/raid1/www/Hosts/bankrupt/TCREUR_Public/220330.mbx        T R O U B L E D   C O M P A N Y   R E P O R T E R

                          E U R O P E

          Wednesday, March 30, 2022, Vol. 23, No. 58

                           Headlines



I R E L A N D

PERRIGO CO: S&P Affirms 'BB' Issuer Credit Rating, Outlook Stable
PERRIGO COMPANY: Fitch Lowers IDR to 'BB+', Outlook Stable
PRIMROSE 2022-1: S&P Assigns Prelim B-(sf) Rating to Class G Notes
PRIMROSE RESIDENTIAL 2022-1: Fitch Gives CCC(EXP) Rating to G Debt


I T A L Y

MONTE DEI PASCHI: Rome Expects to Return Bank Into Private Hands


R U S S I A

BALTIC LEASING: Fitch Affirms Then Withdraws 'CC' LT IDRs
RUSSIAN NATIONAL: Fitch Affirms Then Withdraws 'CC' IFS Rating
SOGLASIE INSURANCE: Fitch Affirms Then Withdraws 'CC' IFS Rating


S P A I N

HAYA REAL: S&P Places 'CCC-' ICR on CreditWatch Positive


U N I T E D   K I N G D O M

GREENSILL CAPITAL: Lex Greensill Offered GAM Option to Buy Shares
P&O FERRIES: In Dispute with Pension Scheme Over Valuation of Ships
P&O FERRIES: May Collapse if Job Cuts Reversed, Boss Says
PERFECTHOME: Enters Administration, Ceases Trading
SUNGARD AVAILABILITY: Administrators in Talks with Potential Buyers

TRAFFORD CENTRE: Fitch Affirms 'CCC' Rating on 3 Note Classes
YE OLDE: Set to Reopen Following Administration

                           - - - - -


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I R E L A N D
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PERRIGO CO: S&P Affirms 'BB' Issuer Credit Rating, Outlook Stable
-----------------------------------------------------------------
S&P Global Ratings affirmed its 'BB' issuer credit rating on
Dublin-based consumer self-care company Perrigo Co. PLC and
assigned its 'BBB-' issue-level rating to the proposed bank
facility, which consists of a $1 billion, five-year revolver
(undrawn at close); $300 million, five-year term loan A; and $800
million, seven-year term loan B. The recovery rating is '1',
indicating creditors could expect very high (90%-100%; rounded
estimate: 95%) recovery in the event of a payment default.

S&P said, "We also lowered our rating on nearly all of the senior
unsecured notes to 'BB-' from 'BB' and revised our recovery rating
to '5' (10%-30%; rounded estimate: 20%) from '3' because of the
sizable amount of proposed secured debt in the capital structure.
The 2023 notes are not affected since the company intends to redeem
this debt.

"The stable outlook reflects our expectation that Perrigo will
reduce adjusted leverage to about 5x over the next year with
further improvement to the low-4x area thereafter as its supply
chain management and operating execution rebounds following tough
macroeconomic conditions last year. We also expect cold, cough, and
flu product demand to increase closer to levels before the COVID-19
pandemic."

Perrigo's actions since mid-2021 remove some uncertainty about its
business mix and litigation risk, positioning the firm as a
pure-play global consumer self-care company.

Over the last nine months the company has:

-- Resolved the EUR1.7 billion Irish tax assessment for EUR266
million (about $308 million), which in S&P's view was a clear
positive given the magnitude of the reduction.

-- Divested its prescription drug business for $1.55 billion,
potentially reducing earnings volatility.

-- Received a EUR355 million (about $418 million) arbitration
award related to its claims of fraud against the sellers of the
Omega business, which Perrigo acquired in 2014.

-- Agreed to purchase HRA for EUR1.8 billion (approximately $2
billion). HRA is a high-growth, high-margin consumer self-care
company.

Perrigo still has sizable $452 million uncertain tax positions
(including about $105 million interest and penalties) with other
tax authorities, an overhang that could require material cash
payments to resolve. Nevertheless, the work done to provide more
information to Irish tax authorities lowered the potential EUR1.7
billion payment about EUR1.4 billion before it was ultimately
resolved for EUR266 million.

The sale of the prescription drug business provided significant
cash while divesting a business subject to more regulatory risk.
Receipt of the Omega arbitration proceeds was also a positive
and--combined with the divesture proceeds--will be used to lessen
the leveraging impact of the proposed HRA acquisition.
Nevertheless, pro forma adjusted leverage of about 5.5x is a full
turn higher than our prior expectations when the HRA deal was
announced.

HRA adds a focused portfolio of segment-leading, attractive brands
to Perrigo's stable and diverse store brand lineup. HRA's small
portfolio commands very high market shares, including in blister
care (Compeed, over 70% EU share), women's health (ellaOne,
NorLevo, over 50% EU share), and scar care (Mederma, about 45% U.S.
share). S&P said, "We view the skin and health care sectors as
high-growth with little private-label competition. We believe HRA's
top-line growth prospects are good (we forecast over 10% annual HRA
sales growth) and sizable cost synergies relative to HRA sales
should be achieved by leveraging Perrigo's distribution, sales, and
back-office infrastructure." Moreover, the potential to expand into
new/adjacent categories (especially contraception) and succeed in
prescription to over-the-counter (OTC) switches (two of which are
underway) presents upside.

The HRA deal replaces a meaningful portion of the divested generic
prescription drug business EBITDA. The new management team has
completed a series of seven acquisitions over the last three years
(prior to the proposed HRA deal). However, the organization under
prior senior management teams has a poor track record with
acquisitions in Europe, namely Omega and to a lesser extent Elan
(Tysabri). Effectively integrating HRA under potentially difficult
supply chain conditions could prove challenging. The financing
transaction nevertheless repays about $1 billion of debt maturities
coming due through 2023 (including the $600 million term loan due
Aug. 15, 2022).

S&P said, "We still view Perrigo's ability to manage a complex
supply chain and thousands of stock-keeping units (SKUs) as its
main competitive strength. Perrigo's position as the dominant U.S.
store brand manufacturer of consumer OTC health care products is
rooted in its ability to manage complex supply chains across
multiple dosage forms, formulations, and SKUs. The company's
long-standing relationships with the largest retailers in the U.S.
demonstrates its effectiveness. Like nearly all consumer product
companies, Perrigo faced supply chain constraints in 2021,
particularly in the third quarter, mainly stemming from truck
driver and distribution center labor shortages. We assume
performance will improve in 2022 and point to Perrigo's 12%
shipment rebound in the fourth quarter of 2021. In addition, we
believe sales and profits will improve since retailer inventories
are low and demand for cold, cough, and flu products should rebound
as social interactions increase following the very weak pandemic
seasons of 2020 and 2021.

