/raid1/www/Hosts/bankrupt/TCREUR_Public/191224.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, December 24, 2019, Vol. 20, No. 256

                           Headlines



G R E E C E

WIND HELLAS: Fitch Affirms Parent's 'B' LT IDR, Alters Outlook Neg.


I R E L A N D

ALME LOAN II: Fitch Assigns BB-sf Rating on Class E-RR Debt
ALME LOAN II: Moody's Gives Ba3 Rating to EUR20.6MM Cl. E-R Notes
FOOTBALL ASSOCIATION: Seeks EUR18-Mil. Government Bailout
INVESCO EURO III: Fitch Assigns B-sf Rating on Class F Debt


I T A L Y

BCC NPL 2019: Moody's Assigns B3 Rating to EUR53MM Class B Notes
PRO-GEST SPA: Moody's Downgrades CFR to Caa1, Outlook Negative


K A Z A K H S T A N

FIRST HEARTLAND: Moody's Puts B2 LT Issuer Ratings, Outlook Stable


N E T H E R L A N D S

E-MAC PROGRAM 2007-I: Fitch Affirms BB-sf Rating on Class C Debt
MAGOI BV: Fitch Assigns B+sf Rating on Class F Notes
NATUR INTERNATIONAL: Operating Losses Cast Going Concern Doubt


R U S S I A

BANK DOM.RF: Financial Resolution Completed Ahead of Schedule
KRK-INSURANCE LLC: Put on Provisional Administration


S P A I N

IM BCC CAJAMAR 2: Fitch Assigns Final BBsf Rating on Class B Debt
TDA 26 SERIES 1: Fitch Affirms CCCsf Rating on Class 1-D Debt


S W I T Z E R L A N D

PEACH PROPERTY: Fitch Assigns B+ LongTerm IDR, Outlook Stable


U N I T E D   K I N G D O M

EUROSAIL-UK 2007-6: Fitch Downgrades Class B1a Debt to B+sf
PINNACLE BIDCO: Moody's Affirms B2 CFR, Outlook Stable
TOWD POINT 2019-GRANITE4: Fitch Affirms BBsf Class F Debt Rating

                           - - - - -


===========
G R E E C E
===========

WIND HELLAS: Fitch Affirms Parent's 'B' LT IDR, Alters Outlook Neg.
-------------------------------------------------------------------
Fitch Ratings revised Crystal Almond Intermediary Holdings
Limited's Outlook to Negative from Stable, and affirmed the
company's Long-Term Issuer Default Rating at 'B'.

The revision of the Outlook follows Wind Hellas's payment of a
capital distribution of EUR225 million to its parent Crystal Almond
Holdings, which increases the company's leverage above its
downgrade threshold of 4.0x funds from operations (FFO) adjusted
net leverage in 2019. Fitch believes that the company retains the
ability to reduce leverage organically, evidenced by a strong
performance in 2019, but deleveraging below the downgrade threshold
could be delayed until at least until 2022-2023 due to expected 5G
spectrum payments.

The growth of the Greek telecoms market is still fragile and
competitive intensity is high while Wind Hellas's free cash flow
(FCF) generation remains modest, turning positive only in 2019
after several years of negative outflows. The use of remaining
proceeds from the company's recent refinancing to pay significant
dividends increases net leverage and removes the cash cushion that
could finance possible 5G spectrum payments in 2020-2021 and
further network investment.

KEY RATING DRIVERS

Leverage Increase: Fitch estimates Wind Hellas's leverage will
increase to 4.3x at end-2019, exceeding its downgrade threshold of
4.0x. Fitch believes that leverage is likely to gradually reduce in
2020-2023 but not sufficiently quickly to justify a Stable Outlook.
Further material dividend distributions are unlikely as the secured
notes' documentation allows the company to pay dividends if
leverage remains below 3.5x net debt/EBITDA as per the company's
definition. By its estimates, this threshold was approached with
the current payment. The dividend payment removed flexibility for
organic expansion via higher capex, potential M&A opportunities and
spectrum investments.

Continuing strong performance leading to improved FCF generation
combined with a prudent approach to leverage are prerequisites for
the company to retain its 'B' rating.

Moderate Capex, Improving FCF: Fitch estimates Wind Hellas's cash
flow generation will gradually improve, driven by EBITDA growth and
moderate capex. Fitch expects pre-dividend FCF to turn positive in
2019. This is a reversal from past years of negative FCF. Fitch
expects the stabilisation of organic capex to lower levels in
2019-2021 following a period of heavy investment in its mobile
network, fibre rollout and its launch of TV offerings. Wind
Hellas's network-sharing agreement with Vodafone has delivered
material cost and capex efficiencies as well as better service
quality. Fitch expects the company to benefit further from the
expansion of this agreement to 4G from 2G/3G.

Improved Competitive Position: Wind Hellas is well positioned to
take advantage of increasing demand for data services. The company
is catching up with its competitors in terms of 4G network coverage
and continues to improve its overall service quality. The ability
to offer high-quality triple-play bundles supports customer
retention while investing in next generation access (NGA) networks
deployment gives Wind Hellas greater exposure to fixed broadband
market growth. Further consolidation in the Greek fixed telecoms
market could create a more rational competitive environment with
three fixed-mobile convergent operators, including Wind Hellas.

Growing Telecoms Market: Greece's telecom market is lagging most of
Europe in smartphone penetration, data usage and fixed fibre
network deployment. For the past several years, Greece has been
catching up, and Fitch expects this positive trend to continue
against an improving macroeconomic backdrop. Fitch expects Greek
GDP growth of 2.3% in 2019 and 2.2% in 2020.

Service Improvement: Wind Hellas has upgraded its network
infrastructure and improved the customer experience, while
controlling costs. This has led to revenue and EBITDA growth, and
market share gains, particularly since early 2017. While the mobile
market remains competitive, Wind Hellas has seen greater
penetration of higher-value bundles among its prepaid customer
base. A rising proportion of bundles with fixed and pay TV will
likely improve retention among subscribers.

Fixed-line Capex Visibility Improves: In the fixed-line segment
capex visibility has improved following the Greek government's
decision to divide the country into three regions to OTE, Vodafone
and Wind Hellas for fibre rollout. This approach protects the
companies from network overlap and allows them to benefit from
either selling faster internet to customers or wholesaling their
lines to their peers. The main risk to these investments is low
take-up rates, which remain sensitive to the macro environment.

DERIVATION SUMMARY

Wind Hellas is the third-largest mobile and fixed-line operator in
Greece behind OTE (Cosmote) and Vodafone Greece. Its ratings
reflect the company's improving performance in both the fixed and
mobile segments due to continued development of and increasing
demand for telecom services. Compared with telco peers in the 'B'
and 'BB' categories such as eircom Holdings Limited (B+/Stable),
Tele Columbus AG (B/Negative), DKT Holdings ApS (B+/Stable) and LLC
T2 RTK Holding (BB/Rating Watch Positive), Wind Hellas is smaller
in scale and has below-average margins. At the same time Wind
Hellas benefits from lower leverage relative to peers. FCF
generation is a main constraint on Wind Hellas's ratings but is
expected to improve. Execution risk on cost control and expected
revenue growth is more pronounced than at peers and to some extent
depends on continued Greek macroeconomic growth.

KEY ASSUMPTIONS

Key assumptions within its rating case for the issuer include:

  - Low single-digit service revenue growth in 2019-2021, driven by
mobile customers' shift towards post-paid, improving average
revenue per user, migration of fixed-line subscribers to NGA, and
increasing take-up of pay TV

  - EBITDA margin (pre-IFRS 16) at 26.5% in 2019 and gradually
improving in 2020-2021

  - Capex plan and spectrum payments reflect buildout of network
and pay-TV investment, as well as 5G spectrum auction

  - No M&A

KEY RECOVERY RATING ASSUMPTIONS

The recovery analysis assumes that Wind Hellas would be considered
a going concern in bankruptcy and that it would be reorganised
rather than liquidated.

- A 10% administrative claim.

  -  The going-concern EBITDA estimate of EUR90 million reflects
Fitch's view of a sustainable, post-reorganisation EBITDA level
upon which Fitch bases the valuation of the company.

  - The going-concern EBITDA is 33% below LTM 3Q19 EBITDA, assuming
likely operating challenges at the time of distress.

  - An enterprise value multiple of 4x is used to calculate a
post-reorganisation valuation and reflects a conservative mid-cycle
multiple.

  - The total amount of debt for claims is EUR600 million, which
includes the senior secured notes at intermediary holding company
Crystal Almond S.a.r.l as well as the full commitment amount of the
EUR75 million super senior revolving credit facility (RCF)

  - Its calculations factor in EUR75 million of prior-ranking debt
(RCF) and EUR525 million of senior secured notes. The recovery
prospects for senior secured notes is 'RR4'/47%. The 'RR4' Recovery
Rating implies a zero-notch uplift from the IDR for a 'B'
instrument rating.

RATING SENSITIVITIES

Developments That May, Individually or Collectively, Lead to
Outlook Stabilisation

  - Continued growth in service revenue supported by sustainable
market positions

  - Sustainably positive FCF generation

  - FFO adjusted net leverage declining below 4.0x in the next
18-24 months

Developments That May, Individually or Collectively, Lead to
Negative Rating Action

  - Adverse changes in competitive and/or macroeconomic environment
jeopardising revenue growth

  - Fixed charge coverage trending below 2.0x (2018: 2.3x)

  - Persistently negative FCF

  - FFO adjusted net leverage sustained above 4.0x

LIQUIDITY AND DEBT STRUCTURE

Comfortable Liquidity: Fitch expects that a combination of
improving EBITDA and declining capex will support neutral to
positive FCF generation. Currently comfortable liquidity is
strengthened further by EUR75 million RCF due 2024.

SUMMARY OF FINANCIAL ADJUSTMENTS

A portion of cash held in bank accounts is treated as restricted
due to capital controls in Greece

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of 3. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or to the way in which they are being
managed by the entity.



=============
I R E L A N D
=============

ALME LOAN II: Fitch Assigns BB-sf Rating on Class E-RR Debt
-----------------------------------------------------------
Fitch Ratings assigned ALME II Loan Funding II D.A.C final
ratings.

