/raid1/www/Hosts/bankrupt/TCREUR_Public/200227.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

          Thursday, February 27, 2020, Vol. 21, No. 42

                           Headlines



C Z E C H   R E P U B L I C

ENERGO-PRO: S&P Alters Outlook to Negative & Affirms 'B+' ICR


I R E L A N D

CIFC EUROPEAN II: Fitch Assigns B-(EXP) Rating to Class F Debt
SYON SECURITIES 20202: Fitch Assigns BB-sf Rating on Cl. C Notes


N E T H E R L A N D S

SAMVARDHANA MOTHERSON: S&P Alters Outlook to Neg. & Affirms BB+ ICR


S P A I N

TDA 22 MIXTO: Moody's Lowers EUR2.7MM Cl. D1 Notes to Ca


U N I T E D   K I N G D O M

CARILLION PLC: KPMG Investigates Auditor Over Regeneris
E-CARAT 11 PLC: S&P Assigns Prelim B(sf) Rating on Class F Notes
FINSBURY SQUARE 2020-1: DBRS Finalizes BB(high) Rating on X Notes
GREAT HALL 2006-1: Fitch Upgrades Class Ea Debt to BB+sf
INTU: Needs GBP1.3BB from Emergency Equity Rights Issue

METRO BANK: Rules Out Takeover Plan, Posts GBP131MM 2019 Loss
SIRIUS MINERALS: To Vote Against Anglo American Takeover Bid
TAURUS 2020-1: Fitch Assigns BB-(EXP) Rating on Class E Notes
[*] UNITED KINGDOM: Insolvency Costs Hit Record High in 2019

                           - - - - -


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C Z E C H   R E P U B L I C
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ENERGO-PRO: S&P Alters Outlook to Negative & Affirms 'B+' ICR
-------------------------------------------------------------
S&P Global Ratings revised the outlook on Czech electricity
multi-utility ENERGO-PRO a.s. (Energo-Pro) to negative from stable,
and affirmed its 'B+' long-term issuer credit rating on the
company.

S&P said, "The negative outlook reflects our view that Energo-Pro
will have limited headroom to remain at the current 'b+' GCP, with
FFO to debt close to our target level of 12% at DKHI (corresponding
to 15%-16% at Energo-Pro) in 2019-2020. We view Energo-Pro's
business as relatively volatile, as the company is exposed to
significant hydrological risks and country risk factors in its key
markets, which diversification may not necessarily fully offset, in
our view. This may use up already-limited financial headroom
relatively quickly.

"We continue to base our rating on Energo-Pro on the GCP of DKHI.We
consider Energo-Pro a core subsidiary of DKHI. As a result, we do
not expect Energo-Pro to be rated above the GCP, which we currently
assess at 'b+'. Although we understand that the bond documentation
restricts Energo-Pro's distributions for DKHI's development
projects in Turkey at EUR100 million, we believe that being the
group's largest cash source (essentially 100% of EBITDA),
Energo-Pro is not fully insulated from the group. We understand
that Energo-Pro's distributions or dividends to DKHI can be used
for group-level capital expenditure (capex) or debt service.
Covenant restrictions on Energo-Pro are relatively flexible and do
not materially constrain Energo-Pro's liquidity, while the
company's Turkish projects are operationally and strategically
aligned with Energo-Pro's business. Longer term, we will monitor
whether and how Energo-Pro might acquire Turkish assets from the
parent, but because no specific plans are in place, this is not our
base case for 2020-2021.

"Limited headroom in Energo-Pro's parent DKHI's 2019-2020 credit
metrics weighs on the GCP. Energo-Pro's earnings were below our
expectations, leading to higher-than-expected consolidated group
leverage.

"In 2019, as per S&P Global Ratings' estimates, we expect EBITDA to
reach slightly above EUR130 million, which is marginally below our
previous expectation--largely because of below-average hydrology
conditions in Bulgaria and Georgia, which we believe could, to a
degree, be offset with price dynamics in Bulgaria and positive
results from Turkey. Moreover, Energo-Pro's regulated business in
Georgia suffered from lower volumes, and although regulation
generally requires volume risks to be compensated in future years,
we believe the future compensation will be largely offset by
expected decline in Georgian weighted average cost of capital.

In the second half of 2019, DKHI secured a new EUR175 million
credit facility to finance the completion of one of its Turkish
development projects, Alpaslan 2. This increased total reported
debt at the consolidated group level including Energo-Pro and its
parent DKHI. Because of the nature of the business, in S&P's
leverage calculation, it focuses on gross debt and does not net
cash.

The above-mentioned reasons resulted in the group having limited
headroom for 2019-2020. S&P expects the DKHI consolidated group to
stay at about 12% FFO to debt, and any recovery to come no earlier
than 2021.

S&P expects recovery in the metrics from 2021, as two large
hydropower plants in Turkey should be commissioned by the end of
2020. Energo-Pro's parent DKHI has two sizable construction
projects in Turkey. These projects include the construction of
Karakurt hydropower plant (HPP), three units with total installed
capacity of 99.5 megawatts (MW); and Alpaslan 2 HPP, four units
with installed capacity of 280 MW. The projects have total
construction capex of $240.4 million and $519 million
respectively.

In S&P's base case, it expects both power plants to be fully
commissioned before year-end 2020, in line with the schedule
(Karakurt HPP is due to be commissioned before June 2020, and
Alpaslan 2 HPP before December 2020). Construction of Karakurt HPP
has already been completed, and the water impounding process has
started. Construction of Alpaslan 2 HPP is in the final stage.
Timely commissioning is essential to the company, as it will allow
it to apply for a favorable "Yekdem" feed-in-tariff. This is the
Turkish renewable subsidy scheme, which is applicable for the first
10 years of operations for renewables commissioned prior to Dec.
31, 2020.

If and when the assets are successfully commissioned, and in the
absence of liquidity pressures or negative operating developments,
rating headroom can be restored. S&P estimates additional EBITDA of
about EUR80 million annually starting from 2021, which would lead
DKHI's consolidated FFO to debt to increase to above 25% from the
current 11%-13%, and could mean debt to EBITDA falls from the
current 5x-6x level to 3x-3.5x.

The company's business risk profile remains constrained by country
risk factors in its key markets, although we expect moderate
improvement due to the continued liberalization of the energy
market, mainly in Georgia. Energo-Pro continues to face country
risks, including emerging market currencies' increasing volatility
and the evolving nature of the regulatory frameworks in the key
markets where it operates. Energo-Pro is exposed to foreign
exchange risk in Georgia, while the Bulgarian lev (BGN) is pegged
to the euro. Meanwhile, Energo-Pro is protected from Turkish lira
(TRY) fluctuations because of dollar-denominated tariffs. Although
not S&P's base case, it cannot rule out pressure on dollar tariffs
in the event of contract renegotiations.

