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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, June 3, 2022, Vol. 23, No. 105

                           Headlines



G E R M A N Y

SC GERMANY 2020-1: Fitch Upgrades Rating on Class F Notes to 'BB+'


I R E L A N D

BLACKROCK EUROPEAN XIII: S&P Assigns B-(sf) Rating on Cl. F Notes
JUBILEE CLO 2014-XI: Moody's Affirms B2 Rating on Class F-R Notes
NORDIC AVIATION: Exits Chapter 11 Restructuring Process


I T A L Y

BANCO BPM: Fitch Assigns BB+ Rating on Sr. Non-Preferred Debt Class


L A T V I A

ABLV BANK: Latvia Asks U.S. to Lift Remaining Restrictions


N E T H E R L A N D S

SIGMA HOLDCO: Moody's Lowers CFR to B3 & Alters Outlook to Stable


P O R T U G A L

TAGUS-SOCIEDADE: Moody's Assigns B1 Rating to EUR1MM Class F Notes


S P A I N

MADRID RMBS I: S&P Affirms 'CCC-(sf)' Rating on Class E Notes


U K R A I N E

UKRAINIAN RAILWAYS: S&P Lowers Rating to 'CCC', On Watch Neg.


U N I T E D   K I N G D O M

BRAISBY ROOFING: Goes Into Liquidation, 20 Jobs Affected
BRANTS BRIDGE 2022-1: Moody's Gives (P)Caa1 Rating to Cl. X1 Notes
BRANTS BRIDGE 2022-1: S&P Assigns Prelim. B-(sf) Rating on X1 Notes
DRYDEN 59 EURO 2017: Fitch Affirms 'B-' Rating on Class F Notes
EUROMASTR PLC 2007-1V: Fitch Affirms 'BB+' Rating on Class E Notes

GREENSILL CAPITAL: Credit Suisse Nears Deal Over Bluestone Debt
HAIR UNIVERSE: Enters Liquidation, Owes GBP105,000 to Creditors
ICG EURO 2022-1: Fitch Assigns 'B-' Rating on Class F Debt
POLARIS PLC 2022-2: S&P Gives Prelim. B-(sf) Rating on 2 Tranches
WELLINGTON PUB: Fitch Affirms 'CCC' Rating on Class B Notes



X X X X X X X X

[*] BOOK REVIEW: Hospitals, Health and People

                           - - - - -


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G E R M A N Y
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SC GERMANY 2020-1: Fitch Upgrades Rating on Class F Notes to 'BB+'
------------------------------------------------------------------
Fitch Ratings has upgraded SC Germany S.A., Compartment Consumer
2020-1's (SCGC 2020-1) class C to F notes and affirmed all other
tranches.

   DEBT            RATING                 PRIOR
   ----            ------                 -----
SC Germany S.A., Compartment Consumer 2020-1

A XS2239090785    LT AAAsf     Affirmed   AAAsf
B XS2239091320    LT AAsf      Affirmed   AAsf
C XS2239091593    LT A+sf      Upgrade    Asf
D XS2239091759    LT BBB+sf    Upgrade    BBBsf
E XS2239091833    LT BBB-sf    Upgrade    BB+sf
F XS2239091916    LT BB+sf     Upgrade    BBsf

TRANSACTION SUMMARY

SCGC 2020-1 is a securitisation of unsecured consumer loans
originated by Santander Consumer Bank AG (A-/Stable/F2). The
transaction has ended its 12-month revolving period, with about
half of the portfolio being replenished. The class A to F notes are
currently amortising pro rata.

KEY RATING DRIVERS

Performance In Line With Expectations: The transaction's
performance has been stable, with the overall level of arrears
remaining low (3m+ arrears of 0.4% of current portfolio balance).
The volatility across the arrears buckets is caused by the change
in reporting after January 2022. Under the European Banking
Authority's new default definition, arrears are now counted from
the day a payment becomes overdue, whereas previously the number of
instalments in arrears was reported.

The transaction's defaults are on a steady and expected trajectory.
As of April 2022, the default rate stood at 1.5% of cumulated asset
balance (including the purchases of replenished assets). The
transaction further benefits from ample excess spread, as the
portfolio yield remained comparably high at 5.8% after the
replenishment period. The cost of the floating notes (weighted
average margin of 1.1% over 1m Euribor) remains unchanged since
closing due to the pro-rata amortisation of those notes.

Default Rate Expectations Revised Down: Fitch has revised Fitch's
remaining life default expectations down to 4.5% from 6.0%
projected at closing. The uncertainty caused by the pandemic has
been lifted compared with when Fitch sets the base case in late
2020. However, rising inflation might impair the ability of
borrowers in the lowest income buckets to service debt. To reflect
Fitch's expectations, Fitch still incorporates some moderate buffer
above the recent pre-pandemic default vintages from the
originator's book. Fitch believes asset performance will continue
to be robust but may deteriorate slightly.

Fitch stresses the base case with a 4.5x 'AAA' default multiple.
The multiple is increased by 25bp compared with closing, as the
base case default rate is revised down. Fitch has aligned Fitch's
recovery expectations with the assumptions for SCGC 2021-1, with a
base case recovery rate of 17.5% (15.0% assumed for initial
analysis); the recovery haircut for 'AAA' stresses is 50.0%. The
resulting loss rate is 3.7% under base case expectations and 18.5%
in the 'AAA' scenario.

Increased Credit Enhancement Despite Pro-rata Amortisation: The
class A to F notes currently pay down pro rata since none of the
performance or other triggers are breached. The collateralised
class G notes are paid sequentially after the class A to F notes in
the principal priority of payments. The class G notes are also
partially repaid with excess spread (up to the target schedule).
Since the class G notes are currently not being repaid with the
available principal funds, the class A-F notes amortise more
quickly than the collateral balance. The resulting
overcollateralisation of assets over the liabilities has allowed
credit enhancement to build up by approximately 50bp for each class
of rated notes.

The combination of lower loss expectations and slightly increased
credit enhancement led to the upgrades of the class C to F notes.

Counterparty Risks Addressed: The transaction has a fully funded
liquidity reserve for payment interruption and reserves for
commingling and set-off risk will be funded upon rating trigger
breaches. All reserves are adequate to cover their exposures in
line with Fitch's criteria. Replacement conditions for the
servicer, account bank and swap counterparty are adequately defined
and the ratings are in line with criteria thresholds.

RATING SENSITIVITIES

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

-- Asset performance deterioration beyond Fitch's current
    expectations in form of higher defaults and larger losses due
    to adverse changes in macroeconomic conditions, business
    practices or legislative landscape; or

-- Defaults and losses are more back-loaded than assumed leading
    to a longer pro-rata period.

Fitch conducts sensitivity analyses by stressing a transaction's
base-case default rate and recovery rate assumptions. For example,
a 25% default rate increase and 25% recovery rate decrease indicate
downgrades of up to two notches.

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

-- Lower defaults and smaller losses; or

-- Defaults and losses are more front-loaded than assumed leading

    to a shorter-pro-rata period.

Fitch tested an additional rating sensitivity scenario by applying
a decrease in the default rates of 25% and an increase in the
recovery rates of 25%, which indicated 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.




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I R E L A N D
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BLACKROCK EUROPEAN XIII: S&P Assigns B-(sf) Rating on Cl. F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to BlackRock
European CLO XIII DAC's class A-1, A-2, B, C, D, E, and F notes. At
closing, the issuer also issued unrated subordinated notes.

The ratings reflect S&P's assessment of:

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

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

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

-- The transaction's legal structure, which is bankruptcy remote.

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

  Portfolio Benchmarks
                                                        CURRENT
  S&P Global Ratings weighted-average rating factor    2,826.71
  Default rate dispersion                                496.44
  Weighted-average life (years)                            5.22
  Obligor diversity measure                              140.86
  Industry diversity measure                              22.23
  Regional diversity measure                               1.35

  Transaction Key Metrics
                                                        CURRENT
  Total par amount (mil. EUR)                               400
  Defaulted assets (mil. EUR)                                 0
  Number of performing obligors                             158
  Portfolio weighted-average rating
   derived from our CDO evaluator                             B
  'CCC' category rated assets (%)                          2.75
  'AAA' weighted-average recovery (%)                     37.44
  Weighted-average spread net of floors (%)                3.93

This is a European cash flow CLO transaction, securitizing a pool
of primarily syndicated senior secured loans or bonds. The
portfolio's reinvestment period ends approximately 4.5 years after
closing, and the portfolio's maximum average maturity date is 8.5
years after closing. 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.

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

"In our cash flow analysis, we modeled the EUR400 million target
par amount, the covenanted weighted-average spread of 3.80%, and
the covenanted weighted-average recovery rates. We applied various
cash flow stress scenarios, using four different default patterns,
in conjunction with different interest rate stress scenarios for
each liability rating category.

"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.

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

"The transaction's legal structure is bankruptcy remote, in line
with our legal criteria.

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

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B, C, D, and E notes is
commensurate with higher ratings than those we have assigned.
However, as the CLO will have a reinvestment period, during which
the transaction's credit risk profile could deteriorate, we have
capped our assigned ratings on these notes.

"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-1 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 the following industries:
tobacco or tobacco products, development or production of
controversial weapons, and extraction of thermal coal and fossil
fuels from unconventional sources, or other fracking activities.
Since the exclusion of assets related to these activities does not
result in material differences between the transaction and our ESG
benchmark for the sector, we have not made any specific adjustments
in our rating analysis to account for any ESG-related risks or
opportunities."

  Ratings List

  CLASS     RATING     AMOUNT     SUB (%)     INTEREST RATE*
                     (MIL. EUR)

  A-1       AAA (sf)    204.00    39.00    Three/six-month EURIBOR

                                           plus 1.15%

  A-2       AAA (sf)     40.00    39.00    Three/six-month EURIBOR

                                           plus 1.40%§

  B         AA (sf)      44.00    28.00    Three/six-month EURIBOR

                                           plus 2.25%

  C         A (sf)       24.00    22.00    Three/six-month EURIBOR

                                           plus 3.25%

  D         BBB (sf)     26.00    15.50    Three/six-month EURIBOR

                                           plus 4.10%

  E         BB- (sf)     21.00    10.25    Three/six-month EURIBOR

                                           plus 6.77%

  F         B- (sf)      11.00     7.50    Three/six-month EURIBOR

                                           plus 9.18%

  Sub       NR           35.20      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 capped at 2.35%.
EURIBOR -- Euro Interbank Offered Rate.
NR -- Not rated.
N/A -- Not applicable.