"We assume Perrigo will return to less aggressive financial
policies.Perrigo expects net leverage--as defined by the
company--will decline to 3x over the next 18-24 months. We expect
credit ratio improvement primarily from EBITDA growth (following a
tough 2021) and to a lesser extent debt repayment. However, we
still assume the company will make small, bolt-on acquisitions.
Perrigo's acquisition appetite nevertheless could remain high as it
seeks to further expand following its transformation to a consumer
self-care company.

"The stable outlook reflects our expectation that Perrigo will
reduce adjusted leverage to about 5x over the next year with
further improvement to the low-4x area thereafter as its supply
chain management expertise returns following tough macroeconomic
conditions last year. We also expect demand for Perrigo's products
to increase in 2022 since retailer inventories are low and the
cough, cold, and flu season should continue to rebound. High
inflation should drive purchases of the company's more affordable
store-brand products. In addition to the higher EBITDA from the
acquisition and integration of HRA, we expect the company to use
most of its over $200 million annual discretionary cash flow for
debt repayment to reduce leverage over the next year."

S&P could lower the rating over the next 12 months if it forecasts
that Perrigo will not reduce adjusted leverage below 5x by the
second half of 2023, potentially due to:

-- An inability to offset escalating input cost or labor inflation
through pricing or productivity initiatives;

-- Renewed supply chain inefficiencies that reduce the company's
service levels and market share;

-- Unfavorable resolutions to various uncertain tax positions,
which aggregate about $450 million including interest and
penalties; or

-- A deviation of financial policy away from the company's stated
3x leverage target, which S&P believes could result from additional
material acquisition spending.

While unlikely over the next year, S&P could raise its rating if:

-- S&P believes Perrigo will sustain S&P Global Ratings-adjusted
debt to EBITDA in the 3x-4x range, including its acquisition
strategy and legal liabilities from its pending litigation; and

-- The company efficiently manages the distribution of its broad
portfolio of consumer health care products and strengthens
profitability despite potentially tough supply chain and
inflationary conditions.

ESG credit indicators: E-2, S-2, G-2


PERRIGO COMPANY: Fitch Lowers IDR to 'BB+', Outlook Stable
----------------------------------------------------------
Fitch Ratings has downgraded Perrigo Company plc's Issuer Default
Rating (IDR) to 'BB+' from 'BBB-'. Fitch also downgraded Perrigo
Company plc's senior unsecured notes and Perrigo Finance Unlimited
Company's senior unsecured credit facility and senior unsecured
notes to 'BB+'/'RR4' from 'BBB-'. Fitch has removed the ratings
from Rating Watch Negative and assigned a Stable Outlook.

Fitch has also assigned a 'BBB-'/'RR1'(EXP) rating to Perrigo
Investments LLC's proposed senior secured credit facility (revolver
and term loans).

The rating actions reflect Fitch's expectation that Perrigo's
acquisition of HRA Pharma for roughly $2.1 billion in cash will
result in leverage (total debt/EBITDA) remaining above 3.5x beyond
18-24 months after the acquisition.

KEY RATING DRIVERS

Acquisition and Elevated Leverage: The acquisition of HRA Pharma
will add three category-leading self-care brands in blister care,
women's health and scar care to Perrigo's product portfolio. These
platforms offer higher growth and margins relative to Perrigo's
base business. Fitch expects that the company will be able to
generate around $46 million in annual cost synergies during the
next three years. There are likely some attainable revenue
synergies, but Fitch has not incorporated any into its forecast.
The acquisition will consume balance sheet cash, which will prevent
Perrigo from reducing debt in the near term, causing leverage to
remain above 3.5x for more than 18-24 months.

Business Transformation/Restructuring: The company has largely
completed its effort to transform its business. In 2019, the
company initiated a reorganization plan in order to refocus on
priorities, increase efficiencies and improve growth, targeting
$100 million in net savings by 2022. Perrigo divested its generic
prescription pharmaceuticals business for $1.55 billion, including
$1.5 billion in cash in 2021. In addition, the company divested its
animal health, international prescription drug businesses and other
businesses. On the growth side, the company completed a number of
targeted acquisitions in existing or adjacent product categories,
and Fitch expects this strategy to continue.

Pandemic Challenging but Manageable: The company has been able to
sustain operations during the coronavirus pandemic. Adjustments to
scheduling modestly challenged operating efficiency, but Perrigo
has largely satisfied consumer demand. Alternative sourcing helped
to mitigate any supply constraints. E-commerce revenues grew
rapidly during the pandemic as consumers increased their level of
online shopping.

Scale and Diversification: Perrigo is by far the largest
manufacturer of private label over-the-counter (OTC) medicines. The
company's significant scale positions it well to serve a broad
range of customers, including large retailers. Perrigo serves
Walmart, Target, Walgreens, CVS, Sam's Club, Amazon and Costco.
Walmart is Perrigo's largest customer and accounts for roughly 14%
of sales, and no other customer comprises 10% or greater of sales.
In addition, no product category accounts for more than 10% of
total sales. The company generates roughly 68% of its revenues in
the U.S., 27% in Europe and 5% in other geographies.

Contingent Tax Liability Reduced: The company has resolved its
Irish Tax Assessment risk for EUR266 million in cash. Perrigo plc
funded it with the proceeds of a EUR355 million Belgian arbitration
award. The Irish Office of the Revenue Commissioners issued a
Notice of Amended Assessment on in November 2018 that assesses a
tax liability against Perrigo of EUR1,636 million and subsequently
reduced it by EUR600 million.

Consistently Positive FCF: Perrigo is a consistent generator of
positive FCF. The company benefits from relatively reliable demand,
generally stable margins and manageable capital expenditures. Fitch
expects the company to generate roughly $250 million in annual FCF
during the forecast period. However, contingent liability and tax
disputes could offset the expected results at some point in the
future.

Dependable Demand: Consumer health care products and prescription
medicines benefit from relatively reliable demand. Sales tend to be
recession-resistant as most people prioritize health care needs.
OTC medicines can be purchased without a physician's prescription
and offer relief for some non-critical medical issues. In addition,
private label brands offer less costly alternatives to brand-name
products, attracting cost-conscious consumers, while at the same
time offering higher margins to retailers. Consumers have been
gradually switching to private-label alternatives.