Electricity distribution regulatory frameworks in Georgia and
Bulgaria aim to achieve cost recoverability and create incentives
to invest, but they are subject to uncertainties, ongoing
reforms--mainly in Georgia--and political influence on regulations
in Bulgaria, which remains a material constraint for Energo-Pro.
Georgia is undergoing significant regulatory changes, aimed at
freeing up certain industry segments so they can be more aligned
with the EU's third energy package. S&P said, "However, we see some
uncertainties related to the practical implementation of this
strategy. Liberalization of high-voltage end-user customers was
delayed by one year, which resulted in about Georgian lari (GEL) 20
million loss for Energo-Pro. That said, we understand that this
should be recovered in the next regulatory period starting 2021. We
also expect further liberalization of hydropower generation, which
could boost the company's cash flows, because regulated prices are
well below market prices in Georgia."

The negative outlook reflects S&P's view that consolidated group
credit metrics may have limited headroom over 2019-2020. In
particular, it expects FFO to debt to remain very close to 12%.

Downside scenario

S&P could lower the GCP and subsequently the rating on Energo-Pro
if:

-- DKHI's FFO to debt does not recover to above 12% on average
from 2021 (corresponding to a ratio of about 15% at Energo-Pro);

-- The group experiences higher earnings volatility than S&P
expects, stemming for example from very poor hydro conditions,
adverse regulatory intervention, or fluctuation in currency rates;

-- It engages in a large-scale debt-financed acquisition or
overruns its capex budget, thereby materially increasing its
leverage; or

-- The group's liquidity materially weakens (a scenario S&P
currently does not expect).

Upside scenario

S&P can revise the outlook back to stable if FFO to debt recovers
to above 12% for the consolidated group (corresponding to a ratio
of about 15% at Energo-Pro). This could happen in the event of
successful commissioning of the company's sizable hydro projects in
Turkey, absent any material negative operating developments,
acquisitions, shareholder distributions, or liquidity pressures.




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CIFC EUROPEAN II: Fitch Assigns B-(EXP) Rating to Class F Debt
--------------------------------------------------------------
Fitch Ratings assigned CIFC European Funding CLO II Designated
Activity Company expected ratings.

The assignment of final ratings is contingent on receipt of final
documents conforming to information already reviewed.

RATING ACTIONS

CIFC European Funding CLO II DAC

Class A;    LT AAA(EXP)sf;  Expected Rating

Class B-1;  LT AA(EXP)sf;   Expected Rating

Class B-2;  LT AA(EXP)sf;   Expected Rating

Class C;    LT A(EXP)sf;    Expected Rating

Class D;    LT BBB-(EXP)sf; Expected Rating

Class E;    LT BB(EXP)sf;   Expected Rating

Class F;    LT B-(EXP)sf;   Expected Rating

Class Y;    LT NR(EXP)sf;   Expected Rating

Sub. notes; LT NR(EXP)sf;   Expected Rating

TRANSACTION SUMMARY

CIFC European Funding CLO II Designated Activity Company is a
securitisation of mainly senior secured obligations (at least 90%)
with a component of senior unsecured, mezzanine, second-lien loans,
first -lien last-out loans and high-yield bonds. Note proceeds will
be used to fund a portfolio with a target par of EUR400 million.
The portfolio will be actively managed by CIFC CLO Management II
LLC. The collateralised loan obligation (CLO) has a 4.5-year
reinvestment period and an 8.5-year weighted average life (WAL).

KEY RATING DRIVERS

'B' Portfolio Credit Quality: Fitch places the average credit
quality of obligors in the 'B' category. The Fitch-weighted average
rating factor of the identified portfolio is 32.9, below the
indicative covenanted maximum Fitch WARF of 33.

High Recovery Expectations: At least 90% of the portfolio will
comprise senior secured obligations. Fitch views the recovery
prospects for these assets as more favourable than for second-lien,
unsecured and mezzanine assets. The Fitch-weighted average recovery
rate (WARR) of the identified portfolio is 66.7%, above the
indicative covenanted minimum Fitch WARR of 64%.

Diversified Asset Portfolio: The transaction will include several
Fitch test matrices corresponding to several top 10 obligors'
concentration limits. The manager can interpolate within and
between these matrices. The transaction also includes various
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 has a 4.5-year reinvestment
period and includes reinvestment criteria similar to those of other
European transactions'. Fitch analysis is based on a stressed-case
portfolio with the aim of testing the robustness of the transaction
structure against its covenants and portfolio guidelines.

Cash Flow Analysis: Fitch used a customised proprietary cash flow
model to replicate the principal and interest waterfalls and the
various structural features of the transaction, and to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests.

RATING SENSITIVITIES

A 125% default multiplier applied to the portfolio's mean default
rate, and with this increase added to all rating default levels,
would lead to a downgrade of up to two notches for the rated notes.
A 25% reduction in recovery rates would lead to a downgrade of up
to four notches for the rated notes.


SYON SECURITIES 20202: Fitch Assigns BB-sf Rating on Cl. C Notes
----------------------------------------------------------------
Fitch Ratings assigned Syon Securities 2020 DAC's notes final
ratings as follows:  

Unprotected tranche: 'NRsf'

Class A: 'A-sf'; Outlook Stable

Class B: 'BBB-sf'; Outlook Stable

Class C: 'BB-sf'; Outlook Stable

Class Z: 'NRsf'

Syon Securities 2020 DAC is the second synthetic securitisation of
owner-occupied residential mortgage loans originated by Bank of
Scotland Plc (BoS) under the Halifax brand and secured over
properties located in England, Wales and Scotland. The transaction
is designed for risk-transfer purposes and includes loans selected
with loan-to-values (LTVs) higher than 90% and a high proportion of
first-time buyers (FTBs; 76.9%).

KEY RATING DRIVERS

High LTV Lending

The pool consists of loans originated with an LTV above 90%. As a
result the weighted average (WA) current LTV of the pool is higher
than usual for Fitch-rated RMBS at 93.9%. Fitch's WA sustainable
LTV (sLTV) for this pool is also high at 124.7% resulting in a
higher foreclosure frequency (FF) and lower recovery rate for this
pool than other transactions with lower LTV metrics.

High Concentration of FTBs

FTBs make up 76.9% of borrowers in this pool, a high concentration
compared with other RMBS transactions. Fitch considers that FTBs
are more likely to suffer foreclosure than other borrowers and has
considered their high concentration in this pool analytically
significant. In a variation to its criteria, Fitch has applied an
upward adjustment of 1.3x to each loan where the borrower is an
FTB.

