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

                          E U R O P E

          Thursday, March 12, 2020, Vol. 21, No. 52

                           Headlines



F I N L A N D

FERRATUM OYJ: Fitch Affirms 'BB-' LongTerm IDR, Outlook Stable


I R E L A N D

ACCUNIA EUROPEAN IV: Moody's Rates EUR12.6MM Class F Notes B3
ACCUNIA EUROPEAN IV: S&P Assigns B-(sf) Rating on Class F Notes
MADISON PARK XV: Fitch Assigns B-(EXP) Rating on Class F Debt
VESEY PARK: Fitch Assigns B-(EXP) Rating on Class E Debt
VESEY PARK: S&P Assignd Prelim B-(sf) Rating on Class E Notes



I T A L Y

ITALY: Needs Precautionary Rescue of Up to US$700BB, IMF Warns
SISAL GROUP: S&P Affirms 'B+' ICR Following Transaction Completion


N E T H E R L A N D S

E-MAC DE 2006-II: Moody's Upgrades EUR24.5MM Class C Notes to B3


S P A I N

ENCE ENERGIA: Moody's Lowers CFR to Ba3 & Alters Outlook to Stable
IBERCAJA BANCO: Fitch Alters Outlook on BB+ LT IDR to Positive
LIBERBANK SA: Fitch Affirms BB+ LT IDR & Alters Outlook to Positive
PYMES SANTANDER 14: Moody's Hikes EUR258.5MM Series B Notes to Ba1


U N I T E D   K I N G D O M

AXMINSTER CARPETS: Bought Out of Administration
DEBUSSY DTC: DBRS Confirms B Rating on Class A Notes
FLYBE GROUP: Future of Many Routes Uncertain Following Collapse
INTERNATIONAL PERSONAL: Fitch Affirms 'B' LT IDR, Outlook Stable
IPARTY LTD: Bought Out of Administration by Party Centric

MAGENTA PLC 2020: DBRS Finalizes BB Rating on Class E Notes
MORTIMER BTL 2019-1: Fitch Raises Rating on Class E Debt to BBsf
NMC HEALTH: Almost US$3BB of Debt Hidden From Board
PROVIDENT FINANCIAL: Fitch Lowers LT IDR to BB+, Outlook Stable

                           - - - - -


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F I N L A N D
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FERRATUM OYJ: Fitch Affirms 'BB-' LongTerm IDR, Outlook Stable
--------------------------------------------------------------
Fitch Ratings affirmed Ferratum Oyj's Long-Term Issuer Default
Rating and Ferratum Capital Germany GmbH's senior unsecured bond
rating at 'BB-'. The Outlook on the Long-Term IDR is Stable.

Ferratum is an online-focused consumer finance company operating in
the high-cost credit sector with an international footprint in over
20 countries, including a strong presence in its domestic market
Finland, as well as Sweden and Poland. The company is listed on the
prime standard segment of the Frankfurt Stock Exchange and also
incorporates a Malta-domiciled bank (Ferratum Bank p.l.c.) under
its wider franchise.

KEY RATING DRIVERS

IDR

Ferratum's Long-Term IDR reflects its monoline business model and
evolving franchise as a predominantly pan-European online-focused,
specialised consumer lender in a niche market segment, which
remains exposed to an evolving regulatory landscape in most of its
key target markets. The rating also recognises Ferratum's adequate
through-the-cycle profitability and adequate capitalisation but
equally takes into account the company's heightened appetite for
credit risk in its core activities (operating as a finance provider
in a high-cost credit segment) and reliance on short-term online
retail deposits for funding purposes.

Fitch currently rates Ferratum under its Non-Bank Financial
Institutions Rating Criteria as the company's main business is
focused on niche consumer lending (with its banking operations
mainly geared towards deposit gathering and the facilitation of
lending activities on the group in select markets).

Ferratum's business model hinges predominantly on the extension of
credit to customers falling outside the scope of traditional bank
offerings (largely individuals but more recently also SMEs),
charging a significant interest premium to compensate for the
arising elevated credit risk.

The recent adoption of regulatory caps on allowable interest and
fee rates in some of Ferratum's core markets (most notably in
Finland, Sweden, and Latvia) has only had a moderate impact on its
competitiveness in this sector, as its fairly lean cost structure
and broad geographic coverage have allowed the company to
reposition itself in the evolving environment. However, Fitch's
company profile assessment remains weighed down by the inherent
risk of regulatory intervention in this sector.

Ferratum operates in a market segment characterised by a heightened
risk appetite and consequently asset quality is inherently weaker
than that of traditional commercial banks (with the Stage 3 loan
ratio equating to 39.6% as of end-3Q19). The adoption of IFRS 9 in
2019 (particularly impacting loan provisions) as well as the
company's proactive approach to asset quality management (in
particular the disposal of non-performing portfolios early in the
loan life cycle) supports Fitch's expectation of a gradual
improvement in key asset quality metrics, albeit at the cost of
some transitory margin easing. In addition, Fitch views risk
provisioning as adequate, with the impaired loan coverage
registering above 80% in 2019.

Ferratum has demonstrated an appropriate profitability track record
in recent years and Fitch views margin levels as sound in the
context of Ferratum's business model. In this regard, Fitch notes
the recently undertaken operational improvements and efficiency
enhancements, which collectively helped to absorb some of the
margin lag arising from the recent adoption of IFRS 9 (and in
particular associated more prudent provisioning requirements).
Fitch further notes the company's intentions to increasingly act as
a finance intermediary over the medium to long term, thereby
focusing on loan origination while limiting own balance sheet
exposure.

Ferratum has a largely unsecured funding profile, mainly comprising
bank deposits (EUR205 million as of end-3Q19) and senior unsecured
bonds (EUR220 million). While the bonds have long-term maturities
(three to four years), online deposits are mostly shorter-term,
with 89% expiring within the next three months (as of end-3Q19). In
its view, these are less sticky than traditional retail deposits
(particularly in periods of market stress). However, the company
has some discretion with rate setting, which supports liquidity
management.

Fitch considers overall funding flexibility also in the context of
regulatory constraints on moving its deposit funding within the
group, particularly a requirement of equity and non-deposit funding
accounting for at least 35% of deposits. Ferratum maintains a
sizeable cash balance (EUR134 million as of end-3Q19), which is
predominantly with the Central Bank of Malta for regulatory reasons
to support its liquidity.

Overall, Fitch considers the consolidation of Ferratum Bank in the
wider company as moderately credit-positive, with an efficient
market and funding access via retail deposits balancing the need
for bank regulatory compliance (both with regard to capital and
liquidity management).

Fitch calculates Ferratum's gross debt/tangible equity ratio as of
end-3Q19 at around 5.4x, which was moderately higher than the
company's historical leverage ratio of around 4x. This increase was
mainly driven by two bond issuances of EUR180 million by Ferratum
Capital in the past two years to lengthen the company's funding
profile. Fitch assesses the capitalisation and leverage of Ferratum
in the context of its risk appetite, which renders it more
susceptible to cyclical performance swings.

Senior Notes

Ferratum Capital Germany's senior unsecured bond is rated in line
with Ferratum's Long-Term IDR because Ferratum acts as the
guarantor of the bond issuance. The rating alignment reflects
Fitch's expectation of average recovery prospects of the senior
unsecured bond. The bond constitutes a direct and unsecured senior
obligation of Ferratum Capital Germany and ranks pari passu with
all present and future senior unsecured obligations of the issuer.

RATING SENSITIVITIES

IDR

A notable increase in leverage measured as debt to tangible equity
above 6x could lead to a downgrade, while materially lower leverage
on a sustained basis, if combined with an enhanced and more
resilient franchise, could support positive rating action.

A weaker franchise, arising from a sustained loss in
revenue/operational losses, an adverse reputational event, or a
significant tightening of regulatory requirements in key markets
resulting in a significant loss of business and/or notable margin
pressure could result in a downgrade. A strengthening in franchise
via improved scale and pricing power without a marked increase in
risk appetite, could be rating-positive.

Increased risk appetite leading to higher credit losses as the
product mix evolves toward larger and longer-term origination (such
as SME loans), notably if combined with looser provisioning
standards, pressuring profitability and ultimately eroding
Ferratum's capital base, would be negative for the ratings.

Signs of funding weakness in the form of a loss of retail deposits
at Ferratum Bank or a loss of wholesale funding market access
leading to higher refinancing risk could be rating-negative.
Furthermore, any sustained adverse operational developments at the
Ferratum Bank level (either of a regulatory nature or with regard
to customer confidence), thereby impacting on the company's ability
to effectively leverage its banking subsidiary as a market-facing
financial services provider could be rating-negative.

The growth of Ferratum Bank in comparison with the rest of the
group leading to increased structural subordination risk for
wholesale creditors outside the bank could also be rating
negative.

Senior Notes

The senior notes' rating is primarily sensitive to changes in
Ferratum's Long-Term IDR. Changes to Fitch's assessment of recovery
prospects for senior unsecured debt in default (e.g. the
introduction of debt obligations ranking ahead of the senior
unsecured debt notes) could also result in the senior unsecured
notes' rating being notched below the IDR.

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.

Ferratum has an ESG Relevance Score of 4 for Exposure to Social
Impacts as a result of its exposure to the high-cost consumer
lending sector and the increasing levels of regulatory scrutiny,
including tightening of interest rate caps. The evolving regulatory
environment has had direct impact on Ferratum's business model
including the pricing strategy, product mix, and targeted customer
base.




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I R E L A N D
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ACCUNIA EUROPEAN IV: Moody's Rates EUR12.6MM Class F Notes B3
-------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to Notes issued by Accunia European
CLO IV Designated Activity Company:

EUR2,200,000 Class X Senior Secured Floating Rate Notes due 2033,
Definitive Rating Assigned Aaa (sf)

EUR248,000,000 Class A Senior Secured Floating Rate Notes due 2033,
Definitive Rating Assigned Aaa (sf)

EUR28,000,000 Class B-1 Senior Secured Floating Rate Notes due
2033, Definitive Rating Assigned Aa2 (sf)

EUR12,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2033,
Definitive Rating Assigned Aa2 (sf)

EUR24,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2033, Definitive Rating Assigned A2 (sf)

EUR27,400,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2033, Definitive Rating Assigned Baa3 (sf)

EUR20,600,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2033, Definitive Rating Assigned Ba3 (sf)

EUR12,600,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2033, Definitive Rating Assigned B3 (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 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 loans, second-lien
loans and high yield bonds. The portfolio is expected to be 80%
ramped up as of the closing date and to comprise of predominantly
corporate loans to obligors domiciled in Western Europe. The
remainder of the portfolio will be acquired during six month and 20
days ramp-up period in compliance with the portfolio guidelines.