JUBILEE CLO 2014-XI: Moody's Affirms B2 Rating on Class F-R Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Jubilee CLO 2014- XI DAC:

EUR46,500,000 Class B-R Senior Secured Floating Rate Notes due
2030, Upgraded to Aaa (sf); previously on Apr 15, 2021 Upgraded to
Aa1 (sf)

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

EUR235,000,000 Class A-R Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Apr 15, 2021 Assigned Aaa
(sf)

EUR36,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed A2 (sf); previously on Apr 15, 2021
Affirmed A2 (sf)

EUR23,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed Baa3 (sf); previously on Apr 15, 2021
Affirmed Baa3 (sf)

EUR18,600,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed Ba2 (sf); previously on Apr 15, 2021
Affirmed Ba2 (sf)

EUR11,800,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed B2 (sf); previously on Apr 15, 2021
Affirmed B2 (sf)

Jubilee CLO 2014- XI DAC, originally issued in February 2014,
refinanced in April 2017 and in April 2021, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured European loans. The portfolio is managed by Alcentra
Limited. The transaction's reinvestment period ended in April
2021.

RATINGS RATIONALE

The rating upgrade on the Class B-R Notes is primarily a result of
the benefit of the transaction having reached the end of the
reinvestment period in April 2021.

The affirmations on the ratings on the Class A-R, C-R, D-R, E-R and
F-R Notes are primarily a result of the expected losses on the
notes remaining consistent with their current rating levels, after
taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.

In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements. In particular, Moody's assumed that
the deal will benefit from a lower WARF and a shorter WAL than it
had assumed at the last rating action in April 2021.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.

In its base case, Moody's used the following assumptions:

Performing par: EUR392.13m

Defaulted Securities: EUR0.24m

Diversity Score: 45

Weighted Average Rating Factor (WARF): 2993

Weighted Average Life (WAL): 3.45 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.55%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 45.21%

Par haircut in OC tests and interest diversion test: None

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in May 2021. Moody's concluded the
ratings of the notes are not constrained by these risks.

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

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change.

Additional uncertainty about performance is due to the following:

Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.

Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.

NORDIC AVIATION: Exits Chapter 11 Restructuring Process
-------------------------------------------------------
Vyte Klisauskaite at Aerotime Hub reports that lessor Nordic
Aviation Capital (NAC) has emerged from Chapter 11 restructuring
process, having eliminated nearly US$4.1 billion of debt.

According to Aerotime Hub, as part of its restructuring process,
the lessor increased its liquidity with access to US$537 million in
additional capital to fund operations.

"Substantial progress has been made to ensure that we are moving
forward with a solid financial foundation, a leaner and more
efficient operating model and access to growth capital to invest in
our business," Aerotime Hub quotes Norman C.T. Liu, President & CEO
of NAC, as saying in a statement.  

In December 2021, NAC filed for Chapter 11 bankruptcy proceedings,
Aerotime Hub recounts.  In April 2022, NAC received approval for
its restructuring plan from the Bankruptcy Court, Aerotime Hub
relates.  

The NAC restructuring plan focused on four initiatives, including
balance sheet stabilization, organizational change, financial
growth, and portfolio stabilization, Aerotime Hub discloses.

                 About Nordic Aviation Capital

Nordic Aviation Capital is the leading regional aircraft lessor
serving almost 70 airlines in approximately 45 countries.  Its
fleet of 475 aircraft includes ATR 42, ATR 72, De Havilland Dash 8,
Mitsubishi CRJ900/1000, Airbus A220 and Embraer E-Jet family
aircraft.

On Dec. 17, 2021, Nordic Aviation Capital Pte. Ltd., NAC Aviation
17 Limited, NAC Aviation 20 Limited, and Nordic Aviation Capital
A/S each filed petitions seeking relief under Chapter 11 of the
U.S. Bankruptcy Code (Bankr. E.D. Va.).  On Dec. 19, 2021, Nordic
Aviation Capital Designated Activity Company and 112 affiliated
companies also filed petitions seeking Chapter 11 relief.  The lead
case is In re Nordic Aviation Capital Designated Activity Company
(Bankr. E.D. Va. Lead Case No. 21-33693).

Judge Kevin R. Huennekens oversees the cases.

The Debtors tapped Kirkland & Ellis and Kutak Rock, LLP as
bankruptcy counsels and the law firms of Clifford Chance, LLP,
William Fry, LLP and Gorrissen Federspiel as corporate counsels.
N.M. Rothschild & Sons Limited, Ernst & Young, LLP and
PricewaterhouseCoopers, LLP serve as the Debtors' financial
advisor, restructuring advisor and tax advisor, respectively.  Epiq
Corporate Restructuring, LLC is the claims and noticing agent.




=========
I T A L Y
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BANCO BPM: Fitch Assigns BB+ Rating on Sr. Non-Preferred Debt Class
-------------------------------------------------------------------
Fitch Ratings has assigned Banco BPM S.p.A.'s (BBPM; BBB-/Stable)
EUR25 billion EMTN programme a rating of 'BBB-' for the senior
preferred (SP) debt class and 'BB+' for the senior non-preferred
(SNP) debt class.

KEY RATING DRIVERS

BBPM's SP debt is rated in line with the bank's Long-Term IDR as it
is part of the bank's resolution buffers and we do not expect more
junior debt buffers to exceed 10% of risk-weighted assets (RWA) on
a sustained basis.

The SNP debt is rated one notch below the bank's Long-Term IDR to
reflect the risk of below-average recoveries arising from the use
of more senior debt to meet resolution buffer requirements.

RATING SENSITIVITIES

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

-- BBPM's SP and SNP debt would be downgraded if its Long-Term
    IDR was downgraded.

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

-- BBPM's SP and SNP debt ratings would be upgraded if its Long-
    Term IDR was upgraded.

BBPM's SP and SNP debt ratings could also be upgraded if BBPM is
expected to meet the resolution buffer requirements of the
consolidated entity exclusively with SNP and more junior
instruments, or if we expect resolution buffers represented by SNP
and more junior instruments to be at least 10% of RWA on a
sustained basis, neither which is currently the case.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.

     DEBT                     RATING
     ----                     ------
Banco BPM S.p.A.

  Senior preferred        LT  BBB-   New Rating
  
  Senior non-preferred    LT  BB+    New Rating




===========
L A T V I A
===========

ABLV BANK: Latvia Asks U.S. to Lift Remaining Restrictions
----------------------------------------------------------
LSM.lv relayed that the Bloomberg financial newswire reported June
2 that Latvian Minister of Finance Janis Reirs is asking the United
States to lift remaining restrictions on ABLV bank, which collapsed
in 2018 in the immediate aftermath of U.S. allegations that it was
involved in massive money-laundering.

Mr. Reirs made a personal appeal to US Treasury officials at a
meeting of the International Monetary Fund in Washington in April,
Bloomberg reported, arguing that the continued existence of the
measures against ABLV -- once Latvia's largest home-grown bank --
were making other investors wary of entering the Latvian financial
sector, LSM relates.

Mr. Reirs told Bloomberg "This is necessary for the state's
security, financial security and economic security", LSM
discloses.

Since ABLV went into liquidation an extensive clean-up has taken
place in the Latvian banking sector, which won an unenviable
reputation over many years as a haven for questionable cashflows
from the east, LSM recounts.  According to Mr. Reirs, that clean-up
has been effective and Latvia now feels it deserves to start again
with a clean slate, LSM notes.




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

SIGMA HOLDCO: Moody's Lowers CFR to B3 & Alters Outlook to Stable
-----------------------------------------------------------------
Moody's Investors Service has downgraded to B3 from B2 the
corporate family rating and to B3-PD from B2-PD the probability of
default rating of Sigma Holdco BV ("Upfield" or "the company"), the
parent company of Upfield B.V., a global manufacturer of
plant-based margarine and spreads.

Concurrently, Moody's has affirmed the B2 ratings on the backed
senior secured first lien term loan due 2025 and on the backed
senior secured first lien revolving credit facility ("RCF") also
due 2025, both borrowed by Upfield B.V.. Moody's has also
downgraded to Caa2 from Caa1 the backed senior unsecured ratings on
the EUR685 million and the $525 million equivalent backed senior
unsecured notes due 2026 issued by Sigma Holdco BV. The outlooks on
all ratings have been changed to stable from negative.

"The rating downgrade follows the deterioration in Upfield's
profitability in Q1  2022 in light of the significant spike in
commodity prices and logistic costs as well as weaker volumes, and
reflects our expectation that any improvement in credit metrics in
2022 will be more challenging than previously anticipated," says
Paolo Leschiutta, a Moody's Senior Vice President and lead analyst
for Upfield.

"While the company has been able to pass on price increases to
consumers in 2021 and 2022 and to reduce restructuring costs, we
expect Upfield's leverage to remain very high over the next 2
years", added Mr. Leschiutta.

RATINGS RATIONALE

RATIONALE FOR DOWNGRADE OF CFR TO B3, PDR TO B3-PD AND SENIOR
UNSECURED DEBT RATINGS TO Caa2

The downgrade of Upfield's CFR to B3 reflects the reduced
visibility as to the company's ability to improve its credit
metrics and cash generation in the current macroeconomic
environment. The significant spike in commodity prices, including
vegetable oils as well as energy, plastic and logistic costs, has
affected Upfield's  profitability resulting in weaker than Moody's
anticipated cash flow generation and prolonged high financial
leverage.