Issuer Covers Accrued Interest

Under the financial guarantee the issuer provides BoS with
protection from losses of accrued interest as well as principal. As
a result, rising interest rates will place a stress on the issuer
as interest payments from borrowers accrues at a faster rate. In a
variation to its criteria Fitch has not applied a reduction to the
currently observed margin earned from standard variable rate loans
in any of its rating scenarios.

Counterparty Exposure

The transaction is exposed to BoS as account bank provider (the
entire issuance is held at BoS) and counterparty to the financial
guarantee. On default of BoS, the transaction would end due to the
termination of the guarantee with the potential for redemption
funds to be lost. As a result, Fitch capped the rating of the notes
at that of BoS. Compliance of eligibility criteria and loss
determination prior to August 2029 relies on BoS's servicing
standards as no independent agent is involved in this process.

VARIATIONS FROM CRITERIA

Fitch considers that FTBs are more likely to suffer foreclosure
than other borrowers and has considered their high concentration in
this pool analytically significant. Fitch has therefore applied an
upward adjustment of 1.3x to each loan where the borrower is an FTB
instead of 1.1x, as per its criteria.

In this transaction a reduced loan's margin is beneficial as the
issuer is required to compensate Bank of Scotland for accrued
interest on defaulted loans. As a result no margin compression has
been applied and instead the current margin above SONIA has been
applied in all scenarios.

Fitch's has modified the even-and back-loaded defaults distribution
provided by its criteria so that the defaults that would otherwise
have occurred beyond the seven year protection period have been
spread evenly across the term of the transaction.

The impact of the criteria variations is a negative one notch
movement, across all classes of notes.

RATING SENSITIVITIES

Material increases in the frequency of defaults and loss severity
on defaulted receivables producing losses greater than Fitch's base
case expectations may result in negative rating action on the
notes. Fitch's analysis revealed that a 30% increase in the WAFF,
along with a 30% decrease in the WA recovery rate, would imply a
downgrade of the class A notes to 'BBB-sf' from 'A-sf'.




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N E T H E R L A N D S
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SAMVARDHANA MOTHERSON: S&P Alters Outlook to Neg. & Affirms BB+ ICR
-------------------------------------------------------------------
S&P Global Ratings revised its outlook on Samvardhana Motherson
Automotive Systems Group B.V. (SMRP) to negative from stable and
affirmed its 'BB+' long-term issuer credit rating.

SMRP's recent operating performance showed improvement, but falls
short of S&P's expectations.

S&P said, "In fiscal 2020, we forecast that SMRP's adjusted EBITDA
margin will drop to 6.0%-6.5% from 7.2% in fiscal 2019, which we
consider weak for the rating. The operating underperformance mainly
comes from issues at its two new plants in Tuscaloosa (U.S.) and
Kecskemet (Hungary) where targeted productivity and quality levels
were reached more slowly than expected. The group's quantified
EBITDA losses related to the greenfield plants and dilutive
contribution from recently acquired Reydel reached a high of EUR91
million in the first nine months of fiscal 2020. Total reported
EBITDA for the period was EUR221 million, excluding International
Financial Reporting Standards (IFRS) 16 effects. Although we note
that SMRP's reported EBITDA has been consistently improving over
recent quarters, given declining losses in its greenfield
operations we see the risk that gloomy industry conditions could
potentially delay expected profitability improvements that we
assume under our base case."

The gloomy outlook for auto production volumes will likely dim
prospects for a meaningful recovery in SMRP's credit metrics.

As a car interior and exterior component manufacturer, SMRP is
exposed to the cyclicality of the auto sector. S&P said, "In the
three main regions (Europe, the U.S., and Asia-Pacific) where the
company operates, we expect auto production volumes to remain weak
over the next two years. We think global passenger car markets will
remain at best stagnant in 2020 and 2021, with recovery hinging on
a moderate revival in China. We think this will come no sooner than
2021, particularly following the coronavirus outbreak, which is
likely to materially weigh on growth prospects. We also think
geopolitical risks could continue to weigh on consumer sentiment."
These risks include the ongoing trade conflict between the U.S. and
China (although the recent phase 1 deal has removed some consumer
uncertainties), and a potential escalation in tariff conflicts
between the U.S. and Europe that, if imposed, would weigh on
equipment manufacturers and their suppliers.

S&P has revised its assessment of SMRP's financial risk profile to
aggressive from significant.

S&P said, "The challenges at its greenfield operations and at
recently acquired Reydel, combined with our expectations of subdued
car demand over the next two years, lead us to believe that SMRP's
FFO to debt will not recover comfortably above 20% before 2022. We
also forecast that free operating cash flow (FOCF) to debt will
remain below 10% in 2020 and 2021. In our base case, we assume that
the company will reduce its capital expenditure (capex) to EUR180
million-EUR190 million from EUR255 million spent in fiscal 2019.
This is because SMRP has completed investments related to its
greenfield plants and will likely converge to a more normalized
capex level."

S&P's rating on SMRP reflects its assessment of MSSL's
creditworthiness.

MSSL owns 51% of SMRP and Samvardhana Motherson International Ltd.
the remaining 49%. S&P said, "We classify SMRP as a core entity of
MSSL since we believe that SMRP is unlikely to be sold, has a
long-term commitment from MSSL, constitutes a material proportion
of the consolidated group (70% of sales and 60% of EBITDA), and
uses the brand name. The rating on SMRP is equal to our 'bb+' group
credit profile, which is two notches higher than our assessment of
the stand-alone credit profile."

The potential demerger of the domestic wiring harness business
could dilute MSSL's operating margins.

At the end of January 2020, MSSL announced a proposal for a legal
reorganization, under which it would deconsolidate its domestic
wiring harness business. Given the higher profitability of the
Indian operations the business belongs to, we believe that MSSL's
credit profile could deteriorate following the change in scope. The
proposed legal reorganization also includes possible shareholding
structure changes. S&P said, "We understand that MSSL's board of
directors will formally decide on the proposed reorganization
within the next 90-120 days. We will continue to monitor progress
on the proposal and any possible implications on the perimeter of
the group we consider for our analysis."

The negative outlook reflects the prospect of MSSL's FFO to debt
staying below the 30% threshold over the next 12 months. This could
be on account of the prolonged downturn in the auto industry and
unanticipated challenges in ramping up its greenfield operations,
or due to the proposed demerger and corporate reorganization.

S&P said, "We are likely to lower our rating on SMRP if we see
MSSL's FFO to debt failing to improve above 30% in fiscal 2021.
This could happen if the company's operating performance is weaker
than we expect, or our view of the MSSL changes following the
proposed demerger and corporate reorganization.