Accunia Fondsmaeglerselskab A/S will manage the CLO. It will direct
the selection, acquisition and disposition of collateral on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year and seven
month 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 and credit improved obligations.

Interest and principal amortisation amounts due to the Class X
Notes are paid pro rata with payments to the Class A Notes. The
Class X Notes amortise EUR 220,000 over first 10 payment dates.

In addition to the eight Classes of Notes rated by Moody's, the
Issuer issued EUR 32,250,000 of Subordinated Notes due 2033 which
is not rated.

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

Methodology underlying the rating action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
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: EUR 400,000,000

Diversity Score: 44

Weighted Average Rating Factor (WARF): 2850

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate (WARR): 43.5%

Weighted Average Life (WAL): 8.5 years

Moody's has addressed the potential exposure to obligors domiciled
in countries with local currency ceiling (LCC) of A1 or below. As
per the portfolio constraints, exposures to countries with LCC of
A1 or below cannot exceed 10%, with exposures to LCC of Baa1 to
Baa3 further limited to 5% and with exposures of LCC below Baa3 not
greater than 0%.


ACCUNIA EUROPEAN IV: S&P Assigns B-(sf) Rating on Class F Notes
---------------------------------------------------------------
S&P Global Ratings assigned credit ratings to the class X to F
notes from Accunia European CLO IV DAC. At closing, the issuer also
issued unrated subordinated notes.

Accunia IV is a European cash flow CLO, securitizing a portfolio of
primarily senior secured euro-denominated leveraged loans and bonds
issued by European borrowers. Accunia Fondsmæglerselskab A/S is
the collateral manager.

The ratings assigned to the notes reflect S&P's assessment of:

-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans and
bonds that are governed by collateral quality and portfolio profile
tests.

-- The collateral portfolio's credit quality, which has an S&P
Global Ratings' weighted-average rating factor (SPWARF) of
2,557.22.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.

Under the transaction documents, the rated notes pay quarterly
interest unless there is a frequency switch event. Following such
an event, the notes will permanently switch to semiannual payment.
The portfolio's reinvestment period will end in October 2024.

Until the end of the reinvestment period, the collateral manager is
allowed to substitute assets in the portfolio for so long as S&P's
CDO Monitor test is maintained or improved in relation to the
initial rating on the class A notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and compares that with the
default potential of the current portfolio plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager can, through trading, deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

S&P said, "We based our analysis on the prospective effective date
portfolio provided to us by the collateral manager. The portfolio
contains 17.10% of unidentified assets, for which we were provided
provisional assumptions to assess credit risk. The collateral
manager will use commercially reasonable endeavors to ramp up the
remaining 17.10% of the portfolio before the effective date.

"We consider that the portfolio is well-diversified, primarily
comprising broadly syndicated speculative-grade senior secured term
loans and senior secured bonds. Therefore, we have conducted our
credit and cash flow analysis by applying our criteria for
corporate cash flow CDOs. In our cash flow analysis, we used the
EUR400 million target par amount, the covenanted weighted-average
spread (3.50%), the covenanted weighted-average coupon (4.50%), and
the actual weighted-average recovery rates at each rating level as
indicated by the manager. We applied various cash flow stress
scenarios, using four different default patterns, in conjunction
with different interest rate stress scenarios for each liability
rating category.

"Under our structured finance ratings above the sovereign criteria,
we consider that the transaction's exposure to country risk is
sufficiently mitigated at the assigned rating levels.

"We expect the documented downgrade remedies at closing to be in
line with our counterparty criteria.

"At closing, we considered that the issuer is bankruptcy remote, in
accordance with our legal criteria.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for each class
of notes.

"In our view, the portfolio is granular in nature and well
diversified across all obligors, industries, and asset
characteristics when compared to other CLO transactions we have
recently rated. As such, we have not applied any additional
scenario and sensitivity analysis when assigning our ratings.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1, B-2, C, D, E, and F notes
could withstand stresses commensurate with higher rating levels.
However, as the CLO features a reinvestment period, during which
the risk profile (both credit and cash flow) could deteriorate, we
have capped our ratings on the notes at the levels outlined in the
ratings list above.

"Our ratings on the notes also consider the additional quantitative
and qualitative tests (the supplemental tests), which assess the
effect of concentrations and subordination levels on the notes'
creditworthiness, and which address both event risk and model risk
that may be present in the transaction."

  Ratings List

  Class      Rating      Amount
                        (mil. EUR)
  X          AAA (sf)      2.20
  A          AAA (sf)    248.00
  B-1        AA (sf)      28.00
  B-2        AA (sf)      12.00
  C          A (sf)       24.00
  D          BBB- (sf)    27.40
  E          BB- (sf)     20.60
  F          B- (sf)      12.60
  Sub notes  NR           32.25

  NR--Not rated.


MADISON PARK XV: Fitch Assigns B-(EXP) Rating on Class F Debt
-------------------------------------------------------------
Fitch Ratings assigned Madison Park Euro Funding XV DAC expected
ratings.

The assignment of final ratings is contingent on the receipt of
final documents conforming to information already received,

RATING ACTIONS

Madison Park Euro Funding XV 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

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

Subordinated; LT NR(EXP)sf;   Expected Rating

TRANSACTION SUMMARY

Madison Park Euro Funding XV DAC is a securitisation of mainly
senior secured obligations (at least 95%) 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 Credit Suisse Asset Management Limited. 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 assesses the average credit
quality of obligors in the 'B' category. The Fitch weighted average
rating factor (WARF) of the identified portfolio is 34.13, below
the indicative covenanted maximum Fitch WARF for expected ratings
of 34.5.

High Recovery Expectations: At least 95% 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 61.91%, above the
indicative covenanted minimum Fitch WARR of 61%.

Diversified Asset Portfolio: The transaction includes several Fitch
test matrices corresponding to several top 10 obligors'
concentration limits and fixed-rate limits. The manager can
interpolate within and between the 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. The class F notes present a marginal model failure of -2.04%
when analysing the stress portfolio on comparing the breakeven
default rate with the hurdle rate. Fitch has assigned an expected
'B-sf' rating to the class F notes given that the breakeven default
rate is higher than the 'CCC' hurdle rate based on the stress
portfolio and higher than the 'B-' hurdle rate based on the
identified portfolio. As per Fitch's definition, a 'B' rating
category indicates that material risk is present, but with a
limited margin of safety, while a 'CCC' category indicates that
default is a real possibility. In Fitch view, the class F notes can
sustain a robust level of defaults combined with low recoveries.

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.

VESEY PARK: Fitch Assigns B-(EXP) Rating on Class E Debt
--------------------------------------------------------
Fitch Ratings has assigned Vesey Park CLO DAC expected ratings.

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

RATING ACTIONS

Vesey Park CLO DAC

Class A-1;    LT AAA(EXP)sf;  Expected Rating

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

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

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

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

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

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

Subordinated; LT NR(EXP)sf;   Expected Rating

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

TRANSACTION SUMMARY

Vesey Park CLO DAC is a cash flow collateralised loan obligation
(CLO).

Net proceeds from the issuance of the notes will be used to
purchase a portfolio of EUR400 million of mostly European leveraged
loans and bonds. The portfolio is actively managed by Blackstone /
GSO Debt Funds Management Europe Limited. The CLO envisages a 4.5
year reinvestment period and an 8.5 year weighted average life
(WAL).

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B'/'B-'
range. The Fitch-weighted average rating factor (WARF) of the
identified portfolio is 33.02, below the indicative covenanted
maximum Fitch WARF of 33.5.

High Recovery Expectations

At least 90% of the portfolio comprises 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 65.1%, above the indicative covenanted minimum Fitch
WARR of 64.0%.

Limited Interest Rate Exposure

Up to 7.5% of the portfolio can be invested in fixed-rate assets,
while fixed-rate liabilities represent 3.75% of the target par.
Fitch modelled both 0% and 7.5% fixed-rate buckets and found that
the rated notes can withstand the interest-rate mismatch associated
with each scenario.

Diversified Asset Portfolio

The covenanted maximum exposure to the top 10 obligors for
assigning the expected ratings is 20% of the portfolio balance. The
transaction also includes limits on maximum industry exposure based
on Fitch's industry definitions. The maximum exposure to the
three-largest (Fitch-defined) industries in the portfolio is
covenanted at 40%. These covenants ensure that the asset portfolio
will not be exposed to excessive concentration.

Portfolio Management

The transaction features a 4.5-year reinvestment period and
includes reinvestment criteria similar to other European
transactions. Fitch's analysis is based on a stressed-case
portfolio with the aim of testing the robustness of the transaction
structure against its covenants and portfolio guidelines.

Cash Flow Analysis

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

RATING SENSITIVITIES

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


VESEY PARK: S&P Assignd Prelim B-(sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Vesey
Park CLO DAC's class X to E European cash flow CLO notes. At
closing, the issuer will issue unrated subordinated notes.

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

-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior-secured term loans and
bonds that are governed by collateral quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.

-- The transaction's legal structure, which S&P expects to be
bankruptcy remote.

-- The transaction's counterparty risks, which S&P expects to be
in line with its counterparty rating framework.

Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately four-and-a-half years
after closing.

S&P said, "We understand that at closing the portfolio will be
well-diversified, primarily comprising broadly syndicated
speculative-grade senior-secured term loans and senior-secured
bonds. Therefore, we have conducted our credit and cash flow
analysis by applying our criteria for corporate cash flow CDOs.

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread (3.65%), the
reference weighted-average coupon (4.75%), and the target minimum
weighted-average recovery rate as indicated by the collateral
manager. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

The transaction includes an amortizing reinvestment target par
amount, which is a predetermined reduction in the value of the
transaction's target par amount unrelated to the principal payments
on the notes. This may allow for the principal proceeds to be
characterized as interest proceeds when the collateral par exceeds
this amount, subject to a limit, and affect the reinvestment
criteria, among others. This feature allows some excess par to be
released to equity during benign times, which may lead to a
reduction in the amount of losses that the transaction can sustain
during an economic downturn. Hence, in S&P's cash flow analysis, it
has considered scenarios in which the target par amount declined by
the maximum amount of reduction indicated by the arranger.

Under S&P's structured finance sovereign risk criteria, it
considers that the transaction's exposure to country risk is
sufficiently mitigated at the assigned preliminary ratings.

Until the end of the reinvestment period on Nov. 16, 2024, the
collateral manager may substitute assets in the portfolio for so
long as S&P's CDO Monitor test is maintained or improved in
relation to the initial ratings on the notes. This test looks at
the total amount of losses that the transaction can sustain as
established by the initial cash flows for each rating, and it
compares that with the current portfolio's default potential plus
par losses to date. As a result, until the end of the reinvestment
period, the collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

S&P said, "At closing, we expect that the transaction's documented
counterparty replacement and remedy mechanisms will adequately
mitigate its exposure to counterparty risk under our current
counterparty criteria.

