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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, December 24, 2021, Vol. 22, No. 251

                           Headlines



F I N L A N D

FROSN-2018: Fitch Affirms BB- Rating on Class E Notes


I R E L A N D

CVC CORDATUS XVIII: Fitch Rates Class F Notes Final 'B-'
PROVIDUS CLO VI: S&P Assigns B- (sf) Rating on Class F Notes


T U R K E Y

TURKIYE IS: S&P Affirms 'B+/B' ICRs, Alters Outlook to Stable


U N I T E D   K I N G D O M

PAVILLION MORTGAGES 2021-1: Fitch Rates Class E Notes Final 'BB+'
PAVILLION MORTGAGES 2021-1: Fitch Rates E Notes Final 'BB+(EXP)'

                           - - - - -


=============
F I N L A N D
=============

FROSN-2018: Fitch Affirms BB- Rating on Class E Notes
-----------------------------------------------------
Fitch Ratings has affirmed FROSN-2018 DAC's notes.

       DEBT                   RATING           PRIOR
       ----                   ------           -----
FROSN-2018 DAC

Class A1 XS1800197664    LT AAAsf  Affirmed    AAAsf
Class A2 XS1800197748    LT AA+sf  Affirmed    AA+sf
Class B XS1800198126     LT AAsf   Affirmed    AAsf
Class C XS1800200476     LT Asf    Affirmed    Asf
Class D XS1800200559     LT BBBsf  Affirmed    BBBsf
Class E XS1800201011     LT BB-sf  Affirmed    BB-sf
Class RFN XS1800197235   LT AAAsf  Affirmed    AAAsf

TRANSACTION SUMMARY

The transaction financed 87.9% of a EUR307.8 million commercial
real estate loan to entities related to Blackstone Real Estate
Partners advanced by Citibank, N.A., London Branch and Morgan
Stanley Principal Funding, Inc. (the originators), as well as 47.5%
of a EUR13.0 million capital expenditure loan. The remaining
financing was retained by the originators as vertical issuer debt.
The class RFN notes and corresponding portion of the vertical risk
retention (VRR) loan finance the liquidity reserve.

The portfolio currently comprises 47 properties (from 63 at closing
in April 2018). All properties are located in Finland and mainly
consist of offices (77% of total market value; MV) and retail (17%
of total MV). 7% consists of storage assets.

The portfolio is let to a diverse array of 418 tenants, paying a
total annual rent of EUR43.6 million. While granular, the top five
tenants account for 26% of rent, and include some
government-related entities.

The affirmation reflects the combined effect of several factors.
The transaction has deleveraged substantially since closing as a
result of property disposals with a 15% release premium, and the
pandemic has only had a moderate effect on the portfolio. At the
same time, certain assets with persistent heightened levels of
vacancy are more concentrated in the remaining portfolio, and some
of their other metrics are also deteriorating. For instance, the
debt yield fell to 8.38% as at the August 2021 payment date,
remaining below the covenanted limit of 8.89%.

The loan is currently in cash trap, which can be reversed if the
covenants are met for two consecutive payment dates . However,
Fitch believes this is unlikely given portfolio performance and the
step-up in the trigger. Nevertheless, trapped cash can be used to
meet mezzanine loan items and other expenses and so Fitch has not
given any credit to this feature.

KEY RATING DRIVERS

Increasing Vacancy, Secondary Quality Portfolio: Vacancy (by area)
has increased to 45% as per the latest tenancy schedule received,
up from 30% at the issue date and 41% 10 months ago. Many of the
smaller assets are dated, serving thinner local tenant demand.
Where Fitch finds vacancy to be persistent or materially higher
over the last two years, in some cases Fitch has haircut the
estimated rental value (ERV) or worsened property scoring.
Distributed around a weighted average property score of 3.6,
Fitch's analysis accounts for pockets of obsolescence risk amid an
overall secondary quality portfolio.

Granular Portfolio, Geographic Concentration: The portfolio
consists of 47 Finnish properties (63 at closing), mostly secondary
quality office and retail assets. Most of the assets (42% of MV)
are located in the Helsinki Metropolitan area, with the majority of
the remainder in Tampere (36% of MV). Despite its secondary
quality, the portfolio's diversity supports its having only had a
moderate observable impact from Covid-19, with most of the
delinquent lease positions now dealt with.

Pro-Rata Principal Pay: Property release amounts repay the
noteholders pro rata, exposing creditors to adverse selection and
rising concentration. This is mitigated by a release premium
(originally 10%, 15% since 20% of the loan was repaid), even if
this is also distributed pro rata. The deleveraging effect has a
bigger impact on more junior notes, but these are also more exposed
to rising vacancy, which appears to have been partly caused by a
skew in disposal activity towards more occupied assets.