"We could revise our outlook back to stable if the company improves
its operating performance such that the FFO to debt moves
sustainably above 30% even with the proposed demerger or corporate
reorganization."




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S P A I N
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TDA 22 MIXTO: Moody's Lowers EUR2.7MM Cl. D1 Notes to Ca
--------------------------------------------------------
Moody's Investors Service upgraded the ratings of four tranches,
downgraded the ratings of two tranches and affirmed nine tranches
in three Spanish RMBS transactions. The upgrade action reflects the
increased levels of credit enhancement for the affected notes in
CAIXA PENEDES 2 TDA, FTA, TDA 19 MIXTO, FTA and TDA 22 MIXTO, FTA
(backed by sub-pool B). The downgrade action reflects the decreased
levels of credit enhancement for the affected notes in TDA 22
MIXTO, FTA (backed by sub-pool A).

Moody's affirmed the ratings of the Notes that had sufficient
credit enhancement to maintain the current ratings on the affected
Notes.

Issuer: CAIXA PENEDES 2 TDA, FTA

EUR726.3M Class A Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR7.2M Class B Notes, Upgraded to Aa3 (sf); previously on Jun 29,
2018 Upgraded to A3 (sf)

EUR16.5M Class C Notes, Upgraded to Baa2 (sf); previously on Jun
29, 2018 Affirmed Ba1 (sf)

Issuer: TDA 19 MIXTO, FTA

EUR567.3M Class A Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR19.2M Class B Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR6.0M Class C Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR7.5M Class D Notes, Upgraded to Aa3 (sf); previously on Jun 29,
2018 Upgraded to A2 (sf)

Issuer: TDA 22 MIXTO, FTA

EUR57.2M Class A1b Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Upgraded to Aa1 (sf)

EUR4.6M Class B1 Notes, Affirmed Baa3 (sf); previously on Jun 29,
2018 Confirmed at Baa3 (sf)

EUR3.7M Class C1 Notes, Downgraded to Caa3 (sf); previously on Jun
29, 2018 Affirmed Caa1 (sf)

EUR2.7M Class D1 Notes, Downgraded to Ca (sf); previously on Jun
29, 2018 Affirmed Caa3 (sf)

EUR48.8M Class A2b Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR14.6M Class B2 Notes, Affirmed Aa2 (sf); previously on Jun 29,
2018 Upgraded to Aa2 (sf)

EUR6.0M Class C2 Notes, Upgraded to Baa1 (sf); previously on Jun
29, 2018 Confirmed at Baa3 (sf)

EUR5.7M Class D2 Notes, Affirmed B2 (sf); previously on Jun 29,
2018 Affirmed B2 (sf)

Maximum achievable rating is Aa1 (sf) for structured finance
transactions in Spain, driven by the corresponding local currency
country ceiling of the country.

RATINGS RATIONALE

The rating action is prompted by the increased levels of credit
enhancement for the affected notes in CAIXA PENEDES 2 TDA, FTA, TDA
19 MIXTO, FTA and TDA 22 MIXTO, FTA (backed by sub-pool B) and by
the decreased levels of credit enhancement for the affected notes
in TDA 22 MIXTO, FTA (backed by sub-pool A).

Increase in Available Credit Enhancement for CAIXA PENEDES 2 TDA,
FTA, TDA 19 MIXTO, FTA and TDA 22 MIXTO, FTA (backed by sub-pool
B):

Non-amortizing reserve funds in CAIXA PENEDES 2 TDA, FTA and TDA 19
MIXTO, FTA led to the increase in the credit enhancement available
for the affected notes. For instance, the credit enhancement
increased for the Class B and Class C notes in CAIXA PENEDES 2 TDA,
FTA to 10.43% and 5.43% from 9.40% and 4.40%, respectively, and for
the Class D notes in TDA 19 MIXTO, FTA to 18.14% from 13.58% since
the last rating action in June 2018. The notes are amortizing on a
pro-rata basis in CAIXA PENEDES 2 TDA, FTA and for Class A to Class
C notes in TDA 19 MIXTO, FTA subject to certain triggers being
met.

The reserve fund for TDA 22 MIXTO, FTA (backed by sub-pool B)
stands at 93% of the target amount. Sequential amortization in this
structure led to the increase in credit enhancement for Class C2
notes to 17.17% from 15.46% since the last rating action in June
2018. The notes amortization can switch to pro rata subject to
certain triggers being met.

Decrease in Available Credit Enhancement for TDA 22 MIXTO, FTA
(backed by sub-pool A):

In TDA 22 MIXTO, FTA (backed by sub-pool A) the credit enhancement
for Classes C1 and D1 notes decreased to -2.69% and -11.91%,
respectively, from -0.86% and -8.08% since the last rating action
in June 2018. The notes principal is paid sequentially and the
reserve fund is fully drawn. The unpaid PDL in the structure backed
by sub-pool A has increased to EUR 3.49 million as of the last
reporting date in December 2019 from EUR 3.02 million since the
last action in June 2018, which compares with the outstanding
balance of Class D1 at EUR 2.70 million. Moody's considered
different scenarios for recoveries to be received in its analysis.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
July 2019.

The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less
relevant or typically remain unchanged during the surveillance
stage.

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

Factors or circumstances that could lead to an upgrade of the
ratings include: (1) performance of the underlying collateral that
is better than Moody's expected; (2) an increase in available
credit enhancement; (3) improvements in the credit quality of the
transaction counterparties; and (4) a decrease in sovereign risk.

Factors or circumstances that could lead to a downgrade of the
ratings include: (1) an increase in sovereign risk; (2) performance
of the underlying collateral that is worse than Moody's expected;
(3) deterioration in the Notes' available credit enhancement; and
(4) deterioration in the credit quality of the transaction
counterparties.



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U N I T E D   K I N G D O M
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CARILLION PLC: KPMG Investigates Auditor Over Regeneris
-------------------------------------------------------
Tabby Kinder at The Financial Times reports that KPMG is
investigating compliance with auditor independence rules involving
work on another UK outsourcing firm by the partner who led the
vetting of Carillion's books before its collapse, said two people
familiar with the matter.

According to the FT, the people said an inquiry at the Big Four
firm is examining the relationship between Peter Meehan and
Regenersis, a London-listed company that provided outsourcing
services to the IT industry.

Mr. Meehan audited Regenersis until 2013 and then became the
company's "non-audit relationship partner" -- a role at KPMG that
involved working alongside the audit partner to help manage the
relationship with a client, the FT notes.

The relationship with Regenersis is being looked at as part of a
wider inquiry that KPMG commissioned from law firm Linklaters
following the 2018 demise of Carillion, the FT discloses.  The
group's collapse put thousands of jobs at risk, forced building
projects to be halted and turned the spotlight on the accounting
industry, the FT states.

