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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

          Friday, July 23, 2021, Vol. 22, No. 141

                           Headlines



C Y P R U S

BANK OF CYPRUS: Moody's Ups Long-Term Bank Deposit Rating to B1
RCB BANK: Moody's Affirms B1 Deposit Rating, Alters Outlook to Pos.


C Z E C H   R E P U B L I C

SEVEROMORAVSKE VODOVODY: Fitch Affirms 'BB+' IDRs, Outlook Stable


G E R M A N Y

VOITH GMBH: S&P Downgrades Ratings to 'BB+', Outlook Stable


I R E L A N D

GOLDENTREE LOAN 4: S&P Assigns B- (sf) Rating to Class F-R Notes
NORTH WESTERLY V: Moody's Gives (P)B3 Rating to EUR12.8MM F Notes
TORO EUROPEAN 2: Moody's Assigns (P)B3 Rating to EUR10.3MM F Notes


R U S S I A

ASIAN-PACIFIC BANK: Fitch Raises LT IDR to 'B+', Outlook Stable
BANCA INTESA: Fitch Affirms 'BB+' LT IDRs, Outlook Stable
CREDIT BANK OF MOSCOW: S&P Raises LT ICR to 'BB', Outlook Stable


S P A I N

BANCAJA 9: Fitch Puts LT B+sf Rating on Series D RMBS on Watch Neg.
TDA IBERCAJA 3: Moody's Hikes EUR7.5MM Class C Notes Rating to B1


U N I T E D   K I N G D O M

AA BOND: S&P Affirms B+ (sf) Rating to Class B3-Dfrd Notes
ALEXANDER INGLIS: Administrator Releases Preliminary Report
CAFFE NERO: Unit Stands by Decision to Pursue Restructuring Plans
CO-OPERATIVE BANK: Fitch Raises LT IDR to 'B+', Outlook Stable
DUNDROD AND DISTRICT: Enters Into CVA, Owes Hickman Prize Money

NMC HEALTH: ADCB Optimistic on Turnaround, Sufficient Provision
NMC HEALTH: Founder Accuses Ex-CEO, EY, Banks of Fraud Conspiracy
NORFOLK STREET HOTEL: Investors Face Losses of Over GBP10 Million
UK HOUSING: Moody's Affirms Ba1 Rating on GBP3.11MM Ser. 2-B Notes
VIRIDIS EUROPEAN NO 38: S&P Assigns BB (sf) Rating to Cl. E Notes



X X X X X X X X

[*] BOOK REVIEW: The Sorcerer's Apprentice - Medical Miracles

                           - - - - -


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C Y P R U S
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BANK OF CYPRUS: Moody's Ups Long-Term Bank Deposit Rating to B1
---------------------------------------------------------------
Moody's Investors Service has upgraded Bank of Cyprus Public
Company Limited's and Hellenic Bank Public Company Ltd's long-term
bank deposit ratings to B1 from B3, their long-term Counterparty
Risk Ratings to Ba3 from B1, their long-term Counterparty Risk
Assessments to Ba3(cr) from B1(cr) and their Baseline Credit
Assessments and Adjusted BCAs to b3 from caa1. The outlook on both
banks' long-term deposit ratings is positive. As part of the same
action, Moody's has also upgraded Bank of Cyprus' senior unsecured
debt ratings to Caa1, from Caa2, with a positive outlook.

The upgrade of the ratings of the two banks captures their
strengthened standalone credit profiles and more specifically their
improved solvency, providing increased buffers to the banks to
navigate the still challenging operating conditions following the
coronavirus pandemic. In addition, the upgrade to the banks'
deposit ratings also reflects their recent and upcoming MREL
(minimum requirement for own funds and eligible liabilities)
eligible debt issuances in the coming years, that will change the
banks' liability structure and enhance the buffers that are
available to protect depositors.

The positive outlooks reflect Moody's expectations that the two
banks will continue to improve their solvency profiles, despite
potential new NPL formation as a consequence of the challenging
environment. The ratings could be upgraded in the coming quarters
if the banks maintain their strong capital and liquidity, the
impact of the coronavirus pandemic on the Cypriot economy is
contained and they manage to improve their asset quality profiles
through means including asset sales.

RATINGS RATIONALE

BANK OF CYPRUS

The upgrade of Bank of Cyprus' ratings and assessments reflects
both the upgrade of its BCA and Adjusted BCA to b3, from caa1, as
well as the impact of its evolving liability structure.

The stronger BCA reflects the bank's strengthened solvency profile,
more specifically the combination of its solid capital metrics
together with improved asset quality following the recent sale of
portfolios of loans with a total gross book value of EUR1,339
million. The transaction, that includes primarily nonperforming
retail and small and midsize enterprise loans, has reduced its high
stock of legacy NPEs, with its ratio of NPEs-to-gross loans
declining significantly to 16%, from 30% as of end 2019. The
completion of the Transaction also increases the Group's Common
Equity Tier 1 (CET1) ratio as at March 31, 2021 to 14.6% (pro
forma), from 14.4%, which is well above the bank's CET1 regulatory
minimum of 9.7%.

These developments better position Bank of Cyprus to deal with any
inflow of new NPEs arising from the coronavirus-induced economic
downturn. Downside risks related to potential new NPE formation
remain elevated, due to the fluidity of the pandemic and Cyprus'
exposure to the tourism sector, that contributes 12% of the bank's
gross loans, excluding legacy loans. According to Moody's early
signs are however encouraging, as 95% of performing loans under
expired payment deferrals had no arrears up to May 14, 2021, out of
which 6% have been restructured.

The upgrade of Bank of Cyprus' deposit ratings also reflects the
bank's recent and upcoming MREL-eligible debt issuances, which the
rating agency expects will enhance the buffers that are available
to protect depositors. On June 16, Bank of Cyprus issued EUR300
million of senior unsecured preferred notes, the bank's first
issuance that complies with the Single Resolution Board's MREL. The
notes are the second issuance under Bank of Cyprus' EMTN programme
in 2021 and increase Moody's confidence in the bank's ability to
issue debt and capital instruments. Moody's expects the bank to
successfully proceed with further issuances in the next four years
of at least 5% of Risk-Weighted Assets (RWAs), to meet its binding
minimum MREL requirement of 23.32% of RWA by year-end 2025.
Issuances could also be senior unsecured notes, as there are no
subordination requirements for Bank of Cyprus.

Bank of Cyprus' B1 deposit ratings are now placed two notches above
its BCA, from one notch above the BCA previously, driven by the
increased protection that the rating agency expects will be
afforded to depositors from more loss-absorbing junior securities.
The ratings capture Moody's banking methodology, under its Advanced
Loss Given Failure (LGF) analysis as it is applied to countries
subject to the EU's Bank Recovery and Resolution Directive, such as
Cyprus.

The positive outlook on the long-term deposit and senior unsecured
debt ratings reflects Moody's expectation that Bank of Cyprus will
continue to reduce NPEs further to below 10%, while maintaining
capital and liquidity buffers well above regulatory minimums.

The positive outlook also reflects Moody's view that the impact of
the coronavirus pandemic on the Cypriot economy is unlikely to
leave any lasting damage. This may lead Moody's to reassess its
outlook on the operating environment and Cyprus' macro profile
score in the next few years, which would in turn lead Moody's to
consider a lower portion of the bank's liabilities at a risk of
loss in a resolution.

HELLENIC BANK

The upgrade of Hellenic Bank's ratings and assessments primarily
reflects the upgrade of its BCA and Adjusted BCA to b3, from caa1,
as well as the impact of its evolving liability structure.

Hellenic Bank's stronger BCA reflects its strengthened overall
solvency profile, more specifically its strong capital metrics and
profitable operations, combined with improving asset quality.
Hellenic Bank has maintained its strong capital buffers, with a
Common Equity Tier 1 (CET1) capital ratio of 20.2% as of March
2021, well above its 9.55% regulatory minimum, and has remained
profitable during 2020, despite higher loan loss provisions due to
the pandemic. The bank has also managed to reduced its NPEs to
22.4% as of March 2021, from 31.4% as of December 2019, primarily
because of write-offs of around EUR0.6 billion of legacy NPEs in
2020 and also as a result of two small NPE sales with a gross book
value of EUR52 million that are pending relevant approvals. The
bank's NPEs/gross loans is lower, at 15.8%, if Moody's were to
exclude the NPEs that are guaranteed by the government.

Hellenic Bank's improved overall solvency profile better positions
it to deal with the inflow of new NPEs arising from the
coronavirus-induced economic downturn. Downside risks related to
potential new NPE formation remain elevated, due to the fluidity of
the pandemic and Cyprus' exposure to the tourism sector that
contributes 8% of the bank's gross loans. According to Moody's
early signs are however encouraging as 95% of loans, excluding loan
with government guarantees, under expired payment deferrals with at
least one loan instalment payment due by April 2021, had no
arrears.

The upgrade of Hellenic Bank's deposit ratings also reflects the
bank's upcoming MREL-eligible debt issuances, that the rating
agency expects will enhance the buffers that are available to
protect depositors. Moody's expects the bank to issue its first
debt instrument that complies with the Single Resolution Board's
MREL requirement later in 2021. The bank will need to issue debt
equivalent to at least 5% of Risk-Weighted Assets (RWAs), to meet
its binding minimum MREL requirement of 24.1% of RWA by year-end
2025.

Hellenic Bank's B1 deposit ratings are now placed two notches above
its BCA, from one notch above the BCA previously, driven by the
increased protection that the rating agency expects will be
afforded to depositors from more loss-absorbing junior securities.
The ratings capture Moody's banking methodology, under Moody's
Advanced Loss Given Failure (LGF) analysis as it is applied to
countries subject to the EU's Bank Recovery and Resolution
Directive, such as Cyprus.

The positive outlook on the long-term deposit ratings reflects
Moody's expectation that Hellenic Bank will continue to reduce NPEs
further to below 10%, while maintaining capital and liquidity
buffers well above regulatory minimums. Hellenic Bank has recently
shown signs of improvements in its ability to organically reduce
NPEs while a strong capital position also provides flexibility to
the bank to seek inorganic NPE sales.

The positive outlook also reflects Moody's view that the impact of
the coronavirus pandemic on the Cypriot economy is unlikely to
leave any lasting damage. This may lead Moody's to reassess its
outlook on the operating environment and Cyprus' macro profile
score in the next few years, which would also lead Moody's to
consider a lower portion of the bank's liabilities at a risk of
loss in a resolution.

FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

All of the banks' ratings could be upgraded if they manage to
further improve their asset quality with a reduction in the NPE
ratio to below 10%, while maintaining solid capital metrics, and if
Moody's concludes that the impact of the coronavirus pandemic on
the Cypriot economy will not leave any lasting damage. The banks'
ratings may also be upgraded following the buildup of larger
loss-absorption buffers following Moody's expectations of changes
to the banks' liability structure or if the rating agency concludes
that a lower portion of the banks' liabilities are at a risk of
loss in a resolution.

The positive outlook on the banks' deposit ratings may be changed
to stable if the rating agency expects the banks to experience a
significant weakening in their capital and overall solvency
profiles, possibly as a consequence of a prolonged economic
disruption because of the pandemic.

LIST OF AFFECTED RATINGS

Issuer: Bank of Cyprus Public Company Limited

Upgrades:

Adjusted Baseline Credit Assessment, Upgraded to b3 from caa1

Baseline Credit Assessment, Upgraded to b3 from caa1

Long-term Counterparty Risk Assessment, Upgraded to Ba3(cr) from
B1(cr)

Long-term Counterparty Risk Ratings, Upgraded to Ba3 from B1

Senior Unsecured Medium-Term Note Program, Upgraded to (P)Caa1
from (P)Caa2

Junior Senior Unsecured Medium-Term Note Program, Upgraded to
(P)Caa1 from (P)Caa2

Subordinate Regular Bond/Debenture, Upgraded to Caa1 from Caa2

Senior Unsecured Regular Bond/Debenture, Upgraded to Caa1 from
Caa2, Outlook Remains Positive

Long-term Bank Deposit Ratings, Upgraded to B1 from B3, Outlook
Remains Positive

Affirmations:

Short-term Counterparty Risk Assessment, Affirmed NP(cr)

Short-term Counterparty Risk Ratings, Affirmed NP

Short-term Bank Deposit Ratings, Affirmed NP

Outlook Action:

Outlook, Remains Positive

Issuer: Bank of Cyprus Holdings Public Ltd Company

Upgrades:

Senior Unsecured Medium-Term Note Program, Upgraded to (P)Caa1
from (P)Caa2

Subordinate Medium-Term Note Program, Upgraded to (P)Caa1 from
(P)Caa2

Subordinate Regular Bond/Debenture, Upgraded to Caa1 from Caa2

Outlook Action:

No Outlook

Issuer: Hellenic Bank Public Company Ltd

Upgrades:

Adjusted Baseline Credit Assessment, Upgraded to b3 from caa1

Baseline Credit Assessment, Upgraded to b3 from caa1

Long-term Counterparty Risk Assessment, Upgraded to Ba3(cr) from
B1(cr)

Long-term Counterparty Risk Ratings, Upgraded to Ba3 from B1

Long-term Bank Deposit Ratings, Upgraded to B1 from B3, Outlook
Remains Positive

Affirmations:

Short-term Counterparty Risk Assessment, Affirmed NP(cr)

Short-term Counterparty Risk Ratings, Affirmed NP

Short-term Bank Deposit Ratings, Affirmed NP

Outlook Action:

Outlook, Remains Positive

PRINCIPAL METHODOOGY

The principal methodology used in these ratings was Banks
Methodology published in July 2021.

RCB BANK: Moody's Affirms B1 Deposit Rating, Alters Outlook to Pos.
-------------------------------------------------------------------
Moody's Investors Service has affirmed RCB Bank Ltd.'s bank deposit
ratings at B1/NP, and its Counterparty Risk Ratings at Ba2/NP. As
part of the same rating action Moody's has affirmed the bank's
Baseline Credit Assessment at b2 and the short-term Counterparty
Risk Assessment at NP(cr), and downgraded its Adjusted BCA to b2
from b1, and the long-term Counterparty Risk Assessment to Ba2(cr)
from Ba1(cr).

The outlook on the bank's long-term deposit ratings has been
changed to positive from stable.

RATINGS RATIONALE

The affirmation of the bank's deposit ratings reflects three
distinct drivers: 1) the affirmation of the bank's BCA; 2) the
removal of the one notch of affiliate support uplift from the
bank's 46% owner, Russia-domiciled Bank VTB, PJSC (Bank VTB, Baa3
stable, b1) and 3) higher uplift from Moody's advanced LGF analysis
as a result of the bank's evolving liability structure.

The affirmation of the bank's BCA reflects its solid capital
levels, with a tangible common equity to risk-weighted assets
reported at 21.1% as of year-end 2020 and the support to its
franchise and profitability from banking business jointly generated
with, and guaranteed and funded, by Bank VTB.

At the same time, the affirmation of the BCA also acknowledges the
more challenging operating environment due to the pandemic that has
weakened the bank's asset quality and profitability, although the
rating agency expects profitability to gradually rebound and no
further asset quality weakening. Nonperforming exposure (NPEs), as
per the European Banking Authority, increased to 3.7% of gross
loans as reported by the bank by December 2020, from 0.8% a year
earlier.

Although Moody's continues to believe there is a moderate
probability of affiliate support from Bank VTB, the rating agency
has downgraded the bank's Adjusted BCA, by removing the one notch
uplift that the bank previously received due to support from Bank
VTB. The removal of the affiliate support primarily reflects the
fact that funding support will be incorporated in the deposit
uplift as part of Moody's forward looking Advanced Loss Given
Failure (LGF) analysis. It also captures the reducing influence of
Bank VTB given (1) its reduced shareholding stake of 46.29% from
60.0% in 2014, and (2) the declining balances of loans sourced
jointly with Bank VTB.