Mezzanine Purchase Option: The mezzanine lender holds an option to
purchase the senior loan, exercisable within 15 business days of it
being notified of a purchase event, which survives until the
commencement of senior enforcement action. If this was barely
covered by estimated collateral value, it could deter bidding, and
may expose the issuer to enforcement costs not recovered from the
purchase price. Fitch considers this a risk factor for the most
junior noteholder.

Limited Liquidity Protection: The class RFN, A1, A2 and B notes
benefit from liquidity protection provided by a reserve fund of
EUR9.5 million. The reserve will amortise in line with the balance
of these four senior notes. No liquidity will be provided for the
junior notes, even if they become senior (interest will remain
deferrable for the class B to E notes). Due to the risk of interest
deferral, the class C notes and below are capped at the 'Asf'
category.

RATING SENSITIVITIES

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

-- Further increase in vacancy and rent decline within the
    portfolio.

The likely rating impact resulting from the application of a factor
of 1.25x to the rental value declines is as follows:

-- 'AA+sf'/'AAsf'/'AAsf'/'A-sf'/'BBB-sf'/'B+sf'

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

-- Improvement in portfolio performance confirmed by a third-
    party valuation.

The likely rating impact resulting from the application of a factor
of 0.8x to the cap rates is as follows:

-- 'AAAsf'/'AA+sf'/'AA+sf'/'A+sf'/'A sf'/'BBB-sf'

KEY PROPERTY ASSUMPTIONS (all by market value)

-- 'Bsf' WA cap rate: 6.6%

-- 'Bsf' WA structural vacancy: 26.1%

-- 'Bsf' WA rental value decline: 2.4%

-- 'BBsf' WA cap rate: 7.0%

-- 'BBsf' WA structural vacancy: 28.8%

-- 'BBsf' WA rental value decline: 4.4%

-- 'BBBsf' WA cap rate: 7.5%

-- 'BBBsf' WA structural vacancy: 32.0%

-- 'BBBsf' WA rental value decline: 6.4%

-- 'Asf' WA cap rate: 8.1%

-- 'Asf' WA structural vacancy: 35.1%

-- 'Asf' WA rental value decline: 10.8%

-- 'AAsf' WA cap rate: 8.6%

-- 'AAsf' WA structural vacancy: 38.7%

-- 'AAsf' WA rental value decline: 15.7%

-- 'AAAsf' WA cap rate: 9.2%

-- 'AAAsf' WA structural vacancy: 47.1%

-- 'AAAsf' WA rental value decline: 20.9%

-- Depreciation: 4.0%

-- ERV: EUR 64.0 million

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

FROSN-2018 DAC

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. 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.

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

Prior to the transaction closing, Fitch reviewed the results of a
third party assessment conducted on the asset portfolio information
and concluded that there were no findings that affected the rating
analysis.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

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.



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

CVC CORDATUS XVIII: Fitch Rates Class F Notes Final 'B-'
--------------------------------------------------------
Fitch Ratings has assigned CVC Cordatus Loan Fund XVIII reset notes
final ratings.

     DEBT                RATING              PRIOR
     ----                ------              -----
CVC Cordatus Loan Fund XVIII - Reset

A XS2410157932    LT AAAsf   New Rating    AAA(EXP)sf
B-1 XS2410158237  LT AAsf    New Rating    AA(EXP)sf
B-2 XS2410158310  LT AAsf    New Rating    AA(EXP)sf
C XS2410158401    LT Asf     New Rating    A(EXP)sf
D XS2410158583    LT BBB-sf  New Rating    BBB-(EXP)sf
E XS2410158666    LT BB-sf   New Rating    BB-(EXP)sf
F XS2410158740    LT B-sf    New Rating    B-(EXP)sf
M1 XS2237428151   LT NRsf    New Rating    NR(EXP)sf
M2 XS2237427187   LT NRsf    New Rating    NR(EXP)sf
X XS2410157858    LT AAAsf   New Rating    AAA(EXP)sf

TRANSACTION SUMMARY

CVC Cordatus Loan Fund XVIII DAC is a securitisation of mainly
senior secured obligations (at least 90%) with a component of
senior unsecured, mezzanine, second-lien loans and high-yield
bonds. Note proceeds are being used to refinance the existing notes
and fund a portfolio with a target par of EUR454 million.

The portfolio is actively managed by CVC Credit Partners European
CLO Management LLP (CVC). The collateralised loan obligation (CLO)
has a 4.5-year reinvestment period and an 8.5-year weighted average
life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors at 'B'/'B-'. The Fitch-weighted
average rating factor (WARF) of the current portfolio is 25.3.

High Recovery Expectations (Positive): At least 90% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch-weighted
average recovery rate (WARR) of the current portfolio is 59.7%.