The Financial Reporting Council, the audit watchdog, is
investigating KPMG over its audit of Carillion, which paid the Big
Four firm GBP29 million for its work for almost two decades, the FT
relays.

The people, as cited by the FT, said Linklaters is investigating
whether Mr. Meehan may have been involved in the audit of
Regenersis while he was the non-audit relationship partner.  They
added the law firm is also looking into whether Mr. Meehan attended
audit committee meetings at the Huntingdon-based business after he
had ceased being its auditor, the FT recounts.

KPMG scrapped the "non-audit relationship partner", or "Narp" role
across its UK business in January 2018, the same month Carillion
collapsed, the FT relays, citing a person familiar with the
matter.

Mr. Meehan, who signed off Carillion's accounts nine months before
it imploded, has appeared before MPs investigating the outsourcer's
collapse, the FT notes.  He was suspended from KPMG alongside three
members of his team in January 2019 after the Linklaters
investigation raised concerns that some parts of the Carillion
audit file may have been backdated, the FT discloses.


E-CARAT 11 PLC: S&P Assigns Prelim B(sf) Rating on Class F Notes
----------------------------------------------------------------
S&P Global Ratings has assigned its preliminary credit ratings to
E-CARAT 11 PLC's class A through G-Dfrd notes. At closing, the
issuer will issue unrated class H notes.

This transaction will be Vauxhall Finance PLC's 11th U.K. ABS
securitization. The collateral will comprise U.K. auto loan
receivables for cars and light commercial vehicles that Vauxhall
Finance originated and granted to mainly private (99.5%) and some
commercial customers (0.5%) for the purchase of new (73.5%) and
used vehicles (26.5%).

The finance contracts are either conditional sales (CS) agreements
or personal contract purchase (PCP) agreements with a balloon
element.

The transaction is revolving for a maximum period of 12 months. The
notes will amortize pro rata until either a performance trigger is
breached or the portfolio has amortized to the clean-up call level
(10% of its initial size. It will then amortize sequentially until
redemption.

The transaction features a loss-based principal deficiency ledger
(PDL), which records gross defaults less recoveries received that
month. The PDL is divided into eight sub-ledgers from class A to
class H.

Principal proceeds can be used for curing interest shortfalls for
the class A, B, C, D, E-Dfrd, F-Dfrd, and G-Dfrd notes, subject to
certain conditions.

A liquidity reserve will be funded at closing with the proceeds of
a subordinated loan. The reserve fund will provide liquidity
support to the class A, B, C, and D notes. S&P said, "Our
preliminary ratings on these notes addresses the timely payment of
interest as we believe monthly interest payments would continue to
be made on these classes under our respective rating stress
scenarios. Our preliminary ratings on the class E-Dfrd, F-Dfrd, and
G-Dfrd notes address the ultimate payment of interest as these
notes do not benefit from the liquidity reserve."

An interest-rate swap will mitigate the risk of potential interest
rate mismatches between the fixed-rate assets and floating-rate
liabilities.

S&P's preliminary ratings on this transaction are not constrained
by the application of our sovereign risk criteria for structured
finance transactions, our operational risk criteria, or its
counterparty risk criteria.

  Ratings List

  Class     Prelim. rating    Prelim. amount
                              (mil. EUR)
  A         AAA (sf)          TBD
  B         AA (sf)           TBD
  C         A (sf)            TBD
  D         BBB (sf)          TBD
  E-Dfrd    BB (sf)           TBD
  F-Dfrd    B (sf)            TBD
  G-Dfrd    CCC+ (sf)         TBD
  H         NR                TBD

  NR--Not rated.
  TBD--To be determined.
  Dfrd--Deferrable.


FINSBURY SQUARE 2020-1: DBRS Finalizes BB(high) Rating on X Notes
-----------------------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following notes issued by Finsbury Square 2020-1 plc (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (high) (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at BBB (high) (sf)
-- Class X Notes at BB (high) (sf)

The final rating of Class X notes, BB (high) (sf), is higher than
the provisional rating of B (low) (sf) because of the tightening of
the margins of the notes across the structure once the transaction
price. In addition to the benefit of paying a lower interest rate
on Class X Notes, the lower margins paid on Class A to D notes
create more excess spread that can be used to repay the Class X
Notes principal.

The rating on the Class A Notes addresses the timely payment of
interest and ultimate repayment of principal on or before the final
maturity date in 2070. The ratings on Class B, C, and D notes
address the timely payment of interest once most senior and the
ultimate repayment of principal on or before the final maturity
date. The rating on the Class X Notes addresses the ultimate
payment of interest and repayment of principal by the final
maturity date. DBRS Morningstar does not rate the Class E Notes or
Class Z Notes in this transaction.

The Issuer is a securitization collateralized by a portfolio of
owner-occupied (70.6% of the portfolio balance) and buy-to-let
(29.4%) residential mortgage loans granted by Kensington Mortgage
Company Limited (KMC) in England, Wales, and Scotland.

Five tranches of the mortgage-backed securities (i.e., the Class A
Notes to Class E Notes) funded the purchase of the initial
portfolio and the prefunding principal reserve. Additionally, the
proceeds of two classes of noncollateralized notes (i.e., the Class
X Notes and Class Z Notes) funded the general reserve fund and the
prefunding revenue reserve as well as covered initial costs and
expenses. The Class X Notes are primarily intended to amortize
using revenue funds; however, if excess spread is insufficient to
fully redeem the Class X Notes, principal funds will be used to
amortize the Class X Notes in priority to the Class E Notes.

The structure includes a prefunding mechanism where the Issuer may
buy further mortgages originated by KMC. The acquisition of these
assets shall occur before the first payment date using the proceeds
standing to the credit of the prefunding reserves.

The general reserve fund, funded at closing with GBP 13,975,000
(equivalent to 2.15% of the balance of the Class A Notes to the
Class E Notes), is available to provide liquidity and credit
support to the Class A to Class D Notes. From the first payment
date onwards, the required balance of the general reserve fund will
be 2.0% of the balance of the Class A Notes to the Class E Notes
and, if its balance falls below 1.5% of the balance of the Class A
Notes to Class E Notes, principal available funds will be used to
fund the liquidity reserve fund to a target of 2.0% of the balance
of the Class A Notes and Class B Notes. The liquidity reserve fund
will be available to cover interest shortfalls on the Class A Notes
and Class B Notes as well as senior items on the pre-enforcement
revenue priority of payments. The availability for paying interest
on the Class B Notes is subject to a 10% principal deficiency
ledger condition.