The rating affirmation also reflects the bank's evolving liability
structure. As RCB Bank looks to raise funding eligible for the
Single Resolution Board's minimum requirement for own funds and
eligible liabilities (MREL), buffers that are available to protect
depositors will be enhanced. Moody's expects the bank to
successfully meet its binding minimum MREL requirement by year-end
2023, owing to ongoing funding support from Bank VTB.

RCB Bank's B1 deposit ratings are now placed one notch above its
Adjusted BCA, from being at the same level previously, driven by
the increased protection that the rating agency expects will be
afforded to depositors from more loss-absorbing junior securities.
The ratings capture Moody's banking methodology, under Moody's
Advanced Loss Given Failure (LGF) analysis as it is applied to
countries subject to the EU's Bank Recovery and Resolution
Directive, such as Cyprus.

RATINGS OUTLOOK

The positive outlook reflects Moody's expectations that the bank
will successfully issue MREL eligible debt over the next three
years, which will further enhance the buffers that are available to
protect depositors. As the bank comes closer to its MREL deadline
of 2023, and the rating agency gains more clarity on the evolution
of assets, deposits and other debt instruments, it will be able to
better capture any positive pressure on its deposits, according to
its new asset and liability structure.

The positive outlook also reflects the possibility that Moody's may
conclude that a lower portion of the banks' liabilities are at a
risk of loss in a resolution as the operating environment improves
and as a consequence of a higher macro profile score for Cyprus in
the next few years.

FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

RCB Bank's deposit ratings could be upgraded if its liability
structure changes in a way that it increases the loss-absorption
buffer for depositors or if the rating agency concludes that a
lower portion of the banks' liabilities are at a risk of loss in a
resolution as the operating environment improves. In the
longer-term, RCB Bank's standalone BCA could be upgraded if the
bank materially strengthens its domestic franchise, leading to a
more granular loan and deposit-funded profile, while maintaining
its strong capitalisation and improving its weakened asset quality
and profitability.

The positive outlook on the bank's deposit ratings may be changed
to stable if the rating agency expects the bank to experience a
significant weakening in its asset quality, profitability and
capital, possibly as a consequence of a prolonged economic
disruption because of the pandemic.

LIST OF AFFECTED RATINGS

Issuer: RCB Bank Ltd.

Downgrades:

Adjusted Baseline Credit Assessment, Downgraded to b2 from b1

Long-term Counterparty Risk Assessment, Downgraded to Ba2(cr) from
Ba1(cr)

Affirmations:

Baseline Credit Assessment, Affirmed b2

Short-term Counterparty Risk Assessment, Affirmed NP(cr)

Short-term Counterparty Risk Ratings, Affirmed NP

Long-term Counterparty Risk Ratings, Affirmed Ba2

Short-term Bank Deposit Ratings, Affirmed NP

Long-term Bank Deposit Ratings, Affirmed B1, Outlook Changed To
Positive From Stable

Outlook Action:

Outlook, Changed To Positive From Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
Methodology published in July 2021.



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C Z E C H   R E P U B L I C
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SEVEROMORAVSKE VODOVODY: Fitch Affirms 'BB+' IDRs, Outlook Stable
-----------------------------------------------------------------
Fitch Ratings has affirmed Severomoravske vodovody a kanalizace
Ostrava, a.s.'s (SmVaK) Long-Term Foreign- and Local- Currency
Issuer Default Ratings (IDR) at 'BB+' with Stable Outlooks. Fitch
has also affirmed the local-currency senior unsecured rating of
SmVaK's CZK5.4 billion (EUR205 million) bond at 'BBB-'.

The affirmation reflects Fitch's expectation of stable leverage, as
higher capex is likely to be mitigated by lower dividends, and
Fitch's view of manageable refinancing risk for the CZK5.4 billion
bond due in July 2022. Fitch assumes the bond will be refinanced at
SmVaK level in 1H22 with a similar covenanted structure.

The ratings of SmVaK continue to reflect its stable operations as a
regional water utility in the Moravia and Silesia region of the
Czech Republic and its low business risk profile driven by
regulated earnings.

KEY RATING DRIVERS

Higher Capex: Fitch expects SmVaK's capex to further increase to
CZK4.4 billion in 2021-2025, compared with CZK3.8 billion in
2020-2024 and CZK3.6 billion in 2019-2023. The increase, largely
back-loaded in the projected period, relates to asset recovery, is
highly granular by project size, and reflects rising prices of
construction works. It will focus on sewerage systems, the
construction and maintenance of which are more complex and
expensive than water networks. Up to 90% of the plan represents
maintenance capex, making it difficult to cut or postpone. However,
Fitch expects it to be mitigated by a gradual reduction in dividend
pay-outs .

Leverage within Sensitivity: SmVaK's financial policy is driven by
covenants embedded in the CZK5.4 billion bond documentation, which
includes limits on leverage (5.0x net-debt/EBITDA) and dividends
(100% net profit pay-out). The covenants provide stability to
SmVaK's credit metrics as the company tends to maximise dividends
allowed by the leverage covenant. Fitch's rating case sees funds
from operations (FFO) net leverage averaging 5.2x over 2021-2025,
which is within Fitch's rating sensitivity of 5.0x-5.5x. Fitch
expects FFO interest cover to remain either above or within Fitch's
sensitivity of 5.0x-6.0x.

Large Refinancing: SmVaK's CZK5.4 billion bond will become due in
July 2022. Its size is large versus the company's operations and
SmVaK will either need to refinance it or to repay with funds
provided by shareholder, FCC Aqualia (BBB-/Stable). The latter
could happen, for example, through a parent-level refinancing
combining FCC Aqualia's and SmVaK's bonds maturing in 2022 into
one. Fitch's rating case currently assumes that SmVaK will
refinance the bond on its own in 1H22, in the same amount and with
similar conditions and covenanted structure as the maturing one.

Standalone Approach: SmVaK is rated on a standalone basis due to
currently weak links with its parent, FCC Aqualia, reflecting
separate operations, the absence of cross-default clauses with
SmVaK at FCC Aqualia level and SmVaK's bond covenants, which
include limits on distribution of profits and maximum leverage.
This approach may change if Fitch sees evidence of strengthened
links with the parent, e.g. if SmVaK's bond is refinanced at FCC
Aqualia's level, FCC Aqualia provides tangible support to SmVaK (as
a notch-stronger parent) or FCC Aqualia includes cross-default
clauses with the subsidiary in its financing documentation.

Benign Regulations: The Czech regulatory framework continues to be
supportive of SmVaK's credit profile. There is no independent
regulator, but tariffs must be set within legal boundaries. These
include a pass-through of all operating costs related to regulated
activities, a return on capital employed (WACC) of 7% as well as a
maximum yearly increase in regulated profit of 7%. Volume risk is
mitigated by predictable trends and tariff adjustments if volumes
or cost inflation fluctuate outside plans.

Changes in Tariffs: From 2022 some changes to tariff-setting will
take place, such as extending the tariff period to five years (from
one), application of a replacement value of assets in the
calculation of the maximum profit (currently the lower book value
is applied) as well as improved benchmarking and other proceedings.
The extension of the tariff period and the application of
replacement value may be positive over the long term, if not
mitigated by negative developments, e.g. higher efficiency targets
or lower allowed profits. Fitch will review the impact on SmVaK
once the changes are implemented.

Strong Market Position: SmVaK operates as a regional water and
sewerage monopoly in the Moravia and Silesia region of the Czech
Republic. It is located in a fairly densely populated area with
access to three separate water reservoirs in mountainous locations,
each of which is able to fully supply the whole region. SmVaK is
both the owner and operator of the assets in its core region of
operations. It acts also as asset operator in some other locations
in the Czech Republic and as water supplier to the border area with
Poland.

Generic Senior Unsecured Uplift: The unsecured bond rating benefits
from a single-notch uplift from the IDR to reflect SmVaK's fully
regulated, network-based earnings profile and better-than-average
recovery prospects, also due to ownership of the network. The
regulatory framework has a long, favourable history and the
company's asset values have been preserved over the last 20 years.

DERIVATION SUMMARY

SmVaK's closest peers among Fitch-rated water utilities are Polish
Aquanet S.A. (BBB+/Stable) and Miejskie Wodociagi i Kanalizacja w
Bydgoszczy Sp. z o.o. (MWiK; BBB/Stable). SmVaK operates in a more
predictable regulatory framework and owns a more developed asset
base, but its leverage is significantly higher than Aquanet's and
MWiK's. Aquanet is the largest peer in FFO with low leverage and
full retention of profits, which underpins its highest
creditworthiness among the three companies. MWiK's credit profile
is in between that of Aquanet and SmVaK.

The ratings of both Aquanet and MWiK incorporate a single-notch
uplift to their Standalone Credit Profiles of 'bbb' and 'bbb-',
respectively, under Fitch's Government-Related Entities (GRE)
Criteria due to links with their respective municipal parents, the
City of Poznan (A-/Stable) and the City of Bydgoszcz (A-/Stable).
This is not the case for SmVaK, which is in private ownership and
ring-fenced from its parent.

KEY ASSUMPTIONS

Fitch's key assumptions within its rating case for the issuer
include:

-- Reduction in water sales volumes on average by 0.2% per annum
    until 2025;

-- Tariffs increasing on average by 1.6% per annum until 2025 on
    the back of rising operating costs;

-- Stable EBITDA at around CZK1.1 billion per annum until 2025;

-- Capex totalling CZK4.4 billion over 2021-2025;

-- Dividend pay-out at 70% in 2021, down to 40% by 2024, and 0%
    in 2025; dividends might ultimately be higher in case of lower
    capex or better operational results than currently assumed in
    the rating case;

-- Bond refinanced in 1H22 at SmVaK level at a coupon of 3%.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

-- FFO net leverage below 5.0x and FFO interest cover above 6.0x,
    both on a sustained basis;

-- Lower business risk, for example in the form of an independent
    regulator in a still benign regulatory framework, or other
    favourable regulatory improvements;

-- Strengthened linkage with the higher-rated parent, for
    example, in the form of cross-default clauses between SmVaK's
    refinanced bond and FCC Aqualia's debt, of refinancing
    conducted at the parent level, or tangible support from FCC
    Aqualia to SmVaK.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

-- FFO net leverage above 5.5x and FFO interest cover below 5.0x,
    both on a sustained basis, in the absence of support from the
    parent;

-- Higher business risk, such as a less benign or more
    politically exposed tariff determination, and lower WACC.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Healthy Liquidity: At end-June 2021, SmVaK had readily available
cash of CZK328 million, no debt maturing over 2021 and
Fitch-calculated negative free cash flow of CZK130 million for the
year.

Liquidity is supported by a stable and predictable regulatory
environment and a highly cash-generative business. The company has
also uncommitted credit lines of CZK120 million, which have been
used for the issuance of bank guarantees related to the operation
of licence agreements and participation in tenders. Fitch deems
liquidity as sufficient until July 2022, when SmVaK's CZK5.4
billion bond matures.

Refinancing Options: Fitch assumes SmVaK will unilaterally
refinance its bond in 1H22, in the same amount and with similar
conditions and covenanted structure as the maturing one. However,
Fitch does not rule out a joint refinancing with FCC Aqualia's
EUR700 million bond maturing in June 2022. Apart from the bond
refinancing, SmVaK has no plans for other loans, bonds or subsidies
from the EU or the state in 2021-2025.

ISSUER PROFILE

SmVaK is owner and operator of the water and wastewater
infrastructure in the Moravian-Silesian Region of the Czech
Republic.

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



=============
G E R M A N Y
=============

VOITH GMBH: S&P Downgrades Ratings to 'BB+', Outlook Stable
-----------------------------------------------------------
S&P Global Ratings lowered its ratings on Voith GmbH & Co. KGaA,
the market-leading equipment and service provider for the
hydropower and paper industry, to 'BB+' from 'BBB-'.

The stable outlook reflects S&P's view that Voith will be able to
expand its revenues and improve its EBITDA margin to more than 7%,
with debt to EBITDA lower than 3x in FY2022.

Debt to EBITDA will remain depressed in FY2021 at just below 4x and
recover to below 3xby FY2022 as profitability remains constrained
over the next two years. S&P said, "We expect Voith's adjusted debt
will remain elevated, exceeding EUR920 million in FY2021, primarily
due to debt-financed acquisitions. However, we estimate that the
EBITDA margin will recover to about 6.0% from 5.2% in FY2020, much
lower than the 7.5% we estimated before. The constrained
profitability, which is caused by flattish revenue development,
project delays relating to the COVID-19 pandemic, prolonged low
profitability of the hydro segment, and restructuring charges to
reduce overhead costs, will translate into debt to EBITDA of
3.7x-3.8x in FY2021 only slightly improved compared with 4.0x in
FY2020. For FY2022, we anticipate a gradual improvement in
profitability, with the EBITDA margin reaching 7.2% supported by
diminishing headwinds and revenue growth of about 4%. Since we
expect only a minor reduction in adjusted debt from retained cash
flows, we expect debt to EBITDA will be lower than 3x in FY2022."

Cost-efficiency measures implemented to reduce overhead costs put
additional pressure on credit metrics and rating headroom. Voith's
exposure to mature end markets has let to flat revenue development
since 2015, which S&P views as one constraint for the group's
profitability since cost inflation needs to be compensated by
efficiency measures or it squeezes the profit margin. The group has
implemented an efficiency program to reduce overhead costs, which
will weigh on profitability over the next two years, limiting
rating headroom. The measures include a reduction of personnel
costs mainly through early retirement offerings.

An order backlog of more than EUR6 billion, thanks to healthy
dynamics in its paper segment, and increasing share of aftermarket
service provide revenue visibility. Voith's large order backlog of
more than EUR6 billion as of March 31, 2021, supports our forecast
of a recovery of operating performance. Orders at its hydro
division well exceed two years and at the paper and turbo
divisions, the backlog represents about 12 months of production.
S&P said, "For the hydro business, we forecast that operating
performance will remain weak but improve gradually once
less-profitable projects are completed and pandemic-related
construction delays and costs lessen. On the other hand, the paper
business is showing promising growth dynamics, with solid order
intake and improving profitability, supported by healthy demand for
its tissue, board, and packaging (plastic to paper) products. We
estimate that the group generates more than one-third of its
revenue from services, which we view as less volatile and more
profitable than new equipment sales, and are increasing in line
with the installed asset base." Moreover, Voith's products are
highly sophisticated, and clients tend not to switch to third
parties for servicing or spare parts.

Free operating cash flow (FOCF) generation remains limited in
FY2021 and FY2022. Voith's FOCF of more than EUR130 million in
FY2020 was supported by working capital release and low capital
expenditure (capex). S&P said, "With increasing revenue, we
estimate some working capital buildup and capex to return to
prepandemic levels of EUR100 million-EUR115 million per year. We
further anticipate some cash outflows from restructuring and
related provisions over the next two years. All in all, we expect
FOCF to be slightly negative to neutral in FY2021 before turning
positive at more than EUR60 million in FY2022, remaining too low to
support deleveraging."

Voith's financial risk profile is supported by high cash balances,
relatively low net financial debt, and a conservative financial
policy. S&P said, "We do not expect any material acquisitions over
the next two years and dividend payments are likely to be
relatively stable at up to EUR35 million a year. By retaining most
of the generated FOCF, Voith can reduce debt and allow its credit
metrics to recover, while the impact will be limited over the next
two years. We understand that management remains committed to a
conservative financial policy. The group has about EUR500 million
in cash on its balance sheet and an undrawn revolving credit
facility (RCF) of EUR550 million. We view this high level of cash
and ample liquid sources as supportive. In addition, net financial
debt will be less than EUR200 million at the end of FY2021 and 70%
of our adjusted debt figure relates to pension obligations (EUR664
million), which have a long duration: annual cash outflows are less
than EUR30 million." Given the long duration, accounting for the
obligation is very sensitive to any movement in discount rates,
which reached a low point at the end of FY2019.