"We expect the transaction's legal structure and framework to be
bankruptcy remote, in line with our legal criteria.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our preliminary ratings
are commensurate with the available credit enhancement for the
class X to E notes. Our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses
commensurate with the same or higher rating levels than those we
have assigned. However, as the CLO will be in its reinvestment
phase starting from closing, during which the transaction's credit
risk profile could deteriorate, we have capped our preliminary
ratings assigned to the notes."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it will be managed by Blackstone/GSO
Debt Funds Management Europe Ltd.

  Ratings List

  Class     Prelim. rating   Prelim. amount
                             (mil. EUR)
  X         AAA (sf)         2.00
  A-1       AAA (sf)         243.00
  A-2A      AA (sf)          30.00
  A-2B      AA (sf)          15.00
  B         A (sf))          30.00
  C         BBB (sf)         23.00
  D         BB- (sf)         21.00
  E         B- (sf)          10.00
  Sub notes NR               30.50

  NR--Not rated.




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

ITALY: Needs Precautionary Rescue of Up to US$700BB, IMF Warns
--------------------------------------------------------------
Ambrose Evans-Pritchard at The Telegraph reports that Italy needs a
precautionary rescue of up to US$700 billion from the U.S. and the
major powers to head off the danger of a global crisis, a bail-out
veteran from the International Monetary Fund has warned.

According to The Telegraph, Ashoka Mody, the IMF's former deputy
director in Europe, said economic fall-out from the coronavirus is
pushing Italy to the brink of "vicious negative feedback loop",
raising the risk of a financial chain-reaction through the
international system.

A fully credible firewall would require funding of EUR500 billion
to EUR700 billion, orders of magnitude greater than any previous
package in history, The Telegraph discloses.


SISAL GROUP: S&P Affirms 'B+' ICR Following Transaction Completion
------------------------------------------------------------------
S&P Global Ratings said it affirmed its ratings on the debt
instrument issued by Sisal Group S.p.A after it completed the
carve-out of its payment operations into the Sisal Pay joint
venture with Intesa Sanpaolo. S&P's long-term issuer credit rating
and outlook on the group (B+/Negative/--) and recovery rating on
the debt are unchanged.

On Dec. 23, 2019, Sisal Group repaid in full its EUR325 million
floating-rate notes and EUR125 million of its EUR400 million
fixed-rate notes maturing in 2023, with the EUR500 million proceeds
received from Sisal Pay, following the completion of Sisal Pay's
new EUR530 million debt financing. The leverage of Sisal Group's
ring-fenced bank group (Sisal Gaming) is now about 0.9x, based on
the covenant calculated leverage. S&P Global Ratings-adjusted
leverage for the consolidated group, whereby S&P proportionally
consolidate Sisal's 70% interest in Sisal Pay, is now about 3.7x at
transaction close.

Sisal Gaming's financing documentation provides the flexibility to
releverage up to 3.75x. S&P said, "In our view, with Sisal owned by
CVC Capital Partners, we do not believe leverage below 1x is likely
to be a long-term optimal capital structure for a sponsor-owned
corporate, so we continue to apply an FS-6 financial policy
modifier to the group's credit profile. We expect that Sisal will
consider strategic options, either exploring a potential sale of
Sisal Gaming operations or other capital structure initiatives,
including acquisitions or dividend recapitalization as examples."

The negative outlook on Sisal Group continues to reflect the
uncertainty on the long-term capital structure of Sisal Gaming
under the ownership of its sponsor. It also continues to reflect
the expected negative pressure on cash flow from the large payment
for the license renewal for Italy's national tote number game and
S&P's forecast of negative free operating cash flow in 2020.

Following the partial redemption of Sisal Group's notes
outstanding, we have updated our recovery analysis to reflect the
new capital structure of Sisal Group's ring-fenced group consisting
of a EUR125 million revolving credit facility (RCF) and EUR275
million fixed rate notes. The restricted bank group for the
indenture governing the debt facilities excludes Sisal Pay.

ISSUE RATINGS--RECOVERY ANALYSIS

Key analytical factors

-- S&P rates the EUR125 million super senior RCF 'BB-', with a '2'
recovery rating, reflecting its expectations of substantial
(70%-90%; rounded estimate 85%) recovery in the event of a default.


-- The recovery rating is supported by the facility's prior
ranking but constrained by our unfavorable view of the Italian
jurisdiction.

-- S&P rates the EUR275 million senior secured notes 'B+' with a
'3' recovery rating, reflecting its expectation of meaningful
(50%-70%; rounded estimate 55%) recovery in the event of a
default.

-- The recovery rating is constrained by the subordinate status of
the senior secured notes to the RCF.

-- S&P's hypothetical default scenario assumes unfavorable changes
in the gaming regulation in Italy, as well as challenging economic
conditions and fierce competition in the industry.

-- S&P values the business as a going concern, given its strong
brand and market share.

-- S&P does not include a liquidation of any going concern equity
value from Sisal Pay at the point of default at Sisal Gaming, in
our calculation of Sisal Gaming's recovery analysis.

Simulated default assumptions

-- Year of default: 2024
-- Jurisdiction: Italy

Simplified waterfall

-- EBITDA at emergence (after recovery adjustments): EUR53 million
(minimum capex represents 3.5% of sales; cyclicality adjustment is
10%, in line with the sector assumptions)

-- Implied enterprise value multiple: 5.5x

-- Gross enterprise value at default: EUR290 million

-- Net enterprise value at default (after 5% administrative
costs): EUR275 million

-- Estimated super senior RCF claims: EUR109 million

    --Recovery expectation: 70%-90% (rounded estimate: 85%)

-- Estimated senior secured notes' claims: EUR285 million

-- Value available for senior secured notes: EUR166 million

    --Recovery expectations: 50%-70% (rounded estimate 55%)




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

E-MAC DE 2006-II: Moody's Upgrades EUR24.5MM Class C Notes to B3
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of three Notes in
E-MAC DE 2006-II B.V. and E-MAC DE 2007-I B.V. The rating action
reflects the better than expected collateral performance as well as
increased levels of credit enhancement for the affected Notes.

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

Issuer: E-MAC DE 2006-II B.V.

EUR465.7 million Class A2 Notes, Affirmed A2 (sf); previously on
Apr 23, 2019 Affirmed A2 (sf)

EUR35.0 million Class B Notes, Upgraded to A2 (sf); previously on
Apr 23, 2019 Upgraded to A3 (sf)

EUR24.5 million Class C Notes, Upgraded to B3 (sf); previously on
Nov 7, 2014 Downgraded to Ca (sf)

Issuer: E-MAC DE 2007-I B.V.

EUR19.5 million Class A1 Notes, Affirmed A2 (sf); previously on Apr
23, 2019 Affirmed A2 (sf)

EUR443.3 million Class A2 Notes, Affirmed A2 (sf); previously on
Apr 23, 2019 Affirmed A2 (sf)

EUR39.1 million Class B Notes, Upgraded to Baa1 (sf); previously on
Apr 23, 2019 Upgraded to Ba1 (sf)

RATINGS RATIONALE

The rating action is prompted by decreased key collateral
assumptions, namely the portfolio Expected Loss (EL) due to better
than expected collateral performance as well as deal deleveraging
resulting in an increase in credit enhancement for the affected
tranches.

Revision of Key Collateral Assumptions:

As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolio reflecting the collateral performance
to date.

The performance of both transactions has been stable since the last
rating action in April 2019. In E-MAC DE 2006-II B.V. the 90 days
plus arrears have declined since the latest rating action in April
2019 from 17% to 13.7%. In E-MAC DE 2007-I B.V. the 90 days plus
arrears are at approximately the same level as at the time of the
latest rating action, currently standing at around 9%. Cumulative
losses in E-MAC DE 2006-II B.V. currently stand at 9.12% of
original pool balance, with pool factor of 10.4% and cumulative
losses in E-MAC DE 2007-I B.V. are currently at 9.90% of the
original pool balance, while the pool factor is 14.2%.

Moody's decreased the expected loss assumption to 10.70% as a
percentage of original pool balance from 11.60% previously in E-MAC
DE 2006-II B.V., and decreased the expected loss assumption to
11.50% as a percentage of original pool balance from 12.50%
previously in E-MAC DE 2007-I B.V.

Moody's has also assessed loan-by-loan information as a part of its
detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future
losses. As a result, and in consideration of the Minimum Expected
Loss Multiple, a floor defined in Moody's methodology for rating
EMEA RMBS transactions, Moody's has maintained the MILAN CE
assumption at 35% for E-MAC DE 2006-II B.V. and 33% for E-MAC DE
2007-I B.V.

Increase in Available Credit Enhancement

Sequential amortization and trapping of excess spread used to
reduce the unpaid PDL in these transactions led to the increase in
the credit enhancement supporting the Notes affected by the rating
action.

For instance, expressed as a percentage of the non defaulted pool
balance, in E-MAC DE 2006-II B.V. the credit enhancement for Class
B increased to 46.9% from 32.6% since the last rating action in
April 2019 and the credit enhancement for Class C increased to
13.2% from 8.2% over the same period. In E-MAC DE 2007-I B.V. the
credit enhancement for Class B increased to 30.9% from 18.4% since
the last rating action in April 2019.

Counterparty Exposure

The rating actions took into consideration the Notes' exposure to
relevant counterparties, such as servicer, account banks or swap
providers.

Moody's assessed how the liquidity available in the transactions
and other mitigants support continuity of Note payments in case of
servicer default. Moody's considers that the factors mitigating the
operational risk in these transactions are insufficient to fully
support the continuity of payments in the event of servicer
disruption. As a result, the ratings of the Class A2 and B notes in
E-MAC DE 2006-II B.V. and Class A1 and A2 notes in E-MAC DE 2007-I
B.V. continue to be constrained by operational risk.

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; and (3) improvements in the credit quality of
the transaction counterparties.

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.




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

ENCE ENERGIA: Moody's Lowers CFR to Ba3 & Alters Outlook to Stable
------------------------------------------------------------------
Moody's Investors Service downgraded the corporate family rating of
ENCE Energia y Celulosa, S.A. to Ba3 from Ba2 as well as the
probability of default rating to Ba3-PD from Ba2-PD. The outlook
has been changed to stable from negative.

"The downgrade reflects our expectation that ENCE's adjusted
leverage will remain above 6x debt/EBITDA over the next 12 months
as a result of a weaker than expected recovery in pulp prices",
says Dirk Steinicke, Moody's lead analyst for ENCE.