RATING ACTIONS

ALME Loan Funding II DAC

Class A-RR;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class B-1-RR; LT AA+sf New Rating;  previously at AA+(EXP)sf

Class B-2-RR; LT AA+sf New Rating;  previously at AA+(EXP)sf

Class C-RR;   LT Asf New Rating;    previously at A(EXP)sf

Class D-RR;   LT BBB-sf New Rating; previously at BBB-(EXP)sf

Class E-RR;   LT BB-sf New Rating;  previously at BB-(EXP)sf

TRANSACTION SUMMARY

ALME Loan Funding II D.A.C is a cash flow CLO of mainly European
senior secured obligations. Net proceeds from the issuance are
being used to fund a portfolio with a target par of EUR375 million.
The portfolio is managed by Apollo Management International. The
CLO envisages a 1.1-year reinvestment period and a 5.8-year
weighted average life (WAL).

KEY RATING DRIVERS

'B' Portfolio Credit Quality: Fitch places the average credit
quality of obligors in the 'B' category. The weighted average
rating factor (WARF) of the identified portfolio calculated by
Fitch is 32.47.

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 weighted average recovery rating (WARR) of
the identified portfolio calculated by Fitch is 69%.

Diversified Asset Portfolio: The transaction features different
matrices with different proportions of fixed-rate assets and
obligor concentrations. The transaction also includes various other
concentration limits, including the maximum exposure to the
three-largest (Fitch-defined) industries in the portfolio at 40%.
These covenants ensure that the asset portfolio will not be exposed
to excessive concentration.

Portfolio Management: The transaction features a 1.1 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 SEC RULE 17G -10

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

ALME LOAN II: Moody's Gives Ba3 Rating to EUR20.6MM Cl. E-R Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to the notes issued by ALME Loan
Funding II D.A.C.:

EUR234,800,000 Class A-R Senior Secured Floating Rate Notes due
2031, Definitive Rating Assigned Aaa (sf)

EUR23,800,000 Class B-1-R Senior Secured Floating Rate Notes due
2031, Definitive Rating Assigned Aa2 (sf)

EUR14,100,000 Class B-2-R Senior Secured Fixed Rate Notes due 2031,
Definitive Rating Assigned Aa2 (sf)

EUR24,400,000 Class C-R Senior Secured Deferrable Floating Rate
Notes 2031, Definitive Rating Assigned A2 (sf)

EUR23,600,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2031, Definitive Rating Assigned Baa3 (sf)

EUR20,600,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2031, Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in our methodology.

The Issuer will issue the Class A-R Notes, the Class B-1-R Notes,
the Class B-2-R Notes, the Class C-R Notes, the Class D-R Notes and
the Class E-R Notes in connection with the re-issuance of the
following classes of notes: the Class A-R Notes, the Class B-R
Notes, the Class C-R Notes, the Class D-R Notes, and the Class E-R
Notes, due 2030 previously refinanced on December 20, 2016.

In addition, on July 9, 2014, the Issuer issued EUR 37 million of
participating term certificates and on December 20, 2016 the Issuer
also issued EUR 8 million of additional participating term
certificates. The EUR 45 million of participating term certificates
are not refinanced and will remain outstanding following the
refinancing date.

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 senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is fully ramped up as of the refinancing date and
comprises predominantly corporate loans to obligors domiciled in
Western Europe.

Apollo Management International LLP will manage the CLO. Apollo
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
1-year reinvestment period. Thereafter, subject to certain
restrictions, purchases are permitted using principal proceeds from
unscheduled principal payments and proceeds from sales of credit
risk obligations.

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
March 2019.

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 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 March 2019.

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

Par Amount(1): EUR 374,062,500

Defaulted Asset: EUR 0.00

Diversity Score(2): 45

Weighted Average Rating Factor (WARF): 3135

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 46.00%

Weighted Average Life (WAL): 5.8 years

(1) The covenanted Target Par Amount is EUR 375,000,000.00, however
we have assumed a Target Par Amount of EUR 374,062,500.00 due to
the potential inclusion of unhedged non-Euro assets into this
transaction.

(2) The covenanted base case Diversity Score is 46, however we have
assumed a diversity score of 45 as the transaction documentation
allows for the diversity score to be rounded up to the nearest
whole number whereas usual convention is to round down to the
nearest whole number.

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 and eligibility criteria, exposures
to countries with LCC of A1 to A3 cannot exceed 10% and obligors
cannot be domiciled in countries with LCC below A3.

FOOTBALL ASSOCIATION: Seeks EUR18-Mil. Government Bailout
---------------------------------------------------------
Jack Horgan-Jones at The Irish Times reports that the Football
Association of Ireland (FAI) sought an EUR18 million "bailout" from
the Government earlier last week, Minister for Sport Shane Ross has
said.

He confirmed that the implications of the association, which has
liabilities of EUR62 million, going into examinership or
liquidation were being examined, but insisted he wanted to "avoid
that at all costs", The Irish Times relates.

According to The Irish Times, Mr. Ross told the Oireachtas sport
committee on Dec. 18 that the winding up of the FAI would also
imperil the existence of the League of Ireland and prompt concern
for the future of the game at all levels in the State.

The Minister, who met FAI officials on Dec. 16, said the FAI "came
seeking a bailout", and that he "made it clear we cannot and will
not provide them with taxpayers' money", The Irish Times notes.

He later said the association looked for "various scenarios" of
financial support, including a guarantee for its bank debts, but
that an explicit request for EUR18 million was made, The Irish
Times discloses.

He told the committee his goal was to avoid examinership or
liquidation of the FAI "at all costs", but confirmed that Grant
Thornton, the financial advisers to the association, had done some
work on the consequences of such a move that will be shared with
his department, according to The Irish Times.

Mr. Ross, as cited by The Irish Times, said he did not want to see
the FAI placed into examinership as the implications "could be very
serious "and he would rather see it "rise from the ashes".

Liquidation could also have implications for Republic of Ireland
international fixtures, The Irish Times notes.

Minister of State for Sport Brendan Griffin told the committee that
the liabilities of the organisation had risen to EUR62 million this
year, largely due to advances of monies from Uefa which the FAI
will eventually be expected to pay back, The Irish Times relays.
Revised accounts published earlier this month stated that the FAI
had liabilities of EUR55 million at the end of last year, The Irish
Times states.


INVESCO EURO III: Fitch Assigns B-sf Rating on Class F Debt
-----------------------------------------------------------
Fitch assigned Invesco Euro CLO III DAC final ratings.

RATING ACTIONS

Invesco Euro CLO III DAC

Class A;      LT AAAsf New Rating;  previously at AAA(EXP)sf

Class B-1;    LT AAsf New Rating;   previously at AA(EXP)sf

Class B-2;    LT AAsf New Rating;   previously at AA(EXP)sf

Class C;      LT Asf New Rating;    previously at A(EXP)sf

Class D;      LT BBB-sf New Rating; previously at BBB-(EXP)sf

Class E;      LT BB-sf New Rating;  previously at BB-(EXP)sf

Class F;      LT B-sf New Rating;   previously at B-(EXP)sf

Subordinated; LT NRsf New Rating;   previously at NR(EXP)sf

TRANSACTION SUMMARY

Invesco Euro CLO III DAC is a securitisation of mainly senior
secured obligations with a component of senior unsecured, mezzanine
and second-lien loans. A total note issuance of EUR409.1 million is
being used to fund a portfolio with a target par of EUR400 million.
The portfolio is managed by Invesco European RR L.P. The CLO
envisages a further 4.5-year reinvestment period and an 8.5-year
weighted average life (WAL).

KEY RATING DRIVERS

'B+'/'B' Portfolio Credit QualityFitch places the average credit
quality of obligors in the 'B+'/'B' category. The weighted-average
rating factor (WARF) of the identified portfolio is 31.1.

High Recovery ExpectationsAt least 92.5% 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 66.6%.

Limited Interest Rate ExposureUp to 5% of the portfolio can be
invested in fixed-rate assets, while fixed-rate liabilities
represent 1.88% of the target par. Fitch modelled both 0% and 5%
fixed-rate buckets and found that the rated notes can withstand the
interest-rate mismatch associated with each scenario.

Diversified Asset PortfolioThe transaction has covenants that limit
the top-10 obligors (at 15% or 26.5% or anywhere in between) and
fixed-rate assets (at 0% and 5% or anywhere in between), depending
on the matrix point chosen by the asset manager. This ensures the
asset portfolio is not exposed to excessive concentration.

Portfolio ManagementThe transaction features a 4.5-year
reinvestment period and includes similar reinvestment criteria 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.

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 four notches for the rated notes.



=========
I T A L Y
=========

BCC NPL 2019: Moody's Assigns B3 Rating to EUR53MM Class B Notes
----------------------------------------------------------------
Moody's Investors Service assigned the following definitive ratings
to the debts issued by BCC NPL 2019 S.r.l.:

EUR355M Class A Asset Backed Floating Rate Notes due January 2044,
Assigned Baa2 (sf)

EUR53M Class B Asset Backed Floating Rate Notes due January 2044,
Assigned B3 (sf)

Moody's has not assigned a rating to the EUR 13.2M Class J Asset
Backed Fixed Rate and Variable Return Notes due January 2044, which
are also issued at the closing of the transaction.

The transaction is a multi-originator static cash securitisation of
non-performing loans granted by Iccrea Banca S.p.A., Iccrea
BancaImpresa S.p.A., Banca Sviluppo S.p.A., and other 65 out of 140
local cooperative banks (unrated) belonging to Gruppo Bancario
Iccrea (unrated) to small and medium-sized enterprises,
self-employed individuals and individuals located in Italy. This
represents the third NPL transaction sponsored by Iccrea Banking
Group.

The assets supporting the Notes are NPLs with a gross book value of
EUR 1,324 million as of December 31, 2018. The gross collections
from the selection date to the transfer date (December 2, 2019)
amount to EUR 10.16 million, out of which only a portion are to the
benefit of the transaction.

The portfolio will be serviced by Italfondiario S.p.A. and doValue
S.p.A. in their roles as master and special servicer, respectively,
both belonging to doValue banking group (unrated). The servicing
activities will be monitored by the monitoring agent Zenith Service
S.p.A. (unrated). In addition, Securitisation Services S.p.A.
(unrated) has been appointed as back-up servicer at closing and
will step in to take over the role of master servicer in case the
master servicer agreement is terminated. The monitoring agent
together with the back-up servicer are helping the Issuer to find a
substitute special servicer in case the master servicing agreement
with Italfondiario S.p.A. is terminated.