Outlook

S&P said, "The stable outlook reflects our view that Voith will be
able to gradually improve its operating performance and credit
metrics over the next 12 to 18 months on its solid order backlog of
more than EUR6 billion. We expect its S&P Global Ratings-adjusted
EBITDA margin to improve beyond 7% and debt to EBITDA to be less
than 3x by FY2022. We also incorporate our expectation of positive
FOCF over the next two years."

Downside scenario

S&P said, "We could lower our rating or revise the outlook to
negative if the group does not improve its revenue or EBITDA
margins as expected, resulting in debt to EBITDA lower than 3x; or
if it is unable to improve its EBITDA margin to more than 7%. Such
a development could occur if Voith's end markets become depressed,
resulting in weak order intake or if its initiated cost program
were less effective than expected."

S&P could also take a negative rating action if:

-- The group cannot increase profitability and absolute EBITDA as
projected;

-- The EBITDA margin does not improve above 7% by fiscal 2022;

-- Debt to EBITDA remains above 3x by FY2022;

-- The group cannot generate sustainable positive FOCF;

-- Liquidity deteriorates; or

-- The group undertakes debt-financed acquisitions.

Upside scenario

S&P could raise the ratings if Voith's revenue returns to growth
after a prolonged period of stagnation (excluding acquisitions),
with the S&P Global Ratings-adjusted EBITDA margin higher than 8%
and debt to EBITDA lower than 2x. Such a development could occur if
the dynamic recovery in its end markets continues and the hydro
segment posts material margin improvement.




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

GOLDENTREE LOAN 4: S&P Assigns B- (sf) Rating to Class F-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to the class A Loan,
and class X to F-R European cash flow CLO notes issued by
GoldenTree Loan Management EUR CLO 4 DAC. At closing, the issuer
also issued unrated subordinated notes.

The transaction is a reset of the existing GoldenTree Loan
Management EUR CLO 4, which closed in July 2020. The issuance
proceeds of the refinancing notes were used to redeem original
notes issued in the GoldenTree Loan Management EUR CLO 4
transaction, and pay fees and expenses incurred in connection with
the reset.

The ratings reflect S&P's assessment of:

-- The diversified collateral pool, which primarily comprises
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 is bankruptcy remote.

-- The transaction's counterparty risks, which are in line with
S&P's counterparty rating framework.

Under the transaction documents, the rated notes pay quarterly
interest unless there is a frequency switch event. Following this,
the notes will permanently switch to semiannual payment.

The portfolio's reinvestment period will end approximately 4.5
years after closing, and the portfolio's maximum average maturity
date will be eight and a half years after closing.

  Portfolio Benchmarks
                                                          CURRENT
  S&P Global Ratings weighted-average rating factor      2,748.11
  Default rate dispersion                                  620.48
  Weighted-average life (years)                              4.83
  Obligor diversity measure                                115.78
  Industry diversity measure                                20.82
  Regional diversity measure                                 1.35

  Transaction Key Metrics
                                                          CURRENT
  Total par amount (mil. EUR)                               375.0
  Defaulted assets (mil. EUR)                                   0
  Number of performing obligors                               138
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                          'B'
  'CCC' category rated assets (%)                            3.73
  'AAA' weighted-average recovery (covenanted) (%)          37.08
  Covenanted weighted-average spread (%)                     3.40
  Reference weighted-average coupon (%)                      3.50

S&P said, "We consider that the portfolio will be well-diversified
on the effective date, 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
collateralized debt obligations.

"In our cash flow analysis, we modelled the EUR375 million target
par amount, the covenanted weighted-average spread (3.40%), the
reference weighted-average coupon (3.50%), and the covenanted
weighted-average recovery rates. 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 sovereign risk criteria, we consider
that the transaction's exposure to country risk is sufficiently
mitigated at the assigned ratings.

"The transaction's documented counterparty replacement and remedy
mechanisms adequately mitigate its exposure to counterparty risk
under our current counterparty criteria.

"The transaction's legal structure is bankruptcy remote, in line
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 the class A
Loan, and the class X to F-R notes. Our credit and cash flow
analysis indicates that the available credit enhancement for the
class B-R to D-R notes could withstand stresses commensurate with
higher ratings 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 ratings assigned to the notes.

"Our credit and cash flow analysis shows a negative break-even
default rate (BDR) cushion for the class F-R notes at the 'B-'
rating level. Nevertheless, based on the portfolio's actual
characteristics and additional overlaying factors, including our
long-term corporate default rates and recent economic outlook, we
believe this class is able to sustain a steady-state scenario, in
accordance with our criteria." S&P's analysis reflects several
factors, including:

-- The class F-R notes' available credit enhancement is in the
same range as that of other CLOs we have rated and that have
recently been issued in Europe.

-- S&P's BDR at the 'B-' rating level is 23.33% versus a portfolio
default rate of 14.96% if we were to consider a long-term
sustainable default rate of 3.1% for a portfolio with a
weighted-average life of 4.83 years.

-- Whether the tranche is vulnerable to nonpayment in the near
future.

-- If there is a one-in-two chance for this note to default.

-- If S&P envisions this tranche to default in the next 12-18
months.

-- Following this analysis, S&P considers that the available
credit enhancement for the class F-R notes is commensurate with a
'B- (sf)' rating.

-- The transaction securitizes a portfolio of primarily senior
secured leveraged loans and bonds, and is managed by GoldenTree
Loan Management II LP.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class A
Loan and the class X to E-R notes to five of the 10 hypothetical
scenarios we looked at in our publication, see "How Credit Distress
Due To COVID-19 Could Affect European CLO Ratings," published on
April 2, 2020.

"For the class E-R and F-R notes, our ratings analysis makes
additional considerations before assigning ratings in the 'CCC'
category, and we would assign a 'B-' rating if the criteria for
assigning a 'CCC' category rating are not met."

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets for which the obligor's primary business activity
is related to the following industries: controversial weapons,
nuclear weapons, thermal coal production, speculative extraction of
oil and gas, opioids, pornography, prostitution, tobacco or
tobacco-related products, weapons of mass destruction, and illegal
drugs. Accordingly, since the exclusion of assets from these
industries does not result in material differences between the
transaction and our ESG benchmark for the sector, no specific
adjustments have been made in our rating analysis to account for
any ESG-related risks or opportunities."

  Ratings List

  CLASS    RATING    AMOUNT    INTEREST RATE    CREDIT
                   (MIL. EUR)                   ENHANCEMENT (%)
  X        AAA (sf)    2.00    Three/six-month          N/A
                               EURIBOR plus 0.45%  
  A-R      AAA (sf)  182.50    Three/six-month        38.00
                               EURIBOR plus 1.02%
  A Loan   AAA (sf)    50.0    Three/six-month        38.00
                               EURIBOR plus 1.02%   
  B-R      AA (sf)    34.00    Three/six-month        28.93
                               EURIBOR plus 1.70%  
  C-R      A (sf)     24.20    Three/six-month        22.48
                               EURIBOR plus 2.15%
  D-R      BBB- (sf)  26.50    Three/six-month        15.41
                               EURIBOR plus 3.15%
  E-R      BB- (sf)   21.50    Three/six-month         9.68
                               EURIBOR plus 6.07%
  F-R      B- (sf)    10.30    Three/six-month         6.93
                               EURIBOR plus 8.58%
  Sub. notes   NR     37.80    N/A                      N/A

  EURIBOR--Euro Interbank Offered Rate.
  NR--Not rated.
  N/A--Not applicable.


NORTH WESTERLY V: Moody's Gives (P)B3 Rating to EUR12.8MM F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to refinancing notes to be issued by
North Westerly V Leveraged Loan Strategies CLO DAC (the "Issuer"):

EUR2,000,000 Class X Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)

EUR248,000,000 Class A Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

EUR27,500,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

EUR12,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR24,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

EUR28,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

EUR20,000,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Ba3 (sf)

EUR12,800,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)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 Moody's methodology.

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 by 12.5% or EUR250,000 over the first eight
payment dates, starting on the second payment date.

As part of this reset, the Issuer will amend the base matrix and
modifiers that Moody's will take into account for the assignment of
the definitive ratings.

As part of this refinancing, the Issuer will extend the
reinvestment period by 3.25 years to 4.5 years and the weighted
average life by 3 years to 8.5 years. It will also amend certain
definitions including the definition of "Adjusted Weighted Average
Rating Factor" and minor features. The issuer will include the
ability to hold workout obligations. In addition, the Issuer will
amend the base matrix and modifiers that Moody's will take into
account for the assignment of the definitive ratings.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior loans and up to 10% of the
portfolio may consist of secured senior bonds, unsecured senior
loans, second-lien loans, high yield bonds and mezzanine loans. The
underlying portfolio is expected to be fully ramped as of the
closing date.

NIBC Bank N.V. ("NIBC") will continue to 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 4.5-year
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk
obligations and credit improved obligations.

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

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

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 December 2020.

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

Target Par Amount: EUR400,000,000

Defaulted Par: EUR0 as of May 28, 2021[1]

Diversity Score(*): 49

Weighted Average Rating Factor (WARF): 2965

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 3.50%

Weighted Average Recovery Rate (WARR): 44.7%

Weighted Average Life (WAL): 8.5 years

TORO EUROPEAN 2: Moody's Assigns (P)B3 Rating to EUR10.3MM F Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to the Notes to be issued by Toro
European CLO 2 Designated Activity Company (the "Issuer"):

EUR1,750,000 Class X Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)

EUR244,000,000 Class A Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)

EUR33,400,000 Class B-1 Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR10,000,000 Class B-2 Secured Fixed Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR26,900,000 Class C Secured Deferrable Floating Rate Notes due
2034, Assigned (P)A2 (sf)

EUR25,700,000 Class D Secured Deferrable Floating Rate Notes due
2034, Assigned (P)Baa3 (sf)

EUR21,700,000 Class E Secured Deferrable Floating Rate Notes due
2034, Assigned (P)Ba3 (sf)

EUR10,300,000 Class F Secured Deferrable Floating Rate Notes due
2034, Assigned (P)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 Moody's methodology.

The Issuer is a managed cash flow CLO. At least 92.5% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 7.5% of the portfolio may consist of unsecured
senior loans, second-lien loans, high yield bonds and mezzanine
loans. The portfolio is expected to be over 95% ramped as of the
closing date and to comprise of predominantly corporate loans to
obligors domiciled in Western Europe. The remainder of the
portfolio will be acquired shortly after issue date in compliance
with the portfolio guidelines.

Chenavari Credit Partners LLP 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 4.5-year
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk
obligations or credit improved obligations.

On September 28, 2016 (the "Original Issue Date"), the Issuer
issued EUR39,550,000 of unrated Subordinated Notes due 2034 which
will remain outstanding. In addition, the Issuer will issue
EUR12,700,000 of Subordinated Note due 2034 which are not rated.

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 amortises by 20.0% or EUR350,000.00 over five payment
dates starting on the second payment date.

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
December 2020.

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

The rated debt's performance is subject to uncertainty. The debt's
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 debt's
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 December 2020.

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

Par Amount: EUR400,000,000.00

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2960

Weighted Average Spread (WAS): 3.75%

Weighted Average Coupon (WAC): 3.40%

Weighted Average Recovery Rate (WARR): 44.0%

Weighted Average Life (WAL): 8.5 years



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

ASIAN-PACIFIC BANK: Fitch Raises LT IDR to 'B+', Outlook Stable
---------------------------------------------------------------
Fitch Ratings has upgraded JSC Asian-Pacific Bank's (APB) Long-Term
Issuer Default Ratings (IDRs) to 'B+' from 'B'. The Outlook is
Stable.

The upgrade reflects APB's improved company profile, moderation of
asset quality risks and stronger profitability following the
completion of the bank's balance-sheet clean-up. The pressure from
the pandemic outbreak is manageable for APB's financial profile.

KEY RATING DRIVERS

APB's IDRs are driven by its intrinsic creditworthiness, which is
reflected in its Viability Rating (VR) of 'b+'. The VR factors in
the bank's limited franchise in the concentrated Russian banking
sector, with a focus on unsecured retail lending (56% of gross
loans at end-1Q21), short record of profitable performance since
the financial rehabilitation procedure, and only moderate capital
buffers. The ratings also reflect uncertainty about the bank's
strategy after its planned privatisation.

Fitch does not factor in sovereign support into the ratings,
despite APB's 100% ownership by the Central Bank of Russia (CBR),
as the bank is targeted for privatisation in the near term and
given APB's limited systemic importance. This is reflected in a '5'
Support Rating and a 'No Floor' Support Rating Floor.

The impaired loans ratio (Stage 3 and purchased or originated
credit impaired) decreased to 12% at end-1Q21 from a high 28% at
end-2019 and 43% at end-2018. This was due to sales and write-offs
of legacy exposures, as well as good quality new lending. The
coverage of impaired loans by specific loan loss allowances was an
adequate 76% at end-1Q21. Stage 2 loans accounted for 6% of gross
loans at same date. The impact of the health crisis on the bank's
asset quality has been moderate to date. Since the beginning of
2020, APB has restructured 9% of gross loans that had been granted
credit holidays. The majority of loans that had been granted
holidays have returned to their payment schedule.

APB's profitability has improved in recent years, with the
operating profit to regulatory risk-weighted assets (RWA) ratio at
about 2% in 2020 and 1Q21. Pre-impairment operating profitability
is reasonable (7% of average gross loans in 1Q21, annualised),
driven by a strong net interest margin of 8%, low funding costs of
3%, supported by the bank's reasonable franchise in the Far East
region, and moderate operating expenses, with the cost-to-income
ratio at 51% in 1Q21 (down from 63% in 2020). This was well above
loan impairment charges (3.6% of gross loans in 1Q21; 2.3% in
2020), meaning the bank showed a good return on average equity of
14% in 1Q21 (annualised) and 12% in 2020.

Fitch Core Capital stood at 12% of regulatory RWA at end-1Q21.
Regulatory capitalisation was tighter, with consolidated Tier 1 and
total capital ratios of 10.2% and 11.6%, respectively, at end-1Q21.
These were only modestly above the regulatory minimums of 8.5% and
10.5%, respectively, including buffers.

APB is mainly funded by granular retail deposits (50% of total
liabilities at end-1Q21), while corporate accounts add another 35%.
The latter are well diversified, with the largest 25 clients
representing 14% of total liabilities. Retail deposits are
price-sensitive but have proven to be sticky through the cycle,
reflecting the bank's reasonable franchise in its home region. The
liquidity cushion (cash and cash equivalents, short-term interbank
placements and unpledged securities) covered a reasonable 22% of
customer accounts at end-1Q21.

RATING SENSITIVITIES

Factor that could, individually or collectively, lead to positive
rating action/upgrade:

-- A further upgrade would require improved asset quality and a
    prolonged record of stronger performance, while maintaining
    reasonable capital buffers. The sale of APB to an institution
    rated higher than APB's VR could result in an upgrade of the
    IDR. If the CBR changes its plans to sell the bank and
    reconsiders APB's role under its ownership, Fitch may factor
    state support into APB's ratings, which can be also credit
    positive.

Factor that could, individually or collectively, lead to negative
rating action/downgrade:

-- The bank's ratings could be downgraded in case of marked
    deterioration in asset quality, weakened profitability or
    extensive lending growth, resulting in a decrease of
    prudential capital ratios closer to regulatory minimums with
    buffers.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Financial Institutions and
Covered Bond issuers have a best-case rating upgrade scenario
(defined as the 99th percentile of rating transitions, measured in
a positive direction) of three notches over a three-year rating
horizon; and a worst-case rating downgrade scenario (defined as the
99th percentile of rating transitions, measured in a negative
direction) of four notches over three years. The complete span of
best- and worst-case scenario credit ratings for all rating
categories ranges from 'AAA' to 'D'. Best- and worst-case scenario
credit ratings are based on historical performance.