RATINGS RATIONALE

The recent decline in pulp prices have significantly affected
ENCE's credit metrics leading to deteriorations of its Moody's
adjusted EBITDA Margin to 16.2% in 2019 from 31.7% in 2018 and
Moody's adjusted debt/EBITDA to 7.8x in 2019 from 2.9x in 2018.
While there is an indication that pulp prices are expected to start
increasing, there is a temporary uncertainty in economic sentiment
and subsequently to pulp demand due to corona virus spread that
might delay recovery for the second half of 2020. Moody's expects
that ENCE will benefit from capacity expansions in its pulp
business completed in 2019 and a 10% increase in its production
rate which will ultimately lead to higher pulp sales volumes
coupled with a lower cash cost.

The rating agency expects that the importance of the energy
business will continue to grow as ENCE, over the last 24 months,
has developed its regulated renewable energy business in Spain,
which is generally more stable than the pulp business. After the
commission of its 46MW biomass power plants in Huelva and 50MW
biomass power plant in Ciudad Real, installed capacity has reached
316 MW and the company has already become the leading biomass
player in Spain and has increased renewable energy generation
capability by more than 50%. Furthermore, the EBITDA contribution
from the energy business has grown to more than EUR50 million in
2019 from less than EUR20 million in 2013, now already covering a
good portion of the fixed costs of the pulp business and is
expected to increase to more than EUR70 to 80 million in 2020.
Despite the significant investments, the company is likely to
remain below its net leverage target of 4.5x net debt / EBITDA in
its renewable energy business (4.0x in 2019).

In addition, ENCE's previously announced new 2023 strategic plan
investments have been officially postponed and the company has
publicly stated its intention to focus on the cost optimization
program launched in 2019 in order to achieve the Strategic Plan
annual cash cost targets and subsequently deleverage its pulp
business.

ENCE's Ba3 CFR is primarily constrained by (1) the company's fairly
small scale, indicated by group sales of around EUR740 million in
2019; (2) the company's portfolio, which is still predominantly
focused on the production of pulp, which can exhibit significant
price volatility and lead to volatility in ENCE's credit metrics;
(3) some operational concentration risk, with the entire pulp
production coming from just two mills in northern Spain and amid
the looming dispute regarding the extension of concessions of
Pontevedra; (4) some execution risk related to its planned
expansion in both businesses (pulp and bio energy); (5) risk of
debt-funded growth and related execution risk, although growth
plans are currently on hold until market conditions improve in
2020-21; and (6) highly volatile prices of pulp, leading to
material swings in credit metrics.

Conversely, the Ba3 CFR is primarily supported by the company's (1)
leading position in pulp production from eucalyptus in Europe, with
a focus on the stable and structurally growing tissue market; (2)
already-leading and strengthening market position in regulated
renewable energy in Spain, with more stable and predictable EBITDA
(although subject to regulatory risk); (3) successful ongoing cash
cost reduction, which supported positive free cash flow (FCF)
generation even in years when pulp prices were strained, such as in
2016; and (4) currently good liquidity, supported by a long-dated
debt maturity profile in the pulp business without maintenance
covenants.

RATIONALE FOR THE OUTLOOK

The stable outlook reflects Moody's view that the pulp price
environment should become more beneficial for ENCE during the
second half of 2020 and lead to improvements in credit metrics
during 2021. The rating agency expects that ENCE will move towards
4.0x debt/EBITDA by end of 2021. In addition, absent of material
growth investments in 2021 the agency anticipates that the company
would return to positive free cash flow generation leading to
improved liquidity.

WHAT COULD CHANGE THE RATINGS UP/DOWN

Moody's could upgrade ENCE should the company be able to (1)
maintain Moody's-adjusted EBITDA margins of above 20% through the
cycle; (2) reduce consolidated adjusted debt/EBITDA to around 3.0x
through the cycle; (3) RCF/debt around 20% through the cycle; and
(4) consistently generate meaningful free cash flow through the
cycle.

Moody's could downgrade ENCE, if its: (1) free cash flow generation
remains negative for a prolonged period of time; (2) failure to
reduce Moody's-adjusted debt/EBITDA to below 4.5x by 2021; (3)
Moody's adjusted RCF/debt trends towards the low teen percentages;
(4) liquidity sustainably deteriorates.

PRINCIPAL METHODOLOGY

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

COMPANY PROFILE

Headquartered in Madrid, Spain, ENCE Energia y Celulosa, S.A. is a
leading European producer of bleached hardwood kraft pulp from
eucalyptus, with growing renewable energy operations in Spain. In
its pulp business, following the closure of its Huelva pulp mill in
2014, ENCE has a production capacity of about 1.2 million tonnes
per annum of eucalyptus pulp from its two remaining Spanish mills,
Navia and Pontevedra, as well as biomass cogeneration (lignin)
operations that allow the business to be broadly energy
self-sufficient. In its energy business, the group currently
operates nine independent energy generation facilities, mostly in
southern Spain, with a total installed capacity of around 316
megawatts (MW). In 2019, ENCE reported sales of around EUR740
million. The company is publicly listed on the Madrid Stock
Exchange, with a free float of around 56% and a market
capitalization of around EUR0.8 billion as of March 3, 2020.


IBERCAJA BANCO: Fitch Alters Outlook on BB+ LT IDR to Positive
--------------------------------------------------------------
Fitch Ratings has revised Ibercaja Banco S.A.'s (Ibercaja) Outlook
to Stable from Positive and affirmed the bank's Long-Term Issuer
Default Rating and Viability Rating (VR) at 'BB+' and 'bb+',
respectively.

At the same time, Ibercaja's subordinated debt has been downgraded
to 'BB-' from 'BB' and removed from 'Under Criteria Observation' to
reflect the switch to a baseline notching of two notches for loss
severity from the anchor rating under Fitch's new bank rating
criteria published on February 28, 2020. KEY RATING DRIVERS
IDRS AND VR

The ratings of Ibercaja reflect improved capital and asset-quality
metrics, although they remain weaker than investment-grade peers'.
The ratings also factor in the challenge to improve its low
profitability despite its fairly diversified business model to
absorb the negative impact from further restructuring and continued
asset de-risking. The ratings further reflect execution risk linked
to the bank's plans to undertake the IPO, which is planned for
2020.

Ibercaja is planning to list the bank since the majority owner
(Ibercaja Banking Foundation) intends to reduce its stake to below
50% to comply with the Banking Foundation law. The delay of the IPO
has not prevented Ibercaja in significantly reducing its stock of
problem assets, particularly in the last two years and bringing its
asset-quality metrics closer to peers'. At the same time, the bank
has strengthened its capitalisation, including capital encumbrance
to unreserved problem assets, to more adequate levels despite
lagging behind some of its domestic peers'.

Ibercaja reduced its stock of problem assets in 2019 by 36%,
largely as a result of portfolio sales. As a result, its
problem-asset (impaired loans and net foreclosed assets) ratio was
5% at end-2019, down from 8% at end-2018. Fitch expects this ratio
to decline to around 3% by end-2020 through a combination of more
efficient workout on its impaired loan portfolio with additional
selected disposals, assuming Spain's operating environment remains
resilient.

Ibercaja's fully-loaded common equity tier 1 (CET1) increased to
11.4% at end-2019, from 10.5% at end-2018, driven by internal
capital generation, but remained low by international standards.
Capital encumbrance by unreserved problem assets is now more in
line with domestic peers' and on a declining trend as asset quality
improves. At end-2019, unreserved problem assets represented 36% of
the fully-loaded CET1, down from 66% a year earlier.

Ibercaja's operating profitability remains low and is a rating
weakness despite the benefits of having a more developed
fee-generating business than domestic peers. This has been key in
offseting pressure from low interest rates, higher impairments and
restructuring costs in the last two years. Operating profit will
likely remain under pressure in 2020 from low interest rates,
continuing loan deleveraging and further restructuring costs to
reduce excess capacity. Fitch expects any improvement in
profitability to be visible in 2021 as asset-quality improvements
translate into lower loan impairment charges and cost savings from
restructuring materialise.

The bank's main funding source is a stable and granular retail
deposit base that accounted for 79% of total funding at end-2019
and broadly funds the loan book. Wholesale funding is mostly in the
form of covered bonds and ECB funding. The bank has adequate
liquidity for its debt maturities, including mostly self-retained
debt issuance and Spanish public debt.

SUPPORT RATING AND SUPPORT RATING FLOOR

Ibercaja's Support Rating (SR) of '5' and Support Rating Floor
(SRF) of 'No Floor' reflect Fitch's belief that senior creditors of
the bank can no longer rely on receiving full extraordinary support
from the sovereign in the event that the bank becomes non-viable.
The EU's Bank Recovery and Resolution Directive and the Single
Resolution Mechanism for eurozone banks provide a framework for
resolving banks that is likely to require senior creditors to
participate in losses, instead of or ahead of a bank receiving
sovereign support.

SUBORDINATED DEBT AND OTHER HYBRID SECURITIES

Following the publication of Fitch's updated Bank Rating Criteria
on February 28, 2020, Ibercaja's subordinated debt is rated two
noches below the VR. This is in line with Fitch's notching
approach, which establishes a baseline notching of two notches for
subordinated debt without any coupon deferral features to reflect
loss severity.

The rating of the bank's additional Tier 1 notes is four notches
below Ibercaja's VR, in accordance with Fitch's criteria for rating
hybrid instruments. This notching comprises two notches for loss
severity in light of the notes' deep subordination, and two notches
for additional non-performance risk relative to the VR given fully
discretionary coupon payments.

RATING SENSITIVITIES

IDRs AND VR

Upside to the ratings could arise if Ibercaja raises capital ratios
to levels more in line with investment-grade rated peers', combined
with sustained reduction of problem-asset volumes, thus reducing
capital vulnerability to asset-quality shocks. This would have to
be accompanied by a stable risk appetite and improved operating
profitability in the medium term.

Downward rating pressure could arise if capital deteriorates to
below current levels or significant asset- quality pressures
emerge, increasing capital vulnerability to asset-quality shocks or
adverse asset -valuation moves. A material weakening of core
profitability could also be rating-negative.

SUBORDINATED DEBT AND OTHER HYBRID SECURITIES

The ratings of the subordinated and AT1 notes are primarily
sensitive to changes in Ibercaja's VR. The ratings of the AT1 notes
are also sensitive to changes in their notching from Ibercaja's VR,
which could arise if Fitch changes its assessment of the
probability of their non-performance relative to the risk captured
in the VR.

SUPPORT RATING AND SUPPORT RATING FLOOR

An upgrade of the SR and upward revision of the SRF would be
contingent on a positive change in the sovereign's propensity to
support Ibercaja. While not impossible, this is highly unlikely, in
Fitch's view.