Diversified Asset Portfolio (Positive): The transaction has a
concentration limit for the 10-largest obligors of 20%. The
transaction also includes various concentration limits, including a
maximum exposure to the three-largest Fitch-defined)industries in
the portfolio at 44.5%. These covenants ensure the asset portfolio
will not be exposed to excessive concentration.

Portfolio Management (Neutral): The transaction has a 4.6-year
reinvestment period and includes reinvestment criteria similar to
those of other European transactions. Fitch's analysis is based on
a stressed-case portfolio with the aim of testing the robustness of
the transaction structure against its covenants and portfolio
guidelines.

Cash-flow Modelling (Positive): The WAL used for the transaction's
stressed portfolio and matrix analysis is 12 months less than the
WAL covenant to account for structural and reinvestment conditions
post-reinvestment period, including passing the
over-collateralisation, the Fitch 'CCC' limitation and the Fitch
maximum WARF tests. This ultimately reduces the maximum possible
risk horizon of the portfolio when combined with loan prepayment
expectations.

RATING SENSITIVITIES

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

-- A 25% increase of the mean default rate (RDR) across all
    ratings and a 25% decrease of the recovery rate (RRR) across
    all ratings would result in downgrades of up to four notches
    across the structure.

-- Downgrades may occur if the build-up of the notes' credit
    enhancement following amortisation does not compensate for a
    larger loss expectation than initially assumed, due to
    unexpectedly high levels of defaults and portfolio
    deterioration.

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

-- A 25% reduction of the mean RDR across all ratings and a 25%
    increase in the RRR across all ratings would result in
    upgrades of no more than five notches across the structure,
    apart from the class X and A-R notes, which are already at the
    highest rating on Fitch's scale and cannot be upgraded.

-- At closing, Fitch used a standardised stressed portfolio
    (Fitch's stressed portfolio) that is customised to the
    portfolio limits as specified in the transaction documents.
    Even if the actual portfolio shows lower defaults and smaller
    losses at all rating levels than Fitch's stressed portfolio
    assumed at closing, an upgrade of the notes during the
    reinvestment period is unlikely, as the portfolio credit
    quality may still deteriorate, not only by natural credit
    migration, but also through reinvestments.

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

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognised statistical rating organisations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

PROVIDUS CLO VI: S&P Assigns B- (sf) Rating on Class F Notes
------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Providus CLO VI
DAC's class A, B-1, B-2, C, D, E, and F notes. At closing, the
issuer also issued unrated subordinated notes.

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

The portfolio's reinvestment period will end approximately 4.7
years after closing, and the portfolio's maximum average maturity
date will be approximately 8.5 years after closing

The ratings assigned to the notes 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 S&P's
counterparty rating framework.

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor     2,810.12
  Default rate dispersion                                 504.61
  Weighted-average life (years)                             5.56
  Obligor diversity measure                               128.19
  Industry diversity measure                               17.92
  Regional diversity measure                                1.45

  Target Portfolio Key Metrics
                                                         CURRENT
  Total par amount (mil. EUR)                                400
  Defaulted assets (mil. EUR)                                  0
  Number of performing obligors                              165
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                           B
  'CCC' category rated assets (%)                           1.00
  'AAA' weighted-average recovery (%)                      35.54
  Covenanted weighted-average spread (%)                    3.69
  Covenanted weighted-average coupon (%)                    4.50

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted-average rating of
'B'. We consider the portfolio to be well-diversified on the
effective date, primarily comprising broadly syndicated
speculative-grade senior secured term loans and senior secured
bonds. Therefore, we conducted our credit and cash flow analysis by
applying our criteria for corporate cash flow CDOs.

"In our cash flow analysis, we used the EUR400 million par amount,
a weighted-average spread of 3.69%, and the actual weighted-average
recovery rates for all rating levels. 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.

At closing, the transaction's documented counterparty replacement
and remedy mechanisms adequately mitigate its exposure to
counterparty risk under our current counterparty criteria.

"Following the application of our structured finance sovereign risk
criteria, we consider the transaction's exposure to country risk to
be limited at the assigned ratings, as the exposure to individual
sovereigns does not exceed the diversification thresholds outlined
in our criteria.

"At closing, the issuer is bankruptcy remote, in line with our
legal criteria.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1 to E notes could withstand
stresses commensurate with higher ratings than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes. In
our view the portfolio is granular in nature, and well-diversified
across obligors, industries, and asset characteristics when
compared to other CLO transactions we have rated recently. As such,
we have not applied any additional scenario and sensitivity
analysis when assigning ratings on any classes of notes in this
transaction.