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

BANCA INTESA: Fitch Affirms 'BB+' LT IDRs, Outlook Stable
---------------------------------------------------------
Fitch Ratings has affirmed Banca Intesa Russia's (BIR) Long-Term
Issuer Default Ratings (IDRs) at 'BB+' with a Stable Outlook and
Viability Rating (VR) at 'b+'.

KEY RATING DRIVERS

BIR's IDRs and Support Rating (SR) of '3' are driven by potential
support from the bank's sole shareholder, Intesa Sanpaolo S.p.A.
(ISP, BBB-/Stable), if needed, given the strategic importance of
the Russian market to ISP, strong integration, and high
reputational risk to ISP in case of the subsidiary defaulting.
Fitch believes that any required support would be immaterial
relative to the parent's ability to provide it, given that the
subsidiary's assets account for about 0.1% of the parent's
consolidated assets. The Stable Outlook mirrors that on ISP.

The VR reflects BIR's small franchise and weak profitability but
also captures improved asset-quality metrics, adequate
capitalisation and a stable funding profile. The economic downturn
in Russia from the pandemic only had a moderate impact on BIR's
financial profile.

The bank's asset quality metrics are healthy and were largely
unaffected by the pandemic, due to its low risk appetite and the
good quality of the largest exposures. The impaired loans ratio
(Stage 3 and purchased or originated credit-impaired loans under
IFRS 9) reduced to 6% at end-1Q21 from 11% at end-2019 owing to
sales, write-offs and limited origination of new problem exposures.
Impaired loans coverage by total loan loss allowance was adequate
at 91%. The share of foreign currency loans remains high (46% at
end-1Q21), although most borrowers have foreign currency revenues,
which mitigates the risks from local currency depreciation.

Profitability is the key rating weakness. The ratio of operating
profit to risk-weighted assets (RWA) was a modest 0.2% in 1Q21
(annualised), pressured by high operating expenses (the
cost-to-income ratio was 99%), narrow margins and only moderate fee
income. The cost of risk (defined as loan impairment
charges/average gross loans) was only 0.5% in 2020, due to
tightened underwriting standards and was negative in 1Q21 owing to
recoveries.

BIR's capitalisation is reasonable, as captured by its 11.8% Fitch
Core Capital ratio at end-1Q21 (which should be considered in light
of a high 137% RWA density), down from 14.6% at end-2019. The
decline in the FCC ratio reflected balance sheet growth amid local
currency depreciation, while internal capital generation has
remained limited.

Customer deposits reduced to 43% of end-1Q21 liabilities from 68%
at end-2019, mainly due to repayment of a few large deposits.
Funding from related parties accounted for a further 43% of
liabilities and proved to be stable in the recent years. Liquidity
buffer (cash, short-term interbank placements and unpledged
securities eligible for repo with the Russian Central Bank) was
healthy, covering 55% of deposits at the same date.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

-- BIR's Long-Term IDRs would likely be downgraded if the parent
    was downgraded. They are also sensitive to a weakening of the
    parent's propensity to provide support, which Fitch views as
    unlikely.

-- The VR could be downgraded if BIR's capital metrics erode
    significantly either from rapid balance sheet growth or
    negative profitability, assuming this is not promptly
    addressed by the shareholder.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

-- BIR's IDRs and SR could be upgraded if ISP was upgraded.

-- The VR could be upgraded if the bank achieves a meaningful
    improvement in profitability (recurring operating profits/RWA
    above 0.5%), while maintaining reasonable asset quality and
    capitalisation.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Financial Institutions and
Covered Bond issuers have a best-case rating upgrade scenario
(defined as the 99th percentile of rating transitions, measured in
a positive direction) of three notches over a three-year rating
horizon; and a worst-case rating downgrade scenario (defined as the
99th percentile of rating transitions, measured in a negative
direction) of four notches over three years. The complete span of
best- and worst-case scenario credit ratings for all rating
categories ranges from 'AAA' to 'D'. Best- and worst-case scenario
credit ratings are based on historical performance.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

BIR's Long-Term IDRs and SR are linked to ISP's 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 the way in which they are being
managed by the entity.

CREDIT BANK OF MOSCOW: S&P Raises LT ICR to 'BB', Outlook Stable
----------------------------------------------------------------
S&P Global Ratings raised its long-term issuer credit rating on
Credit Bank of Moscow (CBOM) to 'BB' from 'BB-', as well as the
long-term rating on its nonoperating holding company Concern
Rossium LLC to 'B' from 'B-'. The outlook on both ratings is
stable. At the same time, the 'B' short-term issuer credit ratings
on both companies were affirmed.

S&P said, "In our view, CBOM has proven resilient to the turbulent
market environment, as evidenced by its credit losses and asset
quality metrics. The bank's problem loans, defined by International
Financial Reporting Standard 9 as stage 3 loans and POCI loans
(purchased or originated credit impairment), stabilized at about 5%
of gross loans as of March 31, 2021. This proportion is among the
lowest in the system and is stable compared with the March 2020
level of 5.1%. In 2020 the bank charged 1.8% credit costs, which
mirrors the sector-average metric for Russia's largest banks. For
the first quarter of 2021 CBOM charged just 40 basis points of new
credit costs (annualized). We believe credit costs for 2021 could
comprise 1.0%-1.5% of the average loan book, because we expect
economic rebound and asset quality recovery, although some tail
risks from the 2020 recession could still influence the asset
quality metrics. We anticipate that stage 3 and POCI loans will
likely remain around 5% and we expect the bank will maintain its
focus on high-quality borrowers over the next two years."

In the first quarter of 2021, the bank's net profit stood at
Russian ruble (RUB) 8.3 billion compared with RUB5.1 billion for
the same period of 2020. In 2020 the bank demonstrated good
earnings capacity during the turbulent operating environment,
posting net profit of RUB30 billion (versus RUB12 billion for
2019), with one of the best efficiency rates in the sector
(cost-to-income ratio of 28% in 2020, and average annual return on
equity of about 15% over 2017-2020).

S&P said, "In May 2021, the shareholders injected RUB23 billion of
new tier 1 capital. In our base case, we do not include any
additional capital injections over the next two years. At the same
time, we don't envisage dividend payments for 2020-2021. That said,
CBOM has sufficient capital buffers for organic business growth or
absorption of moderate pressure on asset quality.

"We expect concentration risk, including significant repurchase
transactions, to remain sizable and above the market average for
banks in Russia through the next 12-18 months. On March 31, 2021,
reverse repurchase transactions accounted for about 45% of the
bank's total assets. We consider the high concentration on the
bank's balance (not specifically repurchase deals) makes the bank
vulnerable to potential additional provisions if the largest
borrowers' quality deteriorates, or in case of large withdrawals on
the funding side. However, large deposits have been relatively
stable with no unexpected withdrawals made, and we expect them to
remain reasonably stable in our base case. The bank's accumulated
liquidity buffers provide additional cushion.

"Russian businessman Roman Avdeev holds a 56.1% stake in the bank
via Rossium. We don't expect any significant potential changes to
Rossium's structure or investments profile, nor any strategic
shifts for the bank.

"The rating on CBOM reflects our 'bb-' anchor for a commercial bank
operating in Russia, CBOM's 'bb-' stand-alone credit profile
(SACP), and one notch of additional support to reflect our view of
the bank's moderate systemic importance in Russia. This is driven
by its sizable market share in lending and deposits (especially in
the Moscow Oblast), resulting in a moderate likelihood of
extraordinary support from the government. Our SACP assessment
factors in the bank's especially strong brand recognition and
established franchise in Moscow and the Moscow Oblast. Our rating
also reflects the bank's ability to raise money via the capital
markets and the ability of its major shareholder to provide support
if necessary.

"The rating on Rossium is two notches lower than CBOM's SACP,
because we don't incorporate any likelihood of extraordinary
support from the government to the holdco.

"The stable outlook on CBOM reflects our view that the bank will be
able to withstand the challenging operating environment in Russia
in the next 12-18 months, while maintaining adequate capitalization
with asset quality metrics in line with the sector average.

"We could take a negative rating action if we saw increased
volatility in customer deposits, posing a risk to CBOM's funding
profile. Pressure could also stem from negative trends in asset
quality or capital adequacy deriving from higher-than-expected loan
book growth.

"A positive rating action on CBOM is unlikely in the next 12
months, in our view, due to the risks stemming from still-high
concentration of loans on the bank's balance sheet and its
concentrated funding profile.

"The stable outlook on Rossium mirrors that on CBOM, and we don't
currently factor any material potential changes in the group's
structure or investment profile in our assessment. We expect the
rating will move in tandem with that on CBOM, assuming double
leverage does not increase substantially above current levels and
CBOM's dividend policy maintains adequate capitalization for the
bank."




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

BANCAJA 9: Fitch Puts LT B+sf Rating on Series D RMBS on Watch Neg.
-------------------------------------------------------------------
Fitch Ratings has placed 153 Dutch RMBS ratings Under Criteria
Observation (UCO), eight Belgian, Greek, French and German RMBS
ratings on Rating Watch Positive (RWP) and one Greek and one
Spanish RMBS ratings on Rating Watch Negative (RWN) following the
publication of its European RMBS Rating Criteria on 19 July 2021.

     DEBT                   RATING                          PRIOR
     ----                   ------                          -----
STORM 2016-II B.V.

B XS1477681339        LT AA+sf  Under Criteria Observation  AA+sf
C XS1477681503        LT Asf    Under Criteria Observation  Asf
D XS1477682147        LT BBBsf  Under Criteria Observation  BBBsf

E-MAC NL 2004-1 B.V.

Class A XS0188806870  LT Bsf    Under Criteria Observation  Bsf
Class B XS0188807506  LT Bsf    Under Criteria Observation  Bsf
Class C XS0188807928  LT Bsf    Under Criteria Observation  Bsf
Class D XS0188808819  LT CCCsf  Under Criteria Observation  CCCsf

DCDML 2016-1 B.V.

B XS1373216610        LT AA+sf  Under Criteria Observation  AA+sf
C XS1373216701        LT A+sf   Under Criteria Observation  A+sf
D XS1373216966        LT BBBsf  Under Criteria Observation  BBBsf
E XS1373217006        LT B-sf   Under Criteria Observation  B-sf

STORM 2015-II

D XS1271705680        LT AA+sf  Under Criteria Observation  AA+sf

Tulip Mortgage Funding 2019-1 B.V.

B XS2052926917        LT AA+sf  Under Criteria Observation  AA+sf
C XS2052927139        LT Asf    Under Criteria Observation  Asf

Phedina Hypotheken 2010 B.V.

B XS0544016396        LT A+sf   Under Criteria Observation  A+sf

E-MAC NL 2005-I B.V.

Class A XS0216513118  LT Asf    Under Criteria Observation  Asf
Class B XS0216513548  LT Asf    Under Criteria Observation  Asf
Class C XS0216513977  LT A-sf   Under Criteria Observation  A-sf
Class D XS0216514199  LT A-sf   Under Criteria Observation  A-sf

STORM 2018-II

B XS1865824624        LT AAsf   Under Criteria Observation  AAsf
C XS1865824897        LT Asf    Under Criteria Observation  Asf
D XS1865825191        LT BBB+sf Under Criteria Observation  BBB+sf


STRONG 2018

Class B XS1917948264  LT BBB+sf Under Criteria Observation  BBB+sf


E-MAC NL 2004-II B.V.

Class A XS0207208165  LT Asf    Under Criteria Observation  Asf
Class B XS0207209569  LT Asf    Under Criteria Observation  Asf
Class C XS0207210906  LT BBB+sf Under Criteria Observation  BBB+sf

Class D XS0207211037  LT BBBsf  Under Criteria Observation  BBBsf
Class E XS0207264077  LT CCCsf  Under Criteria Observation  CCCsf

E-MAC Program II B.V. Compartment NL 2008-IV

Class A XS0355816264  LT AAsf   Under Criteria Observation  AAsf
Class B XS0355816421  LT A-sf   Under Criteria Observation  A-sf
Class C XS0355816694  LT A-sf   Under Criteria Observation  A-sf
Class D XS0355816934  LT B+sf   Under Criteria Observation  B+sf

Green Storm 2017 B.V.

B XS1609026049        LT AA+sf  Under Criteria Observation  AA+sf
C XS1609026478        LT Asf    Under Criteria Observation  Asf
D XS1609026551        LT BBBsf  Under Criteria Observation  BBBsf

Green Storm 2021

Class B XS2294852616  LT AA+sf  Under Criteria Observation  AA+sf
Class C XS2294852962  LT A+sf   Under Criteria Observation  A+sf
Class D XS2294853002  LT BBB+sf Under Criteria Observation  BBB+sf


Tulip Mortgage Funding 2020-1 B.V.

B XS2244941733        LT AAsf   Under Criteria Observation  AAsf
C XS2244941816        LT A-sf   Under Criteria Observation  A-sf

Lowland Mortgage Backed Securities 6 B.V.

C XS1895559620        LT AA+sf  Under Criteria Observation  AA+sf
D XS1895559893        LT A+sf   Under Criteria Observation  A+sf
E XS1895560040        LT BB+sf  Under Criteria Observation  BB+sf

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

A XS0325178548        LT A-sf   Under Criteria Observation  A-sf
B XS0325183464        LT BBB-sf Under Criteria Observation  BBB-sf

C XS0325183621        LT B+sf   Under Criteria Observation  B+sf
D XS0325184355        LT CCCsf  Under Criteria Observation  CCCsf

Bass Master Issuer N.V. - S.A. Series 0-2008-1

Class B BE0002365378  LT AA+sf  Rating Watch On             AA+sf
Class C BE0002366384  LT A+sf   Rating Watch On             A+sf

E-MAC Program III B.V. Compartment NL 2008-I

Class A2 XS0344800957 LT AA+sf  Under Criteria Observation  AA+sf
Class B XS0344801765  LT Asf    Under Criteria Observation  Asf
Class C XS0344801922  LT A-sf   Under Criteria Observation  A-sf
Class D XS0344802060  LT BB+sf  Under Criteria Observation  BB+sf

E-MAC NL 2005-III B.V.

Class A XS0236785431  LT Bsf    Under Criteria Observation  Bsf
Class B XS0236785860  LT Bsf    Under Criteria Observation  Bsf
Class C XS0236786082  LT Bsf    Under Criteria Observation  Bsf
Class D XS0236786595  LT CCCsf  Under Criteria Observation  CCCsf
Class E XS0236787056  LT CCCsf  Under Criteria Observation  CCCsf

Cartesian Residential Mortgages 5 S.A.

B XS2124855607        LT AA+sf  Under Criteria Observation  AA+sf
C XS2124855789        LT A+sf   Under Criteria Observation  A+sf
D XS2124855946        LT BBB+sf Under Criteria Observation  BBB+sf


Cartesian Residential Mortgages Blue S.A

B XS1971362600        LT AA+sf  Under Criteria Observation  AA+sf
C XS1971362865        LT A+sf   Under Criteria Observation  A+sf
D XS1971363087        LT A-sf   Under Criteria Observation  A-sf
E XS1971363160        LT BBBsf  Under Criteria Observation  BBBsf

Harmony French Home Loans FCT 2020-2

B FR0013536224        LT Asf    Rating Watch On             Asf

STORM 2020-1 B.V.

B XS2099547452        LT AAsf   Under Criteria Observation  AAsf
C XS2099547619        LT Asf    Under Criteria Observation  Asf
D XS2099547882        LT BBBsf  Under Criteria Observation  BBBsf

STORM 2017-I B.V.

Class B XS1543625682  LT AAsf   Under Criteria Observation  AAsf
Class C XS1543625849  LT Asf    Under Criteria Observation  Asf
Class D XS1543625922  LT BBB-sf Under Criteria Observation  BBB-sf


STORM 2018-I B.V.