The B3 rating assumes that the company's leverage, measured as
Moody's adjusted gross debt to EBITDA, will exceed 11.0x at the end
of 2022, higher than the previous expectations of 9.1x and well
above the maximum level tolerated by the previous B2 rating of
8.0x.

Moody's recognizes the company's success in passing higher prices
to customers since the beginning of 2021, and in reducing
restructuring costs. However, higher product prices are negatively
impacting volumes and resulted in declining EBITDA generation in
the first quarter of 2022. Lower profits, in conjunction with
higher inventories will result in weaker free cash flow generation.
Earnings pressure might exceed cost savings and the benefit from
lower restructuring outflows.

More positively, the rating continues to be supported by the
company's strong business profile, reflecting its significant scale
and strong portfolio of brands, leading global market position and
extensive geographical diversification. Moody's recognizes the
company's strong cash flow generation potential and the fact that
during 2021, the company repaid EUR374 million drawings under its
 RCF with its positive free cash flow generation.

The B3-PD probability of default rating, in line with the B3 CFR,
reflects the 50% corporate family recovery assumption that is
standard for capital structures that include both bank debt and
bonds.

The Caa2 backed senior unsecured rating on the notes follows the
one-notch downgrade of the CFR and reflects the fact that this
instrument will absorb first losses in a potential default
scenario.

RATIONALE FOR AFFIRMATION OF SENIOR SECURED DEBT RATING AT B2

The B2 rating affirmation on the backed senior secured first-lien
term loans and on the backed senior secured first lien RCF reflects
their priority ranking in the capital structure in light of the
first-lien nature of these facilities with no structural
subordination and the presence of the EUR1,150 million equivalent
subordinated notes which are contractually subordinated to the bank
debt and provide loss absorption protection in case of default.

LIQUIDITY

Upfield's liquidity is adequate, with restored availability under
its backed senior secured first lien RCF, available until January
2025 (EUR378 million available as of March 2022 out of a total of
EUR700 million) and its cash on balance sheet (EUR199 million as of
March 2022).

Although availability under the revolver has improved in 2021,
covenant headroom has tightened recently (Net senior secured
leverage stood at 6.6x as of March 2022 against a maximum of 8.5x).
Free cash flow generation should improve in the remainder of 2022
compared to the first quarter as the company tends to generate more
cash in the second half of the year while restructuring costs
should also be lower than last year.

Furthermore, Moody's also expects further RCF repayments in the
coming months which should free additional availability under the
company's backed senior secured first lien RCF, although lower
profitability might result in a further reduction in covenant
headroom.

The company does not have material debt maturities until 2025, when
most of its senior debt matures.

RATIONALE FOR STABLE OUTLOOK

Despite the more uncertain environment, which limits visibility
 on the company's operating performance and cash generation over
the next six to 12 months, the stable outlook on the rating factors
in  its strong business profile, its still adequate liquidity and
the expectation that cash generation will improve in 2023 leading
to a gradual reduction in leverage, though slower than previously
anticipated.

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

Positive pressure on the rating over the next 12 to 18 months is
unlikely in light of the very high leverage, but could materialize
if the company (1) demonstrates solid top line growth with
improving profitability, leading to (2) material and sustainable
positive free cash flow generation and a sustainable reduction in
leverage  below 8.5x (on a Moody's adjusted gross debt/EBITDA
basis).

Conversely, negative pressure on the rating could materialize if
(1) the company fails to stabilize and grow earnings by early 2023;
(2) leading to negative free cash flow generation over the next 12
to 18 months; (3) resulting in weakening liquidity as demonstrated
for example by reduced availability under its RCF or significant
deterioration in covenant headroom; or (4) if its EBITA interest
coverage ratio, as adjusted by Moody's, reduces towards 1.0x.
Failure to improve performance by late 2023 could pose immediate
pressure on the rating in light of the maturity of the company's
RCF in January 2025.

LIST OF AFFECTED RATINGS

Downgrades:

Issuer: Sigma Holdco BV

Probability of Default Rating, Downgraded to B3-PD from B2-PD

LT Corporate Family Rating, Downgraded to B3 from B2

BACKED Senior Unsecured Regular Bond/Debenture, Downgraded to Caa2
from Caa1

Affirmations:

Issuer: Upfield B.V.

BACKED Senior Secured Bank Credit Facility, Affirmed B2

Outlook Actions:

Issuer: Sigma Holdco BV

Outlook, Changed To Stable From Negative

Issuer: Upfield B.V.

Outlook, Changed To Stable From Negative

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Consumer
Packaged Goods Methodology published in February 2020.

COMPANY PROFILE

With revenue of EUR2.79 billion and a company reported normalized
(i.e. excluding restructuring costs) EBITDA of EUR666 million
during 2021, Upfield is the global #1 producer of plant-based
spreads, butters, creams and cheese. The group also produces other
products including non-dairy creams, vegetable cooking oils and
other spreadable products. Upfield is geographically diversified
across both developed (representing around 79% of turnover) and
emerging markets, with no material concentration risk in any one
market. Its largest markets are the US, Germany, UK, Netherlands
and Canada. During the first quarter ending March 2022, the company
reported revenue of EUR729 million and normalized EBITDA of EUR123
million.    




===============
P O R T U G A L
===============

TAGUS-SOCIEDADE: Moody's Assigns B1 Rating to EUR1MM Class F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned the following definitive
ratings to notes issued by TAGUS-Sociedade de Titularizacao de
Creditos, S.A. (the "Issuer"):

EUR168.0M Class A Asset-Backed Floating Rate Notes due June 2039,
Definitive Rating Assigned Aa2 (sf)

EUR8.0M Class B Asset-Backed Floating Rate Notes due June 2039,
Definitive Rating Assigned A1 (sf)

EUR12.0M Class C Asset-Backed Floating Rate Notes due June 2039,
Definitive Rating Assigned Baa1 (sf)

EUR6.0M Class D Asset-Backed Floating Rate Notes due June 2039,
Definitive Rating Assigned Ba1 (sf)

EUR5.0M Class E Asset-Backed Floating Rate Notes due June 2039,
Definitive Rating Assigned Ba3 (sf)

EUR1.0M Class F Asset-Backed Floating Rate Notes due June 2039,
Definitive Rating Assigned B1 (sf)

Moody's has not assigned a rating to the Class G Floating Rate
Notes and Class Z Notes due June 2039 amounting in total to
EUR3.3M.

RATINGS RATIONALE

The transaction is a one year revolving cash securitisation of auto
loans originated by 321 Credito IFIC S.A ("321C", NR). 321C is a
Portuguese specialized lending company 100% owned by Banco CTT
(N.R.).

As of March 31, 2022, the pool consisted of 17,855 loans with a
weighted average seasoning of 1.4 years, and a total outstanding
balance of approximately EUR200 million. The weighted average
remaining maturity of the loans is 86.5 months. The securitised
portfolio is highly granular, with top 10 borrower concentration at
0.27% and the portfolio weighted average interest rate is 8.3%. The
portfolio is collateralised by 100% used cars.

Moody's have received a breakdown of vehicles by engine type. A
high percentage of the portfolio (85.7%) are diesel cars with a
weighted average car age of 8 years.

According to Moody's, the transaction benefits from credit
strengths such as (i) the granularity of the portfolio, (ii) the
strong excess spread-trapping mechanism through a 3 months
artificial write off mechanism, (iii) the high average interest
rate of 8.3%, (iv) very good performance track record of the
previous transaction Ulisses Finance No. 1, (v) Servdebt, Capital
Asset Management, S.A. (NR) appointed as back up servicer at
closing and (vi) an interest rate swap agreement to mitigate
interest rate risk provided by Credit Agricole Corporate and
Investment Bank (Aa2(cr)/P-1(cr)).

However, Moody's notes that the transaction features some credit
weaknesses such as (i) a one year revolving structure which could
increase performance volatility of the underlying portfolio,
partially mitigated by early amortisation triggers, revolving
criteria both on individual loan and portfolio level and the
eligibility criteria for the portfolio, (ii) a complex structure
including interest deferral triggers for junior notes, pro-rata
payments on all classes of notes after the end of the revolving
period, (iii) the high proportion of used cars 100% with a
relatively high 95.4% weighted average LTV.

Moody's analysis focused, amongst other factors, on (1) an
evaluation of the underlying portfolio of receivables and the
eligibility criteria; (2) the revolving structure of the
transaction; (3) historical performance on defaults and recoveries
from the Q1 2015 to Q4 2021 vintages provided on the originator's
total book; (4) credit enhancement provided by excess spread and
subordination; (5) the liquidity facility available for Classes A-F
and the liquidity support available in the transaction by way of
principal to pay interest for all classes and (6) the overall legal
and structural integrity of the transaction.

MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime expected defaults of
5.0%, expected recoveries of 30.0% and portfolio credit enhancement
("PCE") of 17.0%. The expected defaults and recoveries capture
Moody's expectations of performance considering the current
economic outlook, while the PCE captures the loss Moody's expect
the portfolio to suffer in the event of a severe recession
scenario. Expected defaults and PCE are parameters used by Moody's
to calibrate its lognormal portfolio loss distribution curve and to
associate a probability with each potential future loss scenario in
Moody'scash flow model to rate Auto and Consumer ABS.

Portfolio expected defaults of 5.0% are in line with Iberian Auto
loan ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account (i)
historical performance of the book of the originator, (ii) previous
transactions used as a benchmark, and (iii) other qualitative
considerations.

Portfolio expected recoveries of 30.0% are in line with Iberian
Auto loan ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account (i)
historical performance of the book of the originator, (ii)
benchmark transactions, and (iii) other qualitative
considerations.

PCE of 17.0% is in line with Iberian Auto loan ABS average and is
based on Moody's assessment of the pool taking into account the
relative ranking to the originators peers in the Iberian and EMEA
Consumer ABS market. The PCE level of 17.0% results in an implied
coefficient of variation ("CoV") of approximately 61.0%.