"For the class F notes, our credit and cash flow analysis indicates
that the break-even default rate cushion is negative. 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 further reflects several factors, including:

-- The available credit enhancement for this class of notes is in
the same range as other CLOs that S&P rates, and that has recently
been issued in Europe.

-- The portfolio's average credit quality is similar to other
recent CLOs.

-- S&P's model generated break-even default rate at the 'B-'
rating of 27.71% (for a portfolio with a weighted-average life of
5.56 years), versus if it was to consider a long-term sustainable
default rate of 3.1% for 5.56 years, which would result in a target
default rate of 17.24%.

-- The actual portfolio is generating higher spreads versus what
S&P has modelled in its cash flow analysis.

-- For S&P to assign a rating in the 'CCC' category, it also
assessed (i) whether the tranche is vulnerable to non-payments in
the near future, (ii) if there is a one in two chance for this note
to default, and (iii) if it 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 notes is commensurate with the
'B- (sf)' rating assigned.

-- Following S&P's analysis of the credit, cash flow,
counterparty, operational, and legal risks, S&P believes that its
preliminary ratings are commensurate with the available credit
enhancement for the class A, B-1, B-2, C, D, E, and F notes.

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
to E notes to five of the 10 hypothetical scenarios we looked at in
our publication, "How Credit Distress Due To COVID-19 Could Affect
European CLO Ratings," published on April 2, 2020.

"As 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, we have not included the above scenario analysis results
for the class F notes."

Environmental, social, and governance (ESG) 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 from being related to certain activities,
including, but not limited to, the following industries:
manufacture or marketing of controversial weapons, tobacco or
tobacco-related products, nuclear weapons, mining or
electrification of thermal coal, oil sands extraction, gambling
platforms, pornography or prostitution, or opioid manufacturing and
distribution. 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."

Providus CLO VI is a European cash flow CLO securitization of a
revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by sub-investment grade borrowers. Permira
European CLO Manager LLP will manage the transaction.

  Ratings List

  CLASS    RATING     AMOUNT     SUB (%)      INTEREST RATE
                     (MIL. EUR)
  A        AAA (sf)     244.70    38.83   Three/six-month EURIBOR  
        
                                          plus 0.97%

  B-1      AA (sf)       26.00    28.58   Three/six-month EURIBOR
                                          plus 1.70%

  B-2      AA (sf)       15.00    28.58   2.05%

  C        A (sf)        27.80    21.63   Three/six-month EURIBOR
                                          plus 2.10%

  D        BBB (sf)      26.90    14.90   Three/six-month EURIBOR
                                          plus 3.20%

  E        BB- (sf)      21.00     9.65   Three/six-month EURIBOR
                                          plus 6.11%

  F        B- (sf)       11.60     6.75   Three/six-month EURIBOR  
           
                                          plus 8.75%

  Sub. Notes   NR        33.60      N/A   N/A

The payment frequency switches to semiannual and the index switches
to six-month EURIBOR when a frequency switch event occurs.
EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A--Not applicable.




===========
T U R K E Y
===========

TURKIYE IS: S&P Affirms 'B+/B' ICRs, Alters Outlook to Stable
-------------------------------------------------------------
S&P Global Ratings took the following rating actions on two Turkish
financial institutions:

-- S&P revised the outlook on Turkiye Is Bankasi A.S. (Isbank) to
negative from stable and affirmed its 'B+/B' long and short-term
issuer credit ratings. At the same time, S&P affirmed its
'trA+/trA-1' Turkey national scale ratings.

-- S&P affirmed its 'B/B' long and short-term issuer credit
ratings on Albaraka Turk Katilim Bankasi A.S. (ABT). The outlook
remains negative. At the same time, S&P affirmed its 'trBBB+/trA-2'
Turkey national scale ratings on ABT.

The rating actions also follow a revision to S&P's methodologies
for rating banks and nonbank financial institutions and for
determining a Banking Industry Country Risk Assessment (BICRA).
However, the changes in criteria in and of themselves did not
affect the rating action.

The Turkish lira has depreciated sharply due to unorthodox monetary
policy. Over the past month, Turkey has experienced a significant
depreciation of its exchange rate, with the lira losing more than
30% of its value against the U.S. dollar in a few weeks, bringing
the year-to-date devaluation to more than 45%. At the same time, in
November 2021, year on year, the consumer price index surpassed
21%, the highest level since October 2018.