B XS1729913787        LT AAsf   Under Criteria Observation  AAsf
C XS1729914082        LT Asf    Under Criteria Observation  Asf
D XS1729914165        LT BBBsf  Under Criteria Observation  BBBsf

Storm 2019-I B.V.

B XS1965521468        LT AAsf   Under Criteria Observation  AAsf
C XS1965521898        LT Asf    Under Criteria Observation  Asf
D XS1965521971        LT BBBsf  Under Criteria Observation  BBBsf

EDML 2018-1 B.V.

Class C XS1744729044  LT AA+sf  Under Criteria Observation  AA+sf
Class D XS1744729127  LT AA-sf  Under Criteria Observation  AA-sf
Class E XS1744729390  LT A+sf   Under Criteria Observation  A+sf
Class F XS1744729473  LT Asf    Under Criteria Observation  Asf
Class G XS1744734556  LT BBBsf  Under Criteria Observation  BBBsf

Dutch MBS XIX B.V.

Class B XS1906410235  LT A+sf   Under Criteria Observation  A+sf
Class C XS1906410318  LT A+sf   Under Criteria Observation  A+sf
Class D XS1906410409  LT Asf    Under Criteria Observation  Asf

PEARL Mortgage Backed Securities 1 B.V.

Class B XS0265252253  LT Bsf    Under Criteria Observation  Bsf
Class S XS0715998331  LT BBB+sf Under Criteria Observation  BBB+sf


E-MAC Program B.V. Compartment NL 2006-III

Class A2 XS0274609923 LT Bsf    Under Criteria Observation  Bsf
Class B XS0274610855  LT Bsf    Under Criteria Observation  Bsf
Class C XS0274611317  LT Bsf    Under Criteria Observation  Bsf
Class D XS0274611747  LT CCCsf  Under Criteria Observation  CCCsf
Class E XS0275099322  LT CCCsf  Under Criteria Observation  CCCsf

Cartesian Residential Mortgages 3 S.A.

B XS1848866007        LT AA+sf  Under Criteria Observation  AA+sf
C XS1848868391        LT A+sf   Under Criteria Observation  A+sf
D XS1848870538        LT BBBsf  Under Criteria Observation  BBBsf

Eurosail-NL 2007-2 B.V.

Class A XS0327216569  LT A+sf   Under Criteria Observation  A+sf
Class B XS0327217880  LT Bsf    Under Criteria Observation  Bsf
Class C XS0327218425  LT CCCsf  Under Criteria Observation  CCCsf
Class D1 XS0327219159 LT CCCsf  Under Criteria Observation  CCCsf
Class M XS0330526772  LT BBBsf  Under Criteria Observation  BBBsf

Cartesian Residential Mortgages 2 S.A.

C XS1630716733        LT A+sf   Under Criteria Observation  A+sf
D XS1630716907        LT Asf    Under Criteria Observation  Asf

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

Class A2 XS0307677640 LT A+sf   Under Criteria Observation  A+sf
Class B XS0307682210  LT A-sf   Under Criteria Observation  A-sf
Class C XS0307682723  LT BB+sf  Under Criteria Observation  BB+sf
Class D XS0307683291  LT CCCsf  Under Criteria Observation  CCCsf
Class E XS0307683531  LT CCCsf  Under Criteria Observation  CCCsf

Grifonas Finance No. 1 Plc

Class A XS0262719320  LT BBBsf  Rating Watch On             BBBsf
Class B XS0262719759  LT BBsf   Rating Watch On             BBsf
Class C XS0262720252  LT Bsf    Rating Watch On             Bsf

EDML 2019-1 B.V.

C XS2076796403        LT A+sf   Under Criteria Observation  A+sf
D XS2076796585        LT Asf    Under Criteria Observation  Asf
E XS2076796742        LT BBB-sf Under Criteria Observation  BBB-sf


CASPR S.a.r.l. Compartment CASPR-1

B XS2265972559        LT Asf    Rating Watch On             Asf
C XS2265972807        LT BBB+sf Rating Watch On             BBB+sf


Wendelstein 2017-1 UG (haftungsbeschraenkt)

A DE000A2G87A0        LT Asf    Rating Watch On             Asf

FORDless STORM 2018 B.V.

C XS1756491319        LT AA+sf  Under Criteria Observation  AA+sf
D XS1756492986        LT A+sf   Under Criteria Observation  A+sf

Green Storm 2019 B.V.

Class B XS2019291728  LT AA+sf  Under Criteria Observation  AA+sf
Class C XS2019291991  LT A+sf   Under Criteria Observation  A+sf
Class D XS2019292023  LT BBB+sf Under Criteria Observation  BBB+sf


Lowland Mortgage Backed Securities 5 B.V.

C XS1815297509        LT AA-sf  Under Criteria Observation  AA-sf
D XS1815297764        LT A-sf   Under Criteria Observation  A-sf
E XS1815297921        LT BB+sf  Under Criteria Observation  BB+sf

EDML 2017-1 B.V.

C XS1626193145        LT A+sf   Under Criteria Observation  A+sf
D XS1626193228        LT A+sf   Under Criteria Observation  A+sf
E XS1626193491        LT A-sf   Under Criteria Observation  A-sf

Lowland Mortgage Backed Securities 4 B.V.

C XS1551597070        LT AA+sf  Under Criteria Observation  AA+sf
D XS1551597153        LT Asf    Under Criteria Observation  Asf

Bancaja 9, FTA

Series D ES0312888045 LT B+sf   Rating Watch On             B+sf

Cartesian Residential Mortgages 4 S.A.

B XS2014371301        LT AA+sf  Under Criteria Observation  AA+sf
C XS2014371566        LT A+sf   Under Criteria Observation  A+sf
D XS2014372291        LT BBBsf  Under Criteria Observation  BBBsf

EDML 2018-2

C XS1895663448        LT A+sf   Under Criteria Observation  A+sf
D XS1895667860        LT Asf    Under Criteria Observation  Asf
E XS1895668249        LT BBBsf  Under Criteria Observation  BBBsf

EMF-NL Prime 2008-A B.V.

Class A2 XS0362465535 LT Bsf    Under Criteria Observation  Bsf
Class A3 XS0362465881 LT Bsf    Under Criteria Observation  Bsf
Class B XS0362466186  LT CCCsf  Under Criteria Observation  CCCsf
Class C XS0362466269  LT CCsf   Under Criteria Observation  CCsf
Class D XS0362466772  LT CCsf   Under Criteria Observation  CCsf

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

Class A2 XS0292255758 LT Asf    Under Criteria Observation  Asf
Class B XS0292256301  LT BBB+sf Under Criteria Observation  BBB+sf

Class C XS0292258695  LT BB-sf  Under Criteria Observation  BB-sf
Class D XS0292260162  LT CCCsf  Under Criteria Observation  CCCsf
Class E XS0292260675  LT CCCsf  Under Criteria Observation  CCCsf

Eurosail-NL 2007-1 B.V.

Class A XS0307254259  LT A+sf   Under Criteria Observation  A+sf
Class B XS0307256114  LT A+sf   Under Criteria Observation  A+sf
Class C XS0307257435  LT BBB+sf Under Criteria Observation  BBB+sf

Class D XS0307260496  LT CCCsf  Under Criteria Observation  CCCsf
Class E1 XS0307265370 LT CCCsf  Under Criteria Observation  CCCsf

E-MAC NL 2006-II B.V.

Class A XS0255992413  LT Bsf    Under Criteria Observation  Bsf
Class B XS0255993577  LT Bsf    Under Criteria Observation  Bsf
Class C XS0255995358  LT Bsf    Under Criteria Observation  Bsf
Class D XS0255996166  LT CCCsf  Under Criteria Observation  CCCsf
Class E XS0256040162  LT CCCsf  Under Criteria Observation  CCCsf

STORM 2017-II B.V.

B XS1628024702        LT AAsf   Under Criteria Observation  AAsf
C XS1628024884        LT Asf    Under Criteria Observation  Asf
D XS1628025188        LT BB+sf  Under Criteria Observation  BB+sf

Green STORM 2018 B.V

Class B XS1815380404  LT AA+sf  Under Criteria Observation  AA+sf
Class C XS1815380586  LT A+sf   Under Criteria Observation  A+sf
Class D XS1815380743  LT BBB+sf Under Criteria Observation  BBB+sf


KEY RATING DRIVERS

European RMBS Criteria Publication

The 153 tranches placed on UCO represent Fitch's outstanding Dutch
RMBS ratings in 46 transactions, with the exception of 'AAAsf'
rated tranches.

Ratings placed on UCO indicates the possibility of rating change as
a result of the application of the new criteria. Fitch will resolve
the UCO status of each rating on a transaction-specific basis by
applying the new criteria in the next rating review. This could
result in affirmations, upgrades or downgrades. Fitch will resolve
the UCO status of all ratings by 19 January 2022.

Fitch has not placed the Dutch 'AAAsf' rated tranches on UCO as
Fitch expects the criteria will only have a positive impact on
these tranches, mainly driven by changes in the house price decline
(HPD) assumptions.

The RWP on four Belgian, two Greek and one German tranche is driven
by changes to the HPD assumptions. Fitch has placed one French RMBS
tranche on RWP due to the introduction of lower rating multiples
for portfolios (typically originated by "Specialised Lenders")
featuring concentration on higher original loan-to-value and
historical performance worse than the market average, and for which
Fitch captures the higher expected foreclosure frequency with its
originator adjustment.

The RWN on one Greek and one Spanish tranche reflects that for
notes with a model-implied rating lower than 'B-sf', Fitch will now
determine a rating in the range of 'Csf' to 'B-sf' instead of up to
'B+sf' as per the previous criteria. 14 Dutch RMBS tranches could
also be affected by this change, but they have been placed on UCO.

Fitch will resolve the Rating Watches by 19 January 2022.

RATING SENSITIVITIES

The expected rating impact is described in the exposure draft
report dated 4 June 2021.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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

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

DATA ADEQUACY

Bancaja 9, FTA, Bass Master Issuer N.V. - S.A. Series 0-2008-1,
Cartesian Residential Mortgages 2 S.A., Cartesian Residential
Mortgages 3 S.A., Cartesian Residential Mortgages 4 S.A., Cartesian
Residential Mortgages 5 S.A., Cartesian Residential Mortgages Blue
S.A, CASPR S.a.r.l. Compartment CASPR-1, DCDML 2016-1 B.V., Dutch
MBS XIX B.V., E-MAC NL 2004-1 B.V., E-MAC NL 2004-II B.V., E-MAC NL
2005-I B.V., E-MAC NL 2005-III B.V., E-MAC NL 2006-II B.V., E-MAC
Program B.V. - Compartment NL 2007-III, E-MAC Program B.V.
Compartment NL 2006-III, E-MAC Program B.V. Compartment NL 2007-I,
E-MAC Program II B.V. - Compartment NL 2007-IV, E-MAC Program II
B.V. Compartment NL 2008-IV, E-MAC Program III B.V. Compartment NL
2008-I, EDML 2017-1 B.V., EDML 2018-1 B.V., EDML 2018-2, EDML
2019-1 B.V., EMF-NL Prime 2008-A B.V., Eurosail-NL 2007-1 B.V.,
Eurosail-NL 2007-2 B.V., FORDless STORM 2018 B.V., Green Storm 2017
B.V., Green STORM 2018 B.V, Green Storm 2019 B.V., Green Storm
2021, Grifonas Finance No. 1 Plc, Harmony French Home Loans FCT
2020-2, Lowland Mortgage Backed Securities 4 B.V., Lowland Mortgage
Backed Securities 5 B.V., Lowland Mortgage Backed Securities 6
B.V., PEARL Mortgage Backed Securities 1 B.V., Phedina Hypotheken
2010 B.V., STORM 2015-II, STORM 2016-II B.V., STORM 2017-I B.V.,
STORM 2017-II B.V., STORM 2018-I B.V., STORM 2018-II, Storm 2019-I
B.V., STORM 2020-1 B.V., STRONG 2018, Tulip Mortgage Funding 2019-1
B.V., Tulip Mortgage Funding 2020-1 B.V., Wendelstein 2017-1 UG
(haftungsbeschraenkt).

Fitch has not conducted any checks on the consistency and
plausibility of the information it has received about the
performance of the asset pools and the transactions. Fitch has not
reviewed the results of any third party assessment of the asset
portfolio information or conducted a review of origination files as
part of its ongoing monitoring.

TDA IBERCAJA 3: Moody's Hikes EUR7.5MM Class C Notes Rating to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eight notes
and affirmed the ratings of three notes in three Spanish RMBS deals
originated by Ibercaja Banco SA. The rating action reflects:

- better than expected collateral performance

- the increased levels of credit enhancement for the affected
notes

- upgrade of Ibercaja Banco's (acting as Servicer) Counterparty
Risk assessment ("CR assessment") to Baa3 (cr) for TDA IBERCAJA 3,
FTA and TDA IBERCAJA 6, FTA.

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

Issuer: TDA IBERCAJA 2, FTA

EUR870.3M Class A Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Upgraded to Aa1 (sf)

EUR19.3M Class B Notes, Upgraded to A3 (sf); previously on Jun 29,
2018 Upgraded to Baa2 (sf)

EUR6.3M Class C Notes, Upgraded to Baa3 (sf); previously on Jun
29, 2018 Upgraded to Ba1 (sf)

EUR4.1M Class D Notes, Upgraded to Ba1 (sf); previously on Jun 29,
2018 Upgraded to Ba3 (sf)

Issuer: TDA IBERCAJA 3, FTA

EUR960M Class A Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Upgraded to Aa1 (sf)

EUR32.5M Class B Notes, Upgraded to Baa3 (sf); previously on Jun
29, 2018 Affirmed Ba1 (sf)

EUR7.5M Class C Notes, Upgraded to B1 (sf); previously on Jun 29,
2018 Affirmed B3 (sf)

Issuer: TDA IBERCAJA 6, FTA

EUR1440M Class A Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR30M Class B Notes, Upgraded to Aa3 (sf); previously on Jun 29,
2018 Upgraded to A2 (sf)

EUR15M Class C Notes, Upgraded to A3 (sf); previously on Jun 29,
2018 Upgraded to Baa3 (sf)

EUR15M Class D Notes, Upgraded to Ba1 (sf); previously on Jun 29,
2018 Upgraded to B2 (sf)

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

RATINGS RATIONALE

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 the transactions has continued to improve since
the respective last rating actions. Total delinquencies have
decreased in the past year for all the three transactions, with 90
days plus arrears currently standing at 0.37%, 0.10% and 0.45% of
respective current pool balances for TDA IBERCAJA 2, FTA, TDA
IBERCAJA 3, FTA and TDA IBERCAJA 6, FTA. Cumulative defaults
currently stand at 0.71%, 1.08% and 3.56% of the original pool
balance for TDA IBERCAJA 2, FTA, TDA IBERCAJA 3, FTA and TDA
IBERCAJA 6, FTA, respectively, only marginally up from 0.66%, 1.07%
and 3.49% a year earlier.

Moody's decreased the expected loss assumption to, respectively,
0.44%, 0.70% and 2.16% as a percentage of original pool balance
from, respectively, 0.62%, 0.93% and 2.55% on TDA IBERCAJA 2, FTA,
TDA IBERCAJA 3, FTA and TDA IBERCAJA 6, FTA due to the improving
performance.

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, Moody's has maintained the MILAN CE assumption
at, respectively, 6.50% and 7.00% for TDA IBERCAJA 2, FTA and TDA
IBERCAJA 3, FTA and decreased the MILAN CE assumption for TDA
IBERCAJA 6, FTA to 8.00% from 9.00%.

Increase in Available Credit Enhancement

Non-amortizing reserve fund led to the increase in credit
enhancement for TDA IBERCAJA 2, FTA and TDA IBERCAJA 3, FTA. For
TDA IBERCAJA 6, FTA., the reserve fund was replenished to its
target level in the February 2020 interest payment date after being
below its target level for several interest payment dates; until
then, sequential amortization was in place, which led to the
increase in credit enhancement.