RATINGS RATIONALE

Moody's ratings reflect an analysis of the characteristics of the
underlying pool of defaulted loans, sector-wide and
originator-specific performance data, protection provided by credit
enhancement, the roles of external counterparties, and the
structural integrity of the transaction.

In order to estimate the cash flows generated by the pool, Moody's
used a model that, for each loan, generates an estimate of: (i) the
timing of collections; and (ii) the collected amounts, which are
used in the cash flow model that is based on a Monte Carlo
simulation.

In Moody's view, the strong credit positive features of this deal
include, among others:

(i) the portfolio composition with 81% of the GBV being secured
loans benefitting mainly from a first lien mortgage (73%) and the
remaining representing loans benefitting from at least a junior
lien and unsecured loans. Properties valued by third party with a
drive-by or internal visit (mainly performed in 2018 and 2019)
represent around half of the property valuation amount. Only 10.4%
of the first lien properties have been evaluated by an expert
appointed by a court, the remaining having a desktop or statistical
indexed valuation;

(ii) the granularity of the portfolio resulting from the 68
originators: borrowers with a GBV below EUR 5.0 million represent
93.1% of the total portfolio. Top 1, top 10 and top 20 obligors
represent around 0.76%, 5.19% and 8.93%, respectively, of the pool
in GBV terms;

(iii) in relation to the secured portfolio benefitting from a first
lien mortgage, residential properties represent around 44% of the
total real estate value;

(iv) secured loans benefitting from a first lien are backed by
properties located mainly in the North and Center of Italy
(accounting for approximately 42.8% and 37.2% of the real estate
value, respectively);

(v) interest on the Class B Notes is postponed to a more junior
position in the waterfall, if the cumulative recoveries rate is
lower than 90% of the expected cumulative recovery rate according
to the initial business plan anticipated by the special servicer.
The Class A Notes will benefit from this structural feature,
whereas Class B Notes will be negatively impacted; and

(vi) alignment of interest for the special servicer with the
servicing fees have been constructed so that the special servicer
is incentivized to maximize recoveries on the loans rather than
collecting the very limited base fees.

However, the transaction has several challenging features, such
as:

(i) loans representing around 54.7% of the GBV of the portfolio are
in their initial legal proceeding stage, including 34.5% for which
the legal proceedings have not started yet;

(ii) 47.7% of the GBV related to the loans with a legal proceeding
started are undergoing a bankruptcy process, which usually takes
significantly longer than a foreclosure;

(iii) loans benefitting from second or lower lien represent around
26.7% of the real estate value collateralizing the secured
portfolio; and

(iv) loans collateralized by land represent 13.7% in terms of real
estate value.

As of selection date, the underlying portfolio was composed of
15,944 non-performing loans for a gross book value (GBV) amounting
to EUR 1,324.53 million. Loans to corporates make up 79.3% of the
portfolio, while loans to individuals account for the remaining
20.7%. Borrowers defaulted from 2013 onwards represent 80.2% of the
total GBV. Loans representing around 54.7% of the GBV of the
portfolio are in their initial legal proceeding stage (including
34.5% for which the legal procedure has not started yet), whereas
loans representing around 7.4% of the GBV are in the cash
distribution phase, i.e. the judicial recovery process has been
terminated and cash only needs to be distributed among creditors.
Around 73% of the portfolio is secured by first-lien mortgage
guarantees over different types of properties. Geographically, the
properties are concentrated mostly in the North of Italy (42.8%)
and in the Centre of Italy (37.2%). Residential properties
represent around 44% of the real estate value, the remaining being
commercial properties of different types (land and hotels represent
13.7% and 2.3%, respectively). For unsecured loans, the
classification as non-performing exposure occurred on average
around 5 years before the selection date.

  - Key transaction structure features:

Reserve fund: The transaction benefits from an amortizing cash
reserve equal to 3.0% of the Class A Notes balance (corresponding
to EUR 10.65 million at closing) and funded by a limited recourse
loan extended by Iccrea Banca S.p.a. (unrated). The cash reserve is
replenished immediately after the payment of interest on the Class
A Notes and mainly provides liquidity support to the Class A
Notes.

Hedging: Class A Notes pay six-month EURIBOR capped at 1.30% moving
up progressively to 3.5% at final maturity. Moreover, the
transaction benefits from two interest rate cap agreements linked
to six-month EURIBOR, with Banco Santander S.A. (Spain)
(A3(cr)/P-2(cr)) acting as the cap counterparty. The Class A cap
will have a strike starting at 0.30% moving up to 2.5% in June
2031, whereas the Class B cap will have a strike starting at 1% and
moving up to 4.0% in June 2031. The notional of the interest rate
caps are equal to the outstanding balance of the Class A and Class
B Notes, respectively, at closing decreasing over time with
pre-defined amounts.

Moody's used its NPL cash-flow model as part of its quantitative
analysis of the transaction. Moody's NPL model enables users to
model various features of a European NPL ABS transaction - recovery
rates under different scenarios, yield as well as the specific
priority of payments and reserve funds on the liability side of the
ABS structure.

  - Counterparty risk analysis :

Italfondiario S.p.A. and doValue S.p.A. act as master servicer and
special servicer, respectively, of the non-performing loans for the
Issuer, while Zenith Service S.p.a (unrated) is the monitoring
agent and Securitisation Services S.p.A. (unrated) is the back-up
servicer and the calculation agent of the transaction.

All collections are paid directly into the issuer collection
account at BNP Paribas Securities Services (Aa3/P-1) with a
transfer requirement if the rating of the account bank falls below
Baa2.

  - Principal Methodology:

The principal methodology used in these ratings was "Moody's
Approach to Rating Securitizations Backed by Non-Performing and
Re-Performing Loans" published in February 2019.

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

The notes' ratings are sensitive to the performance of the
underlying portfolio, which in turn depends on economic and credit
conditions that may change. The evolution of the associated
counterparties risk, the level of credit enhancement and the
Italy's country risk could also impact the notes' ratings.

PRO-GEST SPA: Moody's Downgrades CFR to Caa1, Outlook Negative
--------------------------------------------------------------
Moody's Investors Service downgraded Pro-Gest S.p.A.'s corporate
family rating to Caa1 from B3, its probability of default rating to
Caa1-PD from B3-PD and the rating on the company's EUR250 million
guaranteed senior unsecured notes due 2024 to Caa2 from Caa1.
Pro-Gest is an Italian vertically integrated producer of recycled
paper, containerboard, corrugated cardboard and packaging
solutions. The outlook remains negative.

"The ratings downgrade follows the company's weaker than expected
Q3 results, which have led to a further deterioration of its credit
metrics and liquidity," says Donatella Maso, a Moody's Vice
President -- Senior Analyst and lead analyst for Pro-Gest.

"The rating action also reflects the uncertainties around (1) the
ongoing negotiation of covenant waivers with the lenders and
overall plans to shore up liquidity sources; (2) the authorization
to resume production activities in the Mantova plant; (3) the
timely provision of the guarantee for the payment suspension of the
EUR47.5 million antitrust fine imposed in August 2019; and (4) the
operating performance recovery in 2020 in a context of pricing
pressures due to tough competition", continued Ms. Maso.

RATINGS RATIONALE

Pro-Gest's operating performance in Q3 2019 has been weaker than
Moody's expectations due to difficult trading conditions with low
selling prices, higher costs from the suspension of the Mantova
plant and the acquisition of Papergroup, and the extraordinary
maintenance shut-down of the Villa Lagarina and other key plants
during the month of August, which led to EUR6.5 million EBITDA
loss. The company's reported EBITDA in Q3 stood at EUR10 million
down from EUR23.5 million in Q3 2018. As a result, leverage (as
adjusted by Moody's) increased to around 7.1x on an LTM basis
September 2019 from 5.9x in June. Pro-Gest also continued to burn
cash during the quarter reducing its cash balances to EUR60 million
from EUR78 million in June.

As the operating environment remains challenging and the
authorization to start the production in Mantova is still under
review by the relevant authorities, Moody's does not expect any
meaningful recovery in profitability in the next 12 months. This
will result in a breach of the company's financial covenants
included in the documentation for EUR144 million of aggregate debt
outstanding (mainly the EUR75 million mini bonds and EUR69 million
bank loans) at the end of September.

Although the company has sought external advice to approach lenders
for a covenant waiver and to more broadly address its liquidity
needs, Moody's believes that the status of these negotiations could
be negatively affected by further delays in the environmental
review process of the Mantova paper mill, which the company expects
to receive in Q1 2020.

Furthermore, while Pro-Gest has obtained the suspension of the
payment of the EUR47.5 million antitrust fine for engaging in
alleged anti-competitive practices until a hearing scheduled for
the July 8, 2020, such suspension is subject to the provision of a
guarantee by the 7th of January. Failure to providing such
guarantee may lead to a payment of the fine in 20 monthly
instalments (as granted by the antitrust authority) ahead of the
July hearing.

The continued uncertainty over the resumption of production at
Mantova, as well as the negotiation of the covenant waivers and the
payment of the fine, poses further pressure on the company's
liquidity, which is already very weak owing to a deteriorating
operating performance and the cash burn primarily linked to larger
than anticipated working capital outflows.

Moody's would like to draw attention to certain environmental and
governance considerations with respect to Pro-Gest. The lack of
authorization to produce at its Mantova mill resulted from
environmental issues mainly linked to the building of an
incinerator in the plant. The suspension of operations in Mantova
lead to running costs of around EUR10 million in 2019, depressing
the company's EBITDA. However, Moody's notes that Pro-Gest has, in
its most recent formal proposal, given up the possibility to build
such incinerator in an effort to resolve the matter and to resume
production at Mantova, and the administrative procedure is ongoing
on this new basis. From a corporate governance perspective, Moody's
has factored in the company's weak liquidity management, at a time
when operating performance has deteriorated.

LIQUIDITY

Moody's considers Pro-Gest's liquidity as weak. Given the lack of
committed lines, the company relies on the EUR60 million of cash
held on balance sheet at the end of September 2019, EUR100 of
uncommitted short term facilities (EUR72 million utilized at the
end September) and factoring arrangements, and the potential sale
of certain non-core assets to withstand its near term liquidity
needs such as mandatory debt repayments, committed investments, the
payment of the antitrust fine and part of its debt in case of a
waiver on covenants is not granted. Assuming the waiver on the
covenants is granted, Moody's expects that the company will deplete
its cash balance in Q3/Q4 2020, unless it secures additional
liquidity sources in the coming months.