Rising inflation and the weakening lira increase refinancing risks
for Turkish banks. Turkish banks are highly vulnerable to negative
market sentiment and risk aversion because of their structurally
high reliance on short-term external funding. On Sept. 30, 2021,
banks had $83.2 billion of external debt to roll over by October
2022, including about $30 billion of non-resident deposits. Despite
market volatility, Turkish banks were able to roll over all of
their syndicated loans at an attractive price during October and
November this year. S&P said, "Under our base-case scenario, we
still expect banks to be able to roll over most of their external
financing, but at a higher cost because of increased pressure on
the Turkish lira and expected monetary policy tightening in
developed markets. However, refinancing risks are rising, in our
view, since investors' appetite could shift if unorthodox monetary
policy persists. Although Turkish banks have sufficient foreign
currency liquidity to handle lower roll over rates, most of it is
either with the central bank or placed in government securities,
which reduce its availability in a highly stressed scenario. We
also consider risks of further dollarization to be elevated,
especially if domestic residents' confidence in the local currency
continues to erode. However, we don't expect Turkey to impose
capital controls because we don't currently anticipate significant
deposit withdrawals from the banking system."

Asset quality could deteriorate beyond our expectations, raising
questions about some banks' solvency. S&P said, "Following years of
credit stimulus, we expect loan growth to slightly decelerate over
2022-2023 and asset quality to deteriorate as forbearance measures
on loans classification are gradually lifted and the lira's
depreciation further strains Turkish corporate borrowers' ability
to repay foreign currency-denominated debts. We forecast
nonperforming loans (NPLs) will exceed 10% of total loans by 2022
up from 3.5% as of Nov. 30, 2021, and credit losses will increase
to 330 basis points (bps) on average in 2022-2023 from 158 bps on
Oct. 31, 2021. Further weakening of the lira could result in higher
NPLs and credit losses that go beyond our current expectations. At
the same time, Turkish banks' risk-weighted assets (RWA) will keep
inflating, further eroding banks' capital ratios. We consider state
banks to be the most vulnerable, given their already tight capital
buffers, after contributing actively to lending growth over the
past few years." The persistence of inflation and continuous
political pressure to cut the policy rate also raise concern about
Turkey's economy resilience.

Turkiye Is Bankasi (Isbank)

S&P said, "The affirmation reflects our view that, in our base-case
scenario, Isbank's capital will remain sufficient to absorb the
impact of the lira's depreciation, which inflates the bank's RWA
and reduces borrowers' ability to honor their foreign currency
debts if not hedged. We anticipate that credit losses will reach
about 310 bps on average in 2022 and 2023, while high business
volumes and income linked to its consumer price index securities
will only partly offset higher capital absorption from currency
volatility. We therefore anticipate Isbank's risk-adjusted capital
(RAC) ratio will decline from 4.2% as of Dec. 31, 2020, but remain
slightly higher than 3.0% by year-end 2023. We also assume the bank
can maintain access to external funding and roll over a large part
of its short-term external debt amounting to about $4.7 billion as
of Sept. 30, 2021. We note that, in an adverse scenario, the bank
has ample foreign currency liquidity, allowing it to withstand
restrained access to external funding. However, in line with the
banking system, we see a risk that a lower roll-over rate could
shift the problems to the central bank's balance sheet. Our ratings
also reflect Isbank's large share of the Turkish banking market and
its proven ability to manage through difficult economic and
operational circumstances."

Outlook

The negative outlook mirrors that on the sovereign and reflects
S&P's view that Turkey's economic and operating environment could
deteriorate more than anticipated over the next 12 months.

Downside scenario: S&P said, "We could lower the rating on Isbank
if we lower the rating on Turkey or we observe additional pressure
on Isbank's capitalization, with the RAC ratio dropping below 3%.
This could most likely be due to a further weakening of the lira or
rising economic risks in the country. We could also lower the
rating if Isbank's liquidity situation worsens, specifically if
market turbulence exacerbates refinancing risks."

Upside scenario: S&P said, "We could revise the outlook to stable
if we revise our outlook on the sovereign rating to stable, we
anticipate pressure on Isbank's financial profile is abating, and
we consider that the bank's funding and liquidity positions are
still adequately balanced."

Albaraka Turk Katilim Bankasi A.S. (ABT)

S&P said, "We affirmed our ratings because we expect that ABT's
parent, Bahrain-based Albaraka Banking Group B.S.C. (ABG), will
remain supportive amid volatile operating conditions by subscribing
to ABT's rights issuance over the next few months. We anticipate
credit losses will rise to 150 bps-190 bps over 2022-2023. Although
the lower-interest-rate environment will benefit ABT's margin in
the short term, this will not be sufficient to compensate for
higher credit losses, limiting the bank's ability to generate
capital organically. Yet the planned rights issuance over the
coming months would provide some cushion.

"We therefore anticipate ABT's RAC ratio will continue declining
from 2.8% as of Dec. 31, 2020, but remain at around 2% by year-end
2023. ABT's lower cost of risk than the system average reflects its
lower NPL coverage policy. We understand that ABT's NPLs benefit
from higher collateralization, but we think that the bank's high
reliance on real estate collateral might exert additional pressure
if the real estate market deteriorates.