DERIVATION SUMMARY

Perrigo's most relevant peer is P&L Development Holdings, LLC's
(B-/Stable), as both manufacture and market private label OTC
healthcare products. Perrigo is significantly larger and more
diverse in terms of products and geographies. Nevertheless, P&L
Development Holdings, LLC offers an alternative to retailers as the
second-largest player in the space. In addition, Perrigo operates
with leverage (total debt/EBITDA) significantly lower than P&L
Development Holdings. Both companies' products are mainly paid for
by large retailers with meaningful negotiating power.

Perrigo divested its prescription generic drug business in 2021 and
now focuses on consumer health care. However, Perrigo and generic
prescription drug manufacturers have some similar manufacturing
processes and offer lower cost private label/generic products
compared to branded products. Viatris (fka Mylan N.V; BBB/Stable)
and Teva Pharmaceutical Industries Limited (BB-/Stable) are much
larger than Perrigo in terms of size and scope of operations in the
generic prescription drug market. Both companies' products are
mainly paid for by large commercial and public payers with
significant negotiating power.

KEY ASSUMPTIONS

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

-- The company completes its acquisition of HRA Pharma for
    roughly $2.1 billion cash with roughly $46 million in annual
    cost synergies by 2024;

-- Revenues grow organically about 3% annually driven by
    digestive health products and nutritional products in CSCA
    segment;

-- Moderately increasing margins;

-- Annual FCF of roughly $200 million-$300 million;

-- Small tuck-in acquisitions targeting OTC products;

-- Near-term debt maturities to be refinanced;

-- Total debt with equity credit/EBITDA remains above 3.5x during
    the next 24 months.

RATING SENSITIVITIES

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

-- Gross leverage (total debt/EBITDA) is sustained below 3.5x,
    driven by EBITDA growth and some debt reduction;

-- Near-term M&A is targeted and doesn't negatively affect
    Perrigo's deleveraging ability.

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

-- Gross leverage (total debt/EBITDA) sustainably above 4.0x 18-
    24 months post acquisition;

-- Integration issues with HRA that would materially and durably
    stress FCF;

-- Additional leveraging M&A in the near term.

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

Fitch expects Perrigo to maintain adequate liquidity throughout the
forecast period. At Dec. 31, 2021, PRGO had balance sheet cash of
approximately $1.86 billion, $1.7 million of current assets held
for sale and full availability on its revolving credit agreement
and Fitch's expectation of $200 million to $300 million of FCF per
year. At Dec. 31, 2021, debt maturities were manageable with $600
million due in 2022, $369 million in 2023, $700 million in 2024 and
$1.84 billion thereafter.

Recovery Assumptions

Fitch applies a generic approach to rate and assign RRs to
instruments for issuers rated 'BB-' or above. Perrigo Investments
LLC's first liens security on its bank facility are considered
Category 1 first liens as they are not contractually, structurally
or practically junior to ABL facilities and warrant a 'BBB-'/'RR1',
one notch above the IDR. The unsecured debt is rated 'BB-'/RR4, the
same as the IDR.

ISSUER PROFILE

Perrigo is the largest manufacturer of private label OTC medicines.
The company focuses on the quality and affordability of its
products. P&L Development, the second-largest firm in the space is
significantly smaller and less diversified than Perrigo.

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.

PRIMROSE 2022-1: S&P Assigns Prelim B-(sf) Rating to Class G Notes
------------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Primrose
Residential 2022-1 DAC's class A to G-Dfrd Irish RMBS notes. At
closing, the issuer will also issue unrated class RFN, Z, Y, and X
notes.

Primrose Residential 2022-1 is a static RMBS transaction that
securitizes a portfolio of EUR368.9 million loans (excluding EUR3.7
million worth of loans subject to potential write-off and past
maturity). These consist of owner-occupied and buy-to-let primarily
reperforming mortgage loans secured over residential properties in
Ireland.

The securitization comprises two purchased portfolios, Canal,
representing 37.44% of the pool and which was previously
securitized in Grand Canal Securities 2 (GCS2), and Bass,
representing 62.56% of the pool. They aggregate assets from three
Irish originators. The loans in the Bass sub-pool were originated
by Permanent TSB PLC and the loans in the Canal sub-pool were
originated by Irish Nationwide Building Society and Springboard.

S&P said, "Our rating on the class A notes addresses the timely
payment of interest and the ultimate payment of principal. Our
ratings on the class B-Dfrd to G-Dfrd notes address the ultimate
payment of interest and principal." The timely payment of interest
on the class A notes is supported by the liquidity reserve fund,
which was fully funded at closing to its required level of 2.0% of
the class A notes' balance. Furthermore, the transaction benefits
from regular transfers of principal funds to the revenue item and
the ability to use principal to cover certain senior items.

Pepper Finance Corporation (Ireland) DAC and Mars Capital Finance
(Ireland) DAC, the administrators, are responsible for the
day-to-day servicing.

At closing, the issuer will use the issuance proceeds to purchase
the beneficial interest in the mortgage loans from the seller. The
issuer grants security over all its assets in favor of the security
trustee. S&P considers the issuer to be bankruptcy remote under its
legal criteria.

  Preliminary Ratings

  CLASS     PRELIM. RATING    CLASS SIZE (%)

   A         AAA (sf)          73.25

   B-Dfrd    AA+ (sf)           7.25

   C-Dfrd    A+ (sf)            5.50

   D-Dfrd    BBB (sf)           3.50

   E-Dfrd    BB+ (sf)           2.50

   F-Dfrd    B (sf)             3.00

   G-Dfrd    B- (sf)            2.50

   RFN       NR                 2.00

   Z-Dfrd    NR                 2.50

   X         NR                  TBD

   Y         NR                  TBD

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


PRIMROSE RESIDENTIAL 2022-1: Fitch Gives CCC(EXP) Rating to G Debt
------------------------------------------------------------------
Fitch Ratings has assigned Primrose Residential 2022-1 DAC expected
ratings.

