites, but keeps all of its sites open with no job losses, TheBusinessDesk.com discloses. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than US$3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/booksto order any title today. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter-Europe is a daily newsletter co- published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante, Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN 1529-2754. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR Europe subscription rate is US$775 per half-year, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are US$25 each. For subscription information, contact Peter Chapman at 215-945-7000. * * * End of Transmission * * *