'Our ratings also reflect ABT's significant reliance on short-term
wholesale funding, similar to its domestic peers, which leaves the
bank exposed to pricing and refinancing risks. Positively, we think
ABT has sufficient liquidity and its deposit base is relatively
granular. However, ABT lacks scale in the highly competitive
Turkish banking market, and the concentration of its operations in
Turkey makes it vulnerable to economic instability."

Outlook

The negative outlook on ABT reflects the risk that the economic and
operating environment in Turkey could deteriorate more than
anticipated, exacerbating the pressure on ABT's asset quality and
capitalization.

Downside scenario: S&P said, "We could lower our ratings if we
perceived lower-than-expected support for ABT from its parent. This
could materialize if the parent doesn't subscribe to ABT's rights
issuance over the coming months. We could also downgrade ABT if its
asset-quality indicators deteriorate more than we expect or we see
steeper erosion of capitalization triggered by further weakening of
the lira, leading to greater stress in the economic environment.
The rating could also come under pressure if market turbulence
further exacerbates ABT's already high refinancing risks and we see
pressure on its deposit base."

Upside scenario: S&P could revise the outlook to stable if it sees
risks for ABT's credit profile abating. Specifically, this could
happen if the economic and operating environment in Turkey
stabilizes and the bank enhances its capitalization through rights
issuance, as announced in November, while maintaining asset-quality
metrics in line with those of peers.

  BICRA Score Snapshot

                                    TO            FROM
  BICRA group                       9              9

  Economic risk                     8              8

  Economic resilience            High risk      High risk

  Economic imbalances         Very high risk  Very high risk

  Credit risk in the economy  Very high risk  Very high risk

  Trend                           Negative       Stable

  Industry risk                     9              9

  Institutional framework     Very high risk  Very high risk

  Competitive dynamics        Very high risk  Very high risk

  Systemwide funding          Very high risk  Very high risk

  Trend                           Negative       Stable

Banking Industry Country Risk Assessment (BICRA) economic risk and
industry risk scores are on a scale from 1 (lowest risk) to 10
(highest risk).


  Ratings Score Snapshot

  Albaraka Turk Katilim Bankasi A.S. (ABT)

                                      TO              FROM
  Issuer Credit Rating           B/Negative/B    B/Negative/B

  SACP                           b-              b-

  Anchor                         b+              b+

  Business Position              Moderate (-1)   Moderate (-1)

  Capital and Earnings           Weak (-1)       Very Weak (-1)

  Risk Position                  Adequate (0)    Adequate (0)

  Funding and                    Adequate (0)    Average (0)

  Liquidity                      Adequate (0)    Adequate (0)

  Support                        1               1

  GRE support                    0               0

  Group Support                  1               1

  Sovereign Support              0               0

  Additional Factor              0               0


  Turkiye Is bankasi (Isbank)

                                      TO              FROM
  Issuer Credit Rating          B+/Negative/B    B+/Stable/B

  SACP                          b+               b+

  Anchor                        b+               b+

  Business Position             Adequate (0)     Adequate (0)

  Capital and Earnings          Constrained (0)  Weak (0)

  Risk Position                 Adequate (0)     Adequate (0)

  Funding and                   Adequate (0)     Average (0)

  Liquidity                     Adequate (0)     Adequate (0)

  Support                       0                0

  GRE support                   0                0

  Group Support                 0                0

  Sovereign Support             0                0

  Additional Factor             0                0




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

PAVILLION MORTGAGES 2021-1: Fitch Rates Class E Notes Final 'BB+'
-----------------------------------------------------------------
Fitch Ratings has assigned Pavillion Mortgages 2021-1 PLC's notes
final ratings.

    DEBT              RATING              PRIOR
    ----              ------              -----
Pavillion Mortgages 2021-1 PLC

A XS2404211786   LT AAAsf  New Rating    AAA(EXP)sf
B XS2404212081   LT AA-sf  New Rating    AA-(EXP)sf
C XS2404213055   LT A-sf   New Rating    A-(EXP)sf
D XS2404213212   LT BBBsf  New Rating    BBB(EXP)sf
E XS2404213568   LT BB+sf  New Rating    BB+(EXP)sf
R XS2404214293   LT NRsf   New Rating

TRANSACTION SUMMARY

Pavillion Mortgages is a securitisation of owner-occupied mortgages
originated by Barclays Bank UK PLC and backed by properties in the
UK. The securitised loans are predominantly recent high
loan-to-value (LTV) originations (85%-95%), up to and including
August 2021, with 65.7% of the borrowers first-time buyers (FTBs).