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

    DEBT                    RATING
    ----                    ------
Primrose Residential 2022-1 DAC

A XS2460259752   LT AAA(EXP)sf  Expected Rating
B XS2460260255   LT AA-(EXP)sf  Expected Rating
C XS2460260842   LT A-(EXP)sf   Expected Rating
D XS2460260925   LT BBB(EXP)sf  Expected Rating
E XS2460261147   LT BB(EXP)sf   Expected Rating
F XS2460267771   LT B-(EXP)sf   Expected Rating
G XS2460267938   LT CCC(EXP)sf  Expected Rating

TRANSACTION SUMMARY

Primrose Residential 2022-1 DAC will be a securitisation of
first-lien residential mortgage assets that were originated
pre-credit crisis by three Irish lenders. The seller will be Ailm
Residential DAC and Morgan Stanley Principal Funding, Inc. will be
the provider of representations and warranties. Mars Capital
Finance Ireland DAC and Pepper Finance Corporation (Ireland) DAC
will service the portfolio and remain the legal title holders.

KEY RATING DRIVERS

Seasoned Loans, High Modelled Loss: The pool consists of
well-seasoned (14.8 years) Irish residential mortgage assets that
were predominantly originated between 2005 and 2008 by three
lenders. The high loss expectation for the portfolio (about 2.9% in
expected case and 25.0% under 'AAA' stresses) reflects constrained
affordability among the borrowers, the presence of some adverse
portfolio characteristics, as well as high loan leverage for a
seasoned portfolio.

The pool contains a high proportion of interest-only (IO) loans,
loans that underwent a restructuring, historical arrears as well as
borrowers that have experienced material negative equity. As of
end-2021, 9.2% of the loans by current balance were in arrears
greater than one month, with 5.3% in arrears by more than three
months (based on Fitch's calculations, which consider the combined
loan parts from a single borrower as in arrears when one loan part
is in arrears).

Net WAC Caps May Limit Interest Receipts: The class B to G notes
will be subject to a net weighted average coupon (WAC) cap feature
at close. The net WAC cap is equal to the weighted average of the
mortgage interest rate payments on the underlying loans for a
related collection period, weighted on the basis of the principal
balances as of the same collection period, after deducting senior
transactions costs (third-party fees and issuer expenses). This
means investors may not be paid the stated coupon on the notes.

The net WAC is defined on the basis of the scheduled and not actual
(collected) interest on the collateral portfolio, net of senior
expenses paid in the waterfall. In other words, there is no credit
component in the portfolio net WAC calculations, as the definition
of collateral portfolio refers to all mortgage loans and does not
exclude non-performing assets.

The additional amounts due on the notes above the net WAC may be
paid in a subordinated position in the revenue waterfall; Fitch's
ratings do not address these amounts. The class A notes will not be
subject to the net WAC cap.

High Portion of Restructured Loans: A significant proportion of the
loans in the pool (55.2%) were previously restructured due to a
significant build-up in arrears and subsequent lenders forbearance
measures, in line with guidance issued after the global financial
crisis by the Irish central bank. The arrears build-up was largely
a result of the recession in Ireland from 2008, when unemployment
rose steeply and house prices fell significantly.

Most of the restructures are either capitalisations, moratoria,
split mortgages or part capital and interest payments, and led to a
material reduction in borrowers' arrears profiles. Many of the
restructured borrowers have shown improved ability to pay
post-restructure and the overall pool has benefited from this
forbearance process and is now reperforming.

For borrowers with a reported date last in arrears in the past 12
months that had demonstrated a 100% payment history in the past 12
months (against the amounts due under the applicable restructuring
plan), Fitch has reduced the foreclosure frequency (FF) adjustment
to 1.5x the base loan-level FF from an FF floor of 55% (more than
three months' arrears) at an expected case. This constitutes a
variation from the European RMBS Rating Criteria.

Predominantly Floating-Rate Loans, Unhedged Basis Risk: Of the
loans in the portfolio, 63.0% track the ECB base rate with a loan
weighted average margin of 1.5%. There will be no swap in place to
hedge the mismatch between the ECB tracker-linked assets and the
Euribor-based notes, exposing the transaction to potential basis
risk. For those loans, Fitch has stressed the transaction cash
flows for this mismatch in line with its criteria.

The remainder of the floating-rate loans are on standard variable
rate (31.9% of the portfolio balance). These have a minimum
documented weighted average margin of one-month Euribor plus 2.5%,
which largely mitigates the mismatch with the notes. Fixed-rate
loans are limited to 5.1% of the pool, of which 3.8% is fixed for
life.

Exposure to the Rising Rates Partially Hedged: An interest rate cap
will be in place at close for 10 years to hedge against rising
interest rates. It will be based on a scheduled notional of EUR100
million (26.8% of the asset balance) and a strike rate that rises
periodically to a maximum of 3.5%. The cap will have a premium of
30bp running for the first three years rising to 60bp for the
remaining seven years. The premium will be included as an issuer
senior expense.

Fitch tested an amended stressed interest rate path with a plateau
of 3.5% to assess whether as a result of the interest rate cap, a
lower plateau would be significantly more stressful than Fitch's
standard upward interest rate curves as outlined in Fitch's
Structured Finance and Covered Bonds Interest Rate Stresses Rating
Criteria. The outcome of this test did not affect the assigned
ratings.

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 the economic environment. Weakening
    economic performance is strongly correlated to increasing
    levels of delinquencies and defaults that could reduce credit
    enhancement (CE) available to the notes.

-- In addition, unanticipated declines in recoveries could result
    in lower net proceeds, which may make certain notes' ratings
    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. For example, a 15% WAFF increase
    and 15% WARR indicate downgrades of up to four notches.

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 CE levels
    and consideration for potential upgrades. Fitch tested an
    additional rating sensitivity scenario by applying a decrease
    in the WAFF of 15% and an increase in the WARR of 15% indicate
    upgrades of up to three 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

A significant proportion (55.2%) of the loans in the pool were
previously restructured.

For borrowers with a reported date last in arrears in the past 12
months that had demonstrated a 100% payment history in the past 12
months (against the amounts due under the applicable restructuring
plan) Fitch reduced the FF adjustment to 1.5x the base loan-level
FF from four months in arrears. This constituted a variation from
the European RMBS Rating Criteria.

DATA ADEQUACY

Primrose Residential 2022-1 DAC

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.

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.



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

MONTE DEI PASCHI: Rome Expects to Return Bank Into Private Hands
----------------------------------------------------------------
Giuseppe Fonte and Valentina Za at Reuters report that Rome expects
to return Monte dei Paschi di Siena into private hands only after
the bailed-out lender completes restructuring steps it is currently
discussing with European Union authorities, Italy's economy
minister said on March 28.

According to Reuters, under new CEO Luigi Lovaglio, Monte dei
Paschi (MPS) is revising a 2022-2026 strategic plan readied by
previous management which needs approval by European authorities.