As of 31 January 2020, the portfolio consisted of 2,987 with an
aggregate principal balance of GBP 4890.0 million. According to
DBRS Morningstar's calculations, loans in arrears for longer than
one month accounted for 4.1% of the initial portfolio.

The initial portfolio includes 6.1% of help-to-buy (HTB) loans,
whose borrowers are supported by government loans (i.e., the equity
loans, which rank in a subordinated position to the mortgages). HTB
loans are used to fund the purchase of new-build properties with a
minimum deposit of 5% from the borrowers. The weighted-average
current loan-to-value ratio of the initial portfolio is 72.8%,
which increased to 74.5% in DBRS Morningstar's analysis to include
the HTB equity loan balances.

The majority of the initial portfolio (77.5%) relates to a
fixed-to-floating product, where borrowers have an initial
fixed-rate period of one to five years before switching to
floating-rate interest indexed to three-month LIBOR. Interest rate
risk is expected to be hedged through an interest rate swap.
Approximately 9.5% of the initial portfolio-by-loan balance
comprises loans originated to borrowers with at least one prior
County Court Judgment and 32.8% are either interest-only loans for
life or loans that pay on a part-and-part basis.

The Issuer entered into a fixed-floating swap with BNP Paribas,
London Branch (BNP London) to mitigate the fixed-interest rate risk
from the mortgage loans and Sterling Overnight Interbank Average
Rate (Sonia) payable on the notes. Based on the DBRS Morningstar
private rating of BNP London, the downgrade provisions outlined in
the documents, and the transaction structural mitigants, DBRS
Morningstar considers the risk arising from the exposure to BNP
London to be consistent with the ratings assigned to the rated
notes as described in DBRS Morningstar's "Derivative Criteria for
European Structured Finance Transactions" methodology.

Citibank, N.A., London Branch (Citibank London) holds the Issuer's
transaction account, the general reserve fund, the liquidity
reserve fund, the prefunding reserves, and the swap collateral
account. Based on the DBRS Morningstar private rating of Citibank
London, the downgrade provisions outlined in the documents, and the
transaction structural mitigants, DBRS Morningstar considers the
risk arising from the exposure to Citibank London to be consistent
with the ratings assigned to the rated notes as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

DBRS Morningstar based its ratings on the following analytical
considerations:

-- The transaction capital structure as well as form and
sufficiency of available credit enhancement to support DBRS
Morningstar-projected expected cumulative losses under various
stressed scenarios.

-- The credit quality of the portfolio and DBRS Morningstar's
qualitative assessment of KMC's capabilities with regard to
origination, underwriting, and servicing.

-- The transaction's ability to withstand stressed cash flow
assumptions and repays the noteholders according to the terms and
conditions of the notes.

-- The transaction parties' financial strength to fulfill their
respective roles.

-- The transaction's legal structure and its consistency with DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology as well as the presence of the
appropriate legal opinions that address the assignment of the
assets to the Issuer.

-- DBRS Morningstar's sovereign rating on the United Kingdom of
Great Britain and Northern Ireland at AAA with a Stable trend as of
the date of this press release.

DBRS Morningstar analyzed its transaction structure in Intex
DealMaker, considering the default rates at which the rated notes
did not return all specified cash flows.

Notes: All figures are in British pound sterling unless otherwise
noted.


GREAT HALL 2006-1: Fitch Upgrades Class Ea Debt to BB+sf
--------------------------------------------------------
Fitch Ratings upgraded 15 tranches of three Great Hall Mortgages
transactions and affirmed 13 others.

RATING ACTIONS

Great Hall Mortgages No. 1 plc (Series 2006-1)

Class A2a XS0276086393; LT AAAsf Affirmed; previously at AAAsf

Class A2b XS0276092797; LT AAAsf Affirmed; previously at AAAsf

Class Ba XS0276086989;  LT AAAsf Affirmed; previously at AAAsf

Class Bb XS0276093332;  LT AAAsf Affirmed; previously at AAAsf

Class Ca XS0276087524;  LT AAAsf Upgrade;  previously at AA+sf

Class Cb XS0276093928;  LT AAAsf Upgrade;  previously at AA+sf

Class Da XS0276088506;  LT Asf Upgrade;    previously at BBB+sf

Class Db XS0276095030;  LT Asf Upgrade;    previously at BBB+sf

Class Ea XS0276089223;  LT BB+sf Upgrade;  previously at BBsf

Great Hall Mortgages No. 1 plc (Series 2007-1)

Class A2a XS0288626525; LT AAAsf Affirmed; previously at AAAsf

Class A2b XS0288627507; LT AAAsf Affirmed; previously at AAAsf

Class Ba XS0288628224;  LT AAAsf Affirmed; previously at AAAsf

Class Bb XS0288628810;  LT AAAsf Affirmed; previously at AAAsf

Class Ca XS0288629545;  LT AAAsf Upgrade;  previously at AAsf

Class Cb XS0288630121;  LT AAAsf Upgrade;  previously at AAsf

Class Da XS0288630394;  LT BBB+sf Upgrade; previously at BB+sf

Class Db XS0288630550;  LT BBB+sf Upgrade; previously at BB+sf

Class Ea XS0288630808;  LT BB-sf Upgrade;  previously at Bsf

Great Hall Mortgages No. 1 plc (Series 2007-2)

Class Aa XS0308354504; LT AAAsf Affirmed; previously at AAAsf

Class Ab XS0308354843; LT AAAsf Affirmed; previously at AAAsf

Class Ac XS0308462141; LT AAAsf Affirmed; previously at AAAsf

Class Ba XS0308356970; LT AAAsf Upgrade;  previously at AAsf

Class Ca XS0308357358; LT AAsf Upgrade;   previously at BBB+sf

Class Cb XS0308355733; LT AAsf Upgrade;   previously at BBB+sf

Class Da XS0308357788; LT BBBsf Upgrade;  previously at BBsf

Class Db XS0308356111; LT BBBsf Upgrade;  previously at BBsf

Class Ea XS0308357861; LT Bsf Affirmed;   previously at Bsf

Class Eb XS0308356467; LT Bsf Affirmed;   previously at Bsf

TRANSACTION SUMMARY

The transactions comprise UK buy-to-let and non-conforming mortgage
loans that were originated by Platform Homeloans Limited and
purchased by JPMorgan Chase Bank.

KEY RATING DRIVERS

Updated UK RMBS Criteria Assumptions

The rating actions follow the application of Fitch's updated UK
RMBS Criteria assumptions, published on October 4, 2019. The notes'
ratings have been removed from Under Criteria Observation. In its
analysis of the portfolios, Fitch applied its BTL foreclosure
matrix to the BTL portion of the portfolios, and the non-conforming
matrix to the remainder of the pools.