ESG - Environmental considerations:

The public and political debate about the future of combustion
engines and in particular diesel engines given the shift towards
alternative fuel vehicles such as electric cars is being reflected
in declining new diesel car registrations in several EMEA markets.
This transaction has high exposure to diesel engines with Euro 5
emission standards (42%) and below. Vehicles with older or larger
engines with elevated carbon dioxide emissions have a higher
likelihood of obsolescence and their recovery values are more
sensitive to changes in carbon emissions regulations and shifts in
consumer demand. Additional scenario analysis has been factored
into Moody's rating assumptions for these segments.

METHODOLOGY

The principal methodology used in these ratings was 'Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS' published in
September 2021.

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

Factors or circumstances that could lead to an upgrade of the
ratings of the notes would be (1) better than expected performance
of the underlying collateral; (2) significant improvement in the
credit quality of 321C; or (3) an improvement of Portugal's local
currency country ceiling.

Factors or circumstances that could lead to a downgrade of the
ratings would be (1) worse than expected performance of the
underlying collateral; (2) deterioration in the credit quality of
321C; or (3) a deterioration of Portugal's local currency country
ceiling.




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

MADRID RMBS I: S&P Affirms 'CCC-(sf)' Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings raised its credit ratings on Madrid RMBS I,
Fondo de Titulizacion de Activos' class A2, B, C, and D notes to
'AAA (sf)', 'AA+ (sf)', 'AA (sf)', and 'BB+ (sf)', from 'AA+ (sf),
'AA (sf)', 'A (sf)', and 'B+ (sf)', respectively.

S&P also raised its ratings on Madrid RMBS II, Fondo de
Titulizacion de Activos' class A3, B, C, D, and E notes to 'AAA
(sf)', 'AA+ (sf)', 'AA (sf)', 'BB+ (sf)', and 'CCC- (sf)', from
'AA+ (sf), 'AA (sf)', 'A (sf)', 'B+ (sf)', and 'D (sf)',
respectively.

S&P upgraded Madrid RMBS IV, Fondo de Titulizacion de Activos'
class C, D, and E notes to 'A (sf)', 'BBB- (sf)', and 'BB+ (sf)',
respectively, from 'BBB (sf)', 'B+ (sf)', and 'B+ (sf)',
respectively.

At the same time, S&P affirmed its 'CCC- (sf)' rating on Madrid
RMBS I's class E notes, and its 'A (sf)' ratings on Madrid RMBS
IV's class A2 and B notes.

The rating actions reflect its full analysis of the most recent
information that S&P has received and the transactions' current
structural features.

After applying our global RMBS criteria, the overall effect is a
marginal increase of its expected losses due to a marginal increase
of our weighted-average loss severity (WALS) assumptions, driven by
higher market value declines. Nevertheless, the overall credit
enhancement continues to increase, which drives the upgrades.

Madrid RMBS I, II, and IV are Spanish RMBS transactions that
securitize first-ranking mortgage loans. Bankia originated the
pools, which comprise loans granted to borrowers mainly located in
Madrid.

  Table 1

  Madrid RMBS I Credit Analysis Results

              WAFF (%)   WALS (%)

   AAA        32.23      28.66

   AA         22.12      24.05

   A          17.03      16.55

   BBB        12.93      12.65

   BB          8.59      10.03

   B           5.55       7.74


  Table 2
  Madrid RMBS II Credit Analysis Results
               
              WAFF (%)   WALS (%)

   AAA        29.90      28.46

   AA         20.73      23.79

   A          15.99      16.17

   BBB        12.20      12.27

   BB          8.15       9.68

   B           5.31       7.43


  Table 3

  Madrid RMBS IV Credit Analysis Results

              WAFF (%)   WALS (%)

   AAA        28.22      34.72

   AA         19.61      29.74

   A          15.26      21.35

   BBB        11.73      16.93

   BB          7.98      13.91

   B           5.35      11.28

  Madrid RMBS I

Credit enhancement for all classes of notes has increased since
S&P's previous full review, due to the collateral amortization.

The notes are repaying sequentially as one of the conditions for
the pro rata amortization is not met. The reserve fund is only at
11% of its target, slightly building up after being fully depleted
from March 2013 to April 2019. The build-up is due to the
transaction's recent good performance, given improved macroeconomic
conditions (relative to the 2008 crisis) and Caixabank's enhanced
servicing policies. Before that, the transaction did not perform
well, with high arrears and defaults that resulted in reserve fund
draws during the financial and sovereign crisis in Spain.

S&P said, "Following the application of our criteria, we have
determined that our ratings on the classes of notes in this
transaction should be the lower of (i) the rating as capped by our
structured finance sovereign risk criteria, (ii) the rating as
capped by our counterparty criteria, or (iii) the rating that the
class of notes can attain under our global RMBS criteria.

Our operational, counterparty risk, sovereign risk, and legal risk
analyses remain unchanged since our previous review. Therefore, the
ratings assigned are not capped by any of these criteria."

Loan-level arrears currently stand at 0.4%, and they have been very
low in recent years. Nevertheless, the transaction has a high
number of loans that defaulted during the financial crisis, and
several of these still need to be worked out. Due to the
uncertainty on when these recoveries might be realized and to test
the ability of the outstanding notes to being repaid without the
benefit of such recoveries, we have tested the transaction's
sensitivity to various recovery scenarios including no credit given
to recoveries on already defaulted assets.

The outstanding balance of defaulted credit rights (net of
recoveries), represents 6.9% of the closing pool balance. The
interest deferral triggers have not been breached for any of the
classes.

Under S&P's cash flow analysis, classes B, C, and D could withstand
stresses at a higher rating than the currently assigned ratings.
However, the ratings on these classes of notes also reflect their
overall credit enhancement and position in the waterfall, potential
exposure to increased defaults, their reliance on recovery inflows
from outstanding defaulted assets, and the reserve fund's level,
which although increasing on recent interest payment dates (IPDs),
remains limited and significantly below the target amount.

S&P said, "The class E notes do not pass any stresses under our
cash flow model. Nevertheless, this tranche is senior in the
waterfall structure to the reserve fund and it will be paid senior
to the principal payments on the rated notes if the interest
deferral trigger does not get breached. We believe, under favorable
financial and economic conditions, that this class of notes should
continue making timely payment of interest. Therefore, we affirmed
our 'CCC- (sf)' rating on this class of notes."

Madrid RMBS II

Credit enhancement for all classes of notes has increased since
S&P's previous full review, due to the deleveraging and the reserve
fund's partial replenishment at 13.3%.

Loan-level arrears currently stand at 0.8%, and they have been very
low in recent years. Nevertheless, the transaction has a high
number of loans that defaulted during the financial crisis, and
several of these still need to be worked out. Due to the
uncertainty on when these recoveries might be realized and to test
the ability of the outstanding notes to being repaid without the
benefit of such recoveries, S&P has tested the transaction's
sensitivity to various recovery scenarios including no credit given
to recoveries on already defaulted assets.

The outstanding balance of defaulted credit rights (net of
recoveries), represents 7.1% of the closing pool balance. The
interest deferral trigger was breached for the class E notes and
interest was not paid as the reserve fund was depleted to cover
defaulted assets.

Since 2019, the reserve fund started to replenish and the class E
notes paid all due interest since 2013. Since then, the notes have
been paying timely interest on every IPD.

S&P said, "We raised our ratings on the class B, C, and D notes
below their passing cash flow levels. The ratings reflect their
overall credit enhancement and position in the waterfall,
deteriorating macroeconomic conditions, potential exposure to
increased defaults, and the reserve fund's level that remains at
13.3% of its target.

"The class E notes started missing timely interest payments in 2009
as their performance deteriorated drastically. In 2019, the notes
paid all due and unpaid interest. This class of notes ranks senior
to the reserve fund and benefits from any cash sitting within the
reserve fund. The class E notes do not pass any stresses under our
cash flow model. We believe, under favorable financial and economic
conditions, that this class of notes should continue making timely
payment of interest as it can use any cash sitting within the
reserve fund. Therefore, we raised our rating to 'CCC- (sf)' from
'D (sf)' on this class of notes."

Madrid RMBS IV

Credit enhancement for all classes of notes has increased since
S&P's previous full review, due to the collateral's amortization
and the reserve fund's partial replenishment at 66.7%.

Loan-level arrears currently stand at 0.7%. Overall delinquencies
remain well below S&P's Spanish RMBS index. Nevertheless, the
transaction has a high number of loans that defaulted during the
financial crisis, and several of these still need to be worked
out.

The transaction benefits from interest deferral triggers based on
outstanding net defaults, which currently stand at 8.36%. The class
E notes' interest deferral trigger has been breached, and the
interest payment on this class is subordinated to repayment of
principal. Given the large reserve fund available, class E interest
will be paid in S&P's rating scenario that is commensurate with a
'BB+ (sf)' rating.

S&P said, "Following the application of our criteria, we have
determined that our ratings on the classes of notes in this
transaction should be the lower of (i) the rating as capped by our
structured finance sovereign risk criteria, (ii) the rating as
capped by our counterparty criteria, or (iii) the rating that the
class of notes can attain under our global RMBS criteria.

"The application of our counterparty criteria caps our ratings on
these notes at 'A (sf)' as Caixabank commits to replace itself as
transaction account provider at the loss of the 'BBB' rating.
Additionally, in February 2021, Caixabank was appointed as swap
provider, replacing BBVA S.A., under the same terms of the previous
swap agreement.

"Following our analysis, we upgraded the class C notes to 'A (sf)'
from 'BBB (sf)'. At the same time, we affirmed our 'A (sf)' ratings
on the class A2 and B notes. Although these classes of notes can
pass at higher ratings than those currently assigned, the
application of our counterparty criteria caps our ratings.

"Given the proximity to the interest deferral triggers, we have
performed additional sensitivities to increased defaults on classes
D and E. We raised our ratings on the class B notes to 'BBB- (sf)'
from 'B+ (sf)', and the class E notes to 'BB+ (sf)' from 'B+ (sf)'.
These notes can achieve higher ratings in our cash flow analysis,
but we have taken into account their overall proximity to a breach
of the interest deferral trigger, and their position in the
priority of payments."