Economy Minister Daniele Franco told a parliamentary hearing the
bank would know once the plan is ready how much money it needs to
raise, Reuters relates.  He said for now the EUR2.5 billion capital
raising envisaged by the existing plan appears adequate, Reuters
notes.

A veteran UniCredit executive, Lovaglio is set to ready his
strategy for MPS in June and complete the capital raising in
October, based on an internal MPS document seen by Reuters.

The turnaround will then prepare the bank to be sold, Mr. Franco
said, after Rome last year failed to clinch a deal with UniCredit,
according to Reuters.

"It is reasonable to expect that only after the capital increase
and the restructuring steps envisaged in the new business plan, the
best conditions will be there for the privatisation," Mr. Franco
told lawmakers.

Italy, Reuters says, is negotiating with European Union authorities
a years-long extension of an end-2021 privatisation deadline for
MPS, which Rome failed to meet because UniCredit in October walked
away from a possible acquisition of the bailed-out rival.

"We think the Commission has no choice but to grant a reasonable
extension . . . we did try to sell the bank," Reuters quotes Mr.
Franco as saying.

Mr. Franco, as cited by Reuters, said the new plan would build on
the existing one and take into account the latest developments.
MPS has warned the Ukraine crisis could affect its cash needs,
Reuters relays.

While direct exposure to Russia and Ukraine is very low, MPS could
suffer due to the impact of the conflict on the Italian economy,
which the government expects to grow by around 3% this year from
previous 4.7% target set last autumn, according to Reuters.




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

BALTIC LEASING: Fitch Affirms Then Withdraws 'CC' LT IDRs
---------------------------------------------------------
Fitch Ratings has affirmed and withdrawn the ratings of Baltic
Leasing JSC, including its Long-Term Issuer Default Ratings of
'CC'.

The decision to withdraw these ratings for commercial reasons was
made prior to Fitch's announcement on 23 March that it intends to
withdraw all Russia-related ratings for sanctions-related reasons.

KEY RATING DRIVERS

The rating actions reflect Fitch's view that following the
downgrade of the sovereign rating and the imposition of a number of
restrictions regarding the ability of Russian issuers to service
outstanding debt held by non-residents, a default on the companies'
foreign- and/or local-currency obligations now appears probable.
The restrictions include those on local-currency debt payments to
certain international creditors under the Presidential Decree of 5
March.

RATING SENSITIVITIES

Not relevant. Ratings withdrawn.

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

Not relevant. Ratings withdrawn.

RUSSIAN NATIONAL: Fitch Affirms Then Withdraws 'CC' IFS Rating
--------------------------------------------------------------
Fitch Ratings has affirmed Russian National Reinsurance Company's
(RNRC) Insurer Financial Strength (IFS) Rating at 'CC' and
concurrently withdrawn the IFS rating for commercial reasons. The
decision to withdraw these ratings for commercial reasons was made
prior to Fitch's announcement on 23 March that it intends to
withdraw all Russia- related ratings for sanctions-related
reasons.

Rating Withdrawals

The rating is being withdrawn for commercial reasons.

KEY RATING DRIVERS

The affirmation is in line with the latest rating action Fitch took
on RNRC on 14 March 2022.

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
entities, either due to their nature or the way in which they are
being managed by entities.

RATING SENSITIVITIES

Not applicable.

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.

SOGLASIE INSURANCE: Fitch Affirms Then Withdraws 'CC' IFS Rating
----------------------------------------------------------------
Fitch Ratings has affirmed SOGLASIE Insurance Company Limited
(SOGLASIE)'s Insurer Financial Strength (IFS) Rating at 'CC' and
concurrently withdrawn the IFS rating.

Fitch has chosen to withdraw SOGLASIE's ratings for commercial
reasons. The decision to withdraw these ratings for commercial
reasons was made prior to Fitch's announcement on 23 March that it
intends to withdraw all Russia-related ratings for
sanctions-related reasons.

KEY RATING DRIVERS

The affirmation is in line with the latest rating action Fitch took
on SOGLASIE on 14 March 2022.

RATING SENSITIVITIES

Not applicable as the ratings have been withdrawn.

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
entities, either due to their nature or the way in which they are
being managed by entities.

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.



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

HAYA REAL: S&P Places 'CCC-' ICR on CreditWatch Positive
--------------------------------------------------------
S&P Global Ratings placed its 'CCC-' issuer credit rating on
Spanish real estate debt and asset servicer Haya Real Estate S.A.U
(Haya), as well as its ratings on its debt, on CreditWatch with
positive implications.

The CreditWatch placement indicates that the potential extension of
the debt maturity would improve the company's liquidity position.
If the transaction closes on the proposed terms, S&P would resolve
the CreditWatch placement.

Haya negotiated an amend-and-extend transaction with its pool of
lenders that could effectively extend the maturity of the notes to
November 2025. On March 25, 2022, the company announced it had
gained the approval of over 75% of its nonrestricted bondholders,
the threshold to proceed with the transaction. S&P said, "We
believe the deal will support liquidity by extending the debt
maturity until 2025 and consider that it adequately compensates
lenders. Lenders will be compensated with a 400 basis point (bps)
increase in margin (all cash interest) on the refinanced
notes--likely to be about 90% of the outstanding notes. The company
will use surplus cash funds to repay the remaining 10% of the debt
at par. Lenders will also receive a 27.5% stake of the company's
equity; a consent-and-exit fee totaling around 1%; and enhanced
leakage covenant protection. When cash on balance sheet exceeds
EUR25 million, there will be further cash sweeps that will be used
to prepay debt at par. As such, we view the three-year extension of
the debt is adequately compensated. However, should the transaction
not occur, or should the final terms differ from the ones presented
here, we could revisit the rating."

The extended maturity should improve Haya's currently weak
liquidity position when this transaction closes. The company will
operate with a minimum cash balance of EUR25 million in the coming
years, but given that its business is cash generative and
relatively light on capital expenditure (capex), while having
minimal working capital requirements, we think Haya's liquidity
position could improve after the transaction. The revolving credit
facility will not be extended, but this has largely been undrawn
over the past 12 months.

S&P said, "We expect credit metrics will remain highly leveraged
following the loss of its largest contract, with Sareb.
Specifically, we anticipate that the company's S&P Global
Ratings-adjusted leverage will remain elevated at around 8x-10x
after the transaction. We anticipate an EUR8.5 million variance on
EBITDA against the original business plan, following the outcome of
the Sareb contract. In addition, the company will also bear the
cost of making some staff redundant. We expect margins will be
depressed in 2022 as we incorporate the restructuring charges in
our adjusted EBITDA--they should improve as these costs decline in
2023.