For instance, the credit enhancement on Class B Notes in TDA
IBERCAJA 2, FTA increased to 5.87% from 4.54% since the last rating
action; the credit enhancement for Class B Notes in TDA IBERCAJA 3,
FTA increased to 4.35% from 3.28% since the last rating action;
finally, the credit enhancement on Class B Notes in TDA IBERCAJA 6,
FTA increased to 11.22% from 9.30% since the last rating action.

Counterparty Exposure

The rating actions took into consideration the notes' exposure to
relevant counterparties, such as servicer, account banks or swap
providers. The upgrade of Ibercaja Banco's CR assessment to Baa3
(cr) from Ba1 (cr) has had a positive impact in particular on Class
B and Class C Notes in TDA IBERCAJA 3, FTA and Class C and Class D
Notes in TDA IBERCAJA 6, FTA.

Moody's concluded that the ratings of the Class B Notes in TDA
IBERCAJA 3, FTA are constrained by exposure to the swap
counterparty, Banco Santander S.A.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
December 2020.

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: (i) performance of the underlying collateral that
is better than Moody's expected; (ii) an increase in available
credit enhancement; (iii) improvements in the credit quality of the
transaction counterparties; and (iv) a decrease in sovereign risk.

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



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

AA BOND: S&P Affirms B+ (sf) Rating to Class B3-Dfrd Notes
----------------------------------------------------------
S&P Global Ratings assigned its 'BBB- (sf)' credit rating to AA
Bond Co. Ltd.'s class A9 notes. S&P's rating on these senior notes
only addresses the timely payment of interest and the ultimate
payment of principal by the legal final maturity date. The class A9
notes' expected maturity date will be in July 2028 and the notes
will rank pari passu with the other outstanding class A notes. At
the same time, S&P has affirmed its 'BBB- (sf)' and 'B+ (sf)'
ratings on the outstanding class A and B notes, respectively.

Since S&P assigned its preliminary ratings to the class A9 notes,
the borrower has not made any notable structural changes.

Escrow Arrangement And Special Mandatory Redemption

The gross proceeds of the class A9 notes will be deposited in a
segregated escrow account. The funds held in the escrow account
will not be released until the following conditions have been met:

-- A GBP100 million equity contribution from Basing Bidco Ltd. for
the redemption of the class A5 notes has been received; and

-- A notice of redemption of the class A5 notes has become
irrevocable.

The issuer will redeem all of the class A9 notes at a special
mandatory redemption price if:

-- The escrow release conditions are not met on or before the
longstop date of Jan. 31, 2022; or

-- A common terms agreement event of default arises on or before
the longstop date.

The special mandatory redemption price equals 101% of the class A9
notes' principal balance plus accrued and unpaid interest. The
escrow account will only hold the gross proceeds from the issuance
of the notes, which will not be sufficient to fund the full special
mandatory redemption price. Any deficiency will be due and payable
by the borrower itself, and a failure to pay will be result in an
event of default under the common terms agreement.

AA Bond Co.'s financing structure blends a corporate securitization
of the operating business of the Automobile Association (AA) group
in the U.K. with a subordinated high-yield issuance. Debt repayment
is supported by the operating cash flows generated by the borrowing
group's three main lines of business: roadside assistance,
insurance brokering, and driving services.

Rationale For The Class A Notes

AA Bond Co.'s primary sources of funds for principal and interest
payments on the class A notes are the loan interest and principal
payments from the borrower and amounts available from the liquidity
facility, which is shared with the borrower to service the senior
term loan (if the latter is drawn).

S&P said, "Our ratings on the class A notes address the timely
payment of interest and the ultimate payment of principal due on
the class A notes. They are based primarily on our ongoing
assessment of the borrowing group's underlying business risk
profile (BRP), the integrity of the transaction's legal and tax
structure, and the robustness of operating cash flows supported by
structural enhancements."

Business risk profile

S&P said, "We do not see material changes in business fundamentals
for AA Intermediate Co. relative to our existing business risk
profile assessment, which would remain unchanged at satisfactory."


Key Credit Considerations

Leading market position

With about 40% and 60% market share in the B2C and B2B roadside
segments, respectively, the AA is the market leader in the U.K.'s
roadside breakdown services industry.

Membership-based business model

The AA had about 3.2 million paid members in the B2C roadside
segment and about 8.7 million paid members in the B2B roadside
segment in FY2021. Retention rates in the B2C segment are
approximately 80% and it retained or extended all of its key
contracts in the B2B segment in FY2021, as well as a new contract
with Nationwide. This membership-based business model provides good
cash flow visibility, despite some churn in membership base, and
potential renewal risk for the longer-term B2B contracts.

Relatively high barriers to entry

The AA's longstanding brand name, strong customer loyalty, and
retention rates, as well as its national roadside assistance fleet,
create relatively high barriers to entry.

Strong profitability

S&P said, "Underpinned by above average absolute profitability,
with EBITDA adjusted margins historically in the 30%-40% range.
That said, we now expect a weakening in margins toward the lower
end of the range over the next two years, as a result of the
investment initiative. However, absent major operational issues
related to the program's implementation, these should still remain
comfortably above the 25% margin threshold we would expect from the
group and supportive of the group's satisfactory BRP."

Limited scale

The roadside breakdown services market has an estimated size of
about GBP1.8 billion. Despite the significant advantage in terms of
size relative to its direct competitors, S&P views this base as
relatively small compared with peers from across other business
services sectors.

Limited service diversification and weak geographic
diversification

The roadside segment accounted for about 86% of the restricted
group's revenue base and 88% of EBITDA in FY2021. The AA derives
its revenues solely in the U.K.

Moderate customer concentration

Top 10 B2B clients account for about 20% of the group's revenue in
that segment.

B2C--Business to consumer.
B2B--Business to business.

DSCR analysis

S&P said, "Our cash flow analysis serves to both assess whether
cash flows will be sufficient to service debt through the
transaction's life and to project minimum debt service coverage
ratios (DSCRs) in base-case and downside scenarios. In our
analysis, we have excluded any projected cash flows from the
underwriting part of the AA's insurance business, which is not part
of the restricted borrowing group (only the insurance brokerage
part is).

"We typically view liquidity facilities and trapped cash (either
due to a breach of a financial covenant or following an expected
repayment date) as being required to be kept in the structure if:
the funds are held in accounts or may be accessed from liquidity
facilities; and we view it as dedicated to service the borrower's
debts, specifically that the funds are exclusively available to
service the issuer/borrower loans and any super senior or pari
passu debt, which may include bank loans.

"In this transaction, although the borrower and the issuer share
the liquidity facility, the borrower's ability to draw is limited
to liquidity shortfalls related to the senior term facility and
does not cover the issuer/borrower loans. Therefore, we do not give
credit to the liquidity facility in our base-case DSCR analysis. We
have given credit to any trapped cash in our DSCR calculations
because we have concluded that it is required to be kept in the
structure and is dedicated to debt service."

Base-case scenario

S&P said, "Our base-case EBITDA and operating cash flow projections
in the short term and the company's satisfactory BRP rely on our
corporate methodology. We gave credit to growth through the end of
FY2023. Beyond FY2023, our base-case projections are based on our
methodology and assumptions for corporate securitizations, from
which we then apply assumptions for capital expenditures (capex),
finance leases, pension liabilities, and taxes to arrive at our
projections for the cash flow available for debt service." For AA
Intermediate Co., S&P's assumptions were:

-- Maintenance capex (including net finance leases): GBP58 million
for each of FY2022 and GBPFY2023. Thereafter, S&P assumes GBP35
million, in line with the transaction documents' minimum
requirements.

-- Development capex: GBP46 million for each of FY2022 and FY2023.
Thereafter, because S&P assumes no growth, it considered no
investment capex, in line with its corporate securitization
criteria.

-- Working capital: net inflows of GBP12 million and GBP1 million
in FY2022 and FY2023, respectively. Thereafter, S&P assumes that
the change in working capital is nil.

-- Pension liabilities: S&P considered the plan agreed by the
company with the trustee in February 2020.

-- Tax: GBP19 million for FY2022, GBP25 million for FY2023, GBP36
million for FY2024, and GBP40 million for each of FY2025 and
FY2026. Thereafter, S&P considered a tax rate slightly above the
statutory corporate tax rate, in line with company's guidance.

S&P said, "The transaction structure includes a cash sweep
mechanism for the repayment of principal following an expected
maturity date (EMD) on each class of notes. Therefore, in line with
our corporate securitization criteria, we assumed a benchmark
principal amortization profile where each class A note is repaid
over 15 years following its respective EMD based on an annuity
payment that we include in our calculated DSCRs.

"Based on our assessment of AA Intermediate Co.'s satisfactory BRP,
which we associate with a business volatility score of 3, and the
minimum DSCR achieved in our base-case analysis, we established an
anchor of 'bbb-' for the class A notes."

Downside DSCR analysis

S&P sid, "Our downside DSCR analysis tests whether the issuer-level
structural enhancements improve the transaction's resilience under
a stress scenario. AA Intermediate Co. falls within the business
and consumer services industry for which we apply a 30% decline in
EBITDA relative to the base case at the point where we believe the
stress on debt service would be greatest.

"Our downside DSCR analysis resulted in a strong resilience score
for the class A notes. The combination of a strong resilience score
and the 'bbb-' anchor derived in the base-case results in a
resilience-adjusted anchor of 'bbb+' for the class A notes.

"The GBP160 million liquidity facility balance represents about
7.5% of liquidity support, measured as a percentage of the current
outstanding senior debt, which is below the 10% level we typically
consider for significant liquidity support. Therefore, we have not
considered any further uplift adjustment to the resilience-adjusted
anchor for liquidity."

Modifiers analysis

S&P has not applied any adjustments under our modifier analysis.

Comparable rating analysis

Due to its cash sweep amortization mechanism, the transaction
relies significantly on future excess cash. In S&P's view, the
uncertainty related to this feature is increased by the execution
risks related to the company's investment plan and the returns it
will effectively generate. The firm may need to invest periodically
in order to maintain its cash flow generation potential over the
long term, which could erode future excess cash. To account for
this combination of factors, S&P applied a one-notch decrease to
the senior class A notes' resilience-adjusted anchor.

Counterparty risk

S&P's 'BBB- (sf)' ratings on the class A notes are not currently
constrained by the ratings on any of the counterparties, including
the liquidity facility, derivative, and bank account providers.

Eligible investments

Under the transaction documents, the counterparties are allowed to
invest cash in short-term investments with a minimum required
rating of 'BBB-'. Given the substantial reliance on excess cash
flow as part of our analysis and the possibility that this could be
invested in short-term investments, full reliance can be placed on
excess cash flows only in rating scenarios up to 'BBB-'.

Rationale For The Class B3-Dfrd Notes

S&P said, "Our rating on the class B3-Dfrd notes only addresses the
ultimate repayment of principal and interest on or before its legal
final maturity date in July 2050. The class B3-Dfrd notes are
structured as soft-bullet notes due in July 2050, but with interest
and principal due and payable to the extent received under the B3
loan. Under the terms and conditions of the class B3 loan, if the
loan is not repaid on its final maturity date (January 2026),
interest and principal will no longer be due and will be deferred.
The deferred interest, and the interest accrued thereafter, becomes
due and payable on the final maturity date of the class B3-Dfrd
notes in 2050. Our analysis focuses on the scenarios in which the
underlying loans are not repaid on their EMD and the corresponding
notes are not redeemed. We understand that the obligors will not be
permitted to make payments under the class B3 issuer/borrower
facility agreement. Therefore, we assume that the class B3 notes do
not receive interest after the class A5 EMD, receiving no further
payments until the class A notes are fully repaid."

Moreover, under the terms of the class B issuer/borrower loan
agreement, further issuances of class A notes, for the purpose of
refinancing, are permitted without consideration given to any
potential effect on the then current ratings on the outstanding
class B notes. Both the extension risk, which S&P views as highly
sensitive to the future performance of the borrowing group given
its deferability, and the ability to issue more senior debt without
consideration given to the class B3-Dfrd notes, may adversely
affect the issuer's ability to repay the class B3-Dfrd notes. As a
result, the uplift above the borrowing group's creditworthiness
reflected in our rating on the class B3-Dfrd notes is limited.

S&P's view of the borrowing group's standalone creditworthiness has
not changed. Therefore, it has affirmed its 'B+ (sf)' rating on the
class B3-Dfrd notes.

The transaction will likely qualify for the appointment of an
administrative receiver under the U.K. insolvency regime. When the
events of default allow security to be enforced ahead of the
company's insolvency, an obligor event of default would allow the
then senior-most noteholders to gain substantial control over the
charged assets prior to an administrator's appointment, without
necessarily accelerating the secured debt. However, under certain
circumstances, particularly when the class A notes have been
repaid, removal of the class B FCF DSCR financial covenant would,
in our opinion, prevent the borrower security trustee, on behalf of
the class B3-Dfrd noteholders, from gaining control over the
borrowers' assets as their operating performance deteriorates and
would no longer trigger a borrower event of default under the class
B3 loan, ahead of the operating company's insolvency or
restructuring. S&P said, "This may lead us to conclude that we are
unable to rate through an insolvency of the obligors, which is an
eligibility condition under our criteria for corporate
securitizations. Our criteria state that noteholders should be able
to enforce their interest on the assets of the business ahead of
the insolvency and/or restructuring of the operating company. If at
any point the class B3-Dfrd noteholders lose their ability to
enforce by proxy the security package we may revise our analysis,
including forming the view that the class B3-Dfrd notes' security
package is akin to covenant-light corporate debt rather than
secured structured debt."

Outlook

A change in S&P's assessment of the company's BRP would likely lead
to rating actions on the notes. It would require higher/lower DSCRs
for a weaker/stronger BRP to achieve the same anchors.

Upside scenario

S&P said, "We do not see any upside scenario at this stage in
relation to our assessment of the borrowing group's BRP, which is
constrained by the group's weak geographic and service
diversification, and its exposure to the insurance broker business.
Furthermore, our rating on the class A notes is capped at 'BBB-
(sf)' under our eligible investments criteria."

Downside scenario

S&P said, "We could lower our anchor or the resilience-adjusted
anchor for the class A notes if we were to revise the borrowing
group's BRP to fair from satisfactory. This could occur if the
group faced significant operational difficulties in relation to its
investment plan or if trading conditions in its core roadside
service market were to deteriorate with significant customer losses
and/or lower revenue per customer. Under these scenarios, we would
likely observe margins falling below 25% with little prospect for
rapid improvement, or an increase of the group's profitability
volatility.

"We may also consider lowering our rating on the class A notes if
our minimum projected DSCR falls below 1.4:1 in our base-case
scenario or 1.8:1 in our downside scenario.

"In addition, should our base-case projected funds from operations
(FFO) cash interest coverage ratio falls below 2.0:1 it would put
pressure on our rating assigned to the B3-Dfrd notes."

Surveillance

S&P said, "We will maintain active surveillance on the rated notes
until the notes mature or are retired. The purpose of surveillance
is to assess whether the notes are performing within the initial
parameters and assumptions applied to each rating category. The
transaction terms require the issuer to supply periodic reports and
notices to S&P Global Ratings for maintaining continuous
surveillance on the rated notes.

"We view the AA's performance as an important part of analyzing and
monitoring the performance and risks associated with the
transaction. While company performance will likely have an effect
on the transaction, we believe other factors, such as cash flow,
debt reduction, and legal framework, also contribute to the overall
analytical opinion."

  Ratings List

  CLASS     RATING*     BALANCE (MIL. GBP)

  RATING ASSIGNED  

  A9        BBB- (sf)     270.0


  RATINGS AFFIRMED

  A2       BBB- (sf)      500.0
  A5       BBB- (sf)      372.25
  A6       BBB- (sf)      250.0
  A7       BBB- (sf)      550.0
  A8       BBB- (sf)      325.0
  B3-Dfrd  B+ (sf)        280.0

*S&P said, "Our ratings on the class A notes address timely
payment of interest and ultimate payment of principal on the legal
final maturity date. Our rating on the class B3-Dfrd notes
addresses ultimate payment of interest and ultimate payment of
principal by the legal final maturity date."