STRUCTURAL CONSIDERATIONS

The Caa1-PD PDR is in line with the CFR. This is based on a 50%
recovery rate, as typical for transactions with both bond and bank
debt. The Caa2 rating on the senior unsecured notes due 2024 is one
notch below the CFR, reflecting the large amount of debt sitting in
the operating subsidiaries that are not guaranteeing the notes and
considered senior to the notes. The capital structure includes an
export credit facility of EUR40 million, medium-and long-term
facilities of EUR104 million, Italian mini bonds of EUR85 million,
and finance leases of EUR18 million.

The 2024 notes are unsecured and guaranteed by the issuer and
certain subsidiaries, which accounted for 60% of total assets on an
aggregated basis, 79% of consolidated revenue and other income, and
62% of EBITDA on an aggregated basis (gross of intragroup
transactions) as of June 2019.

RATIONALE FOR THE NEGATIVE OUTLOOK

The negative outlook on Pro-Gest's ratings reflects the uncertainty
on the prospects for both operational and liquidity improvement,
including (1) the company's plans to unwind the significant working
capital build-up, reduce its expansion capital expenditures and
improve its free cash flow generation; (2) its ability to timely
renegotiate its financial covenants and address its liquidity
needs; (3) the amount, timing and terms of the payment of the
antitrust fine; and (4) the authorisation to restart the activities
at its Mantova facility.

WHAT COULD CHANGE THE RATINGS UP/DOWN

Upward pressure on the ratings is unlikely in the near term but
could arise over time if Pro-Gest's operating performance were to
improve driven by increasing volumes and selling prices and the
resumption of activity in Mantova resulting in (1) its
profitability (EBITDA margin) to be maintained around the high
teens in percentage terms; (2) Moody's adjusted debt/EBITDA to stay
below 7.0x debt/EBITDA on a sustainable basis; (3) improved free
cash flow generation; and (4) the setup of a stronger and more
permanent liquidity platform.

Downward pressure on the ratings could develop if the company's
performance and liquidity continue to deteriorate, for example if
the company fails to agree on a covenant waiver on a timely manner,
or if it fails to secure additional liquidity sources in the coming
months.

LIST OF AFFECTED RATINGS

Issuer: Pro-Gest S.p.A.

Downgrades:

Probability of Default Rating, Downgraded to Caa1-PD from B3-PD

Corporate Family Rating, Downgraded to Caa1 from B3

Backed Senior Unsecured Regular Bond/Debenture, Downgraded to Caa2
from Caa1

Outlook Action:

Outlook, Remains Negative

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Paper and
Forest Products Industry published in October 2018.

COMPANY PROFILE

Headquartered in Treviso (Italy), Pro-Gest S.p.A. is an Italian
vertically integrated producer of recycled paper, containerboard,
corrugated cardboard and packaging solutions. The company operates
three recycling plants, six paper mills, four corrugators, eight
packaging plants, and two tissue converting plants or overall 23
production facilities, all located in Italy, and employs over 1,100
people.

For the last twelve months ended September 30, 2019, Pro-Gest
reported core revenue of around EUR450 million and EBITDA of EUR77
million (Moody's adjusted before the provision for the antitrust
fine). The company is family owned, and Bruno Zago, who founded
Pro-Gest in 1973, is also its CEO.



===================
K A Z A K H S T A N
===================

FIRST HEARTLAND: Moody's Puts B2 LT Issuer Ratings, Outlook Stable
------------------------------------------------------------------
Moody's Investors Service assigned the following ratings to
Kazakhstan-based First Heartland Securities, JSC: long-term local
and foreign currency issuer ratings of B2 and short-term local and
foreign currency issuer ratings of Not Prime. The outlook assigned
to the long-term ratings and overall entity outlook is stable.

Moody's has also assigned a national scale issuer rating of Ba2.kz
to FHS.

FHS is a brokerage company located in Almaty (Kazakhstan) which
owns First Heartland Jusan Bank JSC (FHJB, not rated), a large bank
which operates in Kazakhstan. The bank accounted for over 95% of
FHS's consolidated assets and over 90% of revenue at the end of
September 2019. FHS' own business is small and includes brokerage
services, predominantly to core clients and a range of securities
operations, including reverse repo and proprietary trading.

RATINGS RATIONALE

FHS's B2 ratings are primarily based on the financial strength of
FHJB, and reflect (1) its very narrow franchise and FHJB's limited
track record of operating under a new strategy; (2) structural
subordination of FHS relative to creditors of FHJB, reflected in
limitations of potential cashflows from FHJB, while its own revenue
is limited, (3) weak loan book quality of FHJB and (4) weak
consolidated core profitability, which is negatively affected by
FHJB's weak operating performance.

The ratings also reflect FHS' (1) strong capital base, both on a
consolidated and a standalone basis; (2) sufficient coverage of
problem loans by reserves, and (3) strong liquidity.

In terms of governance considerations, Moody's applies a one notch
corporate behaviour adjustment to FHS' rating, to reflect the early
stage of the implementation of FHJB's new strategy and the lack of
implementation track record. Given that FHJB is in the process of
recovering its business after financial rehabilitation, its
franchise is limited while FHS's standalone business is low. As a
result of a support package provided to FHJB by the government (in
December 2018 and February 2019) the bank's liquid assets accounted
for over 65% of its total assets at end-Q3 2019. Given that these
assets have lower yields compared to lending, FHJB (and FHS)
reports weak recurring operating performance (excluding one-offs,
volatile trading income and reserve recoveries) - less than 1% of
average total assets in Q2-Q3 2019. FHJB has developed a new
strategy to grow its lending business, but its implementation is
subject to significant execution risks.

After receipt of financial rehabilitation package, FHJB recognized
and reserved its problem loans. As a result, loan loss provisions
accounted for over 80% of gross loans at end-H1 2019. The coverage
of problem loans was good at over 100% at end-H1 2019. Together
with high capitalization (e.g. FHS' consolidated tangible common
equity to risk weighted assets exceeded 18% at end-Q3 2019) it
results in good solvency.

FHS' credit standing is negatively affected by the effect of
structural subordination relative to the creditors of FHJB, which
is the key source of cashflows and profitability. Structural
subordination arises from regulatory limitations on the amount of
cashflow that FHJB can upstream to its parent company to repay
debt.

GOVERNMENT SUPPORT

The FHS's B2 rating benefits from a high level of support from the
Government of Kazakhstan (Baa3 positive). Our support assumptions
are driven by: 1) FHJB's material market share and 2) track record
of government support to the bank. Total assets of FHJB were 5% of
total banking system assets and retail deposits were 5% of total
retail deposits in the system as of November 1, 2019. We believe
that the support would be forthcoming to the holding company as
well in case of need to avoid negative spill-over effect on FHJB.

STABLE OUTLOOK

FHS's long-term ratings carry a stable outlook which reflects
Moody's expectations of relative stability of the key credit
metrics like asset quality, capital and liquidity in the next 12-18
months.

WHAT COULD MOVE THE RATINGS UP/DOWN

FHS's ratings could be upgraded if it 1) grows and diversifies
franchise and 2) considerably improves profitability. The ratings
could be downgraded in case of materialization of asset quality
problems beyond Moody's expectations and inability to sustain
profitable performance. Moody's reassessment of government support
to lower levels may lead to downward pressure on the ratings.

LIST OF AFFECTED RATINGS

Assignments:

Issuer: First Heartland Securities, JSC

Long Term Issuer Rating, Assigned B2, Stable Outlook Assigned

Short Term Issuer Rating, Assigned NP

NSR Issuer Rating, Assigned Ba2.kz

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
Methodology published in November 2019.



=====================
N E T H E R L A N D S
=====================

E-MAC PROGRAM 2007-I: Fitch Affirms BB-sf Rating on Class C Debt
----------------------------------------------------------------
Fitch Ratings upgraded three tranches, revised the Outlooks on two
tranches and affirmed another 18 tranches of five Dutch E-MAC RMBS
transactions.

RATING ACTIONS

E-MAC NL 2005-I B.V.

Class A XS0216513118; LT A+sf Affirmed; previously at A+sf

Class B XS0216513548; LT A+sf Affirmed; previously at A+sf

Class C XS0216513977; LT A-sf Upgrade;  previously at BBB+sf

Class D XS0216514199; LT A-sf Upgrade;  previously at BB+sf

E-MAC Program B.V. Compartment NL 2007-I

Class A2 XS0292255758; LT Asf Affirmed;    previously at Asf

Class B XS0292256301;  LT BBB+sf Affirmed; previously at BBB+sf

Class C XS0292258695;  LT BB-sf Affirmed;  previously at BB-sf

Class D XS0292260162;  LT CCCsf Affirmed;  previously at CCCsf

Class E XS0292260675;  LT CCCsf Affirmed;  previously at CCCsf

E-MAC Program B.V. - Compartment NL 2007-III

Class A2 XS0307677640; LT A+sf Affirmed;  previously at A+sf

Class B XS0307682210;  LT A-sf Affirmed;  previously at A-sf

Class C XS0307682723;  LT BB+sf Affirmed; previously at BB+sf

Class D XS0307683291;  LT CCCsf Affirmed; previously at CCCsf

Class E XS0307683531;  LT CCCsf Affirmed; previously at CCCsf

E-MAC NL 2004-II B.V.

Class A XS0207208165; LT Asf Affirmed;    previously at Asf

Class B XS0207209569; LT Asf Affirmed;    previously at Asf

Class C XS0207210906; LT BBB+sf Affirmed; previously at BBB+sf

Class D XS0207211037; LT BBBsf Upgrade;   previously at BB+sf

Class E XS0207264077; LT CCCsf Affirmed;  previously at CCCsf

E-MAC Program II B.V. - Compartment NL 2007-IV

Class A XS0325178548; LT A-sf Affirmed;   previously at A-sf

Class B XS0325183464; LT BBB-sf Affirmed; previously at BBB-sf

Class C XS0325183621; LT B+sf Affirmed;   previously at B+sf

Class D XS0325184355; LT CCCsf Affirmed;  previously at CCCsf

TRANSACTION SUMMARY

The E-MAC transactions are seasoned true-sale securitisations of
Dutch residential mortgage loans originated by GMAC-RFC Nederland
B.V. The successor company, CMIS Nederland B.V., is servicer.