"In our view, Haya's capital structure is likely to remain
unsustainable, absent any favorable business, economical, or
financial improvements in circumstances after the
restructure.Although we believe there could be positive industry
fundamentals in the coming years, in terms of a growing
nonperforming loan book, management would need a longer track
record of demonstrating that they can win new contracts and
increase the EBITDA base over the medium term.

"We expect the transaction will be positive for Haya, effectively
extending its debt profile and supporting an improved liquidity
position. We expect to resolve the CreditWatch placement following
the completion of this transaction, if it is in line with the
original terms of the lock-up agreement. We will continue to
monitor any developments related to the transaction as it
progresses over the coming months."

Environmental, Social, And Governance

ESG credit indicators: E-2, S-3, G-4

S&P said, "Social factors are a moderately negative consideration
in our credit rating analysis of Haya. Slower collections during
the pandemic in the Spanish nonperforming loans and real estate
markets, coupled with the renewal of a larger contract on
significantly reduced terms, resulted in Haya's credit metrics
tightening in advance of a relatively short horizon to debt
maturity. Governance factors are a negative consideration. Our
assessment of the company's financial risk profile as highly
leveraged reflects corporate decision-making that prioritizes the
interests of the controlling owners, in line with our view of the
majority of rated entities owned by private-equity sponsors. Our
assessment also reflects the company's generally finite holding
periods and its focus on maximizing shareholder returns. This also
incorporates the execution risk surrounding the current proposed
extension to support the refinancing of the near-term fixed- and
floating-rate notes and the continued risk of contract renewal
across its relatively limited contract base."




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

GREENSILL CAPITAL: Lex Greensill Offered GAM Option to Buy Shares
-----------------------------------------------------------------
Robert Smith and Laurence Fletcher at The Financial Times report
that Lex Greensill once offered Swiss asset manager GAM an option
to buy shares in Greensill Capital, alongside a deal that saw it
use clients' money to inject funding into his now-failed finance
firm.

The collapse of Greensill Capital a year ago sparked a sprawling
corporate and political scandal, engulfing scandal-prone Swiss
lender Credit Suisse and former British prime minister David
Cameron, the FT recounts.

Years before the specialist supply-chain finance company failed,
however, it was at the centre of an imbroglio at Swiss investment
firm GAM, in which the asset manager fired its star portfolio
manager Tim Haywood and froze withdrawals on billions of dollars of
funds he managed, the FT notes.

As well as investing clients' money heavily into hard-to-sell
investment products brokered by Greensill, Mr. Haywood was a
go-between in GAM's negotiations of side deals with the firm's
Australian founder Lex Greensill, the FT states.

In a previously unreported arrangement, Greensill offered GAM an
equity warrant in his company in October 2016, according to
documents setting out the terms of the deal, allowing the Swiss
firm to purchase a 12.5% stake in Greensill Capital for US$125
million, the FT relates.

The arrangement was provided alongside a deal in which GAM's funds
lent more than US$120 million to Greensill Capital, via a
special-purpose vehicle called Laufer, named after a creek on the
financier's family watermelon farm in Australia, the FT states.
The funding provided a lifeline to Greensill at a time when the
young company had racked up huge losses, while also refinancing
loans from shareholders that included GAM's former chief executive
David Solo, the FT notes.

Greensill Capital sent a letter to shareholders, seen by the FT,
two days before the Laufer deal closed explaining that the equity
warrant was "part of the terms of the refinancing" it was
negotiating with GAM.

Alongside the equity warrant, GAM and Lex Greensill also negotiated
a so-called "fee ramp" arrangement, in which Greensill Capital
would pay GAM US$5 million in fees if the assets in a dedicated
supply-chain finance fund had not hit US$1 billion by March 2017,
according to the FT.


P&O FERRIES: In Dispute with Pension Scheme Over Valuation of Ships
-------------------------------------------------------------------
Josephine Cumbo and Philip Georgiadis at The Financial Times report
that P&O is locked in a dispute with its pension scheme over wide
discrepancies in the value of ships secured against a GBP146
million debt owed to the fund by the embattled ferry operator.

According to the FT, Grant Shapps, UK transport secretary, on March
25 urged Peter Hebblethwaite, P&O chief executive, to quit after he
admitted that the group had deliberately broken the law when it
sacked 800 UK-based crew and replaced them with cheaper agency
staff.

The FT earlier reported that the Pensions Regulator was
investigating concerns that P&O, which has the largest proportion
of liabilities in the Merchant Navy Ratings Pension Fund, had not
paid GBP146 million owed to the scheme that serves about 100
groups.

P&O has indicated that the entire debt is secured by a guarantee
over three of its ships -- the Pride of Canterbury, Norbay and
European Highlander, the FT discloses.  But according to people
close to the details, P&O's valuation of two of the ships is
40%-70% higher than the pension scheme's estimates of their
valuations, the FT notes.

A valuation of the three ships provided to the FT by independent
valuer VesselsValue gave them a total market price of about GBP45
million.

In April 2021, P&O sold two older but similar ferries, the Pride of
Bruges and the Pride of York, for EUR5 million (GBP4.2 million) per
ship, the FT relays, citing the ferry operator's financial
statements.

P&O owes the largest proportion of the GBP1.25 billion scheme's
overall GBP96 million deficit, but has not made any voluntary
contributions since its acquisition in 2006 by logistics business
DP World, majority-owned by the Dubai Sovereign Wealth Fund, the FT
discloses.  However, P&O has paid more than GBP80 million into the
fund, which has 20,000 members, since 2016, the FT notes.

Guarantees are commonly used by pension trustees as a backstop in
case an employer is unable to meet its obligations to a scheme.

P&O has lost GBP100 million a year over the past two years and said
it was not "viable" with its current staffing structure, the FT
relates.

According to the FT, Mr. Hebblethwaite told MPs on March 24 that
the company would make the pension repayments once its business was
viable again.


P&O FERRIES: May Collapse if Job Cuts Reversed, Boss Says
---------------------------------------------------------
Lora Jones at BBC News reports that the boss of P&O Ferries has hit
back at government calls to reinstate the 800 workers it has
sacked, insisting a U-turn would cause the firm's collapse.