=============
U K R A I N E
=============

UKRAINIAN RAILWAYS: S&P Lowers Rating to 'CCC', On Watch Neg.
-------------------------------------------------------------
S&P Global Ratings lowered its rating on Ukrainian Railways JSC
(UR) to 'CCC' from 'CCC+', and placed it on CreditWatch with
negative implications.

S&P said, "The CreditWatch placement indicates that we could lower
our rating on UR if we deem that the current adverse operating
environment will limit cash flow from operations such that UR is
unlikely to make payments in accordance with the existing maturity
schedule of its debt. We will also closely monitor if the UR's
assets are at risk of severe damage from the ongoing conflict.

"Considering the adverse effect on the company's cash flow from the
conflict, we believe UR's debt repayment capacity has weakened. The
outbreak of the conflict broadened UR's traditional function, as a
strategic transporter of essential goods, by adding crucial roles
in transporting refugees, military ordnance and humanitarian aid.
The company benefited from an allocation, in March 2022, of UAH13
billion (about US$440 million) of state financing, which has
supported UR's continued operation during the period of martial
law. Without additional government intervention or significant cuts
to operating expenditure, we believe UR is likely to have to
restructure its payment schedule or default on its debt payments
within 12 months because existing liquidity will be depleted in
order to maintain operations. We believe that there is a risk that
further support may not be forthcoming because the government could
lose its financial capacity to provide additional support to local
companies or could be required to allocate financial resources
toward other urgent needs. At the same time, we acknowledge that
UR's upcoming maturity payments in 2022-2023 are low and that the
next substantial payment falls due in 2024.

"We consider UR's operational performance to be uncertain amid the
ongoing Russia-Ukraine conflict. UR's operations have been
adversely affected by military action, including due to damage from
bombing and the loss of assets that are under the control of
Russian troops, notably in the eastern and southern territories of
Ukraine. UR's freight volumes fell 50% over March-April 2022,
compared to the same period in 2021. The resultant reduction in
revenue was lower due to tariff increases in 2021. We believe that
UR's strategically important logistics function means it remains at
risk of targeted bombing of its assets and infrastructure, which
could further weaken its operational performance. We understand
that UR's priority is to repair infrastructure to ensure effective
transportation of goods and civilians during the period of martial
law."

S&P Global Ratings acknowledges a high degree of uncertainty about
the extent, outcome, and consequences of the military conflict
between Russia and Ukraine.

Irrespective of the duration of military hostilities, sanctions and
related political risks are likely to remain in place for some
time. Potential effects could include dislocated commodities
markets--notably for oil and gas--supply chain disruptions,
inflationary pressures, weaker growth, and capital market
volatility. As the situation evolves, S&P will update its
assumptions and estimates accordingly.

S&P said, "We placed the rating on CreditWatch negative in
recognition of the multiple risks to the company's liquidity and
operations stemming from the conflict.

"We could lower the ratings further if we deem UR is unlikely to
make payments in accordance with its maturity schedule because the
adverse operating environment has limited cash flow from
operations. We will also closely monitor the risk of severe damage
to UR's assets resulting from the conflict.

"We expect to resolve the CreditWatch placement within 90 days.

"We assess the company's liquidity as weak, with the ratio of
sources to uses at well below 1.2x. We consider the company's
liquidity position to be pressured, since we believe UR will not be
able to withstand external, unexpected events without further
financial support from the government."

S&P anticipates the company's principal liquidity sources over the
12 months from April 30, 2022, will be:

-- Cash and cash equivalents of about UAH2.3 billion.

-- Undrawn long-term committed bank lines of about UAH8.5
billion.

Principal liquidity uses for the same period will likely include:

-- Maturities of about $125 million, including $36 million in July
2022, and a potential settlement with Prominvestbank, in line with
recent Ukrainian legislation.

-- Maintenance capital expenditure of about UAH4 billion, with the
final amount subject to the company's needs and availability of
funding.

-- Negative funds from operations.

S&P said, "If the conflict evolves such that the Ukrainian
government is unable to provide further financial support to UR, we
believe the company will not have sufficient headroom under the
covenant set in the Eurobond documentation (3.0x net debt to EBITDA
after 2021 results have been published). It is our understanding
that a breach does not lead to acceleration, but rather reduces the
company's financial flexibility to raise new debt."




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

BRAISBY ROOFING: Goes Into Liquidation, 20 Jobs Affected
--------------------------------------------------------
Emma Newlands at The Scotsman reports that historic Fife firm
Braisby Roofing has gone under with the loss of 20 jobs, but the
family behind it aim to hire some of those affected at its Kwikco
wholesale business that is untouched by its collapse.

According to The Scotsman, directors at the Dunfermline-based
roofing firm, which closed on May 27, are applying to the court to
appoint insolvency specialist Shona Campbell of Henderson Loggie as
liquidator.

Braisby Roofing was established in 1965 and has remained in the
family, but it said its trading performance suffered because of
lockdown restrictions, and cashflow challenges due to late
payments, rising costs, and "significant six-figure bad debts" that
made it increasingly hard to continue in business, The Scotsman
relates.


BRANTS BRIDGE 2022-1: Moody's Gives (P)Caa1 Rating to Cl. X1 Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to Notes
to be issued by Brants Bridge 2022-1 PLC:

GBP[]M Class A Mortgage Backed Floating Rate Notes due December
2064, Assigned (P)Aaa (sf)

GBP[]M Class B Mortgage Backed Floating Rate Notes due December
2064, Assigned (P)Aa1 (sf)

GBP[]M Class C Mortgage Backed Floating Rate Notes due December
2064, Assigned (P)A2 (sf)

GBP[]M Class D Mortgage Backed Floating Rate Notes due December
2064, Assigned (P)Baa3 (sf)

GBP[]M Class X1 Mortgage Backed Floating Rate Notes due December
2064, Assigned (P)Caa1 (sf)

Moody's has not assigned a rating to the GBP[]M Class X2 Mortgage
Backed Floating Notes due December 2064, the GBP[]M Class Z1
Mortgage Backed Notes due December 2064 and the GBP[]M Class Z2
Mortgage Backed Notes due December 2064.

The Notes are backed by a static pool of UK residential mortgage
loans originated by Paratus AMC Limited ("Paratus" as originator
and seller, NR). The securitized portfolio consists of 1257
mortgage loans with a current balance of GBP334 million as of April
30, 2022 pool cutoff date.

RATINGS RATIONALE

The ratings are primarily based on the credit quality of the
portfolio, the structural features of the transaction and its legal
integrity.

According to Moody's, the transaction benefits from various credit
strengths such as a portfolio with comparably low LTV and a
non-amortising general reserve which is equal to 1.0% of Classes A
to D and Z1 Notes at closing. The non-amortising general reserve
fund consists of two components - the first component is the
liquidity reserve fund which is equal to 1.0% of the outstanding
balance of the Class A and Class B notes and will amortise together
with Class A and Class B notes. The liquidity reserve fund will be
available to cover senior fees and costs, and Class A and B
interest (in respect of the latter, if it is the most senior class
outstanding and otherwise subject to a PDL condition). The second
component is the credit ledger which is a dynamic ledger that is
sized at 1.0% of Classes A to D and Z1 Notes at closing, minus the
balance of the liquidity reserve component. At closing, the credit
ledger component of the reserve fund will be residual and increase
throughout the life of the transaction as the liquidity reserve
fund amortises.

However, Moody's notes that the transaction features some credit
weaknesses such as a portfolio with a high percentage of
self-employed borrowers and above average percentage of loans on an
interest only or part and part basis, limited historical
information on owner occupied loans provided by the originator, as
well as an unrated servicer. In order to mitigate the operational
risk, Intertrust Management Limited (NR) will act as back-up
servicer facilitator.

Moody's determined the portfolio lifetime expected loss of 2.2% and
MILAN credit enhancement ("MILAN CE") of 12.0% related to borrower
receivables. The expected loss captures Moody's expectations of
performance considering the current economic outlook, while the
MILAN CE captures the loss Moody's expect the portfolio to suffer
in the event of a severe recession scenario. Expected defaults and
MILAN CE are parameters used by Moody's to calibrate its lognormal
portfolio loss distribution curve and to associate a probability
with each potential future loss scenario in the ABSROM cash flow
model to rate RMBS.

Portfolio expected loss of 2.2%: This is lower than the UK
non-conforming RMBS sector and is based on Moody's assessment of
the lifetime loss expectation for the pool taking into account: (i)
the portfolio characteristics, including the WA CLTV for the pool
of 65.4%; the presence of some borrowers with adverse credit; the
above average percentage of loans on an interest only (26.6%) or
part and part (8.2%) basis; and the 54% of self-employed borrowers;
(ii) the historic data does not cover a full economic cycle; (iii)
the current macroeconomic environment in the UK and the impact of
future interest rate rises on the performance of the mortgage
loans; and (iv) benchmarking with other UK Non-conforming
transactions.

MILAN CE of 12.0%: This is lower than the UK non-conforming RMBS
sector average and follows Moody's assessment of the loan-by-loan
information taking into account the following key drivers: (i) the
WA CLTV for the pool of 65.4%, which is lower than comparable
transactions; (ii) the pool concentration with the top 20 borrowers
accounting for approximately 7.2% of the current balance; (iii) the
historic data does not cover a full economic cycle; and (iv)
benchmarking with similar UK non-conforming transactions.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
February 2022.

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

Factors that would lead to an upgrade of the ratings include: (i)
significantly better than expected performance of the pool together
with an increase in credit enhancement of Notes; or (ii) a
deleveraging of the capital structure.

Factors that would lead to a downgrade of the ratings include: (i)
an increase in the level of arrears resulting in a higher level of
losses than forecast; or (ii) economic conditions being worse than
forecast resulting in higher arrears and losses.


BRANTS BRIDGE 2022-1: S&P Assigns Prelim. B-(sf) Rating on X1 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Brants
Bridge 2022-1 PLC's class A to X1-Dfrd notes. At the same time,
Brants Bridge 2022-1 will issue unrated class X2, Z1, and Z2
notes.