The Outlook revision reflects the slower-than-expected improvement
in the bank's capitalisation and profitability, despite a reduced
exposure to problem assets. The revision also incorporates the
postponement of Ibercaja's initial public offering (IPO) to 2020,
from 2019 that was expected by Fitch, due to volatile market
conditions.


LIBERBANK SA: Fitch Affirms BB+ LT IDR & Alters Outlook to Positive
-------------------------------------------------------------------
Fitch Ratings revised Liberbank, S.A.'s Outlook to Positive from
Stable, and affirmed the bank's Long-Term Issuer Default Rating at
'BB+' and Viability Rating at 'bb+'.

The Positive Outlook reflects progress in Liberbank's plan to
further reduce the stock of problem assets, which include impaired
loans and net foreclosed assets. This should help to further
improve asset- quality metrics and reduce capital encumbrance to
unreserved problem assets.

At the same time, Liberbank's subordinated debt has been downgraded
to 'BB-' and removed from 'Under Criteria Observation' to reflect
the switch to a baseline notching of two notches for loss severity
from the anchor rating under Fitch's new bank rating criteria
published on February 28, 2020.

KEY RATING DRIVERS

IDRS, VR AND SENIOR DEBT

The ratings of Liberbank reflect consistent and significant
improvement in its asset-quality metrics in the past three years,
helped by management's focus on reducing the stock of problem
assets. This has reduced the vulnerability of capital to
asset-quality shocks or adverse moves in collateral valuations. The
ratings also reflect modest profitability and the challenge to
improve earnings given a low interest rate environment, fairly
concentrated franchise and less diversified business model than
larger domestic players'.

Liberbank's loan book has grown at a higher rate than the sector
average in the last two years, mainly in lower-risk segment
(residential mortgages and public sector loans) and focused on the
bank's core markets and fast-growing regions including Madrid.
Despite pressure on margins, Fitch does not believe that this
reflects an increasing risk appetite and Fitch does not expect this
growth to negatively affect asset-quality metrics.

Liberbank has made good progress in reducing its stock of problem
assets in the last two years (50% cumulative decline). At end-2019,
its problem-asset ratio declined to 6.1% (13.5% at end-2017),
largely helped by improved recoveries, write-offs and foreclosed
asset sales, while maintaining average coverage (reserve coverage
of impaired loans was 50% at end-2019). Fitch expects management's
pro-active stance in further reducing the stock of problem assets
to continue delivering good and credible results despite a
decelerating, but still resilient, Spanish operating environment.

Liberbank's capitalisation has improved steadily in recent years
despite loan growth. At end-2019, the bank's phased-in common
equity Tier 1 and total capital ratios were 14.6% and 16.1%,
respectively, which were satisfactorily above the minimum
requirements and compare well with domestic peers'. Capital
encumbered to unreserved problem assets has also been reduced to
just above 50% at end-2019.

Liberbank's profitability is modest and sensitive to the low
interest rates given the bank's focus on retail mortgage loans.
Fitch expects operating profitability to remain fairly stable but
modest, as increasing fees and loan volumes offset interest revenue
pressures. It will also be supported by contained operating costs
following efficiency measures implemented by the bank in the last
few years and stable loan impairment charges.

Liberbank's funding profile is supported by a stable and granular
retail deposits base, which accounted for about 67% of the bank's
total funding at end-2019 and fully funded loan growth. Reliance on
wholesale funding is moderate and mainly secured.

SUBORDINATED DEBT

Following the application of Fitch's updated Bank Rating Criteria,
Fitch has downgraded Liberbank's subordinated debt to 'BB-' from
'BB'. This is in line with the new notching approach, which
establishes a baseline notching of two notches from the VR for Tier
2 subordinated debt. The two notches reflect loss severity.

SUPPORT RATING AND SUPPORT RATING FLOOR

Liberbank's Support Rating (SR) of '5' and Support Rating Floor
(SRF) of 'No Floor' reflect Fitch's belief that senior creditors of
the bank can no longer rely on receiving full extraordinary support
from the sovereign in the event that the bank becomes non-viable.
The EU's Bank Recovery and Resolution Directive and the Single
Resolution Mechanism for eurozone banks provide a framework for
resolving banks that is likely to require senior creditors to
participate in losses, instead of, or ahead of, a bank receiving
sovereign support.

RATING SENSITIVITIES

IDRS, VR AND SENIOR DEBT

The Positive Outlook reflects Fitch's view that Liberbank's ratings
could be upgraded over the next 12-24 months if the bank delivers
its problem-asset reduction, bringing its problem-asset ratio close
to 4% and its capital exposure to unreserved problem assets closer
to that of its investment-grade domestic peers. This should be
accompanied by sustained risk-weighted capital ratios despite loan
expansion. An upgrade would be contingent on Liberbank not
increasing its risk appetite, for instance by expanding its loan
book towards higher-riski segments or by loosening underwriting
standards.

Conversely, failure to reduce problem assets as planned or a
weakening of capitalisation could lead to a revision of the Outlook
to Stable.

SUBORDINATED DEBT

The ratings of Liberbank's subordinated debt are primarily
sensitive to a change in the bank's VR.

SUPPORT RATING AND SUPPORT RATING FLOOR

An upgrade of the SR and upward revision of the SRF would be
contingent on a positive change in the sovereign's propensity to
support Liberbank. While not impossible, this is highly unlikely,
in Fitch's view.

ESG CONSIDERATIONS

ESG issues are credit neutral or have only a minimal credit impact
on the entity(ies), either due to their nature or the way in which
they are being managed by the entity(ies).

PYMES SANTANDER 14: Moody's Hikes EUR258.5MM Series B Notes to Ba1
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of 1 Note and
affirmed the ratings of 2 Notes in FONDO DE TITULIZACION PYMES
SANTANDER 14. The rating action reflects the increased levels of
credit enhancement for the affected Notes. Moody's also affirmed
the ratings of the Notes that had sufficient credit enhancement to
maintain current ratings on the affected Notes.

EUR1941.5 million (current outstanding amount EUR669.8M) Serie A,
Affirmed Aa1 (sf); previously on Sep 11, 2019 Upgraded to Aa1 (sf)

EUR258.5 million Serie B, Upgraded to Ba1 (sf); previously on Sep
11, 2019 Upgraded to Ba3 (sf)

EUR110 million Serie C, Affirmed Caa3 (sf); previously on Sep 11,
2019 Affirmed Caa3 (sf)

Pymes Santander 14 is a cash securitisation of standard loans and
credit lines granted by Banco Santander S.A. (Spain) ("Santander",
LT Deposit Rating: A2 Not on Watch / ST Deposit Rating: P-1 Not on
Watch) to small and medium-sized enterprises ("SMEs") and
self-employed individuals located in Spain.

RATINGS RATIONALE

The rating action is prompted by deal deleveraging resulting in an
increase in credit enhancement for the affected tranches.

Class A credit enhancement level has increased to 39.7% from 28.5%
observed at last rating action in September 2019. Class B credit
enhancement has increased to 11.9% from 8.5% in the same period.

Revision of Key Collateral Assumptions

As part of the rating action, Moody's reassessed its default
probability and recovery rate assumptions for the portfolio
reflecting the collateral performance to date.

The performance of Pymes Santander 14 has slightly deteriorated
over the last 6 months. 90 days plus arrears currently increased to
1.89% from 0.65% while cumulative defaults increased to 0.3% from
0% since September 2019.

The current default probability is 8% of the current portfolio
balance and the assumption for the fixed recovery rate is 31%.
Moody's has decreased the CoV to 53.6% from 56.7% which, combined
with the revised key collateral assumptions, corresponds to a
portfolio credit enhancement of 23%.

Moody's increased the default probability assumption to 8% from
7.5% in Pymes Santander 14. The increased default probability
assumptions reflect the updated portfolio breakdown including the
current industry concentration among other credit risk factors.

Counterparty Exposure

The rating actions took into consideration the Notes' exposure to
relevant counterparties, such as servicer or account bank.

Moody's also assessed the default probability of the account bank
providers by referencing the bank's deposit rating.

None of the ratings of the outstanding Classes of Pymes Santander
14 are constrained by operational risk. Moody's considers that the
current back-up servicer and cash management arrangements as well
as the liquidity available are sufficient to support payments in
the event of servicer disruption.

There is no swap exposure in Pymes Santander 14.

Principal Methodology:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in
July 2019.

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) deleveraging of the capital
structure; (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.




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

AXMINSTER CARPETS: Bought Out of Administration
-----------------------------------------------
BBC News reports that Axminster Carpets has been bought out of
administration by a group of investors which includes former
owners.

According to BBC, the administrators said the royal warrant holder
was bought by ACL Carpets, which will change its name to Axminster
Carpets in the near future.

The company went into administration on Feb. 19, and 80 jobs were
then lost, BBC recounts.

Axminster Carpets said the business had built up debts of nearly
GBP8 million, but is now debt free, BBC notes.

The Dutfield family, which controlled the company until 2016, is
part of the group of investors, BBC states.

The company will continue to operate from its head office and
manufacturing facility in Axminster, according to BBC.


DEBUSSY DTC: DBRS Confirms B Rating on Class A Notes
----------------------------------------------------
DBRS Ratings Limited confirmed its B (sf) rating on the Class A
Notes of the Commercial Real Estate Loan Backed Fixed-Rate Notes
due July 2025 issued by Debussy DTC plc and maintained its Negative
trend on the rating.

The rating confirmation reflects the continued uncertainty of the
loan after the single-tenant, Toys R Us (TRU), vacated all the
properties, not just in the portfolio but across the UK, following
its administration. The vacating of the tenant led to a subsequent
decrease in value as of the latest valuation conducted by Colliers
International (Colliers) in June 2018 to GBP 248.5 million compared
with the previous GBP 359.4 million as at the April 2017 valuation,
before TRU vacated. Following six asset disposals in 2018, a
further 10 assets were disposed of in 2019, resulting in the sale
proceeds of GBP 86.0 million and an appraised value for the
remaining 15 assets in the portfolio of GBP 177,475,000. The sales
proceeds achieved for the 10 disposals were approximately 13% lower
than the Colliers valuation for the respective properties.

In August 2018, the special servicer, Solutus, was replaced by CBRE
Loan Services Limited (CBRE), which terminated the former receiver
and appointed a new receiver. In September 2018, CBRE submitted a
claim to the High Court of England disputing the validity of the
previous standstill agreement, the purchase option, and the
continuing appointment of the original receiver made by the
previous special servicer. In November and subsequent December 2018
court hearings, the court was held to determine the application for
interim relief and give directions for the determination of the
administration application. However, the court did not provide
further direction of the administration application and instead
ruled that the application should be managed with the main claim at
the case management conference in February 2019.