KEY RATING DRIVERS

High LTV Lending: The pool consists of loans originated with an LTV
above 85%. The weighted average (WA) original LTV is consequently
higher than the average for Fitch-rated RMBS at 86.9%. Fitch's WA
sustainable LTV is also higher than average at 119.5%, resulting in
a higher-than-average foreclosure frequency (FF) and lower recovery
rates (RR) than transactions with lower LTV metrics.

High Concentration of FTBs: Of borrowers in the pool, 65.7% are
FTBs. Fitch considers that FTBs are more likely to suffer
foreclosure than other borrowers and has considered their
concentration in this pool analytically significant. In a variation
to its criteria, Fitch has applied an upward adjustment of 1.3x to
each loan where the borrower is a FTB.

Robust Excess Spread: The WA margin on the class A-E notes is 0.5%
(0.9% after the step-up date), with the class A notes margin of
40bp over SONIA. The WA fixed rate paid on the portfolio is 3.03%,
with a reversion margin of 3.49% over the Bank of England Base
Rate. Therefore, the transaction benefits from strong excess
spread, which can be used to clear any losses debited to the
principal deficiency ledger through the interest priority of
payments.

Fixed Interest Rate Hedging Schedule: All loans pay a fixed rate of
interest (reverting to a floating rate), while the notes pay a
SONIA-linked floating rate. The issuer entered into a swap at
closing to mitigate the interest rate risk arising from the
fixed-rate mortgages in the pool.

The swap features a defined notional balance that could lead to
over-hedging in the structure due to defaults or prepayments.
Over-hedging results in additional available revenue funds in
rising interest rate scenarios and reduced available revenue funds
in decreasing interest rate scenarios.

RATING SENSITIVITIES

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

-- The transaction's performance may be affected by changes in
    market conditions and economic environment. Weakening economic
    performance is strongly correlated to increasing levels of
    delinquencies and defaults that could reduce credit
    enhancement available to the notes.

-- Unanticipated declines in recoveries could also result in
    lower net proceeds, which may make certain notes susceptible
    to potential negative rating action depending on the extent of
    the decline in recoveries.

Fitch conducts sensitivity analyses by stressing both a
transaction's base case FF and RR assumptions, and examining the
rating implications on all classes of issued notes. The transaction
is particularly sensitive to decreasing interest rates and high
prepayments, which will shrink the excess spread as the issuer pays
a fixed swap rate on a notional schedule based on low prepayment
assumptions. Fitch tested a sensitivity of a 15% increase in the
WAFF and a 15% decrease in the WARR and the results indicate
downgrades of up to one category.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing credit
    enhancement levels and consideration of potential upgrades.
    Fitch tested an additional rating sensitivity scenario by
    applying a decrease in the FF of 15% and an increase in the RR
    of 15%. The impact on the subordinated notes could be an
    upgrade of up to two notches.

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.

CRITERIA VARIATION

The pool contains a concentration of FTBs with very little
seasoning as most of the loans were originated in 1Q21. Fitch
considers that FTBs are more likely to suffer foreclosure than
other borrowers and has considered their concentration in this pool
as analytically significant. In a variation to its criteria, Fitch
has applied an upward adjustment of 1.3x to each loan where the
borrower is an FTB instead of 1.1x, as indicated in the criteria.

The impact of the criteria variations is maximum one notch on the
rated notes.

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

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

DATA ADEQUACY

Pavillion Mortgages 2021-1 PLC

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

Fitch reviewed the results of a third party assessment conducted on
the asset portfolio information, and concluded that there were no
findings that affected the rating analysis.

Fitch conducted a review of a small targeted sample of the
originator's origination files and found the information contained
in the reviewed files to be adequately consistent with the
originator's policies and practices and the other information
provided to the agency about the asset portfolio.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

ESG CONSIDERATIONS

Pavillion Mortgages 2021-1 PLC has an ESG Relevance Score of '4'
for Human Rights, Community Relations, Access & Affordability due
to the concentration of FTBs, which have a weaker credit profile
than other borrowers and may affect the transaction's credit risk.
The proportion of FTBs is higher than for other prime transactions,
but is comparable with two recent high-LTV transactions rated by
Fitch (Blitzen Securities No.1 and Syon Securities 2020-2).

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.

PAVILLION MORTGAGES 2021-1: Fitch Rates E Notes Final 'BB+(EXP)'
----------------------------------------------------------------
Fitch Ratings has assigned Pavillion Mortgages 2021-1 PLC's notes
expected ratings.