KEY RATING DRIVERS

Interest-only Concentration

The interest-only (IO) concentrations in the transactions range
between 69% (2005-I) and 81% (2007-IV) of the outstanding portfolio
and are high compared with other Fitch-rated Dutch RMBS. According
to its criteria, Fitch tests a higher than normal weighted average
foreclosure frequency (WAFF) for the part of the portfolio with
maturity concentrations to assess materiality of concentrations.

For three of the five transactions, this test resulted in
model-implied ratings that were more than three notches below the
rating derived by applying a WAFF produced by the standard criteria
assumptions. Therefore, Fitch took into account the IO
concentration WAFF in its rating analysis of these three
transactions.

Pro-Rata Structures

As of the October 2019 payment date, all transactions were
amortising pro-rata, except 2005-I. Some transactions had been
paying sequentially during some periods, but recently reverted to
pro-rata, reducing the credit enhancement build-up for the senior
notes as per the amortisation mechanism in the documentation.

There are no conditions that would result in a switch to sequential
note amortisation once the portfolio has reduced below a certain
threshold, which is deemed to be a non-standard structural feature.
Fitch has therefore also tested both pro-rata and sequential
amortisation until note maturity and incorporated the results in
the ratings.

Collection Account Bank Cap

Fitch has capped the 2004-II and 2005-I notes' ratings due to a
lack of replacement language for the collection account bank (ABN
Amro Bank N.V.; A+/Negative/F1) meaning insufficient isolation from
the bank. Any amount of commingling loss combined with pro-rata
amortisation could lead to principal losses in all tranches for
these two transactions.

Excess Spread Notes

All outstanding excess spread notes are currently rated 'CCCsf'.
Principal redemption of these notes ranks subordinate to the
payment of subordinated swap amounts and extension margins on the
notes. As the extension margin amounts have been accruing and
remain unpaid and subordinate swap payments are substantial for
2007-I, 2007-III and 2007-IV, full principal redemption from
interest receipts is still considered unlikely.

The reserve funds in the transactions may increase following asset
performance deterioration. Funds collected would be released once
arrears drop again below the predefined performance triggers, at
which point the funds released will be used directly towards the
redemption of the excess spread notes. As the portfolios continue
to amortise, a small number of loans can lead to greater volatility
in arrears performance, leading to the possibility of continuous
replenishments and releases in the reserve funds, and subsequent
redemptions on the excess spread notes. Given this possibility, the
credit risk of these notes is commensurate with a 'CCCsf' rating,
leading to the affirmation of the excess spread notes.

Stabilising Performance

Late-stage arrears (borrowers who have been delinquent for over
three months) have decreased and stabilised over the last 24
months. As of October 2019, arrears larger than 90 days past due
ranged from 0.5% (2007-III) to 1.7% (2005-I), where only 2005-I is
showing higher arrears than 24 months ago. Similarly, the rate at
which losses are building has slowed down for some of the
transactions, although loss levels are still above market average.

RATING SENSITIVITIES

Adverse macroeconomic factors may affect asset performance. An
increase in foreclosures and losses beyond Fitch's stresses may
erode credit enhancement, leading to negative rating action.

However, due to the lack of a hard switch-back to sequential
amortisation, a slight increase in delinquencies and losses might
also be beneficial for the senior notes, as this would cause the
transactions amortise sequentially, leading to an increase in
credit enhancement for those notes.

Furthermore, a change in the collection account bank rating could
also result in rating action on the 2004-II and 2005-I
transactions.

MAGOI BV: Fitch Assigns B+sf Rating on Class F Notes
----------------------------------------------------
Fitch Ratings assigned Magoi B.V.'s notes' final ratings.

RATING ACTIONS

Magoi B.V.

Cl. A XS1907540147; LT AAAsf New Rating; previously at AAA(EXP)sf

Cl. B XS1907542606; LT AA+sf New Rating; previously at AA(EXP)sf

Cl. C XS1907542861; LT A+sf New Rating;  previously at A+(EXP)sf

Cl. D XS1907543083; LT A-sf New Rating;  previously at A-(EXP)sf

Cl. E XS1907554015; LT BBBsf New Rating; previously at BBB(EXP)sf

Cl. F XS1907567934; LT B+sf New Rating;  previously at B(EXP)sf

Cl. G XS1907568239; LT NRsf New Rating;  previously at NR(EXP)sf

TRANSACTION SUMMAR

Magoi is a securitisation of Dutch amortising, fixed-rate,
unsecured consumer loans originated by subsidiaries of Credit
Agricole Consumer Finance Nederland B.V. (CACF NL). The transaction
has an eight-month revolving period.

The final margins and swap pricing have had a one-notch positive
impact on both the class B and F notes' final ratings.

KEY RATING DRIVERS

Amortising Loans Market Trend

This is CACF NL's second public securitisation of amortising loans;
all previous deals securitised revolving credit lines. This change
follows the market-wide trend of a shift in borrower preferences,
in part led by Dutch consumer regulation. CACF NL's amortising loan
portfolio experienced high growth between 2009 and 2011 and again
in 2016 and 2017, but growth in originations has subsequently
slowed.

The portfolio comprises loans with an original term of up to 15
years: 57.2% of the pool has a maturity of 10 years and about 10%
of the pool has a maturity up to 15 years.

Portfolio-wide Default Expectations

Fitch considered the historical performance as well as its
macroeconomic expectations in its default base case, set at 4.25%
with a 5x multiple at 'AAAsf'. The agency did not distinguish
between sub-pools within the portfolio.

Recovery Improvements from New Strategy

CACF NL's recovery strategy has shifted significantly; in
particular, sales of non-performing loans (NPLs) were discontinued
in early 2016 and all delinquent loans are now worked out in-house.
Fitch assigned the portfolio a lifetime recovery expectation of
35%, which takes into consideration the improved recovery
performance resulting from the new strategy, and a median-to-high
'AAAsf' haircut of 55%.

Hybrid Pro-Rata Redemption

During the amortisation period, the notes are paid based on their
target subordination ratios (as percentages of the performing and
delinquent portfolio balance). The subordination ratio for each
class is equal to its initial credit enhancement (CE), which means
that the notes amortise pro-rata if there is no sequential
redemption event.

Servicing Disruptions Mitigated

The transaction does not include a back-up servicer or a
third-party facilitator. However, Fitch believes the issuer
administrator will be able to perform this role. The transaction's
amortising reserve fund and commingling reserve will cover
liquidity risk during servicing disruption.

RATING SENSITIVITIES

Expected impact on the note rating of increased defaults (class
A/B/C/D/E/F)

Increase base case defaults by 25%:
'AA+sf'/'AA-sf'/'Asf'/'BBB+sf'/'BBB-sf'/'Bsf'

Increase base case defaults by 50%:
'AA-sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B-sf'

Expected impact on the note rating of decreased recoveries (class
A/B/C/D/E/F)

Reduce base case recovery by 25%: 'AAAsf'/'AAsf'/'A+sf'/
'A-sf'/'BBB-sf'/'B-sf'

Reduce base case recovery by 50%:
'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBB-sf'/'NRsf'

Expected impact on the note rating of increased defaults and
decreased recoveries (class A/B/C/D/E/F)

Increase base case defaults by 25%, reduce recovery rate by 25%:
'AA+sf'/'A+sf'/'A-sf' /'BBBsf'/'BB+sf' /'CCCsf'

Increase base case defaults by 50%, reduce recovery rate by 50%:
'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BB-sf'/'NRsf'

NATUR INTERNATIONAL: Operating Losses Cast Going Concern Doubt
--------------------------------------------------------------
Natur International Corp. filed its quarterly report on Form 10-Q,
disclosing a comprehensive loss of $1,073,132 on $259,006 of
revenue for the three months ended Sept. 30, 2019, compared to a
comprehensive loss of $1,943,082 on $377,565 of revenue for the
same period in 2018.

At Sept. 30, 2019, the Company had total assets of $1,684,108,
total liabilities of $10,865,505, and $9,181,397 in total deficit.

Company Chief Executive Officer Paul Bartley and Chief Financial
Officer Ruud Huisman said, "We have had material operating losses,
working capital deficit and have not yet created positive cash
flows.  These factors raise substantial doubt as to our ability to
continue as a going concern."

The Company concluded, in spite of the decreased cash flow from
operations, both the elimination of certain debt and the successful
raising of new capital and obtaining new capital commitments during
the second and third quarter of 2019, that it has materially
improved its capital so as to continue as going concern.

The Company implemented a plan in the second quarter of 2019 to
further structurally improve the conditions for its continuing as a
going concern: (i) the Company implemented certain cost savings,
primarily to its overhead requirements; (ii) the Company will
continue to generate additional revenue (and positive cash flows
from operations) partly related to the Company's expansion into new
product lines during 2019 and partly related to the Company sales
initiatives already implemented; and (iii) undertook a
reorganization and restructuring program to reduce its debt that
has now been completed. These actions have had an overall positive
impact on the cost-basis of the organization.  Notwithstanding the
foregoing, the Company will continue to need additional capital
from investors to fund its larger business plan and maintain the
continuity and growth of its current operations.

A copy of the Form 10-Q is available at:

                       https://is.gd/3lV8Ix

Natur International Corp. formulates, produces, and markets cold
pressed juices and associated natural organic snacks under the
Naturalicious brand name in the Netherlands and the United Kingdom.
It offers fruit and vegetable juices, coconut waters, smoothies,
and nutmilks. The company was founded in 2015 and is headquartered
in Amsterdam, the Netherlands. Natur International Corp. is a
subsidiary of SFI Gestion de Participaciones Minoritarias SL.



===========
R U S S I A
===========

BANK DOM.RF: Financial Resolution Completed Ahead of Schedule
-------------------------------------------------------------
The Bank of Russia has reviewed and acknowledged the Report by the
State Corporation Deposit Insurance Agency on the accomplishment of
the measures to prevent the bankruptcy of the Moscow-based JSC Bank
DOM.RF (hereinafter, the Bank; Reg. No. 2312) ahead of schedule.
This Report was reviewed by the Banking Supervision Committee at
its meeting on December 18, 2019.

The implemented resolution measures have helped stabilize the
Bank's financial position, enhanced the quality of its assets and
enabled it to form loss provisions for troubled assets.  The Bank
complies with the required ratios set by the Bank of Russia and
carries out its operations in standard supervision mode.