ALEXANDER INGLIS: Administrator Releases Preliminary Report
-----------------------------------------------------------
Brian Henderson at The Scottish Farmer reports that while it's been
the subject of considerable speculation since May when the news
broke of the collapse of the grain merchant Alexander Inglis and
Son, the release of the administrator's preliminary report finally
put some hard figures on the scale of the losses faced by Scottish
farmers.

And, with an overall financial deficiency likely to be
significantly higher than had been indicated in the directors'
statement of affairs, the administrators anticipate this could be
in excess of GBP70 million -- making the collapse one of the
biggest events to hit Scottish agriculture in recent years, The
Scottish Farmer discloses.

The report makes it look likely that the Australia-based Macquarie
Bank Ltd is probably in for the biggest hit, despite being the
"secured" creditor, -- but the so-called "unsecured" creditors also
face a substantial bill, The Scottish Farmer notes.

This group (which includes growers, hauliers, other grain merchants
and fertilizer companies) are, according to the report, set to be
GBP6.1 million out of pocket -- but a week on from its publication
the administrators now believe that this debt could also be even
higher -- estimated at closer to GBP17.5 million -- when claims
from stock shortfalls are considered, The Scottish Farmer states.

The effect which such a blow will have on the farming community as
a whole is bound to be devastating -- especially as farm businesses
(many of which have lodged six-figure claims) are unlikely to see
much of the colour of their money again after claims of secured and
preferential creditors have been settled, according to The Scottish
Farmer.

The report released by the administrators which looks into the
whole tangled issue shows a number of farm businesses facing
individual losses of well over GBP200,000 -- while two dozen of the
largest farm creditors are believed to be out of pocket to the tune
of close to GBP3 million in total, The Scottish Farmer recounts.

And while the individual claims lodged with the administrators
might be lower than some of the wilder figures which were floating
about the rumour mill, there's no getting away from the fact that
the scale of losses -- and the likelihood of receiving only pennies
in the pound at best -- must represent an existential threat to the
dozens of farm business across the country that have been caught up
in the fallout of the collapse, The Scottish Farmer notes.

Even before the possible scale of the losses was known, when the
news broke that the company had gone into administration it sent
considerable shock-waves through the arable sector and marked a
further decline in competition within the grain trade which has
recently fallen into fewer hands through failures, acquisitions and
mergers, The Scottish Farmer relays.

The business, which was run by former Scotland rugby star, Jim
Aitken, operated five grain stores, four of which were owned,
across East Scotland and the Borders area, had a turnover of around
GBP100 million and employed 37 staff through Alexander Inglis and
Son, Inglis Grain Driers Ltd and the incorporated company, Tayside
Grain at Errol in Perthshire, The Scottish Farmer discloses.  

According to The Scottish Farmer, the administrators said that the
core gain trading business had been suffering from weaker trading
following the poor harvest in 2020 and a contraction in demand
stemming from the Covid pandemic.

The report also stated that the group had entered into futures
contracts to hedge grain that was financed or owned by the
Macquarrie Bank -- but due to movements in commodity prices it had
to make payments on margin calls, The Scottish Farmer relates.

Additionally, the report, as cited by The Scottish Farmer, said the
company had continued to be impacted by legacy losses on dealings
with the failed Philip Wilson Group, a situation which had led to
involvement with the development of land at Wallyford through a
joint venture, which the administrators said had failed to realise
the forecast level of returns.

But also core to the problem facing growers in the complicated
picture investigated by the administrators was the fact that there
appeared to be a considerable discrepancy between the stocks of
grain claimed and those which were actually held by the company,
The Scottish Farmer notes.

The administrators also reported that the majority of the actual
grain stores and other facilities owned by the business were
currently under offer from buyers, although sales had yet to be
concluded so no indication of funds realised could yet be given,
The Scottish Farmer discloses.  

So with Friday, July 16, marking the last day for submitting
creditor claims to the administrators, anyone yet to do so really
has to get their skates on and act as a matter of urgency rather
than waiting for the tangled web of issues to be clarified.

It's also worth noting that anyone who has claimed before this
deadline can still provide further information to support their
claim after that date, either to the administrators or to the
court, The Scottish Farmer notes.

But although the level of losses is still under investigation by
the administrators, so too are the reasons behind the sudden and
catastrophic collapse, The Scottish Farmer states.


CAFFE NERO: Unit Stands by Decision to Pursue Restructuring Plans
-----------------------------------------------------------------
Law360 reports that a Caffe Nero unit stood by its decision to
press ahead with restructuring plans last November amid a takeover
bid, telling a London court on July 21 that a challenge brought by
one of its landlords was illegitimate.

According to Law360, Caffe Nero has urged the High Court in London
to dismiss a challenge by landlord Ronald Young to a company
voluntary arrangement due to an arrangement he has with the EG
Group Ltd., which launched a bid to take over the coffee chain.



CO-OPERATIVE BANK: Fitch Raises LT IDR to 'B+', Outlook Stable
--------------------------------------------------------------
Fitch Ratings has upgraded The Co-operative Bank Plc's Long-Term
Issuer Default Rating (IDR) to 'B+' from 'B'. The Outlook is
Stable. The bank's Viability Rating (VR) has also been upgraded to
'b' from 'b-'.

The upgrade largely reflects improved profitability prospects,
after several years of losses, aided by government-support measures
and a buoyant housing market. This will benefit the bank's
capitalisation and reduce downside risks to strategic execution. At
the same time, the bank's risk appetite and asset quality have
proved more resilient than expected.

KEY RATING DRIVERS

IDRS and VR

The Co-operative Bank's VR is weighed down by weaker capitalisation
than peers', particularly in light of the bank's limited ability to
generate internal capital due to weak structural profitability,
despite recent improvements. The VR also considers a low risk
business model, which focuses on mortgage lending; healthy asset
quality; sound liquidity; and a resilient deposit base, which
provides the majority of funding.

The Co-operative Bank's franchise has been resilient through
various stresses, utilising its ethical focus to attract and
maintain customers but the business model continues to face
uncertainty, particularly given its limited diversification and
scale. Its weak competitive advantage than larger universal banking
peers' stems from a high cost base, which Fitch believes will
continue to pose challenges over the longer term. The bank has been
successful in achieving greater scale in 1Q21 with 5% growth in its
loan book, as it increased exposure to SMEs via government-backed
schemes and took advantage of wider asset margins in the mortgage
space to increase low-risk exposure to these sectors.

Asset quality is a rating strength for The Co-operative Bank with
its loan book clean-up largely complete. Government-support
measures for the housing market and the furlough scheme have
supported headline asset-quality metrics with the bank reporting an
impaired loan ratio of 0.3% at end-1Q21 (0.8% when including
purchased originated credit-impaired loans).

The bank's low-risk business model primarily underwriting
owner-occupied mortgages, with limited SME and unsecured exposure
should continue to hold up well once support measures expire with
limited deterioration. Fitch forecasts the average four-year
impaired loan ratio to rise but to remain below 2% at end-2022,
supporting an upward revision of the bank's asset-quality score to
'bbb+' from 'bbb-'.

The Co-operative Bank posted a profit in 1Q21 for the first time
since 2011, albeit small at GBP4.9 million. This was largely
supported by its restructuring, wider spreads in the mortgage
market and a one-off refund for business rates. However, overall
structural profitability remains weak and faces ongoing challenges
such as an expected decrease in asset margins, which have been
strong since 2H20, and pressure on interest income due to debt
issuance to meet regulatory requirements in 2022.

Nevertheless, Fitch believes the bank is now better positioned to
remain structurally profitable over the medium term, supported by
reduced operating costs and the completion of longstanding projects
in recent years. All this supports Fitch's revised assessment of
earnings and profitability to 'b-' from 'ccc+'. The positive trend
on this factor highlights scope for further improvement as the bank
benefits from the economic recovery in the UK and positions itself
for further growth.

The Co-operative's Bank's common equity Tier 1 (CET 1) ratio of
19.9% at end-1Q21 reflects a low-risk business model and the low
risk weights assigned to mortgage assets under the bank's internal
ratings-based approach. Although the CET1 ratio is in line with
peers', Fitch views capitalisation as weaker than peers' as buffers
above minimum regulatory capital requirements of 12.8% should be
considered in light of improved but limited internal capital
generation and growth plans. In Fitch's assessment of
capitalisation, Fitch also considers the bank's tighter leverage
ratio of 3.9% which remains a constraint on growth. The
Co-operative Bank currently meets interim minimum requirement for
own funds and eligible liabilities (MREL) as set by the Bank of
England (BoE).

The bank is predominantly retail-funded, with a resilient core
deposit base through various stresses. Access to wholesale markets
remains limited compared with peers' and is largely in the form of
covered bonds, securitised funding and access to low-cost
central-bank funding schemes. The BoE's Term Funding Scheme
drawings for SMEs amounted to GBP1.75 billion at end-1Q21 and were
staggered to reduce refinancing risks when funding matures. The
bank's reliance on this funding is expected to materially increase
asset encumbrance to the higher end versus mortgage lending
peers'.

Liquidity is healthy with a large buffer of high-quality liquid
assets (15% of total assets at end-1Q21). The bank's liquidity
coverage ratio of 163% at end-1Q21 remained well above the
regulatory requirement.

Fitch assigns a one-notch uplift to The Co-operative Bank's 'B+'
Long-Term IDR to reflect the presence of resolution debt buffers,
which provide protection to the bank's third-party senior creditors
in case of failure. Fitch calculates that these debt buffers,
composed of Tier 2 debt as well as senior non-preferred debt issued
by The Co-operative Bank Finance Plc, totalled 9.3% at 1Q21. Fitch
expects further MREL- eligible debt issuance to meet end-state MREL
set by the BoE on a sustained basis.

The Short-Term IDR of The Co-operative Bank 'B' is the only
short-term option mapping to the Long-Term IDR.

SUPPORT RATING (SR) AND SUPPORT RATING FLOOR (SRF)

The Co-operative Bank's SR of '5' and SRF of 'No Floor' reflect
Fitch's view that senior creditors cannot rely on extraordinary
support from the UK authorities in the event the bank becomes
non-viable, because in Fitch's opinion the legislation and
regulation implemented in the UK is likely to require senior
creditors to participate in losses in resolving the bank.

RATING SENSITIVITIES

Factor that could, individually or collectively, lead to positive
rating action/upgrade:

-- An upgrade would require the bank to sustain a longer record
    of improved structural profitability, which could manifest in
    a stable positive operating profit/risk-weighted assets ratio,
    while maintaining healthy buffers above capitalization
    requirements.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

-- The ratings could be downgraded if The Co-operative Bank's
    CET1 ratio falls towards 14% with no discernible actions to
    reverse the trend or if pressure increases on the UK leverage
    ratio.

-- The Long-Term IDR is also sensitive to the bank remaining
    subject to the regulatory resolution buffer requirements as
    communicated by the BoE and maintaining a sustainable buffer
    amount, which includes qualifying junior debt and internal
    subordinated debt down-streamed from The Co-operative Bank
    Finance Plc. The Long-Term IDR could be downgraded to the same
    level as the VR if the bank is no longer required or able to
    meet end-state regulatory resolution requirements.

SR AND SRF

Fitch does not expect any changes to the SR and the SRF due to
legislation requiring senior creditors to participate in losses in
resolving The Co-operative Bank.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Financial Institutions and
Covered Bond issuers have a best-case rating upgrade scenario
(defined as the 99th percentile of rating transitions, measured in
a positive direction) of three notches over a three-year rating
horizon; and a worst-case rating downgrade scenario (defined as the
99th percentile of rating transitions, measured in a negative
direction) of four notches over three years. The complete span of
best- and worst-case scenario credit ratings for all rating
categories ranges from 'AAA' to 'D'. Best- and worst-case scenario
credit ratings are based on historical performance.

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

DUNDROD AND DISTRICT: Enters Into CVA, Owes Hickman Prize Money
---------------------------------------------------------------
Kyle White at News Letter reports that the Ulster Grand Prix
organizers say "significant progress" has been made as they attempt
to revive the event for the centenary year of the famous road race
in 2022.

According to News Letter, the event did not take place in 2020 due
to debts in the region of GBP300,000 and the impact of the
coronavirus pandemic.  The historic race will also not take place
this year, News Letter notes.

On July 20, it was confirmed that Dundrod and District Motorcycle
Club has entered into a Company Voluntary Arrangement (CVA) with
its creditors, enabling some of the debts owed to be paid back over
a fixed period of time, News Letter relates.

The development comes after the club was issued with a winding up
order last April, News Letter states.

Now, there is renewed hope the event could return to the road
racing calendar in 2022, according to News Letter.

However, Peter Hickman, who dominated with a record seven wins from
seven starts in 2019 and re-established the Ulster Grand Prix as
the world's fastest road race with a 136.415mph lap, says he is
still owed prize money from his last appearance two years ago, News
Letter discloses.

The English rider says that while he be would be interested in
coming back to race at Dundrod, his return would be dependent on
how much of the outstanding winnings he is owed is paid back,
according to News Letter.


NMC HEALTH: ADCB Optimistic on Turnaround, Sufficient Provision
---------------------------------------------------------------
Davide Barbuscia at Reuters reports that Abu Dhabi Commercial Bank
(ADCB), UAE's third-biggest lender, reported a jump in
second-quarter net profit and said it was optimistic about the
turnaround of troubled hospital operator NMC, to which it was
heavily exposed.

According to Reuters, net profit between April and June amounted to
1.4 billion dirhams (US$381.22 million), a 14% increase year on
year and a 25% increase quarter on quarter.

ADCB posted a 25% drop in net profit last year as it booked
significantly higher provisions for NMC, which went into
administration last year after months of turmoil following
questions over its financial reporting and the discovery of
undisclosed debt, Reuters discloses.

ADCB had nearly US$1 billion in lending exposure to the group,
which is set to soon obtain creditor approval for a reorganization
of the business, Reuters states.

"The bank is confident that the provisions it has recorded for NMC
are sufficient and appropriate," Reuters quotes CEO Ala'a Eraiqat
as saying.

ADCB was among a group of lenders which last year provided a US$325
million facility to fund NMC's administration and pave the way for
restructuring, Reuters notes.

Partly because of that facility, which gave creditors a super
senior status, the bank said it was well positioned to maximize
recoveries, Reuters relays.


NMC HEALTH: Founder Accuses Ex-CEO, EY, Banks of Fraud Conspiracy
-----------------------------------------------------------------
Michael O'Dwyer and Cynthia O'Murchu at The Financial Times report
that the founder of NMC Health has accused its fired chief
executive, auditor EY and two banks of conspiring in a six-year
fraud in an US$8 billion legal claim launched last week.

According to the FT, in a court document filed in New York, lawyers
for BR Shetty claimed that the Indian-born tycoon had been
defrauded through a "debt-fuelled Ponzi scheme" involving
fictitious invoices, artificial inflation of the healthcare group's
revenues and the siphoning off of funds for personal gain.

The claim alleges that audit firm EY, alongside Bank of Baroda --
one of India's largest lenders -- and Netherlands-based Credit
Europe Bank, was central to a "co-ordinated and deliberate
conspiracy" in which more than US$5 billion was stolen from
companies in Mr. Shetty's business empire, the FT discloses.

NMC, the former FTSE 100 hospital operator, was placed into
administration in April last year when more than US$4 billion of
debts were discovered after being hidden from its balance sheet in
a suspected fraud that threatened the London stock market's
reputation for good governance, the FT recounts.