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

DEBT             RATING
----             ------
Pavillion Mortgages 2021-1 PLC

A     LT AAA(EXP)sf  Expected Rating
B     LT AA-(EXP)sf  Expected Rating
C     LT A-(EXP)sf   Expected Rating
D     LT BBB(EXP)sf  Expected Rating
E     LT BB+(EXP)sf  Expected Rating

TRANSACTION SUMMARY

Pavillion Mortgages is a securitisation of owner-occupied (OO)
mortgages originated by Barclays Bank UK PLC and backed by
properties in the UK. The loans to be securitised are predominantly
recent high loan-to-value (LTV) originations (85%-95%), up to and
including August 2021, with 65.7% of the borrowers being first time
buyers (FTBs).

KEY RATING DRIVERS

High LTV Lending: The pool consists of loans originated with an LTV
above 85%. The weighted average (WA) original LTV is consequently
higher than the average for Fitch-rated RMBS at 86.9%. Fitch's WA
sustainable LTV is also higher than average at 119.9%, resulting in
a higher-than-average foreclosure frequency (FF) and lower recovery
rates (RR) than transactions with lower LTV metrics.

High Concentration of FTBs: Of borrowers in the pool, 65.7% are
FTBs. Fitch considers that FTBs are more likely to suffer
foreclosure than other borrowers and has considered their
concentration in this pool analytically significant. In a variation
to its criteria, Fitch has applied an upward adjustment of 1.3x to
each loan where the borrower is a FTB.

Robust Excess Spread: The WA margin on the class A-E notes is
expected to be 0.5% (0.9% after the step-up date), with the class A
notes margin of 40bp over SONIA. The WA fixed rate paid on the
portfolio is 3.03%, with a reversion margin of 3.49% over the Bank
of England Base Rate. Therefore, the transaction benefits from
strong excess spread, which can be used to clear any losses debited
to the principal deficiency ledger through the interest priority of
payments.

Fixed Interest Rate Hedging Schedule: All loans pay a fixed rate of
interest (reverting to a floating rate), while the notes pay a
SONIA-linked floating rate. The issuer entered into a swap at
closing to mitigate the interest rate risk arising from the
fixed-rate mortgages in the pool.

The swap features a defined notional balance that could lead to
over-hedging in the structure due to defaults or prepayments.
Over-hedging results in additional available revenue funds in
rising interest rate scenarios and reduced available revenue funds
in decreasing interest rate scenarios.

RATING SENSITIVITIES

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

-- The transaction's performance may be affected by changes in
    market conditions and economic environment. Weakening economic
    performance is strongly correlated to increasing levels of
    delinquencies and defaults that could reduce credit
    enhancement available to the notes.

-- Unanticipated declines in recoveries could also result in
    lower net proceeds, which may make certain notes susceptible
    to potential negative rating action depending on the extent of
    the decline in recoveries.

-- Fitch conducts sensitivity analyses by stressing both a
    transaction's base case FF and RR assumptions, and examining
    the rating implications on all classes of issued notes. The
    transaction is particularly sensitive to decreasing interest
    rates and high prepayments, which will shrink the excess
    spread as the issuer pays a fixed swap rate on a notional
    schedule based on low prepayment assumptions. Fitch tested a
    sensitivity of a 15% increase in the WAFF and a 15% decrease
    in the WARR and the results indicate downgrades of up to one
    category.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing credit
    enhancement levels and consideration of potential upgrades.
    Fitch tested an additional rating sensitivity scenario by
    applying a decrease in the FF of 15% and an increase in the RR
    of 15%. The impact on the subordinated notes could be an
    upgrade of up to two notches.

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.

CRITERIA VARIATION

The pool contains a concentration of FTBs with very little
seasoning as most of the loans were originated in 1Q21. Fitch
considers that FTBs are more likely to suffer foreclosure than
other borrowers and has considered their concentration in this pool
as analytically significant. In a variation to its criteria, Fitch
has applied an upward adjustment of 1.3x to each loan where the
borrower is an FTB instead of 1.1x, as indicated in the criteria.

The impact of the criteria variations is maximum one notch on the
rated notes.

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

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

DATA ADEQUACY

Pavillion Mortgages 2021-1 PLC

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

Fitch reviewed the results of a third party assessment conducted on
the asset portfolio information, and concluded that there were no
findings that affected the rating analysis.

Fitch conducted a review of a small targeted sample of the
originator's origination files and found the information contained
in the reviewed files to be adequately consistent with the
originator's policies and practices and the other information
provided to the agency about the asset portfolio.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

ESG CONSIDERATIONS

Pavillion Mortgages 2021-1 PLC has an ESG Relevance Score of '4'
for Human Rights, Community Relations, Access & Affordability due
to the concentration of FTBs, which have a weaker credit profile
than other borrowers and may affect the transaction's credit risk.
The proportion of FTBs is higher than for other prime transactions,
but is comparable with two recent high-LTV transactions rated by
Fitch (Blitzen Securities No.1 and Syon Securities 2020-2).

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.


                           *********


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
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written permission of the publishers.

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

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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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