Stable Asset Performance

The portions of loans in arrears in all three transactions are
among the lowest across the UK non-conforming deals rated by Fitch.
Loans in arrears three months plus for GHM 2006-1, GHM 2007-1 and
GHM 2007-2, have declined to 2.8%, 3.6% and 3.2% of the current
respective portfolio balances from their peaks of 13.1%, 11.6% and
12.7% respectively, as calculated by Fitch.

Trigger Breaches Boost Credit Enhancement (CE)

Following breaches in cumulative possessions and cumulative loss
triggers, the reserve funds cannot amortise further and a switch to
pro-rata amortisation of the notes is not permitted. As a result,
CE has increased steadily over time for all tranches and Fitch
expects this trend to continue. The most senior classes for the
three transactions increased YoY to 60.8% from 54.4% (GHM 2006-1),
to 60.4% from 55% (GHM 2007-1) and to 50.9% from 46.2% (GHM
2007-2).

Interest-only (IO) Loan Concentration

The redemption profile of the loans is concentrated, with 61.4%
(GHM 2006-1), 62.6% (GHM 2007-1) and 60.1% (GHM 2006-2) of IO loans
maturing in a single three-year period. Fitch tested the maturity
concentration as per criteria but this did not affect the results.

In addition, Fitch reviewed the maturity schedule of owner-occupied
IO loans relative to the note legal final maturity dates to assess
the extent to which the ratings may be affected by delayed
principal repayment of owner-occupied IO loans. The respective
portfolios have the following proportions of owner-occupied IO
loans falling due in the five years prior to legal final-maturity:
1% (GHM 2006-1), 2.4% (GHM 2007-1) and 2.6% (GHM 2007-2). The
results of these finding are reflected in the note ratings of the
class D and E notes.

RATING SENSITIVITIES

Late payment of principal of the IO loans may lead to negative
rating action depending on the extent and the severity of any
future payment delays.

While these are mixed pools, the BTL component is high at 57.6%,
45% and 37.2% respectively. A downturn in this sector, which
currently has a negative asset performance outlook from Fitch,
could have a material effect on these pools compared with other
mixed pools that typically have a lower BTL component.


INTU: Needs GBP1.3BB from Emergency Equity Rights Issue
-------------------------------------------------------
Daniel Thomas at The Financial Times reports that Intu, the
struggling shopping center owner, revealed it would need at least
GBP1.3 billion from an emergency equity rights issue to agree a
crucial debt refinancing, raising the bar for a successful deal to
secure its future.

The target is higher than the GBP1 billion that analysts had
expected from the UK property group, which is saddled with almost
GBP5 billion of net debt, the FT notes.  Intu has already breached
a debt covenant on one of its biggest shopping centers due to the
sharp fall in values in a sector hit by the collapse of a series of
retail tenants amid the slowdown in consumer spending, the FT
states.

According to the FT, analysts had expected that GBP1 billion of
equity would bring its overall loan to value to about 50%, from
about 66%, but have warned that further falls expected in retail
property values could mean covenants may be tested again.

Intu on Feb. 26 said it required at least GBP1.3 billion of equity
for its banks to agree a revised four-year, GBP440 million
revolving credit facility (RCF), which would replace a GBP600
million facility due to expire next year, the FT relates.

The company has a complicated mix of bank debt, debentures, bonds,
convertibles and securitized bonds, some linked to specific
shopping centers, the FT discloses.  Analysts at Numis, as cited by
the FT, said there was "a rising risk" that Intu could face a
solvency crisis, "while at the same time its ability to refinance
its corporate unsecured RCF on economic terms is falling, calling
into question its going concern assumption."

BofA Securities, UBS and Rothschild are working on the equity
raise, which is hoped to be finished by the publication of Intu's
annual results on March 5, the FT discloses.


METRO BANK: Rules Out Takeover Plan, Posts GBP131MM 2019 Loss
-------------------------------------------------------------
Lucy Burton at The Telegraph reports that Metro Bank's new boss has
insisted the troubled bank is not hoping for a takeover or planning
to ask shareholders for more cash as he strives to move on from a
nightmare year.  

According to The Telegraph, the bank swung to a GBP131 million
pre-tax loss for 2019 -- a year in which it failed to bounce back
from an accounting scandal that wiped out its share price and led
to the exits of its founder Vernon Hill and former chief Craig
Donaldson.

Dan Frumkin, a former RBS and Northern Rock banker who took on the
job permanently last month, said Metro has slashed its expansion
plans and will cut costs by relocating staff to cheaper office
space, The Telegraph relates.

It has also returned GBP50 million of a GBP120 million bounty it
was awarded last year to boost competition in UK business banking,
The Telegraph notes.


SIRIUS MINERALS: To Vote Against Anglo American Takeover Bid
------------------------------------------------------------
Neil Hume at The Financial Times reports that Odey Asset Management
has increased its stake in Sirius Minerals to 1.4% and will vote
against the rescue takeover bid from Anglo American.

According to the FT, Odey portfolio manager Henry Steel confirmed
the submission of his proxy vote and said he was bound by the
decision unless Anglo raises its bid or declares its offer final by
7:00 p.m. on Feb. 25.

Sirius, the developer of a giant potash mine in North Yorkshire,
has recommended a 5.5p a share cash offer from Anglo that values
the company at GBP404 million excluding debt, the FT discloses.

Mr. Steel says Anglo can afford to pay more than 7p a share for
Sirius without undermining its investment case, the FT notes.  For
its part, Anglo says the offer is "fair and reasonable" given that
Sirius's project in North Yorkshire requires more than US$3 billion
of investment before it starts production, the FT relays.

Odey's decision to vote against the bid comes as disgruntled retail
shareholders say they will also oppose the takeover, increasing the
pressure on Anglo and Sirius, according to the FT.

A vote to approve the deal takes place on March 3 but in practice
many shareholders will have to decide either Feb. 25, like Odey, or
Feb. 26, the deadline for most proxy votes, the FT states.

For the deal to go ahead, investors owning 75% of Sirius must vote
in favor of the takeover, the FT notes.  In addition, the deal also
requires the backing of a majority of those investors present at
the meeting, plus those voting by proxy, the FT says.

According to the FT, even though Sirius is running out of cash, and
will probably be placed into administration if the Anglo takeover
is scuppered, some shareholders want to punish the company and its
chief executive Chris Fraser, who plans to join Anglo American.

Others believe a better offer could materialize -- in spite of all
the evidence to the contrary -- or that alternative funding can be
found, the FT states.

The company was plunged into crisis last year after it was forced
to pull a US$500 million bond deal, which was needed to unlock a
US$2.5 billion funding package, the FT recounts.