Brants Bridge 2022-1 is a static RMBS transaction that securitizes
a portfolio of owner-occupied mortgage loans secured on properties
in England and Wales.

The loans in the pool were originated between 2018 and 2022, with
most originated in 2021, by Paratus AMC Ltd., a non-bank specialist
lender, under the brand of Foundation Home Loans. This is the first
transaction featuring post-financial-crisis owner-occupied
originations from Paratus that S&P has rated.

The collateral comprises complex income borrowers and borrowers
with relatively minor credit impairments. As a result, there is a
high exposure to self-employed borrowers and first-time buyers.

The transaction benefits from liquidity support provided by a
nonamortizing reserve fund (broken down into a liquidity reserve
fund and a credit reserve), and principal can also be used to pay
senior fees and interest on some classes of notes, subject to
certain conditions.

Credit enhancement for the rated notes will consist of
subordination and the credit reserve from the closing date and
overcollateralization following the step-up date. The
overcollateralization will result from the release of the excess
amount from the revenue priority of payments to the principal
priority of payments, after any subordinated swap payment amounts
are due (if any) are paid.

The transaction incorporates a swap to hedge the mismatch between
the notes, which pay a coupon based on the compounded daily
Sterling Overnight Index Average (SONIA), and the loans, which
primarily pay a fixed-rate interest before reversion.

At closing the issuer will use the issuance proceeds to purchase
the full beneficial interest in the mortgage loans from the seller.
The issuer will grant security over all of its assets in favor of
the security trustee.

There are no rating constraints in the transaction under S&P's
counterparty, operational risk, or structured finance sovereign
risk criteria. S&P considers the issuer to be bankruptcy remote
under its legal criteria.

  Ratings Assigned

  CLASS    PRELIM. RATING    CLASS SIZE (%)

   A        AAA (sf)           88.50

   B        AA (sf)             6.00

   C-Dfrd   A- (sf)             3.00

   D-Dfrd   BBB (sf)            1.75

   X1-Dfrd  B- (sf)             2.00

   X2       NR                  1.25

   Z1       NR                  0.75

   Z2       NR                  1.00

   RC1 Residual Certs   NR       N/A

   RC2 Residual Certs   NR       N/A

  NR -- Not rated.
  N/A -- Not applicable.


DRYDEN 59 EURO 2017: Fitch Affirms 'B-' Rating on Class F Notes
---------------------------------------------------------------
Fitch Ratings has affirmed Dryden 59 Euro CLO 2017 B.V.'s notes and
removed the class B to F notes from Rating Watch Positive (RWP).
The Outlooks are Stable.

   DEBT             RATING                   PRIOR
   ----             ------                   -----
Dryden 59 Euro CLO 2017 B.V.

A XS1770930177     LT AAAsf     Affirmed     AAAsf
B XS1770930680     LT AAsf      Affirmed     AAsf
C XS1770931068     LT Asf       Affirmed     Asf
D XS1770931225     LT BBB-sf    Affirmed     BBB-sf
E XS1770931571     LT BB-sf     Affirmed     BB-sf
F XS1770931654     LT B-sf      Affirmed     B-sf

TRANSACTION SUMMARY

Dryden 59 Euro CLO 2017 B.V. is a cash flow collateralised loan
obligation (CLO) mostly comprising senior secured obligations. The
transaction is actively managed by PGIM Limited and will exit its
reinvestment period in November 2022.

KEY RATING DRIVERS

Fitch Test Matrix Update: The manager has recently updated the
Fitch test matrix and the definition of 'Fitch Rating Factor' and
'Fitch Recovery Rate' in line with Fitch's updated CLOs and
Corporate CDOs Rating Criteria. The updated criteria, together with
the transaction's stable performance, has had a positive impact on
the ratings. As a result of the matrix amendment, the
collateral-quality test for the weighted average recovery rate
(WARR) has been lowered to be in line with the break-even WARR, at
which the current ratings would still pass.

The Stable Outlooks on the class A to F notes reflects Fitch's
expectation of sufficient credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with their ratings.

Stable Asset Performance: The transaction is passing all collateral
quality, portfolio profile and coverage tests except the
weighted-average life (WAL) test and the minimum limit of secured
senior loans and secured senior bonds. Exposure to assets with a
Fitch-derived rating of 'CCC+' and below is reported by the trustee
at 3.34% as of the latest investor report compared with the 7.50%
limit.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the obligors to be at the 'B'/'B-' rating level. The
Fitch-calculated weighted average rating factor is at 25.57 under
the updated criteria.

High Recovery Expectations: Senior secured obligations comprise
89.85% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The WARR, as calculated by Fitch, was 57.85%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The largest issuer and largest
10 issuers in Fitch's current portfolio analysis represent 2.91%
and 18.80% of the portfolio, respectively.

RATING SENSITIVITIES

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

Downgrades may occur if the loss expectation is larger than
initially assumed, due to unexpectedly high levels of defaults and
portfolio deterioration.

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 three notches across the
structure.

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

Upgrades may occur on better-than-expected portfolio credit quality
and deal performance, leading to higher credit enhancement and
excess spread available to cover for losses in the remaining
portfolio.

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 four notches across the structure, apart from the
class A notes, which are already at the highest rating on Fitch's
scale and cannot be upgraded.

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.


EUROMASTR PLC 2007-1V: Fitch Affirms 'BB+' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has upgraded EuroMASTR Series 2007-1V Plc's class C
and D notes of and affirmed the other notes.

   DEBT                   RATING                 PRIOR
   ----                   ------                 -----
EuroMASTR Series 2007-1V plc

Class A2 XS0305763061    LT AAAsf    Affirmed    AAAsf
Class B XS0305764036     LT AAAsf    Affirmed    AAAsf
Class C XS0305766080     LT AAAsf    Upgrade     AAsf
Class D XS0305766320     LT Asf      Upgrade     BBBsf
Class E XS0305766676     LT BB+sf    Affirmed    BB+sf

TRANSACTION SUMMARY

This transaction is a securitisation of owner-occupied (OO) and
buy-to-let (BTL) mortgages originated in the UK by Victoria
Mortgage Funding and now serviced by BCMGlobal Mortgage Services
Limited (RPS2-/RSS2-) part of the Link Group.

KEY RATING DRIVERS

Removed From UCO: The rating actions take into account the update
to Fitch's UK RMBS Rating Criteria on 23 May 2022. The class C, D
and E notes' ratings have been removed from Under Criteria
Observation (UCO). The new criteria assumptions result in lower
expected losses in our asset analysis, driving the upgrade of the
class D notes to 'Asf'.

CE Accumulation: As of the latest payment date, credit enhancement
(CE) had slightly increased to 42.8%, 32.0%, 23.7%, 10.4% and 7.1%
from 42.5%, 31.3%, 23.5%, 9.7% and 6.4% at the previous review for
the class A, B, C, D and E notes, respectively, as the notes
continue to amortise pro-rata and the reserve fund is static.

Obligor and Interest-only Concentration: There are currently 440
borrowers in the asset pool. As amortisation continues, we expect
granularity to reduce and the transaction remains exposed to
greater tail-end risk. This is exacerbated by most loans being
interest-only. Refinancing risk could expose the junior tranches to
the performance of very few loans.

Liquidity Protection Mechanism: The transaction benefits from a
liquidity protection mechanism in the form of a static reserve
fund, currently at target, sized at closing at 1.9% of the notes'
(excluding the subordinated notes) balance. The transaction also
benefits from a non-amortising liquidity facility, which is
entirely dedicated to covering senior fees, and interest shortfalls
for the notes. The reserve fund can be used to cover for losses.
These features support the ratings.

Increased Senior Fees and Libor Transitioning: The analysis of
third-party fees reported in the most recent investor report
suggest the transaction has incurred increased fees, driven by
professional services expenses, associated with Libor transitioning
efforts. Currently, the notes and assets reference a synthetic
Libor index. The increased level of fees affects excess spread
availability, although our fixed fees assumption contain a buffer
relative to average observed pre-Libor transitioning workstream.

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 CE available to the notes.

Fitch conducted sensitivity analyses by stressing each
transaction's base case foreclosure frequency (FF) and recovery
rate (RR) assumptions, and examining the rating implications on all
classes of issued notes. A 15% increase in the weighted average
(WA) FF and a 15% decrease in the WARR indicates a downgrade of the
class E notes of no more than three notches.

Factors 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 and 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%.
The results indicate upgrades of up to 10 notches for the class D
and E notes.

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

EuroMASTR Series 2007-1V plc

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pool[s] and the transaction[s]. 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[s] ahead of the transaction's [EuroMASTR
Series 2007-1V plc] initial closing. The subsequent performance of
the transaction[s] 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

EuroMASTR Series 2007-1V plc has an ESG Relevance Score of '4' for
Customer Welfare - Fair Messaging, Privacy & Data Security due to
compliance risks including fair lending practices, mis-selling,
repossession/foreclosure practices and consumer data protection
(data security), which has a negative impact on the credit profile,
and is relevant to the ratings in conjunction with other factors.

EuroMASTR Series 2007-1V plc has an ESG Relevance Score of '4' for
Human Rights, Community Relations, Access & Affordability due to
accessibility to affordable housing, which has a negative impact on
the credit profile, and is relevant to the ratings in conjunction
with other factors.

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.


GREENSILL CAPITAL: Credit Suisse Nears Deal Over Bluestone Debt
---------------------------------------------------------------
Owen Walker at The Financial Times reports that Credit Suisse and
West Virginia governor Jim Justice are close to a settlement over
US$690 million the US politician's mining company Bluestone
Resources owes the Swiss bank's clients, according to people
familiar with the matter.

Bluestone borrowed heavily from Greensill Capital, the failed UK
supply chain finance firm that relied on some of Credit Suisse's
wealthiest clients for a significant chunk of its own funding, the
FT discloses.

Since Greensill's collapse in March 2021, Credit Suisse has been
under pressure to recover money that the supply chain firm lent via
a US$10 billin group of funds set up by the Swiss bank for 1,200 of
its richest clients, the FT notes.