KRK-INSURANCE LLC: Put on Provisional Administration
----------------------------------------------------
The Bank of Russia, by virtue of its Orders Nos. OD-1839 and
OD-1840, dated August 8, 2019, appointed a provisional
administration to manage Limited Liability Company KRK-Insurance
(hereinafter, the Company) and suspended its insurance licenses
(hereinafter, the licenses).  As the provisional administration
encountered obstruction of its operations from the Company's
management, the Bank of Russia, by its Orders Nos. OD-1879 and
OD-1883, dated August 15, 2019, revoked the Company's licenses and
suspended the powers of its executive bodies.

In the course of its operations, the provisional administration
established facts suggesting that illegal efforts were made by the
Company's managers and owners, as well as third parties, towards
withdrawal of corporate assets, which were in part executed through
transactions with securities, means of transportation and immovable
property.

On December 2, 2019, the Arbitration Court of the City of Moscow
recognized the Company as insolvent (bankrupt).  The State
Corporation Deposit Insurance Agency was appointed as receiver.

The Bank of Russia submitted the information on the Company's
transactions suspected of being criminal offences to the Prosecutor
General's Office of the Russian Federation and the Investigative
Committee of the Ministry of Internal Affairs of the Russian
Federation for consideration and procedural decision-making.




=========
S P A I N
=========

IM BCC CAJAMAR 2: Fitch Assigns Final BBsf Rating on Class B Debt
-----------------------------------------------------------------
Fitch Ratings assigned IM BCC CAJAMAR 2, FT final ratings.

RATING ACTIONS

IM BCC CAJAMAR 2, FT

Class A; LT AAAsf New Rating; previously at AAA(EXP)sf

Class B; LT BBsf New Rating;  previously at BB(EXP)sf

TRANSACTION SUMMARY

The transaction is a cash flow securitisation of a static EUR725
million portfolio of Spanish residential mortgages originated and
serviced by Cajamar Caja Rural, Sociedad Cooperativa de Credito
(Cajamar, BB-/Positive/B).

KEY RATING DRIVERS

Large Share of High OLTV: About 47.4% of the portfolio balance is
linked to loans with an original loan-to-value (OLTV) ratio equal
or higher than 80%. Fitch has captured this risk in its ResiGlobal
asset model by applying higher base case foreclosure frequencies
(FF) to these loans. The weighted average lifetime FF (WAFF) on the
portfolio under a 'B' rating stress scenario is 8.4%.

Interest Rate Risk Partly Mitigated: About 7% of the portfolio pays
a fixed interest rate for life and 43.2% a fixed rate with a
compulsory switch to floating rate within the next 10 years
(mixed-rate loans). The class A and B notes will receive a fixed
coupon rate during the first five years of the transaction's life
and then become floating-rate instruments linked to Euribor.

Fitch's analysis assumes all mixed-rate loans will pay the minimum
contractual margin. Available credit enhancement mitigates any
residual open interest rate risk commensurate with the notes'
ratings.

Risky Attributes: About 19% of the portfolio is linked to
self-employed borrowers, whom Fitch considers riskier than
third-party employed borrowers. They are subject to a FF adjustment
factor of 170% in accordance with Fitch's European RMBS Rating
Criteria. There is concentration risk in the region of Murcia,
where 17.7% of the portfolio by property count is located.

Fitch has applied a higher set of rating multiples to the base FF
assumption to the portion of the portfolio located in Murcia that
exceeds 2.5x the population share of this region relative to the
national average.

Credit Enhancement Build Up: Credit enhancement ratios for both
classes of notes will increase after the first payment date, as
amortisation of the notes is strictly sequential for life and the
reserve fund is non-amortising.

Default Buybacks Disregarded: According to the transaction
documents, the originator will repurchase defaulted loans (assets
in arrears more than 12 months) at a price equal to outstanding
balance plus accrued interest as long as Cajamar is the portfolio
servicer and it retains at least half of the class A and all of the
class B note balances. Fitch's analysis has not given any credit to
this repurchase obligation and the recovery expectation on defaults
is solely driven by the projected proceeds from the underlying
property.

RATING SENSITIVITIES

Unexpected increases in FF and decreases in recovery rates (RR)
could result in negative rating action on the notes. The following
are the model-implied sensitivities from a change in selected input
variables:

Current ratings: Class A; 'AAAsf', Class B; 'BBsf'

Increase FF by 15%: 'AA+sf', 'B+sf'

Increase FF by 30%: 'AAsf', 'Bsf'

Reduce RR by 15%: 'AA+sf', 'Bsf'

Reduce RR by 30%: 'AAsf', 'CCCsf'

Increase FF by 15%, reduce RR by 15%: 'AAsf', 'B-sf'

Increase FF by 30%, reduce RR by 30%: 'Asf', 'NR'

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.

TDA 26 SERIES 1: Fitch Affirms CCCsf Rating on Class 1-D Debt
-------------------------------------------------------------
Fitch Ratings upgraded one and affirmed six tranches of
TDA-26-Mixto Series 1 and Series 2.

RATING ACTIONS

TDA 26-Mixto, FTA - Series 1

Class 1-A2 ES0377953015; LT A+sf Affirmed;  previously at A+sf

Class 1-B ES0377953023;  LT A+sf Affirmed;  previously at A+sf

Class 1-C ES0377953031;  LT A+sf Upgrade;   previously at Asf

Class 1-D ES0377953049;  LT CCCsf Affirmed; previously at CCCsf

TDA 26-Mixto, FTA - Series 2

Class 2-A ES0377953056; LT A+sf Affirmed;  previously at A+sf

Class 2-B ES0377953064; LT A-sf Affirmed;  previously at A-sf

Class 2-C ES0377953072; LT CCCsf Affirmed; previously at CCCsf

TRANSACTION SUMMARY

The two Spanish RMBS transactions comprise residential mortgages
serviced by Banco Sabadell and Banca March.

KEY RATING DRIVERS

Payment Interruption Risk

TDA 26-Mixto Series 1 and Series 2 remain exposed to payment
interruption risk in the event of a servicer disruption, as the
available structural mitigants (ie. cash reserve funds that can be
depleted by losses) are deemed insufficient to cover stressed
senior fees, net swap payments and senior note interest due amounts
while an alternative servicer arrangement was implemented. As a
result, Fitch continues to cap the notes' rating at 'A+sf'.

Excessive Counterparty Exposure (ECE)

TDA 26-Mixto Series 1 class C rating is capped at 'A+sf', equal to
its SPV account bank provider's deposit ratings (Societe Generale,
SA, 'A+'). The rating cap reflects the excessive counterparty
dependency on the SPV account bank holding the cash reserves, as
the sudden loss of these funds would imply a downgrade of 10 or
more notches of the notes in accordance with Fitch's criteria.

Stable Credit Enhancement (CE)

The rating actions reflect that current and projected CE for the
notes is sufficient to withstand projected stresses, as reflected
in the upgrade and affirmations. CE for all the notes is expected
to be broadly stable while the transactions continue amortising on
a pro rata basis. The amortisation of the notes will switch to
sequential when the outstanding portfolio balance represents less
than 10% of their original amount (currently 14% for Series 1 and
33% for Series 2) or sooner if certain performance triggers are
breached.

5% Minimum Loss Analysis

Fitch's credit analysis of the portfolios is subject to the minimum
lifetime credit loss expectation as per the agency's criteria. The
performance adjustment factor of 100% on TDA 26-Mixto Series 1
reflects the repurchase of some defaulted loans in the past by the
originators.

Fitch expects the performance to remain stable given the
significant seasoning of the securitised portfolios of
approximately 14 years. However, performance volatility cannot be
ruled out, especially for TDA 26-Mixto Series 2 given its very
small portfolio size that comprises fewer than 300 loans as of
September 2019. Cumulative defaults, defined as mortgages in
arrears by more than 12 months, stand at 3.4% and 1.4% of the
initial portfolio balance for Series 1 and Series 2, respectively,
as of the latest reporting date.

Regional Concentration

The securitised portfolios are exposed to geographical
concentration. Around 27% and 45% of the properties in TdA
26-Series 1 and TdA 26-Series 2, respectively, are located in the
Baleares Island region. In line with Fitch's European RMBS rating
criteria, Fitch applies higher rating multiples to the base
foreclosure frequency assumption to the portion of the portfolio
that exceeds 2.5x the population share of these regions relative to
the national count.

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 ratings on TDA 26-Mixto Series 1 class A and B notes and Series
2 class A notes could be upgraded if the transactions' liquidity
protection against a servicer disruption event strengthens, all
else being equal. For TDA 26-Mixto Series 2, the reducing loan
count (currently fewer than 300 loans) could prevent upgrades for
the mezzanine tranches. This is due to the pro-rata allocation of
principal and the limited CE increase expected over the medium
term.

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.



=====================
S W I T Z E R L A N D
=====================

PEACH PROPERTY: Fitch Assigns B+ LongTerm IDR, Outlook Stable
-------------------------------------------------------------
Fitch Ratings assigned Peach Property Group AG final ratings: a
Long-Term Issuer Default Rating of 'B+' with a Stable Outlook and a
senior unsecured rating of 'BB-'/'RR3'/67%. This follows the
receipt of the final documentation and issuance of the bond.

The unsecured rating applies to Peach Property Finance GmbH's
EUR250 million 3.5% senior unsecured bond, which is guaranteed by
Peach Property Group AG. The issue price was 99.238%. The bond
matures in February 2023 (3.25 years).

Peach Property is a small listed Switzerland headquartered property
company that invests primarily in Germany residential property for
rent. With the EUR0.2 billion Grande portfolio, it has amassed a
near CHF1.1 billion (EUR1 billion) German residential portfolio
focusing on the North Rhine-Westphalia (NRW) region, away from the
higher-rent cities where rent controls are being proposed.

KEY RATING DRIVERS

NRW-Focused Portfolio: Peach's off-market-acquired portfolios have
core metrics broadly comparable with German peers, but Peach has
pockets of high vacancies to work through. The 4Q19 Grande
acquisition of 3,672 units complements Peach's existing footprint,
and its Peach Point network of customer service centres and digital
platform leads to better communication with local tenants and cost
savings for Peach, compared with peers covering a Germany-wide
portfolio. Peach's small market share does not work against it, as
no participants command a regional market share that can influence
evidence for local rent setting.