According to the special servicer, the court proceedings were
settled by all parties on April 12, 2019. The settlement deed
required the borrower to achieve certain sales and lettings targets
by a specific date; however, as of the July 2019 interest payment
date, the borrower failed to meet its targets, leading to the
special servicer taking full control of the portfolio.

The 10 assets that were disposed of by the special servicer in the
last 12 months had total gross proceeds of GBP 86.0 million. The
proceeds were used to pay down GBP 51.3 million of principal on
Tranche A to GBP 129.2 million and top up the reserve funds. As
there is currently no cash being generated from the underlying
properties, the reserve balances had been actually decreasing in
order to pay issuer senior costs, interest on Class A and Class C
Note senior additional payment. As of the January 2020 interest
payment date, the reserves totaled GBP 26.0 million, of which GBP
11.9 million is expected to fund interest payments on both the
Class A and the Class C Note senior additional payment (which ranks
senior to the principal of both the Class A and B notes) for
approximately 18 months. Additionally, the remaining funds in the
reserve are split between a GBP 13.6 million disposal reserve and a
GBP 0.53 million cost reserve to cover any possible capital
expenditures required to maintain the properties in order for
eventual sale.

DBRS Morningstar believes repayment of Class A principal will occur
in full upon the successful execution of the business plan, which
is to sell the remaining assets, whilst letting vacant space and
spending a further GBP 9 million of CAPEX in the interim. In its
calculations, DBRS Morningstar applied a haircut to a market value
of 13% as seen across the 10 sold properties and concluded that
over an 18-month period after senior-ranking costs, the gross sale
proceeds would just cover the full repayment of the Class A
principal. If the sale of the remaining portfolio were to complete
before 18 months, funds held in reserve could also be used towards
principal repayment.

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


FLYBE GROUP: Future of Many Routes Uncertain Following Collapse
---------------------------------------------------------------
BBC News reports that dozens of routes serving the UK's regions
could be left without services after the collapse of Flybe.

According to BBC, Scotland's Loganair has committed to maintaining
16 routes, but many smaller airports still face gaping holes in
their schedules.

The carrier, Europe's largest regional operator, went into
administration early on March 5, after a bid for fresh financial
support failed, BBC relates.

He told staff one of the firm's shareholders had pulled out, and he
had spoken "frantically to the government" asking for rescue aid,
but that they had run out of time on March 4, BBC notes.

All of Flybe's flights have been cancelled and customers with
bookings should not travel to the airport unless they have arranged
an alternative flight, BBC discloses.

Flybe operated 210 flights, serving the UK's regional airports and
dominating routes out of Southampton, Exeter and Belfast, BBC
states.  But it also linked regional airports with more than a
dozen other European destinations, according to BBC.

In response to the collapse, the UK government, as cited by BBC,
said it would work with other airlines to replace services.

Loganair has opened a special recruitment line for former Flybe
employees as it works on plans to salvage services on 16 of Flybe's
120 routes, BBC relays.  They include flights from existing bases
for Loganair, including Aberdeen, Edinburgh, Glasgow, Inverness and
Newcastle, BBC discloses.

Belfast City airport said it was in talks with multiple airlines to
fill the routes left empty; 77% of its routes were operated by
Flybe, BBC notes.


INTERNATIONAL PERSONAL: Fitch Affirms 'B' LT IDR, Outlook Stable
----------------------------------------------------------------
Fitch Ratings has affirmed International Personal Finance plc's
Long-Term Issuer Default Rating and senior debt rating at 'BB', and
Short-Term IDR at 'B'. The Outlook on the Long-Term IDR is Stable.

KEY RATING DRIVERS

IDRS AND SENIOR DEBT

IPF's IDRs reflect low balance-sheet leverage by conventional
finance company standards, robust profitability despite high
impairment charges, and adequate liquidity underpinned by cash
generative loan book. The rating also captures IPF's high-risk
lending, concentration of its funding within confidence-sensitive
wholesale sources, evolving digital business, and its vulnerability
to regulatory risks.

Fitch views the pressure on IPF's capital from potential fines by
the Polish tax authorities as largely alleviated. The tax to be
paid by IPF for 2010-2017 was confirmed at GBP3.8 million,
significantly less than previously estimated. The court proceedings
for the 2008-2009 tax case are pending, but in Fitch's base case,
the final payment should not have a material impact on IPF's equity
base.

Like other players in the high cost credit sector, IPF is also
challenged by other regulatory risks. In September 2019, the
European Court of Justice had a preliminary ruling regarding early
settlement rebate, which entitles consumers to a reduction of the
total credit cost if they pay off loans early. IPF is therefore
subject to payment rebate for qualified customers. Fitch expects
the rebate to weaken IPF's earnings in the short term, especially
in the Polish and Czech portfolio, but the strength of its
profitability (2019 pre-tax profit: GBP114 million) mitigates some
of the risk.

There has been no update on the draft bill containing modified caps
on consumer loan costs in Poland since February 2019. Fitch would
still expect enactment of the new proposal into law to have a
negative impact on IPF's business, but the risk to the
sustainability of the business model appears manageable.

IPF's funding is spread across a range of bonds and bank
facilities, but each is subject to the inherent associated
refinancing risks with GBP84million of bonds maturing in 2020. At
end-2019, the group had substantial debt facilities totalling
GBP862million with GBP182 million unutilised (end-2018: GBP186
million).

The group's funding and liquidity metrics are underpinned by the
business model based on short-term lending and longer-term
borrowing. The short duration of its loan portfolio enables IPF to
run down its loan book relatively quickly if required. At end-2019,
the average period to maturity of the loan portfolio was 12.2
months (end-2018: 11.5 months) and 1.8 years on the borrowing side
(end-2018: 2.1 years). Fitch expects a gradual lengthening of the
loan portfolio maturity profile in response to interest rate caps.

IPF benefits from a geographically diversified lending book. Fitch
notes the weakened asset quality in the Mexican portfolio (16% of
loans) in 1H19 when the impairment charges as a percentage of
revenue rose to 42% (from 33% in 2018). IPF consequently tightened
credit issuance in Mexico and the impairment levels stabilised for
the rest of the year. The deterioration of the Mexican loan book
was offset by the relatively good performance of the European book.
Overall impairment metrics have been stable at 27% in 2019 and in
line with the previous five-year average.

The net interest margin (consistently at around 80%) is
sufficiently strong to cover potentially rising funding costs and
high impairment and operational costs associated with the business
model. Bottom-line profitability ratios were robust with pre-tax
income to average assets at 8.6% in 2019 (2018: 8.2%).

IPF's leverage remains adequate for a lending business focused on
high-risk customers and bearing significant impairment risks. The
ratio of debt to tangible equity was stable at 2.1x at end-2019.

The rating of IPF's senior unsecured notes is in line with the
group's Long-Term IDR, reflecting Fitch's expectation for average
recovery prospects given that all of IPF's funding is unsecured.

RATING SENSITIVITIES

IDRS AND SENIOR DEBT

An upgrade is unlikely given the evolving business model, risks
associated with continuing regulatory tightening and growing
exposure to emerging markets.

The ratings would be downgraded if regulatory risks (related to
rate caps and early settlement rebate) have a materially negative
impact on IPF's profitability and equity base.

A notable deterioration of solvency with leverage measured as debt
to tangible equity rising to around 4.0x would also lead to a
downgrade.

The inability to maintain headroom on funding lines ahead of their
refinancing dates, thereby restricting management's capacity to
execute its business plan, could also have a negative impact on the
ratings.

In the normal course of its business, IPF's ratings also remain
sensitive to a material deterioration of profitability or asset
quality as its product mix evolves, for example as the digital
proportion of the loan book grows or as loan maturities are
extended.

The senior debt rating is sensitive to a change in IPF's Long-Term
IDR.

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.

IPF has an ESG Relevance Score of 4 for Exposure to Social Impacts
as a result of its exposure to the high cost consumer lending
sector and the increasing levels of regulatory scrutiny, including
tightening of interest rate caps. The evolving regulatory
environment has had direct impact on IPF's business model including
the pricing strategy, product mix, and targeted customer base.

IPARTY LTD: Bought Out of Administration by Party Centric
---------------------------------------------------------
Business Sale reports that West Yorkshire party supplies wholesaler
Iparty Ltd has been acquired out of administration by Party Centric
Ltd.

According to Iparty Ltd's most recent accounts, to the year ending
January 31 2018, the company at the time held total current assets
of close GBP1.5 million, along with total current liabilities of
GBP1.2 million, Business Sale discloses.

Its net worth at the time of filing was over GBP282,200, Business
Sale, Business Sale relays.  However, on March 4, 2020, the company
appointed David Willis and Phil Pierce, partners at advisory firm
FRP, as joint administrators, Business Sale relates.

Following their appointment, the joint administrators have now
completed the sale of the business and its assets to Party Centric
Ltd., Business Sale notes.  All of Iparty's employees will also be
transferred to Party Centric as part of the sale, Business Sale
states.


MAGENTA PLC 2020: DBRS Finalizes BB Rating on Class E Notes
-----------------------------------------------------------
DBRS Ratings Limited finalized its provisional ratings on the
following classes of commercial mortgage-backed floating-rate notes
issued by Magenta 2020 PLC (the Issuer):

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

All trends are Stable.

The Issuer is the securitization of a GBP 270.9 million loan (the
initial senior loan was GBP 274.75 million) advanced to DTP
Subholdco Limited (the borrower) to provide acquisition financing
to DTGO Corporation Limited (the sponsor) to acquire a portfolio of
hotels from Marathon Asset Management. The sponsor also acquired a
25% stake in the operating platform Valor Hospitality Europe
Limited (Valor Europe); however, the senior loan was not used to
fund the acquisition of this stake. The lender and lead arranger is
Goldman Sachs Bank USA (Goldman Sachs). A GBP 65.3 million
mezzanine loan to DTP Regional Hospitality Group Limited was also
advanced to the borrower group and is structurally and
contractually subordinated to the senior loan but is not part of
the transaction. DBRS Morningstar understands that the sponsor has
paid a total of GBP 465 million for the acquisition, including the
payment for the purchase of the Valor stake, or GBP 460 million
without.