Under the deal being thrashed out between Justice and Credit
Suisse, Bluestone mines would step up production and make regular
cash payments to the Swiss bank, the FT states.

Credit Suisse would also have an option on funds raised from a
potential sale of the mines at a later date, the FT relays, citing
the people familiar with the matter. The settlement could be signed
within weeks, according to the FT.

Bluestone is one of three chief targets for Credit Suisse as it
looks to recover money for aggrieved clients -- a process the bank
recently admitted could take at least five years, the FT says.  In
total, the bank is attempting to recover US$2.7 billion through an
arduous series of debt renegotiations, legal cases and insurance
claims, the FT states.

Credit Suisse, the FT says, is also pursuing embattled UK metals
tycoon Sanjeev Gupta for US$1.3 billion his GFG Alliance borrowed
from the bank's funds through Greensill.  Having spent more than a
year seeking a settlement with Mr. Gupta, Credit Suisse negotiators
have lost patience, according to people familiar with the matter,
the FT notes.

A third target for Credit Suisse is the US$440 million owed by
collapsed US building company Katerra, a former Greensill client,
the FT discloses.  The Swiss lender has begun legal action against
SoftBank, the Japanese conglomerate whose US$100 billion Vision
Fund backed Katerra, the FT recounts.


HAIR UNIVERSE: Enters Liquidation, Owes GBP105,000 to Creditors
---------------------------------------------------------------
YorkMix reports that Hair Universe York Ltd has gone into
liquidation.  

It has appointed Martin Halligan, based in Leeds, as its
liquidator, YorkMix relates.

According to YorkMix, documents filed at Companies House show that
Hair Universe York Ltd owed GBP105,325 to creditors, including
GBP7,500 to banks and GBP1,000 to the taxman.

The company's biggest debt is to its landlords, YorkMix discloses.
Property company D&M Atherton Ltd owns 5-7 Nessgate, the building
Hair Universe traded from for many years.  It is owed GBP52,000,
YorkMix notes.

A sign above the Hair Universe shop window used to state:
"Stockists of 100% Human Hair Extensions, Clipin, Pre-Bonded Wigs,
Ponytails, Hair Pieces."


ICG EURO 2022-1: Fitch Assigns 'B-' Rating on Class F Debt
----------------------------------------------------------
Fitch Ratings has assigned ICG Euro CLO 2022-1 DAC final ratings.

   DEBT                RATING
   ----                ------
ICG Euro CLO 2022-1 DAC

A XS2469128826        LT AAAsf    New Rating
B-1 XS2469129477      LT AAsf     New Rating
B-2 XS2469315779      LT AAsf     New Rating
C XS2469129634        LT Asf      New Rating
D XS2469129717        LT BBB-sf   New Rating
E XS2469130137        LT BB-sf    New Rating
F XS2469130210        LT B-sf     New Rating
Subordinated Notes    LT NRsf     New Rating
XS2469130483
X XS2469128586        LT AAAsf    New Rating
Z XS2469315936        LT NRsf     New Rating

TRANSACTION SUMMARY

ICG Euro CLO 2022-1 DAC is a securitisation of mainly senior
secured obligations (at least 90%) with a component of corporate
rescue loans, senior unsecured, mezzanine, second-lien loans and
high-yield bonds. Net proceeds from the note issuance were used to
fund a portfolio with a target size of EUR400 million. The
portfolio manager is Intermediate Capital Managers Limited. The
collateralised loan obligation (CLO) envisages a three-year
reinvestment period and an eight-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-calculated weighted average rating factor (WARF) of the
identified portfolio is 24.7.

Strong Recovery Expectation (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-calculated
weighted average recovery rate (WARR) of the identified portfolio
is 63.4%.

Diversified Portfolio (Positive): The transaction includes four
Fitch matrices with two effective at closing. The latter two
correspond to a top-10 obligor concentration limit of 23%, with two
fixed-rate asset limits of 15% and 5%, and an eight-year WAL. The
other two, which correspond to a seven-year WAL with the same
top-10 obligor concentration limit and fixed-rate asset limits at
closing, can be selected by the manager at any time one year after
closing as long as the portfolio balance (including defaulted
obligations at Fitch-calculated collateral value) is above target
par.

The transaction also includes various concentration limits,
including the maximum exposure to the three-largest Fitch-defined
industries in the portfolio at 42.5%. These covenants ensure that
the asset portfolio will not be exposed to excessive
concentration.

Portfolio Management (Neutral): The transaction has a three-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 (Neutral): The WAL used for the transaction's
stressed case portfolio is 12 months less than the WAL covenant, to
account for strict reinvestment conditions after the reinvestment
period, including passing the over-collateralisation (OC) test and
Fitch 'CCC' limit, together with a linearly decreasing WAL
covenant. In the agency's opinion, these conditions reduce the
effective risk horizon of the portfolio during stress periods.

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 loss expectation is larger 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 notes, which are already at the highest rating on
Fitch's scale and cannot be upgraded.

Except for the tranche already at the highest 'AAAsf' rating,
upgrades may occur on better-than-expected portfolio credit quality
and deal performance, leading to higher credit enhancement and
excess spread available to cover losses in the remaining
portfolio.

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.


POLARIS PLC 2022-2: S&P Gives Prelim. B-(sf) Rating on 2 Tranches
-----------------------------------------------------------------
S&P Global Ratings assigned preliminary ratings to Polaris 2022-2
PLC's class A to X-Dfrd notes. At closing, the issuer will also
issue unrated RC1 and RC2 certificates.

Polaris 2022-2 PLC is an RMBS transaction that securitizes a
portfolio of owner-occupied and buy-to-let (BTL) mortgage loans
that are secured over properties in the U.K.

This is the fifth first-lien RMBS transaction originated by Pepper
group in the U.K. that S&P has rated. The first one was Polaris
2019-1 PLC.

The loans in the pool were originated in between 2015 and 2022 by
Pepper Money Ltd. and UK Mortgage Lending Ltd. who trade as Pepper
Money, a nonbank specialist lender. Some of the Polaris 2019-1
loans were also originated by Pepper (UK) Ltd.

The collateral comprises complex income borrowers, borrowers with
immature credit profiles, and borrowers with credit impairments,
and there is a high exposure to self-employed borrowers and
first-time buyers. Approximately 34.6% of the pool comprises BTL
loans and the remaining 65.4% are owner-occupier loans.

The transaction includes a prefunded amount where the issuer can
purchase additional loans until the first interest payment date
(IPD) in July 2022. The prefunded amount may be used to purchase
loans that were originally securitized in the Polaris 2019-01 PLC
transaction, which is expected to be called in June 2022.

The transaction benefits from a fully funded liquidity reserve
fund, which will be used to provide liquidity support to the class
A notes and to pay senior fees and expenses and senior swap
payments. After the step-up date, the liquidity reserve will
amortize in line with the class A notes' outstanding balance and
the excess above the required amount will be released to the
principal waterfall. Principal can be used to pay senior fees and
interest on some classes of the rated notes subject to conditions.

The transaction incorporates a swap to hedge the mismatch between
the notes, which pay a coupon based on the compounded daily
Sterling overnight index average rate (SONIA), and loans, which pay
fixed-rate interest before reversion.

At closing, the issuer will use the issuance proceeds to purchase
the full beneficial interest in the mortgage loans from the seller.
The issuer grants security over all of its assets in favor of the
security trustee.

There are no rating constraints in the transaction under S&P's
counterparty, operational risk, or structured finance sovereign
risk criteria. S&P considers the issuer to be bankruptcy remote.

Pepper (UK) Ltd. is the servicer in this transaction.

S&P said, "Our credit and cash flow analysis and related
assumptions consider the transaction's ability to withstand the
potential repercussions of the current economic environment, namely
higher defaults and longer recovery timing. Considering these
factors, we believe that the available credit enhancement is
commensurate with the preliminary ratings assigned."

  Preliminary Ratings

  CLASS     PRELIMINARY RATING*    CLASS SIZE (%)

   A         AAA (sf)               85.50

   B-Dfrd    AA (sf)                 5.50

   C-Dfrd    A (sf)                  3.50

   D-Dfrd    BBB+ (sf)               2.00

   E-Dfrd    B (sf)                  2.50

   Z-Dfrd    B-(sf)                  1.00

   X-Dfrd    B-(sf)                  1.10

   RC1 residual certificates  NR      N/A

   RC2 residual certificates  NR      N/A

*S&P's preliminary ratings address timely receipt of interest and
ultimate repayment of principal on the class A notes, and the
ultimate payment of interest and principal on all the other rated
notes.
NR--Not rated.
N/A--Not applicable.


WELLINGTON PUB: Fitch Affirms 'CCC' Rating on Class B Notes
-----------------------------------------------------------
Fitch Ratings has affirmed Wellington Pub Company Plc's (WPC) class
A notes at 'B-' and class B notes at 'CCC'. The Outlook on the
class A notes is Negative.

    DEBT                   RATING               PRIOR
    ----                   ------               -----
Wellington Pub Company Plc

Wellington Pub Company    LT CCC    Affirmed    CCC
Plc/Debt/2 LT

Wellington Pub Company    LT B-     Affirmed    B-
Plc/Debt/1 LT

RATING RATIONALE

The ratings reflect the weak debt service coverage ratios (DSCR) in
Fitch's updated forecasts, in the context of continuing uncertainty
about the level and timing of recovery as well as further adverse
industry challenges, including inflationary pressures coinciding
with the falling away of government support measures. Additionally,
the free-of-tie model weakens WPC's ability to collect rent on a
timely basis, which has dropped post-pandemic. Direct debit
collections are only 14%, down from above 40% in 2019.

The securitisation's liquidity position has improved since last
year. The GBP6 million liquidity fund has been fully re-funded
after it was depleted almost fully for debt service, given record
low cash collections in 2021. Collections for the 12 months ending
March 2022 increased significantly compared with previous years.

Although cash collections show recovery, the Negative Outlook
reflects uncertainty regarding the tenants' trading environment, as
well as WPC's ongoing struggle to collect rent amid a worsening
economic environment.