Residential Rental Growth: Historically, German rental growth has
been pedestrian. German rents are subject to annual indexation
increases and/or rent indexation using districts' Rent Tables
(Mietspiegel) and the 2015 Rental Cap law (Mietpreisbremse),
although the latter is only applicable to 220 units (out of 12,500)
for Peach. Peach expects 4.5%-5.0% annual rental growth. This will
include a mix of (i) mainly inflation-related annual rent increases
for existing tenants; (ii) uplifts from re-letting of vacated
apartments; including (iii) those re-let after being refurbished,
net of vacancy activity; and (iv) reversionary uplift from around
1,000 units in the pro forma FY19 portfolio which are ex-public
supported funding. Consequently these previously subdued rents can
increase closer to open market values.

Phasing of Potential Rent Increases: Rental growth will take time
to realise due to regulations on maximum annual increases, or
management phasing capex (according to local conditions, and/or
availability of quality craftsmen at the right price). On average,
where capex has been incurred, Peach expects 10% to 15% rent
increases for a renovated apartment when it is back on the market.

Peach is not exposed to cities that are proposing rent caps or with
heightened tenant affordability issues. Historical lack of supply,
increased urbanisation, and an increased number of smaller
households are conducive to ongoing stable rental growth in
Germany. Management reports significant over-subscription for its
available units. Fitch has not included significant rental uplift
in its conservative rating case.

High Vacancy Rates: Vacancies suggest opportunities for landlords
to re-set an apartment's rent closer to market rent, particularly
if it has been renovated. Peach's vacancy rates are higher than the
2% to 4% industry norms. Peach acquired two portfolios at
Neukirchen in 2015 and Fassberg in 2016 (5% of YE18 portfolio),
which have gradually reduced vacancies to 62% and 45% after
buildings have been renovated. Together with the high-vacancy
Rheinland and Kaiseslautern I portfolios, this represents potential
rental uplift after capex. Until then, Peach incurs the cost of
acquisition and vacancy costs (the latter around 1% to 2% of gross
rents).

Concentrated Small Unencumbered Portfolio: The planned EUR250
million unsecured bond's main recourse is to the unencumbered
Grande portfolio owned by Peach Property Group (Deutschland) AG,
which is valued at EUR291.5 million year-end 2019. The rest of the
group is funded by secured bank facilities that amortise, with
attached pledged assets (some with significant
over-collateralisation that is difficult to more efficiently
package or refinance). The Grande portfolio has around 10% vacancy
rates and a EUR113 million (39%) concentration of assets in
Gelsenkirchen (an ex-industrial city with a low purchase power
index and high unemployment).

Recovery Rating of 'RR3'/67%: In its bespoke recovery analysis,
Fitch has used the liquidation approach, and the recent
post-acquisition independent valuation of the Grande portfolio of
EUR291.5 million. Fitch's recovery estimate, upon default, also
assumes a standard 20% reduction in real estate values, and 10%
administration costs resulting in a 'RR3'/67%. Existing unsecured
debt is the newly issued EUR250 million bond and a structurally
senior CHF66 million (CHF55 million unsecured drawn) at the Peach
Property Group (Deutschland) AG level. As per Fitch's criteria,
this recovery analysis assumes no timely recovery from the
encumbered secured portfolios controlled by the group's secured
creditors.

Leveraged Capital Structure: At FY20 pro-forma 23.6x net
debt/EBITDA, Peach's capital structure has high leverage consistent
with its 65% LTV (historically 75%-80%). Using rental-derived
EBITDA, interest cover is healthy at 1.6x but the group's FY20-22
FFO is small at CHF11 million-CHF15 million in each year.
Management's financial policy includes less than 55% LTV and
interest cover more than 1.5x, minimum cash of CHF20 million. Peach
has not paid a dividend. It reports an intention to raise further
equity, with the existing CEO shareholder willing to be diluted
from his current 13.46% stake. Hybrids are treated as 100% debt.

Limited Liquidity: Management intends to run the group with CHF20
million of cash on balance sheet. The group also has CHF11 million
undrawn and available under the Peach Property Group (Deutschland
AG unsecured facility. Fitch's liquidity score is below 1x (1H18:
0.8x) including secured debt amortisations.

DERIVATION SUMMARY

Fitch has compared Peach with German residential peers. Its
portfolio is broadly comparable with larger peers' portfolios as
measured by market value per sq m, in-place-rent per sq m, gross
yield for the location and quality. Peach's portfolio is different
in that it has markedly higher vacancy rates (June 2019 pro forma:
10.2%, or 7.7% without renovation properties), which stems from
when some portfolios were acquired, with properties awaiting
renovation and re-letting. Over time, this provides an opportunity
for increased rents.

Peach's pro forma end-December 2019 net debt/EBITDA leverage of
around 24x is high, consistent with its historical high LTVs.
Relative to office and retail property company metrics, residential
net debt/EBITDA ratios will be higher because of the asset class's
tighter income yield and lower risk profile. Given the current and
prospective conducive supply and demand dynamics, German
residential has a more stable income profile.

Peach's current small size, its overall secondary quality of the
portfolio (given vacancies, and average rents), reliance on secured
funding, and current high leverage frame Peach's IDR within the
upper end of the 'B' rating category. Fitch expects this profile to
improve as the company acquires similar portfolios and accesses
additional unsecured debt.

KEY ASSUMPTIONS

4Q19 events:

  Acquisition of the Grande portfolio subsequently revalued at
  CHF320.7 million (EUR291.5 million)

2020 events:

  Sale of Swiss property activities for CHF69 million repaying
  CHF69 million of secured debt

  CHF6 million equity increase

RATING SENSITIVITIES

Developments That May, Individually or Collectively, Lead to
Positive Rating Action

  - Leverage (for residential) 20x net debt/EBITDA and EBITDA
    net interest coverage above 1.5x

  - Vacancies around 7% to 8%

  - Continued commitment to an unencumbered balance sheet
    resulting in an unencumbered asset cover above 1.5x

  - For the property company recovery unsecured sector uplift: a
    larger, more diversified, unencumbered portfolio base.

Developments That May, Individually or Collectively, Lead to
Negative Rating Action

  - Leverage (for residential) 24x net debt/EBITDA and EBITDA
    net interest coverage below 1.2x

  - Costs for holding vacancies increasing to 5% of rent roll

  - Contrary to new financial policy, incurring more secured
funding

  - For the bespoke Recovery Rating: a decrease in the valuation
    of the unencumbered portfolio.

LIQUIDITY AND DEBT STRUCTURE

Limited Liquidity: Management intends to run the group with CHF20
million of cash. The group also has CHF11 million undrawn and
available under the Peach Property Group (Deutschland) AG unsecured
facility.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section the highest level of ESG
credit relevance is a score of 3. ESG issues are credit-neutral or
have only a minimal credit impact on the entity, either due to
their nature or to the way in which they are being managed by
Peach.



===========================
U N I T E D   K I N G D O M
===========================

EUROSAIL-UK 2007-6: Fitch Downgrades Class B1a Debt to B+sf
-----------------------------------------------------------
Fitch Ratings downgraded seven, upgraded one and affirmed six
tranches of Eurosail Prime-UK 2007-A PLC, Eurosail-UK 2007-5 NP Plc
and Eurosail-UK 2007-6 NC Plc.

RATING ACTIONS

Eurosail-UK 2007-6 NC Plc

Class A3a XS0332285971; LT AA+sf Upgrade;  previously at Asf

Class B1a XS0332286862; LT B+sf Downgrade; previously at BBBsf

Class C1a XS0332287084; LT Bsf Downgrade;  previously at BBsf

Class D1a XS0332287597; LT CCCsf Affirmed; previously at CCCsf

Eurosail Prime-UK 2007-A PLC

Class A1 XS0328494157; LT AAAsf Affirmed; previously AAAsf

Class A2 (restructured) XS1074651628; LT AAAsf Affirmed; previously
AAAsf

Class B (restructured) XS1074654481; LT Bsf Downgrade; previously
A+sf

Class C (restructured) XS1074654648; LT B-sf Downgrade; previously
BBsf

Class M (restructured) XS1074652782; LT B+sf Downgrade; previously
A+sf

Eurosail-UK 2007-5 NP Plc

Class A1a XS0328024608; LT B+sf Downgrade; previously at BBsf

Class A1c XS0328025241; LT B+sf Downgrade; previously at BBsf

Class B1c XS0328025324; LT Bsf Affirmed;   previously at Bsf

Class C1c XS0328025597; LT CCCsf Affirmed; previously at CCCsf

Class D1c XS0328025670; LT CCCsf Affirmed; previously at CCCsf

TRANSACTION SUMMARY

The transactions contain pre-crisis non-confirming owner occupied
and buy-to-let loans originated by Southern Pacific Mortgages
Limited, Preferred Mortgages Limited (wholly owned subsidiaries of
Lehman Brothers) and Alliance and Leicester.

KEY RATING DRIVERS

UK RMBS Rating Criteria

The rating actions take into account the new UK RMBS Rating
Criteria dated October 4, 2019. The notes' ratings have been
removed from Under Criteria Observation. The application of the
criteria has resulted in one upgrade, six affirmations and seven
downgrades.

Tail Risk Not Mitigated

With exclusive use of Fitch's cash flow model, in back-loaded
default distribution scenarios under the UK RMBS Rating Criteria,
the transactions are likely to repay principal on a pro-rata basis
until the aggregate principal amount outstanding of the notes is
less than 10% of the original pool balance. At the same time, the
transactions' reserve funds will amortise and the fixed senior
costs the transactions must pay will deplete any excess spread
available to meet interest payments on the notes, as the pool
balances shrink. Fitch believes those notes' ratings will have a
limited margin of safety in this scenario, which has resulted in
seven downgrades.

The ES076 pro-rata amortisation and reserve fund amortisation
triggers linked to delinquencies may breach and lead to some credit
enhancement build-up. However, this may only be temporary as the
trigger breach is reversible. The class A3a notes' have been
upgraded as Fitch believes the notes are resilient to this
scenario.

Stable Asset Performance

Loans that are three months or more in arrears have shown steady
improvement post-crisis. This measure remained stable between
September 2018 to September 2019, averaging around 1%, 9% and 18%
of ES07A, ES075 and ES076 pool balances, respectively.