The senior loan is secured by 17 hotels located across the UK.
Valor Europe manages these hotels and operates them under various
franchise agreements with InterContinental Hotels Group (IHG),
Hilton, and Marriott. The portfolio comprises three hotels operated
under the Hilton DoubleTree brand, seven hotels flagged by Crowne
Plaza, three by Hilton Garden Inn, two AC by Marriott, one Holiday
Inn, and one Indigo. The value, Savills - London Office (Savills),
has estimated the total market value (MV) (net of the standard
asset sale purchaser costs, which vary between English and Scottish
jurisdictions) to be GBP 435.55 million, or GBP 128,747 per room
based on the 3,383 rooms in the portfolio. The resulting senior
loan-to-value ratio (LTV) of the portfolio is 63% but following a
mandatory repayment of GBP 3.86 million on 10 January 2020, the LTV
is now 62.2%. The portfolio is concentrated in North West England
and the East Midlands, where 55% of the total portfolio MV lies;
these two regions comprise nine hotels or 1,847 rooms, and also
56.0% of the 12-month trailing (T-12) EBITDA ended November 2019.
DBRS Morningstar's value assumption for the portfolio is GBP 347.8
million (a 20.2% haircut), resulting in a 78% stressed LTV.

The portfolio benefits from a stabilized occupancy rate of 83.6% as
at the end of November 2019 with a revenue per available room
(RevPAR) of GBP 72.2 per night and an average daily rate (ADR) of
GBP 86.4. According to STR data, the portfolio's overall
performance is slightly better than its competitive set. For the
T-12 ending November 2019, the portfolio generated GBP 133.8
million in revenue, and after deducting costs and expenses, the
EBITDA for the same period was GBP 35.0 million and the net
operating income (NOI) was GBP 30.3 million after management fees
and deductions for furniture, fixture, and equipment (FF&E). For
the year ending December 2018 (T-12 December 2018), the NOI was GBP
30.2 million. DBRS Morningstar's stressed net cash flow (NCF)
assumption for the portfolio is GBP 27.0 million.

All hotel properties in the portfolio, with the exceptions of
Peterborough and Liverpool (upper midscale), are graded as upscale
hotels. DBRS Morningstar notes that all the obligors are
property-owning companies (PropCos); however, DTP Hospitality UK
Limited, which is a guarantor under the senior loan facility and an
entirely separate entity to the PropCos, employs approximately
1,300 people.

Three of the properties are freehold, three are part-freehold and
part-long leasehold, and the remaining 11 are held wholly under
long leasehold interests. The unexpired term for the leaseholds
ranges from 78 years to 965 years with seven of these only paying a
peppercorn rent. The lease sum in total across the portfolio
amounts to approximately GBP 500,000, and this was factored into
the valuation. DBRS Morningstar notes that the franchise fee will
increase slightly this year (2020), and to maintain the current
level of NCF generated by the portfolio, turnover, and gross
operating profit will have to increase accordingly.

Prior to the senior loan utilization date of 10 December 2019, fire
safety inspections were carried out, and nine of the 17 properties
were found to be potentially noncompliant with current building
fire safety regulations, particularly the properties' external
cladding and fire prevention systems. Legally, the obligation is to
comply with building regulations at the time of construction or
when substantial building works are carried out. New or updated
building regulations are not retrospective in application so even
if a building does not comply with current building regulations,
this in itself is not a breach of law. In relation to the nine
potentially noncompliant properties, the vendor and the sponsor
obtained the fire safety reports (prepared by BuroHappold
Engineering), and the original senior lender received reliance on
these as a condition precedent to its funding of the senior loan.
Recommendations were made within the reports citing remediation
works to include replacements of cladding, render, insulation,
sheathing elements, and fire stopping & cavity barrier
installation, amongst other things. All such remediation work
should be completed over a two-and-a-half-year period in a planned
manner to effectively remediate and minimize disruption to the
day-to-day operation of the hotels. The sponsor confirmed that the
interim measures recommended by the independent consultant have
been implemented at the hotels.

The obligors are required to appoint a fire safety monitor to
oversee the remediation and to open a fire safety account, always
ensuring the amount held in it, aggregated with any amounts
callable under available letters of credit, is at least equal to
the then-current estimate of the costs required to complete the
remedial works. The cost of remediation is estimated to be
approximately GBP 27 million. Should the aggregated amount be less
than the current estimate, a remedial cash trap event will occur.
In this event, any surplus proceeds in the debt service account are
required to be applied towards the fire safety account from the
relevant line item in the debt service account priority of payments
(such line item falling after senior and mezzanine debt service but
before any payments to the imminent costs ledger of the FF&E
account, and payment of any surplus funds to the cash trap account,
the mezzanine cash trap account, or the general account). An event
of default will occur if a remedial works cash trap event continues
for three months.

The senior loan bears interest at a floating rate equal to
three-month Libor (subject to zero floors) plus a margin of 2.78%
per year. The expected loan maturity date is 10 December 2021 with
three one-year extension options available. The notes issued by the
Issuer bear a final maturity date falling in December 2029, thereby
providing a tail period of five years assuming the three one-year
extension options are exercised. The interest amounts payable on
the notes will be calculated by reference to the Sterling Overnight
Index Average (Sonia). The Issuer and Goldman Sachs International,
as swap provider, will enter into an interest rate swap agreement
for the duration of the loan term to smooth any spikes in Sonia
(linked to note payments) versus Libor (linked to loan payments).

DBRS Morningstar notes that Libor, other interest rates, and
indices deemed to be benchmarked are the subject of ongoing
national and international regulatory reform. In the event of the
discontinuation of Libor, the hedge agreement may be terminated and
(1) the loan falls back to a compounded daily Sonia rate, in which
case, provided that changes are made to the observation period
under the loan, there is no mismatch with the rate payable under
the notes. or (2) the loan falls back to a rate that is not the
compounded daily Sonia rate. Under scenario (2) the fallback under
the swap would be determined in accordance with the ISDA Benchmarks
Supplement. If the swap had remained in place after the senior loan
initial termination date, break costs would be payable, which could
result in payments received by the Issuer on any loan interest
accrual period to be insufficient to pay in full all amounts due on
the notes relating to the corresponding note interest period.

Starting 15 months after the closing date, the borrower is required
to amortize the senior loan by 0.25% of the senior loan amount at
issuance, per quarter, forming the base amortization. In addition
to the base amortization, but only if the NOI debt yield (DY) for
that period falls below 11.3%, the borrower is required to double
the amortization payment on each IPD, unless in each case the LTV
is below 50.0%. The T-12 November 2019 NOI DY at cut-off was 11.8%.
Scheduled amortization proceeds will be distributed pro-rata to the
noteholders unless a sequential payment trigger is continuing, in
which case the proceeds will be distributed sequentially. Before a
sequential payment trigger event, in the case of a mandatory
prepayment after property disposals, the senior allocated loan
amount (ALA) along with release premiums will be allocated
pro-rata. The senior release price is set at 15% above the ALA of
the disposed of property. In the case of voluntary prepayments
funded by equity, the note share amount will be allocated in
reverse sequential order before any pro-rata and sequential
principal payment allocation.

The senior loan has LTV and DY covenants for cash trap and events
of default. The LTV cash trap covenant is set at 67.19% whilst the
DY cash trap covenant is triggered if the DY falls below 9.59%
within the first six months, below 9.31% from six to 12 months,
9.03% from 12 to 30 months, 9.31% up to 36 months, or falls below
9.59% for the remaining term. The LTV default covenants are set at
72.19% whilst the DY default covenant is triggered if the DY falls
below 8.75% within the first six months, below 8.41% from six to 12
months, below 8.08% from 12 to 36 months, or if it falls below
8.75% for the remaining term.

The interest rate risk is fully hedged until the initial senior
loan maturity date by way of a prepaid cap with a strike rate of
1.5% provided by Standard Chartered Bank. If the term of the loan
is extended, the interest rate risk must be hedged by way of a
prepaid cap with a strike rate of not higher than 2.25%.

To maintain compliance with applicable regulatory requirements,
Goldman Sachs will retain an ongoing material economic interest of
no less than 5% of the securitization via an issuer loan, which is
to be advanced by Goldman Sachs Bank USA.

On the closing date, the Issuer will establish a reserve that will
be credited with the initial issuer liquidity reserve required
amount. Part of the noteholders' subscription for the Class A notes
will be used to provide 95% of the liquidity support for the
transaction, which is initially set at GBP 8.7 million, or 3.3% of
the total outstanding balance of the notes. The remaining 5% will
be funded by the issuer loan. DBRS Morningstar understands that the
liquidity reserve will cover the interest payments to Classes A to
C. No liquidity withdrawal can be made to cover shortfalls in funds
available to the Issuer to pay any amounts in respect of interest
due on the Class D notes or the Class E notes. Class E is subjected
to an available funds cap where the shortfall is attributable to an
increase in the weighted-average margin of the notes.

Based on a cap strike of 1.5%, DBRS Morningstar estimated the
liquidity reserve will cover 17 months. On each note payment date
relating to each note interest period beginning on or after the
expected note maturity date, the Sonia component payable on the
notes is capped at 5%; in this instance the liquidity reserve will
cover 11 months of interest payments, assuming the Issuer does not
receive any revenue.

The transaction includes Class X certificates. Interest payments
due to the Class X certificates initially rank pro rata and pari
passu to the interest due on Class A notes. However, upon certain
occurrences, including a Class X trigger event, interest payments
on the Class X certificates become subordinated to payments due to
the other notes. A Class X trigger event will occur if the loan is
not repaid on or before its maturity date, the senior loan becomes
specially serviced, and the issuer security is enforced following
the occurrence of a note event of default. The Class X certificates
will not be entitled to any principal payment. DBRS Morningstar
does not rate the Class X certificates of this transaction.

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


MORTIMER BTL 2019-1: Fitch Raises Rating on Class E Debt to BBsf
----------------------------------------------------------------
Fitch Ratings upgraded four tranches of Mortimer BTL 2019-1 PLC and
affirmed the remaining two tranches.

RATING ACTIONS

Mortimer BTL 2019-1 plc

Class A XS1998883588; LT AAAsf Affirmed; previously at AAAsf

Class B XS1998884552; LT AA+sf Upgrade;  previously at AA-sf

Class C XS1998884636; LT A-sf Affirmed;  previously at A-sf

Class D XS1998884800; LT BBBsf Upgrade;  previously at BBB-sf

Class E XS1998885013; LT BBsf Upgrade;   previously at Bsf

Class X XS1998885369; LT BB+sf Upgrade;  previously at Bsf

TRANSACTION SUMMARY

This transaction is a securitisation of buy-to-let (BTL) mortgages
originated in England, Wales and Scotland by LendInvest BTL Limited
(LendInvest), which entered the BTL mortgage market in December
2017. LendInvest is the named servicer for the pool with servicing
activity delegated to Pepper (UK) Limited.

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. The pool was analysed using Fitch's BTL
foreclosure frequency (FF) matrix under the latest criteria.