Executives at Mr. Shetty's companies had forged his signature on
personal guarantees to secure fraudulent loans and then set him up
as the "fall guy" in the event their scheme was ever uncovered, the
lawyers claimed, the FT notes.

The suit alleges that Bank of Baroda breached its fiduciary duties
and failed to comply with anti-money laundering rules by processing
thousands of related-party transactions without filing a single
suspicious-activity report with US regulators, the FT states.

The defendants named in the court claim include brothers Prasanth
and Promoth Manghat, respectively the former chief executives of
NMC and Finablr, the London-listed fintech company founded by Mr.
Shetty, the FT discloses.

Mr. Shetty and Neopharma, another of his companies in which he owns
a 49% stake, alleged that defendants conspired to artificially
inflate revenues of NMC and related companies through a "circular
movement of funds" between NMC and related parties "with the intent
to conceal the source and origin of the funds", the FT relays.

Mr. Shetty's lawyers, as cited by the FT, said the Manghat brothers
convinced senior Baroda executives to join the conspiracy by
"offering and paying them kickbacks from the siphoned funds".

The Manghat brothers were also alleged to be part of a conspiracy
to create fake invoices for sales purportedly made by group
companies to NMC to inflate its sales figures, the FT notes.

Mr. Shetty's accusations against EY go further than previous claims
of professional negligence, made by the administrators of NMC
Health, the FT says.  His lawyers accused the audit firm of helping
to conceal the fraud and actively assisting the alleged
perpetrators by advising how to inflate earnings figures through
"illicit tactics" and to avoid loans appearing in the financial
statements, according to the FT.


NORFOLK STREET HOTEL: Investors Face Losses of Over GBP10 Million
-----------------------------------------------------------------
Tom Duffy at Echo reports that investors in a hotel development on
Liverpool's waterfront face losses of over GBP10 million, the ECHO
can reveal.

The Norfolk Street Hotel and Residence Limited, the company which
was behind the scheme to build a trendy hotel in the heart of the
Baltic Quarter, entered administration earlier this year, Echo
recounts.

Liverpool businessman Elliot Lawless, owner of the Elliot Group,
was behind the venture, Echo notes.  Mr. Lawless has two charges on
the site worth a total of GBP1,119,717, Echo discloses.  A report
from the administrators reveals that this money will be re-paid to
him, Echo states.

The company, a subsidiary of the Elliot Group, collapsed into
administration following a court hearing on March 5, Echo
recounts.

Investors, who put in a total of GBP10,851,533, now face
significant losses, Echo says.

According to Echo, the report states how the first group of
investors, who invested GBP9057,423, are set to recover GBP6.5p in
the pound.  This means they are set to lose GBP8,468,690.51, Echo
notes.

The second group, who invested GBP1,794,110, are set to recover
3.9p in the pound, which means they are set to lose
GBP1,724,139.71, Echo discloses.  The investors as a whole now face
losing GBP10,192,829, Echo states.

The report reveals that Mr. Lawless has two charges on the site
through Virtuoso Investments Ltd and Equity Group Ltd., Echo
relays.  The charges, worth GBP919,717 and GBP200,000 respectively,
are set to be paid in full, according to Echo.

The report also reveals that the site is now thought to be worth
around GBP2 million, Echo notes.

The administrators also reveal that the controversy surrounding
Liverpool Council over the last year has made it harder to sell the
site, Echo relays.

A committee has now formed representing the majority of investors
in the scheme, Echo discloses.


UK HOUSING: Moody's Affirms Ba1 Rating on GBP3.11MM Ser. 2-B Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
UK Housing Association Notes issued by Finance for Residential
Social Housing PLC (Fresh):

GBP727.88M (GBP454.8M currently outstanding) Ser. 1 - A1 Notes,
Upgraded to Aa2 (sf); previously on Sep 11, 2018 Confirmed at Aa3
(sf)

GBP115.91M (GBP63.1M currently outstanding) Ser. 1 - A2 Notes,
Upgraded to Aa2 (sf); previously on Sep 11, 2018 Confirmed at Aa3
(sf)

GBP40.92M (GBP2.53M currently outstanding) Ser. 2 - A Notes,
Upgraded to Aa2 (sf); previously on Sep 11, 2018 Confirmed at Aa3
(sf)

Moody's has also affirmed the ratings on the following notes:

GBP37.09M (GBP23.2M currently outstanding) Ser. 1 - A3 Notes,
Affirmed Baa1 (sf); previously on Sep 11, 2018 Downgraded to Baa1
(sf)

GBP37.09M (GBP23.2M currently outstanding) Ser. 1 - B Notes,
Affirmed Ba1 (sf); previously on Sep 11, 2018 Downgraded to Ba1
(sf)

GBP3.11M (GBP0.2M currently outstanding) Ser. 2 - B Notes,
Affirmed Ba1 (sf); previously on Sep 11, 2018 Downgraded to Ba1
(sf)

Moody's does not rate the Series 3-C Notes.

Finance for Residential Social Housing PLC ("Fresh") is a
securitization of a portfolio of loans granted to UK Housing
Associations (HAs). Series 1 notes are secured by a granular
portfolio of series 1 fixed rate loans while the Series 2 notes are
secured by a smaller, concentrated, portfolio of Series 2 floating
rate loans.

RATINGS RATIONALE

The rating upgrades on the Series 1-A1, Series 1-A2 and Series 2-A
Notes is driven by the transaction's exposure to the account bank,
Natwest Markets plc ("NWM", formerly known as Royal Bank of
Scotland, or "RBS"), and follows the upgrade of its long term bank
deposit rating to A2 on July 13, 2021.

Moody's had previously determined the A3 rating replacement trigger
of the transaction's account bank as ineffective because RBS was
not replaced as account bank following its downgrade to Baa1 from
A3 on March 13, 2014.

Moody's uses two sets of rating caps based on the size of the
possible exposure to an account bank ("standard" exposure versus
"strong" exposure). Moody's has determined the exposure to the
transaction's account bank as "strong" based on the exposure ratio
being greater than 40%. Moody's measures the exposure as a ratio of
the cash expected to be in the bank account or investment -- net of
expected recoveries after a default -- divided by the amount of
credit enhancement. A 45% recovery rate is assumed.

Considering the ineffective replacement trigger and "strong"
exposure, the maximum achievable rating for this transaction is Aa2
(sf).

The transaction was amended in May 2016 to include a collateral
agreement whereby RBS would post collateral in the form of cash
and/or securities to support its obligations as the issuer account
bank if its long term deposit rating was downgraded below A3
(collateral trigger level).

Moody's assesses the Issuer's exposure to the account bank in
accordance with its cross-sector methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance" published in
May 2021.

The affirmation of the remaining Notes is based on the underlying
stable performance of the transaction.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating EMEA CMBS Transactions" published in May 2021.

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

Main factors or circumstances that could lead to an upgrade of the
ratings are: (i) a decrease in default risk assessment driven by a
change in the ratings or credit estimates of the underlying
borrowers; (ii) an improvement in the property values backing the
underlying loans; or (iii) an improvement in the rating of the
account bank or the replacement of the current account bank with a
higher rated bank.

Main factors or circumstances that could lead to a downgrade of the
ratings are: (i) an increase in default risk assessment driven by a
change in the ratings or credit estimates of the underlying
borrowers; (ii) a decline in the property values backing the
underlying loans; or (iii) a deterioration in the credit of the
counterparties, especially the account bank and/or failure to post
collateral or take suitable action as required by the collateral
agreement.

VIRIDIS EUROPEAN NO 38: S&P Assigns BB (sf) Rating to Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Viridis (European
Loan Conduit No. 38) DAC's class A, B, C, D, and E notes. At
closing, the issuer issued unrated class X notes.

The transaction is backed by one loan, which Morgan Stanley Bank
N.A. originated in June 2021 to facilitate the refinancing of the
Aldgate Tower office building located in the City of London.

The GBP192.0 million loan backing this true sale transaction is
split into two pari passu facilities. Facility A is securitized in
this transaction and equals GBP150 million, while Facility B,
accounting for GBP42 million, does not form part of this
securitization.

The loan does not provide for default financial covenants. Instead,
there are cash trap mechanisms set at 70.0% loan-to-value (LTV)
ratio throughout the loan term, or minimum debt yields set at 7.0%
(year 2) and 8.0% (year 3). There is no amortization scheduled
during the three-year loan term.

The property's current market value is GBP330.0 million, which
equates to an LTV ratio of 58.2% (including pari passu debt).

The issuer created a vertical risk retention loan (VRR loan)
interest of 5% of the securitized loan in Morgan Stanley's favor to
satisfy EU, U.K., and U.S. risk retention requirements. The VRR
loan sits pari passu with and will be paid pro rata to the
securitized loan. It also partially funds the liquidity reserve.

Viridis (European Loan Conduit No. 38) also issued an additional
GBP5.5 million of class A notes, the proceeds of which, together
with a portion (GBP289,473.68) of the VRR loan, is held in cash in
the transaction account. These funds serve as a liquidity reserve
in lieu of a traditional liquidity facility. The total note
issuance is therefore larger than the outstanding loan balance.

S&P's ratings address the issuer's ability to meet timely interest
payments and principal repayment no later than the legal final
maturity in July 2029. Should there be insufficient funds on any
note payment date to make timely interest payments on the notes
(except for the then most senior class of notes), the interest will
not be due but will be deferred to the next interest payment date
(IPD). The deferred interest amount will accrue interest at the
same rate as the respective class of notes.

S&P's ratings on the notes reflect its assessment of the underlying
loan's credit, cash flow, and legal characteristics, and an
analysis of the transaction's counterparty and operational risks.

  Ratings

  CLASS      RATING      AMOUNT (MIL. GBP)
  A          AAA (sf)       83.90*
  B          AA- (sf)       17.90
  C          A (sf)         15.20
  D          BBB- (sf)      20.80
  E          BB (sf)        10.20
  X          NR              N/A

*Includes GBP5.5 million to fund the issuer liquidity reserve.
NR--Not rated.
N/A--Not applicable.




===============
X X X X X X X X
===============

[*] BOOK REVIEW: The Sorcerer's Apprentice - Medical Miracles
-------------------------------------------------------------
Author: Sallie Tisdale
Publisher: BeardBooks
Softcover: 270 pages
List Price: $34.95
Order your own personal copy at http://is.gd/9SAfJR

An earlier edition of "The Sorcerer's Apprentice" won an American
Health Book Award in 1986. The book has been recognized as an
outstanding book on popular science. Tisdale brings to her subject

of the wide nd engrossing field of health and illness the
perspective, as well as the special sympathies and sensitivities,
of a registered nurse. She is an exceptionally skilled writer.
Again and again, her descriptions of ill individuals and images of

illnesses such as cancer and meningitis make a lasting impression.

Tisdale accomplishes the tricky business of bringing the reader to
an understanding of what persons experience when they are ill; and
in doing this, to understand more about the nature of illness as
well. Her style and aim as a writer are like that of a medical or
science journalist for leading major newspaper, say the "New York
Times" or "Los Angeles Times." To this informative, readable style
is added the probing interest and concern of the philosopher trying
to shed some light on one of the central and most unsettling
aspects of human existence. In this insightful, illuminating,
probing exploration of the mystery of illness, Tisdale also
outlines the limits of the effectiveness of treatments and cures,
even with modern medicine's store of technology and drugs. These
are often called "miracles" of modern medicine. But from this
author's perspective, with the most serious, life-threatening,
illnesses, doctors and other health-care professionals are like
sorcerer's trying to work magic on them. They hope to bring
improvement, but can never be sure what they do will bring it
about. Tisdale's intent is not to debunk modern medicine, belittle
its resources and ways, or suggest that the medical profession
holds out false hopes. Her intent is do report on the mystery of
serious illness as she has witnessed it and from this, imagined
what it is like in her varied work as a registered nurse. She also
writes from her own experiences in being chronically ill when she
was younger and the pain and surgery going with this. She writes,
"I want to get at the reasons for the strange state of amnesia we
in the health professions find ourselves in. I want to find clues
to my weird experiences, try to sense the nature of being sick."
The amnesia of health professionals is their state of mind from the
demands placed on them all the time by patients, employers, and
society, as well as themselves, to cure illness, to save lives, to
make sick people feel better. Doctors, surgeons, nurses, and other
health-care professionals become primarily technicians applying the
wonders of modern medicine. Because of the volume of patients, they
do not get to spend much time with any one or a few of them. It's
all they can do to apply the prescribed treatment, apply more of it
if it doesn't work the first time, and try something else if this
treatment doesn't seem to be effective.

Added to this is keeping up with the new medical studies and
treatments. But Tisdale stepped out of this problem-solving
outlook, can-do, perfectionist mentality by opting to spend most of
her time in nursing homes, where she would be among old persons she
would see regularly, away from the high-charged atmosphere of a
hospital with its "many medical students, technicians,
administrators, and insurance review artists." To stay on her
"medical toes," she balanced this with working occasional shifts in
a nearby hospital. In her hospital work, she worked in a neonatal
intensive care unit (NICU), intensive care unit (ICU), a burn
center, and in a surgery room. From this combination of work with
the infirm, ill, and the latest medical technology and procedures
among highly-skilled professionals, Tisdale learned that "being
sick is the strangest of states." This is not the lesson nearly all
other health-care workers come away with. For them, sick persons
are like something that has to be "fixed." They're focused on the
practical, physical matter of treating a malady. Unlike this
author, they're not focused consciously on the nature of pain and
what the patient is experiencing. The pragmatic, results-oriented
medical profession is focused on the effects of treatment. Tisdale
brings into the picture of health care and seriously-ill patients
all of what the medical profession in its amnesia, as she called
it, overlooks.

Simply in describing what she observes, Tisdale leads those in the
medical profession as well as other interested readers to see what
they normally overlook, what they normally do not see in the
business and pressures of their work. She describes the beginning
of a hip-replacement operation, the surgeon "takes the scalpel and
cuts -- the top of the hip to a third of the way down the thigh --
and cuts again through the globular yellow fat, and deeper. The
resident follows with a cautery, holding tiny spraying blood
vessels and burning them shut with an electric current. One small,
throbbing arteriole escapes, and his glasses and cheek are
splattered." One learns more about what is actually going on in an
operation from this and following passages than from seeing one of
those glimpses of operations commonly shown on TV. The author
explains the illness of meningitis, "The brain becomes swollen with
blood and tissue fluid, its entire surface layered with pus . . .
The pressure in the skull increases until the winding convolutions
of the brain are flattened out . . . The spreading infection and
pressure from the growing turbulent ocean sitting on top of the
brain cause permanent weakness and paralysis, blindness, deafness .
. . . " This dramatic depiction of meningitis brings together
medical facts, symptoms, and effects on the patient. Tisdale does
this repeatedly to present illness and the persons whose lives
revolve around it from patients and relatives to doctors and nurses
in a light readers could never imagine, even those who are immersed
in this
world.

Tisdale's main point is that the miracles of modern medicine do not
unquestionably end the miseries of illness, or even unquestionably
alleviate them. As much as they bring some relief to ill
individuals and sometimes cure illness, in many cases they bring on
other kinds of pains and sorrows. Tisdale reminds readers that the
mystery of illness does, and always will, elude the miracle of
medical technology, drugs, and practices. Part of the mystery of
the paradoxes of treatment and the elusiveness of restored health
for ill persons she focuses on is "simply the mystery of illness.
Erosion, obviously, is natural. Our bodies are essentially
entropic." This is what many persons, both among the public and
medical professionals, tend to forget. "The Sorcerer's Apprentice"
serves as a reminder that the faith and hope placed in modern
medicine need to be balanced with an awareness of the mystery of
illness which will always be a part of human life.



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S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter-Europe is a daily newsletter co-
published by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman,
Editors.

Copyright 2021.  All rights reserved.  ISSN 1529-2754.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.

Information contained herein is obtained from sources believed to
be reliable, but is not guaranteed.

The TCR Europe subscription rate is US$775 per half-year,
delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000.


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