According to BBC, Peter Hebblethwaite said reversing the cuts,
which the firm did not consult unions on, would lead to the loss of
an additional 2,200 jobs.

It comes after the transport secretary gave P&O "one final
opportunity" to re-employ staff on their previous wages, BBC
notes.

He said the company had "painstakingly explored all possible
alternatives", BBC relates.

Mr. Hebblethwaite, as cited by BBC, said that more than 500 of the
sacked crew had accepted and signed settlement agreements, and that
he could not change the March 31 deadline for seafarers accepting
their redundancy offers.

According to BBC, in a letter in response to Transport Secretary
Grant Shapps, Mr. Hebblethwaite wrote: "Complying with your
requests would deliberately cause the company's collapse, resulting
in the irretrievable loss of an additional 2,200 jobs.

"I cannot imagine that you would wish to compel an employer to
bring about its downfall, affecting not hundreds but thousands of
families."

P&O Ferries' decision to replace the 800 staff it sacked with
agency workers earning an average of GBP5.50 per hour, which is
less than the UK minimum wage, has provoked fury from the public,
trade unions and politicians, BBC relays.

Prime Minister Boris Johnson and Mr. Shapps, as well as unions,
called for Mr. Hebblethwaite's resignation last week, after he
admitted his decision to sack 800 workers without consulting unions
first broke the law.


PERFECTHOME: Enters Administration, Ceases Trading
--------------------------------------------------
Sam Barker at Mirror reports that the UK's biggest rent-to-own
firm, PerfectHome, has gone into administration, affecting
thousands of customers.

The company lent customers money to buy household goods, which they
paid off weekly with interest.

This sort of deal is commonly known as buying "on the
never-never".

PerfectHome also gave general cash loans, and had around 30,000
customers in 2020.

However, since June 2021 it has not taken on any new customers,
Mirror notes.

PerfectHome became the UK's largest rent-to-own firm after
Brighthouse went into administration in 2020, Mirror relates.

But now the Financial Conduct Authority (FCA) confirmed that
PerfectHome has stopped trading too, Mirror states.

According to Mirror, the FCA said: "All existing agreements remain
in place and are not affected by the administration.  This means
customers can continue to retain possession of their goods."

PerfectHome is now online-only, having closed all its physical
stores, Mirror discloses.

The administration is being handled by Teneo, Mirror states.

According to Mirror, a Teneo statement on the PerfectHome website
said: "Customers will continue to receive the same level of service
as they have throughout the wind-down and should not notice any
changes as a result of the administration."

Companies that go into administration have not gone bust, Mirror
relays.

Instead, administrators will try to find buyers for all or part of
the company and work out how to take the business forward if
possible, according to Mirror.

PerfectHome is a trading brand of Temple Finance Limited, set up in
2006.  The firm was based in Birmingham but operated across the
country.

Temple made a loss of GBP10.5million in 2021, and five of its
directors resigned, Mirror relays, citing the company's latest
accounts.  In 2020 it made a profit of GBP1.4 million, Mirror
discloses.

It has also not taken on any new customers since June 2021, Mirror
says.  This is because its biggest funder, Kaluga, pulled its
funding, according to Temple's accounts, according to Mirror.


SUNGARD AVAILABILITY: Administrators in Talks with Potential Buyers
-------------------------------------------------------------------
Business Sale reports that administrators are holding talks with
potential buyers following the collapse of Sungard Availability
Services UK, the UK arm of international data management firm
Sungard.

The UK business appointed administrators from Teneo Restructuring
after succumbing to issues relating to the COVID-19 pandemic,
energy costs and rents, Business Sale relates.

The company specialises in both cloud-based services and physical
data centres, but saw demand for the latter significantly impacted
by the COVID-19 pandemic, Business Sale states.

Sungard Availability Services had reportedly been in talks with
landlords since the beginning of the year over potential rent cuts,
but talks reached an impasse with landlords refusing to agree to
improved payment terms, Business Sale discloses.  The company had
also been impacted by soaring energy costs, Business Sale notes.

Teneo Restructuring has now been appointed as administrator to the
UK business, Business Sale relays.  The administrators have
obtained interim funding to enable the company to continue trading
and are now holding accelerated talks with potential buyers, who
have not yet been identified, according to Business Sale.

In a statement to Sky News, joint administrator Benji Dymant said
that the appointment of Teneo and the short-term funding would
provide "a platform to advance the company's discussions with
landlords, to optimise cost and space, and with customers, to pass
through increased power costs," Business Sale relates.

"The ability for the business to continue to trade in the medium to
long term, either to enable a rescue of the business as a going
concern or to deliver individual asset sales, will be reliant upon
burden sharing from both customers and landlords alike," Business
Sale quotes Mr. Dymant as saying.


TRAFFORD CENTRE: Fitch Affirms 'CCC' Rating on 3 Note Classes
-------------------------------------------------------------
Fitch Ratings has downgraded The Trafford Centre Finance Ltd's
class A and B notes and affirmed the class D notes. The Outlooks
are Negative.

        DEBT                                 RATING         PRIOR
        ----                                 ------         -----
The Trafford Centre Finance Ltd

Class A2 6.50% Secured Notes           LT BBBsf Downgrade   A+sf
due 2033 XS0108039776

Class A3 Floating Rate Secured Notes   LT BBBsf Downgrade   A+sf
Due 2038 XS0222488396

Class B 7.03% Secured Notes            LT BBsf  Downgrade   BBB-sf

due 2029 XS0108043968

Class B2 Floating Rate Secured Notes   LT BBsf  Downgrade   BBB-sf

Due 2038 XS0222489014

Class B3 Fixed rate notes              LT BBsf  Downgrade   BBB-sf
XS1031629808

Class D1(N) Floating Rate Secured      LT CCCsf Affirmed    CCCsf
Notes Due 2035 XS0222489873

Class D2 8.28% Secured Notes           LT CCCsf Affirmed    CCCsf
due 2022 XS0108046474

Class D3 Fixed rate notes              LT CCCsf Affirmed    CCCsf
XS1031633313

TRANSACTION SUMMARY

The transaction is a securitisation of a GBP638 million fixed-rate
commercial mortgage loan secured on the Trafford Centre, a
super-regional shopping centre in the north-west of England, four
miles west of Manchester city centre. The long-dated loan financing
is tranched into three series, with a combination of bullet and
scheduled amortisation arranged non-sequentially and mirrored by
the CMBS. The issuer has a liquidity facility to cover interest and
some principal obligations across the capital structure. The class
A3, B2 and D1(N) notes are floating-rate, swapped at the issuer
level.