Decreased originator adjustment

Fitch lowered the originator adjustment downwards to 1.1 from 1.2
used in the analysis at closing, based on the availability of
additional historical performance data and re-assurance of
origination quality during its last onsite review at the
originator's headquarters. This is in line with the approach taken
for the latest Mortimer BTL 2020-1 PLC.

The decrease of the originator adjustment is driving the upgrades.

Payment Interruption Risk Constrains Class C

Class C has been affirmed at its current rating because of the
possible payment interruption risk (PIR) in the long term. When
testing the transaction in higher rating scenarios, the general
reserve fund may be depleted to cover losses through the principal
deficiency ledgers and therefore not be available to cover PIR for
class C.

Class E Rating Limited by Class X

In the event that class X has not been paid in full by the time
that class D is redeemed, it will divert funds from class E, which
is designated as collateral backed. This is detrimental to class E,
and is the reason why class X (uncollateralised) is achieving a
rating one notch higher than class E.

Stable Asset Performance

The transaction's closing only occurred in June 2019; as a
consequence, the transaction's performance to this date is very
limited. Nonetheless, it has been in line with Fitch's expectations
so far, with no loans in arrears as at December 2019.

RATING SENSITIVITIES

The loans in the portfolio currently earn a predominantly fixed
rate of interest and all revert to an interest rate linked to
Libor. Once this has occurred, borrowers will be exposed to
increases in market interest rates, which would put pressure on
affordability, and potentially cause deterioration of asset
performance. If this results in defaults and losses on properties
sold in excess of Fitch's expectations, Fitch may take negative
rating action on the notes.

Ratings may be sensitive to the resolution of the Libor-rate
exposure on both the mortgages and the notes. For example, if a
material basis risk is introduced or there is a material reduction
in the net asset yield then ratings may be negatively affected.


NMC HEALTH: Almost US$3BB of Debt Hidden From Board
---------------------------------------------------
Daniel Thomas, Robert Smith and Simeon Kerr at The Financial Times
report that NMC Health has discovered almost US$3 billion of debt
hidden from its board that has been used for unknown purposes, in
the latest disastrous revelation to hit the Middle Eastern-focused
healthcare group.

The company, which until its suspension last month traded in the
FTSE 100, said it had identified more than US$2.7 billion in debt
facilities that had previously not been disclosed to, or approved
by, the board, the FT relates.  This takes its group debt to more
than twice as much as the reported US$2.1 billion, the FT
notes.

It added that it was working with advisers "to understand the exact
nature and quantum of the undisclosed facilities" but believed some
proceeds may have been used "for non-group purposes", according to
the FT.

The UK's financial watchdog has started a formal investigation into
the company's finances after NMC was forced to reveal unauthorized
off-balance sheet loans last month and discrepancies in its cash
position, the FT recounts.

The group's shares have been suspended and its chief executive
fired amid an internal investigation into its finances led by Louis
Freeh, a former FBI director, the FT relays.

NMC has brought in Moelis and PwC to lead discussions over debt
restructuring with its lenders and to help provide transparency
over the company's financial position, the FT discloses.  The board
of NMC said it had received an update on March 10 that the group's
debt position "was materially above the last reported number" at an
estimated US$5 billion", the FT notes.

Lenders to NMC are looking to set up a creditors' committee to
organize themselves as the troubled firm seeks to restructure debt
and operations, the FT  relays, citing people briefed on the
discussions.

NMC had already requested an informal standstill from lenders
against current and future defaults, the FT recounts.  The
company's advisers are now working on a formal standstill the FT
states.

NMC Health is a healthcare chain and distribution business in the
United Arab Emirates.  The company is headquartered in Abu Dhabi
and has branch offices in Dubai, Ajman, Al Ain and Northern
Emirates.  NMC Health is listed on the London Stock Exchange and
is a constituent of the FTSE 100 Index.


PROVIDENT FINANCIAL: Fitch Lowers LT IDR to BB+, Outlook Stable
---------------------------------------------------------------
Fitch Ratings downgraded Provident Financial plc's Long-Term Issuer
Default Rating and senior unsecured long-term debt rating to 'BB+'
from 'BBB-'. The Outlook on the Long-Term IDR is Stable.

KEY RATING DRIVERS

The rating actions reflect that the recovery of Provident's home
collected credit has been slower than the company's initial
recovery guidance in 2017 and Fitch expects CCD's contribution to
Provident's overall profitability to remain modest in the medium
term. As a result, Provident's business model will likely remain
less cash-generative than prior to the poorly executed changes to
the CCD business model in 2017.

As a result of CCD's lower contribution to group earnings,
Provident's credit card subsidiary, Vanquis Bank Limited will
continue to account for the majority of Provident's profitability
in the medium term. While Fitch views Vanquis's track record and
franchise in the UK sub- and near-prime credit card market as
strong, its scale and credit profile is insufficiently strong to
underpin Provident's Long-Term IDR at 'BBB-'.

Fitch expects sub- and near-prime credit markets in the UK to
continue being subject to elevated risk of regulatory and political
measures, which could either limit business growth or have
financial implications for market participants. However, as market
leader in all of its chose segments (CCD, credit cards, motor
credit), in Fitch's view Provident is comparatively better placed
to withstand these pressures than smaller or more concentrated
peers.

Provident's Long-Term IDR and senior unsecured long-term debt
ratings continue to take into account its sound (and recovering)
profitability, adequate capitalisation and liquidity profile and
franchise strength in a number of UK sub- and near-prime credit
markets. The ratings also reflect its moderate scale (compared with
higher-rated peers in the credit card sector), inherently high
credit impairments and its ongoing exposure to regulatory and
political developments in the UK non-standard credit markets.

Provident reported improved profitability in 2019 as a result of
reduced net losses in CCD and broadly stable profitability at
Vanquis and Moneybarn, its motor credit subsidiary. However,
recovery in the CCD business has been slower than management's
initial guidance in 2017 and Fitch expects CCD to remain a modest
contributor to group profitability in the medium term. As a result,
earnings diversification is unlikely to recover to pre-2017 levels,
in Fitch's view, which is reflected in its assessment of Business
Model (a component of Company Profile) and Earnings and
Profitability.

Reported net profit in 2019 stood at GBP84 million (GBP65 million
in 2018), weighed down by GBP26 million in exceptional charges,
partly related to bid-defence costs from an ultimately unsuccessful
take-over bid in 1H19. Performance adjusted for exceptional costs
improved marginally to a pre-tax profit of GBP163 million in 2019
(2018: GBP160 million), supported by cost saving in its CCD
division. CCD's operating model has now stabilised and should
continue to benefit from good operating leverage as it regains
scale.

Regulatory investigations into Vanquis (repayment option plan
product) and Moneybarn were completed in 2019 resulting in the
release of GBP17 million of provisions. However, like its peers,
Provident remains sensitive to potential further regulatory
developments in high-cost or non-standard credit markets. Given
Provident's meaningful scale in all its segments as well as recent
improvements in risk controls and governance, it is unlikely this
would impair its franchise, but it could impose additional costs,
require business model changes or moderate further business
growth.

Vanquis, the main source of pre-tax profit (GBP174 million in
2019), continued to perform well in 2019 despite a GBP20 million
reduction in repayment option plan income and a moderate
receivables reduction, largely due to regulatory initiatives
(affordability and persistent debt). Vanquis's revenue yield
narrowed by 300bp (to a still wide 39.8%) due to changes in its
product mix, reduction in repayment option plan and pricing
competition but its risk-adjusted margin remained sound (at just
above 26%), supported by a lower impairment rate (13.6% compared
with 16.0% in 2018).

Moneybarn (accounting for 19% of the group's pre-exceptional
pre-tax profit in 2019) demonstrated solid growth in terms of
customers (up 24% yoy) and revenue (17%) despite weaker cost
efficiency and higher impairment costs.

CCD remained the leading home credit provider in the UK in 2019
despite a further reduction in customer numbers, which was less
pronounced than in prior years (end-2019: 522,000; 2018: 560,000).
The segment's adjusted loss before tax improved markedly (to GBP21
million compared with a GBP39 million loss in 2018) as a result of
lower impairments and notably lower operating expenses (down 14%
yoy). Fitch expects the gradual improvement in CCD to continue,
helped by the recently introduced element of variable remuneration
and continuing cost saving.

Compared with pre-2017, Provident's risk controls are now markedly
more centralised and group governance overall has improved, in
Fitch's view.

Provident's leverage (as per Fitch's gross debt/tangible equity
metric) remained sound at end-2019 (3.9x) and continues to
represent a relative rating strength. Provident is subject to
regulatory capital requirements at both the group and Vanquis
level. The group's minimum regulatory capital requirement (25.5%)
is high compared to other UK banks and management maintains
adequate headroom above the regulatory minimum (GBP89 million at
January 1, 2020, including dividend accrual and third year IFRS9
transition adjustment).

Provident's funding base is well diversified and includes retail
deposits (at Vanquis) as well as various wholesale funding sources
where short-term maturities are negligible. Provident has a sound
record in accessing a variety of funding markets in challenging
market conditions (including during the 2008/2009 financial
crisis). Retail deposits at Vanquis are long-term, which provides
stability to Provident's funding mix.

RATING SENSITIVITIES

Following the downgrade, upside potential for Provident's Long-Term
IDR and senior unsecured long-term debt ratings is limited in the
short term due to Provident's moderate scale (compared with
higher-rated credit card peers), now less cash-generative business
model and Fitch's near-term outlook for the UK non-standard credit
markets. In the medium to long term, a material strengthening of
Provident's franchise, particularly if leading to improved risk and
earnings diversification, could lead to positive rating action
assuming Provident's overall risk appetite remained unchanged.

Similarly, absent one-off credit events, downside risk to
Provident's Long-Term IDR is limited in the short term but could in
the medium term result from one (or several) of the following
developments:

  - a notable impairment of its franchise, stemming for example
    from regulatory or competitive pressures limiting growth
    in business volumes (and profitability);

  - a material reduction in Provident's regulatory capital
    headroom with its capital ratio approaching the regulatory
    capital requirement (CET1 ratio of 25.5%), for instance
    as a result of an unexpected loss increasing concerns
    about fungibility of capital across the group;

  - reduced access to funding markets leading to an increase
    in refinancing risk and materially shorter average
    duration of its overall funding; or

  - a materially worse operating environment (including
    higher unemployment) if leading to sharply higher
    impairments and ultimately reduced profitability.

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 the way in which they are being managed by
the entity.

Provident has an ESG Relevance Score of '4' for Exposure to Social
Impacts because its business model (individual loans to low-income
segments) is exposed to shifts of consumer or social preferences or
to measures that the government could take. This has a negative
impact on the credit profile and is relevant to the rating in
conjunction with other factors.


                           *********


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-
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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.

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