The company then launched a strategic review with the aim of
finding a partner to help finance the project, the FT relates.
That process failed and Sirius had little option but to recommend
the bid from Anglo, the FT notes.


TAURUS 2020-1: Fitch Assigns BB-(EXP) Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned Taurus 2020-1 NL DAC's notes expected
ratings.

RATING ACTIONS

Taurus 2020-1 NL DAC

Class A; LT AAA(EXP)sf; Expected Rating

Class B; LT AA-(EXP)sf; Expected Rating

Class C; LT A-(EXP)sf;  Expected Rating

Class D; LT BBB(EXP)sf; Expected Rating

Class E; LT BB-(EXP)sf; Expected Rating

TRANSACTION SUMMARY

Taurus 2020-1 NL DAC finances 100% of a EUR653.3 million commercial
mortgage term loan advanced by Bank of America Merrill Lynch
International DAC (BAML, or the originator) to entities related to
Blackstone Real Estate Partners (Blackstone).

Together with a senior capex loan and a mezzanine loan, the senior
term loan is secured on a EUR990.7 million portfolio of office and
industrial properties in the Netherlands. The originator is
retaining 5% of the issuer's liabilities in the form of an issuer
loan pari passu with the notes.

KEY RATING DRIVERS

Improving Office Occupational Market: The properties are located
across the Netherlands, with a large proportion of Amsterdam
offices. Once hampered by chronic high structural vacancy (SV), the
office market in Amsterdam (and to a lesser extent across the
country) has seen a resurgence in recent years as the overhang of
office supply dating back decades - partly due to competition
between municipalities - has gradually diminished, thanks to
conversion and demolition. Fitch's base SV assumptions have lowered
in parallel.

Mixed Quality, Some Vacancy: The portfolio comprises 76 offices and
29 industrial properties. The portfolio has vacancy of about 16%,
concentrated in certain lower quality assets, which Fitch reflects
with weaker property scores and/or reduced estimated rental value.
Portfolio quality is fair to good, with some of the larger assets
(mainly Amsterdam offices) also among the best, and many recently
refurbished. The valuer's reversionary yields are high - partly due
to under-occupancy - and in some cases Fitch has applied cap rates
higher than the guidance ranges.

Limited Adverse Selection Scope: Much of the portfolio is fairly
homogeneous in quality, although there is a range of tenants (none
contributing over 5.6% of passing rent). Scope for adverse
selection is presented by the pro-rata principal allocation,
although the 10 largest properties by market value have a release
premium (RP) of 10%. For the rest of the portfolio (initially with
5% RP), should the aggregate allocated loan amount of disposed
properties (including the 10 largest) exceed 15% of the original
loan balance, the RP rises to 10%.

Mezzanine Purchase Option: The mezzanine lender has an option to
purchase the senior loan that can endure after enforcement, which
(if not exercised) could act as a negative market signal as to the
value of the portfolio when it converges with the senior loan
balance. The rating of the most junior class of notes (class E) is
reduced by one notch from its breakeven, where Fitch does not
expect non-exercise to be viewed as a negative signal.

RATING SENSITIVITIES

KEY PROPERTY ASSUMPTIONS (all by market value)

'BBsf' weighted average (WA) cap rate: 8.7%

'BBsf' WA structural vacancy: 21.1%

'BBsf' WA rental value decline: 6.4%

'BBBsf' WA cap rate: 9.1%

'BBBsf' WA structural vacancy: 23.5%

'BBBsf' WA rental value decline: 9.2%

'Asf' WA cap rate: 9.5%

'Asf' WA structural vacancy: 25.9%

'Asf' WA rental value decline: 12.6%

'AAsf' WA cap rate: 10.0%

'AAsf' WA structural vacancy: 28.6%

'AAsf' WA rental value decline: 16.7%

'AAAsf' WA cap rate: 10.5%

'AAAsf' WA structural vacancy: 33%

'AAAsf' WA rental value decline: 20.9%

RATING SENSITIVITIES

The change in model output that would apply if the capitalisation
rate assumption for each property is increased by a relative amount
is as follows:

Current ratings: class A/B/C/D/E: AAAsf/AA-sf/A-sf/BBBsf/BB-sf

Increase capitalisation rates by 10%: class A/B/C/D/E: AA+ sf /A sf
/BBB sf /BB sf /B- sf

Increase capitalisation rates by 20%: class A/B/C/D/E: AA sf /A- sf
/BBB- sf /BB- sf /CCC sf

The change in model output that would apply if the rental value
decline (RVD) and vacancy assumption for each property is increased
by a relative amount is as follows:

Increase RVD and vacancy by 10%: class A/B/C/D/E: AA+ sf /A+ sf
/BBB+ sf /BB+ sf /B- sf

Increase RVD and vacancy by 20%: class A/B/C/D/E: AA sf /A sf /BBB
sf /BB sf /B- sf

The change in model output that would apply if the capitalisation
rate, RVD and vacancy assumptions for each property is increased by
a relative amount is as follows:

Increase in all factors by 10%: class A/B/C/D/E: AA sf /A- sf /BBB-
sf /BB- sf /B- sf

Increase in all factors by 20%: class A/B/C/D/E: A+ sf /BBB- sf
/BB- sf /B sf /CCC sf


[*] UNITED KINGDOM: Insolvency Costs Hit Record High in 2019
------------------------------------------------------------
Isabella Fish at Drapers Online reports that news figures obtained
by property adviser Altus Group show the amount paid out by the
government's insolvency service has risen to its highest level in
seven years.

According to Drapers Online, during 2019, the Insolvency Service
paid out GBP346.1 million from the National Insurance Fund to
former members of staff as a result of their employer entering into
either administration, liquidation, a company voluntary
arrangement, or another form of corporate insolvency.

This is the highest amount paid out since 2012, and an increase of
16% on the GBP298 million paid out during 2018, Drapers Online
notes.

A total of GBP222.5 million was paid out in redundancy pay, while
GBP63.9 million was for money that would have been earned working a
notice period, Drapers Online discloses.

Another GBP18.3 million was used for unpaid holiday pay, and
GBP41.4 million for outstanding payments for wages, overtime and
commission owed, Drapers Online notes.

Underlying company insolvencies in England and Wales rose by 3.9%
across the retail sector in 2019, while insolvencies at
accommodation, food and beverage establishments rose by 10.4%,
Drapers Online relates.

According to Drapers Online, Robert Hayton, head of UK business
rates at Altus Group, said that while business rates are rarely the
sole driver for insolvencies, they are a contributory factor.



                           *********


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 2020.  All rights reserved.  ISSN 1529-2754.

This material is copyrighted and any commercial use, resale or
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written permission of the publishers.

Information contained herein is obtained from sources believed to
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members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
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                * * * End of Transmission * * *