The downgrades reflect further deterioration in market conditions
for UK dominant regional shopping centres, reflected in steady
falls in market rents and steep increases in rental yields, which
has resulted in 60% of market value being wiped off various
competing schemes. This indicates the extent of the shock triggered
by the coronavirus and related containment measures, not only on
tenants' operating conditions and financial health, but also on
lease conventions and consumer behaviour, which are reflected in
the Negative Outlooks.

By December 2020, the Trafford Centre, had lost about 53% of market
value since the beginning of 2019, 39% in the preceding 12-month
period. Estimated rental value (ERV) was also down almost 30% and
23% over the same periods. Fitch considers it to be highly likely
that the both the market value and ERV would have seen further
declines and judging by the performance of peer properties, Fitch
estimates the market value and ERV of the Trafford Centre has
fallen a further 15% since the last reported valuation in December
2020. Reflecting this and observed lettings, Fitch has assumed an
ERV of GBP60.3 million, representing a 15% haircut to the December
2020 ERV.

The property continues to be affected by the retail downturn
underway in the UK, including key tenants falling into
administration or using company voluntary arrangements to
restructure leases. During the peak of the pandemic, when rental
collections fell sharply, leading to arrears, the new sponsor
provided financial support to the borrower to help it perform under
its debt service obligations in addition to operating costs. While
there is no certainty of ongoing parental support, transaction
reporting suggests that collections have improved and barring any
further disruptions, Fitch expects, the transaction to be able to
meet future debt service payments without support.

KEY RATING DRIVERS

Pandemic Shock to Retail Property: Longer-term difficulties for
retail property, with the shift in consumer preferences towards
online spending and a developing squeeze on disposable income, are
set to survive the immediate shock of the pandemic. Logistics
capabilities improved as remote working became normalised. Many
retailers' and households' finances have deteriorated, which has
had the effect of reducing retail rents, and increasing market
yields (well above the long-term average).

Signs of a Rebound: Following the re-opening of non-essential
retail, the increase in trading has had a positive effect on
reported net operating income. At the latest interest payment date,
quarterly income had increased to around GBP29 million, up from
around GBP16.5 million 12 months prior. However, the threat of
tenant CVA and wider high street vacancy has reduced landlord
bargaining power, the potential additional impact of which on rents
and contractual security is reflected in the Negative Outlooks.

Class A Control, but Weakened Position: The class A investors would
wield substantial control over a workout if a senior loan default
was enforced. Historically, this allowed Fitch to assume that a
protracted workout is optimal to the controlling class, because
following loan acceleration (pending liquidation), amortisation of
class A principal and decay of senior swap liabilities can more
than offset the continued provision of liquidity towards, not only
junior interest, but also principal. However, in the relevant
rating scenarios, projected cash flow is no longer sufficient to
materially delay a liquidation, exhausting liquidity within a few
years. Therefore, in line with the class B and D notes' ratings,
Fitch now assumes liquidation prior to the 2024 class B and D
bullets.

RATING SENSITIVITIES

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

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

-- Current ratings: 'BBBsf' / ' BBBsf' / 'BBsf' / ' BBsf'/ '
    BBsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'

The change in model output that would apply with 1.25x rental value
declines is as follows:

-- 'BBB-sf' / 'BBB-sf' / 'BBsf' / ' BBsf'/ ' BBsf' / 'CCCsf' /
    'CCCsf' / 'CCCsf'

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

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

-- Current ratings: 'BBBsf' / ' BBBsf' / 'BBsf' / ' BBsf'/
    'BBsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'

The change in model output that would apply with 0.8x cap rates is
as follows:

-- 'A+sf' / ' A+sf' / 'Asf' / ' Asf'/ ' Asf' / 'BBsf' / ' BBsf' /
    'BBsf'

KEY PROPERTY ASSUMPTIONS (all by market value):

-- Depreciation: 5%

-- Non-recoverable costs: GBP6 million

-- 'Bsf' cap rate: 6.5%

-- 'Bsf' structural vacancy: 12.6%

-- 'Bsf' rental value decline: 5%

-- 'BBsf' cap rate: 6.8%

-- 'BBsf' structural vacancy: 13.5%

-- 'BBsf' rental value decline: 8.0%

-- 'BBBsf' cap rate: 7.2%

-- 'BBBsf' structural vacancy: 15.3%

-- 'BBBsf' rental value decline: 11.0%

-- 'Asf' cap rate: 7.6%

-- 'Asf' structural vacancy: 16.2%

-- 'Asf' rental value decline: 16.0%

-- 'AAsf' cap rate: 8.4%

-- 'AAsf' structural vacancy: 17.1%

-- 'AAsf' rental value decline: 18.0%

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.

DATA ADEQUACY

The Trafford Centre Finance Ltd

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.

Fitch did not undertake a review of the information provided about
the underlying asset pool ahead of the transaction's The Trafford
Centre Finance Ltd initial closing. The subsequent performance of
the transaction over the years is consistent with the agency's
expectations given the operating environment and Fitch is therefore
satisfied that the asset pool information relied upon for its
initial rating analysis was adequately reliable.

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.

YE OLDE: Set to Reopen Following Administration
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BBC News reports that a pub reputed to be the oldest in England is
set to reopen after former staff teamed up to take over the lease.

Ye Olde Fighting Cocks in St Albans, Hertfordshire, closed in
February after licensee Christo Tofalli's firm went into
administration, BBC relates.

According to BBC, Martin Robinson and Ian Baulsh, who were
previously the manager and head chef, plus Sam Walker, will now run
the pub, said to date back to AD 793.

Mr. Robinson, as cited by BBC, said he had a "clear vision of how
to ensure [its] future success".

The venue in Abbey Mill Lane has survived wars, plagues and
economic crises, but when it closed, Mr. Tofalli, who had run the
pub for a decade, said the move came after "extremely challenging"
trading conditions due to Covid-19, BBC relays.

Mr. Robinson, who managed the pub for 12 years and pre-dates Mr.
Tofalli, said he was "delighted" to be the new landlord and to be
teaming up with Mr. Baulsh who had already been head chef for eight
years, BBC notes.

Mr. Robinson, as cited by BBC, said the new strategy when the pub
reopens on April 4 will include a rejuvenated food offering and
live music events.



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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-
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Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman,
Editors.

Copyright 2022.  All rights reserved.  ISSN 1529-2754.

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