KEY RATING DRIVERS

Sector in Structural Decline, Affected by Pandemic - KRD: Industry
Profile - Midrange

The UK pub sector has been materially affected by the Covid-19
pandemic and related containment measures. Although restrictions
are now removed, some uncertainties remain with respect to if and
when the level of trading will recover to pre-pandemic level. There
is also increased uncertainty about the effects of record high
inflation on tenants' operating costs and consumers' disposable
income, which could lead to reduced rent collection rates.

The UK pub sector has a long history, but it has been in structural
decline for several decades due to demographic shifts, pricing
pressure, greater health awareness and the growing presence of
competing offerings. Exposure to discretionary spending is high and
revenue is therefore linked to the broader economy. Competition is
stiff, including off-trade alternatives, and barriers to entry are
low. Despite the shock caused by the pandemic, Fitch views the
sector as sustainable in the long term, supported by a strong UK
pub culture.

Sub KRDs: Operating Environment - Weaker, Barriers to Entry -
Midrange, Sustainability - Midrange.

Free-of-Tie Model, Under-Invested Estate - KRD: Company Profile -
Weaker

The free-of-tie model implies limited operational management but
reduces visibility of tenants' profitability and increases
uncertainty over projected cash flows. Lease renewals remain a
major risk as a large portion of the portfolio (35%) is due for
renewal over the next five years. Positively, the number of pubs on
long leaseholds has been stable for the last few years and the
proportion of leases with inflation-linked rents has increased.
Repossessions and rent arrears had stabilised pre-pandemic,
although levels were still high and Fitch expects them to increase
due to the pandemic, which may further affect revenue
sustainability. Wellington's acquisitions are insufficient to
compensate the revenue loss from the disposal of weaker pubs.
Multiple alternative operators are available.

The company's and tenants' low capex adversely impacts property
values and pub profitability. Around 56 % of the portfolio is
suffering from deferred maintenance and around 10% requires
significant capex (more than GBP20,000 per pub).

Sub-KRDs: Financial Performance - Weaker; Company Operations -
Weaker, Transparency - Weaker; Dependence on Operator - Stronger;
Asset Quality - Weaker

Structural Issues Drive Weaker Assessment - KRD: Debt Structure -
Weaker (class A, B)

The class A and B notes are fully amortising, secured and
fixed-rate, and the class B notes' debt service is structured to
decrease over time. The class B notes rank junior to the class A
notes. The security package features first-ranking fixed and
floating charges over the issuer's assets.

Structural features are weak because of the non-orphan SPV
structure, limited contractual provisions, and an inadequate
liquidity reserve, which only covers about four months of the class
A notes' debt service. Financial covenants providing bondholders
with more control through the appointment of an administrative
receiver well ahead of a payment default are missing.

The subordinated class B notes could deplete the liquidity reserve
as it is not tranched among the class A and B notes. The restricted
payment condition covenant is set at 1.25x, but in practice a
lock-up has never been triggered, despite the DSCR having been
below 1.25x, as a surplus cash account is included in the DSCR cash
release income cover test. Overall, the weak structural features,
combined with the lack of issuer/borrower structure compared with
traditional whole business securitisation (WBS) structures, limit
the debt structure assessment for both classes of notes to Weaker.

Sub-KRDs: Debt Profile - class A: Stronger, class B: Midrange,
Security Package - class A: Stronger, class B: Midrange; Structural
Features - class A: Weaker, class B: Weaker

Financial Profile

Fitch's rating case (FRC) projected metrics (free cash flow DSCR
2022-2028) stand at 1.0x for the class A notes and 0.9x for the
class B notes, substantially unchanged from last year's review.

PEER GROUP

WPC is the only Fitch-rated free-of-tie pub transaction. Fitch
views tied leased/tenanted pub WBS transactions such as Unique
(class A notes rated 'BB+', and class M & N notes rated 'B-') as
peers, albeit with different business models and revenue streams.
Compared with Unique, WPC's financial performance has been weak,
and the pubs are significantly less profitable as measured by
EBITDA per pub. Fitch perceives asset quality to be weaker than
that of Unique, with similar transparency issues.

RATING SENSITIVITIES

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

A slower-than-assumed recovery from the Covid-19 shock or
continuous impairment of demand resulting in sustained
deterioration of projected coverage metrics.

Liquidity deterioration beyond FRC assumptions as a result of an
increase in arrears, pub vacancies or foreclosure rates and
slower-than-expected deleveraging increasing the level of credit
risk.

If the combined portion of WPC's or its affiliates' holdings in the
transaction's senior notes exceeds 75% (currently 60%), Fitch will
withdraw the ratings as the majority noteholder will be able to
amend the terms of the notes at its own discretion

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

We do not anticipate an upgrade, as reflected in the Negative
Outlook. However, resilience against industry challenges through
consistent cash collections in line with pre-pandemic level and
stabilisation in arrears, may result in a revision of the Outlook
on the Class A notes to Stable.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Sovereigns, Public Finance
and Infrastructure 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 three 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.



===============
X X X X X X X X
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[*] BOOK REVIEW: Hospitals, Health and People
---------------------------------------------
Author: Albert W. Snoke, M.D.
Publisher: Beard Books
Softcover: 232 pages
List Price: $34.95
Order your personal copy today at
http://www.beardbooks.com/beardbooks/hospitals_health_and_people.html

Hospitals, Health and People is an interesting and very readable
account of the career of a hospital administrator and physician
from the 1930's through the 1980's, the formative years of today's
health care system. Although much has changed in hospital
administration and health care since the book was first published
in 1987, Dr. Snoke's discussion of the evolution of the modern
hospital provides a unique and very valuable perspective for
readers who wish to better understand the forces at work in our
current health care system.

The first half of Hospitals, Health and People is devoted to the
functional parts of the hospital system, as observed by Dr. Snoke
between the late 1930's through 1969, when he served first as
assistant director of the Strong Memorial Hospital in Rochester,
New York, and then as the director of the Grace-New Haven Hospital
in Connecticut. In these first chapters, Dr. Snoke examines the
evolution and institutionalization of a number of aspects of the
hospital system, including the financial and community
responsibilities of the hospital administrator, education and
training in hospital administration, the role of the governing
board of a hospital, the dynamics between the hospital
administrator and the medical staff, and the unique role of the
teaching hospital.

The importance of Hospitals, Health and People for today's readers
is due in large part to the author's pivotal role in creating the
modern-day hospital. Dr. Snoke and others in similar positions
played a large part in advocating or forcing change in our hospital
system, particularly in recognizing the importance of the nursing
profession and the contributions of non-physician professionals,
such as psychologists, hearing and speech specialists, and social
workers, to the overall care of the patient. Throughout the first
chapters, there are also many observations on the factors that are
contributing to today's cost of care. Malpractice is just one
example. According to Dr. Snoke, "malpractice premiums were
negligible in the 1950's and 1960's. In 1970, Yale-New Haven's
annual malpractice premiums had mounted to about $150,000." By the
time of the first publication of the book, the hospital's premiums
were costing about $10 million a year.

In the second half of Hospitals, Health and People, Dr. Snoke
addresses the national health care system as we've come to know it,
including insurance and cost containment; the role of the
government in health care; health care for the elderly; home health
care; and the changing role of ethics in health care. It is
particularly interesting to note the role that Senator Wilbur Mills
from Arkansas played in the allocation of costs of hospital-based
specialty components under Part B rather than Part A of the
Medicare bill. Dr. Snoke comments: "This was considered a great
victory by the hospital-based specialists. I was disappointed
because I knew it would cause confusion in working relationships
between hospitals and specialists and among patients covered by
Medicare. I was also concerned about potential cost increases. My
fears were realized. Not only have health costs increased in
certain areas more than anticipated, but confusion is rampant among
the elderly patients and their families, as well as in hospital
business offices and among physicians' secretaries." This aspect of
Medicare caused such confusion that Congress amended Medicare in
1967 to provide that the professional components of radiological
and pathological in-hospital services be reimbursed as if they were
hospital services under Part A rather than part of the co-payment
provisions of Part B.

At the start of his book, Dr. Snoke refers to a small statue,
Discharged Cured, which was given to him in the late 1940's by a
fellow physician, Dr. Jack Masur. Dr. Snoke explains the
significance the statue held for him throughout his professional
career by quoting from an article by Dr. Masur: "The whole question
of the responsibility of the physician, of the hospital, of the
health agency, brings vividly to mind a small statue which I saw a
great many years ago.it is a pathetic little figure of a man, coat
collar turned up and shoulders hunched against the chill winds,
clutching his belongings in a paper bag-shaking, tremulous,
discouraged. He's clearly unfit for work-no employer would dare to
take a chance on hiring him. You know that he will need much more
help before he can face the world with shoulders back and
confidence in himself. The statuette epitomizes the task of medical
rehabilitation: to bridge the gap between the sick and a job."

It is clear that Dr. Snoke devoted his life to exactly that
purpose. Although there is much to criticize in our current
healthcare system, the wellness concept that we expect and accept
today as part of our medical care was almost nonexistent when Dr.
Snoke began his career in the 1930's. Throughout his 50 years in
hospital administration, Dr. Snoke frequently had to focus on the
big picture and the bottom line. He never forgot the importance of
Discharged Cured, however, and his book provides us with a great
appreciation of how compassionate administrators such as Dr. Snoke
have contributed to the state of patient care today. Albert Waldo
Snoke was director of the Grace-New Haven Hospital in New Haven,
Connecticut from 1946 until 1969. In New Haven, Dr.
Snoke also taught hospital administration at Yale University and
oversaw the development of the Yale-New Haven Hospital, serving as
its executive director from 1965-1968. From 1969-1973, Dr. Snoke
worked in Illinois as coordinator of health services in the Office
of the Governor and later as acting executive director of the
Illinois Comprehensive State Health Planning Agency. Dr. Snoke died
in April 1988.



                           *********


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.

This material is copyrighted and any commercial use, resale or
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