RATING SENSITIVITIES

Fitch is of the opinion that the prolonged low interest rate
environment has supported borrower affordability. An increase in
interest rates causing a payment shock could lead to a worsening of
asset performance beyond Fitch's expectations. This may have a
positive impact on the transactions as it could lead to prolonged
periods of sequential payments and credit enhancement build-up,
resulting in upgrades.

There are a small number of owner-occupied interest-only loans that
have failed to make their bullet payments at note maturity. The
servicer has informed Fitch that alternative payment plans with
these borrowers are currently being implemented. If this trend
grows to a significant number, Fitch may apply more conservative
assumptions in its asset and cash flow analysis.

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.

PINNACLE BIDCO: Moody's Affirms B2 CFR, Outlook Stable
------------------------------------------------------
Moody's Investors Service affirmed Pinnacle Bidco plc's B2
corporate family rating and B2-PD probability of default rating.
Concurrently, Moody's has affirmed the B2 instrument rating on the
GBP430 million senior secured notes due 2025 and Ba2 rating on the
GBP60 million super senior revolving credit facility due 2024, all
borrowed by Pinnacle Bidco plc. The outlook remains stable.

"The affirmation reflects the company's enhanced scale and
diversification following the acquisition of Fitness World's
operations in Denmark, Switzerland and Poland. Leverage and other
key ratios are expected to remain adequate for the current rating,
despite higher debt and some margin dilution" - says Egor Nikishin,
lead analyst for PureGym.

RATINGS RATIONALE

On December 12 the UK gym chain PureGym announced that it plans to
acquire Denmark-based gym operator Fitness World for circa GBP350
million which equates to 7.2x of the target's "run-rate adjusted"
EBITDA from a Norwegian private equity firm FSN Capital and Kirkbi.
The acquisition will be initially financed with a bridging debt
instrument, which PureGym plans to replace with new senior secured
notes early next year. Moody's notes however, that the ultimate
financing size is still under consideration while PureGym assesses
the combined businesses capex program and cash flow generation.

In Moody's view the acquisition will be transformational for
PureGym, as the company will almost double its network size and
will diversify outside of the UK. The combined entity will become
the second largest operator in a fragmented European gym market
with leading positions in the UK and Denmark and growing presence
in Switzerland and Poland. The Swiss market has a lower gym
penetration rate compared to the UK and therefore provides room for
growth, while Denmark, in contrast, is a more mature market with
higher competition and risk of sales cannibalisation from newly
opened sites.

Moody's views the two companies business models as largely similar
with a focus in the low cost segment, although PureGym has a more
advanced digital platform and operates with less staff per site.
Also, despite higher average revenue per member, Fitness World's
company adjusted EBITDA margin was lower at 23% compared to
PureGym's 36% in 2018, as the latter benefits from a more efficient
cost structure. Fitness World also has relatively shorter lease
commitments, but pays more annual rent per site because most of its
gym equipment is rented and because in Denmark landlords typically
cover some of the refurbishment costs, which are then passed
through the rent to tenants.

PureGym's leverage, measured as Moody's adjusted debt / EBITDA, was
around 6.3x as of September 2019, which includes a recent GBP40
million tap bond issuance. Moody's estimates that pro forma for the
acquisition the leverage will only slightly increase to 6.4x. The
company's interest coverage as measured by EBITA / interest will
deteriorate to 1.1x from 1.2x, which is a relatively weak level for
the current rating. Moody's expects that PureGym's established
operations, good brand visibility, and continued new openings both
in the UK and on the continent will enable the company to
organically grow its revenue by around 8% per annum and de-lever
towards 6x over the next 12-18 months.

PureGym's ratings also reflect (1) relatively high reported EBITDA
margins of around 30% pro forma for the acquisition thanks to an
efficient cost structure driven by low labour costs (2) simple and
clear price offering supported by user-friendly technology; and (3)
around 90% of revenue generated from recurring monthly membership
payments (4) improved geographic diversification following the
acquisition of Fitness World.

However less positively, the ratings incorporate the highly
competitive nature of the health and fitness market, and the
broader leisure one. Moody's believes that barriers to entry to the
gym market are low, which perpetuates a high degree of competition
among operators. Moreover, competition has been intensifying over
the last several years on the back of expansion of the value gym
operators.

The company's ratings are also constrained by (1) some execution
risk related to the integration and funding of Fitness World
acquisition as well as to the planned expansion in Switzerland and
Poland; (2) mixed market prospects with slowing growth in Denmark
and gradual saturation of the UK market although with opportunities
to gain more market share from mid-market operators; (3) the
embedded exposure to macro-economic trends and shifts in
discretionary consumer spending which are only partially mitigated
by PureGym's low-cost offering; and (4) the high member churn rates
in the UK as a result of a distinctive business model with no
fixed-term contracts.

Moody's would like to draw attention to certain governance
considerations related to PureGym. The company is controlled by
Leonard Green & Partners, as is common for private equity sponsored
deals, has a high tolerance for leverage and appetite for
debt-funded acquisition.

LIQUIDITY PROFILE

PureGym's liquidity is good, supported by GBP59 million of cash as
of September 2019 and its GBP60 million undrawn SSRCF, which the
company plans to further upsize by GBP35 million following the
acquisition. Moody's believes the recent GBP40 million tap
effectively pre-funded PureGym's capital spending needs for the
next 12-18 months.

The company's free cash flow (FCF) - calculated after interest
expense, taxes, working capital changes and capex - has
historically been negative, due to organic openings and conversion
of acquired gyms, but turned positive at GBP20 million in 2018.
Moody's expects FCF to remain be close to zero, over the next 12-18
months as the company continues to roll-out new gyms, but also due
to higher debt and integration costs following the acquisition.

The SSRCF has one springing covenant (senior secured leverage - as
calculated by the management) that is tested when the facility is
over 40% drawn. The senior secured leverage covenant is set at net
debt of 7.7x Run Rate Adjusted EBITDA and currently leverage as
determined by management is less than 4x in this basis.

STRUCTURAL CONSIDERATIONS

As of September 2019, the capital structure comprises GBP430
million of senior secured notes due 2025, a GBP60 million SSRCF due
2024, and GBP334 million of shareholder loan that Moody's treats as
equity. The B2 instrument rating on the notes is in line with the
company's CFR while the Ba2 instrument rating on the RCF reflects
its super senior ranking ahead of the notes.

Both the notes and SSRCF are secured by first-priority interests
over substantially all the assets of PureGym and the Guarantors.
The facilities are guaranteed by group companies representing not
less than 80% of group's consolidated EBITDA. PureGym announced its
plans to issue new senior secured notes to finance the acquisition,
which Moody's expects to be issued under similar terms to the
existing notes.

RATING OUTLOOK

The stable outlook reflects Moody's expectation that the company
will continue to maintain Moody's adjusted leverage below 6.5x
while further increasing revenue and EBITDA through successful gym
openings. The stable outlook also assumes that the company will
maintain adequate liquidity at all times.

FACTORS THAT COULD LEAD TO AN UPGRADE

Positive pressure is unlikely in the short term as the rating is
currently weakly positioned, but over time could arise if: (1) the
company continues to deliver positive organic revenue and EBITDA
and significantly increases scale and diversification of its
operations; (2) Moody's adjusted leverage decreases below 5x and
(3) RCF / Net debt is maintained well above 10%.

FACTORS THAT COULD LEAD TO A DOWNGRADE

Downward pressure could materialise if (1) Moody's adjusted gross
leverage increases above 6.5x; (2) RCF / Net debt deteriorates
sustainably below 10%; (3) EBITA / Interest deteriorates from the
current level; (4) the liquidity profile materially weakens; or (5)
there is any significant decline in number of members or in
membership yield;

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

PROFILE

Founded in 2009, PureGym is the leading gym operator in the UK, by
number of members and gyms. Pro-forma for the planned acquisition
of Fitness World PureGym reported revenue of around GBP420 million
and company-adjusted EBITDA of circa GBP125 million (before IFRS 16
impact) as of September 2019. The company achieved significant
growth through organic gym rollouts and acquisitions. The company
derives more than 90% of its revenue from membership fees, with the
remainder coming from nutrition and sport goods sales, joining
fees, day pass income, administration fees and other. Private
equity sponsor Leonard Green & Partners holds 80% of the company
and the remaining 20% is owned by management.

TOWD POINT 2019-GRANITE4: Fitch Affirms BBsf Class F Debt Rating
-----------------------------------------------------------------
Fitch Ratings upgraded two tranches of Towd Point Mortgage Funding
Granite 4.

RATING ACTIONS

Towd Point Mortgage Funding 2019 - Granite 4 plc

Class A1 XS1968576568; LT AAAsf Affirmed;  previously at AAAsf

Class B XS1968576642;  LT AA+sf Upgrade;   previously at AAsf

Class C XS1968576998;  LT A+sf Affirmed;   previously at A+sf

Class D XS1968577293;  LT A-sf Upgrade;    previously at BBB+sf

Class E XS1968577376;  LT BBB-sf Affirmed; previously at BBB-sf

Class F XS1968577459;  LT BBsf Affirmed;   previously at BBsf

TRANSACTION SUMMARY

The transaction is a securitisation of owner-occupied (OO)
residential mortgage assets originated by Northern Rock and secured
against properties in England, Scotland and Wales.

KEY RATING DRIVERS

New UK RMBS Rating Criteria

This rating action takes into account the new UK RMBS Rating
Criteria dated October 4, 2019. The note ratings are no longer
Under Criteria Observation.

Rising Credit Enhancement

Credit enhancement (CE) has increased due to sequential
amortisation and moderately high levels of prepayment. As of the
interest payment date in October 2019, credit enhancement has
increased to 18.7% (from 17% at closing in April 2019) for the
class A notes, to 12.9% (from 11.8%) for the class B notes, to 8.3%
(from 7.5%) for the class C notes, to 5.8% (from 5.3%) for the
class D notes, to 4.1% (from 3.8%) for the class E notes and to
2.6% (from 2.4%) for the class F notes. These increases support the
upgrades and affirmations of the notes.

Interest-Only Maturities

Nearly 60% of the OO pool comprises interest-only loans. However
only 2.1% of the pool has maturity dates in or after 2041, while
the final maturity date of the notes is 2051.

RATING SENSITIVITIES

Ratings are sensitive to the OO interest-only loan maturity profile
and in particular the ability of borrowers to redeem such loans on
a timely basis.

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.


                           *********


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 2019.  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 * * *