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

                          E U R O P E

          Thursday, June 16, 2022, Vol. 23, No. 114

                           Headlines



A U S T R I A

SCHUR FLEXIBLES: S&P Lowers LT ICR to 'CC', Outlook Negative
SIGNA DEVELOPMENT: S&P Affirms 'B' ICR on Solid Project Pipeline


F R A N C E

GINKGO SALES 2022: DBRS Assigns B(low) Rating on Class F Notes


G E R M A N Y

ATHENA BIDCO: S&P Affirms 'B' ICR on Sound Deleveraging Prospects


I R E L A N D

GLENBEIGH 2: DBRS Hikes Class F Notes Rating to BB(high)
GLENDALOUGH STORES: Owes EUR10MM in Taxes Following Liquidation
JUBILEE CLO 2015-XVI: Moody's Affirms B2 Rating on Class F Notes
MALLINCKRODT: Expects to Complete Examninership in Coming Days


I T A L Y

LEVITICUS SPV: DBRS Confirms BB Rating on Class A Notes


L A T V I A

AIR BALTIC: S&P Affirms 'B' LongTerm ICR, Outlook Negative


L U X E M B O U R G

PARTICLE INVESTMENT: S&P Affirms 'B' ICR & Alters Outlook to Pos.


N E T H E R L A N D S

JUBILEE PLACE 4: S&P Assigns Prelim. CCC Rating on Cl. F Notes


N O R W A Y

HURTIGRUTEN GROUP: S&P Affirms 'CCC+' ICR & Alters Outlook to Neg.


S P A I N

CAIXABANK RMBS 3: Moody's Affirms Caa3 Rating on EUR255MM B Notes
HAYA HOLDCO 2: S&P Assigns 'CCC+' ICR, Outlook Stable
PEPPER IBERIA: DBRS Gives Prov. BB(high) Rating on Class E Notes


U N I T E D   K I N G D O M

BRANTS BRIDGE 2022-1: Moody's Gives B3 Rating to Class X1 Notes
BRANTS BRIDGE 2022-1: S&P Assigns B- Rating on Class X1 Notes
DERBY COUNTY FOOTBALL: Chris Kirchner Withdraws Bid to Buy Club
DTEK RENEWABLES: S&P Lowers ICR to 'CCC-', On Watch Negative
ELIZABETH FINANCE 2018: DBRS Cuts Class E Notes Rating to C

GENESIS MORTGAGE 2022-1: DBRS Gives Prov. B(High) Rating on X Notes
NEWDAY FUNDING 2022-1: DBRS Finalizes B(high) Rating on F Notes
PODIUM EVENT: Owes GBP870,000 to Creditors Following Collapse
POLARIS PLC 2022-2: S&P Assigns B- Rating on 2 Tranches
TOGETHER ASSET 2022-CRE-1: S&P Assigns BB+ Rating on D Notes

UK HOUSING: Moody's Affirms Ba1 Rating on 2 Tranches

                           - - - - -


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A U S T R I A
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SCHUR FLEXIBLES: S&P Lowers LT ICR to 'CC', Outlook Negative
------------------------------------------------------------
S&P Global Ratings lowered its long-term issuer credit rating on
Austria-based Schur Flexibles GmbH to 'CC' from 'CCC-'. S&P also
lowered its issue rating on the term loan B (TLB) to 'C' from
'CCC-', and the TLB recovery rating to '5' from '4' to reflect the
implied recovery of these tranches upon closing.

The negative outlook indicates that S&P will likely lower its
ratings on the company to 'SD' (selective default) and its TLB to
'D' (default) upon completion of the transaction.

The downgrade reflects Schur Flexibles' agreement to restructure
its debt through a combination of new debt issuance and a debt-for
equity swap.

Schur Flexible's in-principle agreement with lenders will allow for
a restructuring of its existing capital structure, ultimately
resulting in:

-- A write-down of the outstanding EUR15 million under the
existing EUR100 million senior secured revolving credit facility
(RCF) to EUR3.6 million and the cancellation of the remaining
undrawn amount.

-- A write-down of its existing EUR475 million senior secured TLB
to EUR114 million.

-- A write-down of the outstanding EUR70.1 million under the
existing EUR80 million supply chain financing facility (SCF) to
about EUR23.9 million. The reinstated facility will be a term
loan.

-- Improved liquidity via new money injection.

-- A consensual change of ownership from current owners B&C
Holding and Lindsay Goldberg to the senior facility agreement (SFA)
lenders, the SCF, and the new money providers. S&P expects equity
in the new Holdco to be split between the existing SFA lenders
(39.375%), existing SCF lenders (5.625%), and the new money
providers (55%).

S&P said, "We view this transaction as a distressed exchange
because, under the proposed restructuring, investors will receive
materially less than agreed on the original securities. In
addition, in light of the company's depleted liquidity, we consider
this offer distressed rather than opportunistic."

"The negative outlook reflects that we would lower our issuer
credit rating on Schur Flexibles to 'SD' upon completion of the
proposed restructuring. At the same time, we would also lower the
issue rating on Schur Flexibles' existing senior TLB to 'D'.

"We would lower our long-term issuer credit rating on Schur
Flexibles to 'SD' and our issue rating to 'D' when the
restructuring is completed.

"We consider any upside to the ratings as highly unlikely because
stakeholders fully consented to the proposed restructuring."

ESG credit indicators: E-3, S-2, G-5

S&P said, "Governance factors are a very negative consideration in
our credit rating analysis of Schur Flexibles. This is because the
company's manipulation of its historical financial statements has
had a material adverse effect on its credit quality. The failure of
the company's internal controls resulted in the restatement of
historical financials. Schur Flexibles' actual profitability and
liquidity are at risk of being considerably lower than the levels
it previously reported. We assess Schur Flexibles' management and
governance as weak.

"Environmental factors are a moderately negative consideration in
our credit rating analysis of Schur Flexibles. Like its plastic
packaging peers, Schur Flexibles' environmental risk is higher than
for companies that use more sustainable materials. Risks include
waste concerns, changing consumer preferences, and tightening
recyclability regulations on plastic packaging. Schur Flexibles is
exposed to these risks as a producer of flexible food plastic
packaging (about 80% of its estimated 2021 revenue). However, we
acknowledge that Schur Flexibles is focusing on the circularity of
its products and on developing more sustainable solutions through
light-weighting and increasing the amount of recycled material in
its products. Its target is to make most products recyclable by
2025."


SIGNA DEVELOPMENT: S&P Affirms 'B' ICR on Solid Project Pipeline
----------------------------------------------------------------
S&P Global Ratings affirmed its 'B' issuer credit rating on Signa
Development Selection AG (SDS) and its 'B' issue rating on its
EUR300 million senior unsecured bond. S&P's recovery rating on this
instrument is '3'.

S&P said, "The stable outlook reflects our view that SDS will
continue to deliver its good quality development pipeline on
budget, without material disruptions, attracting institutional
buyers, while its forward sale strategy will limit project risks.

"We expect SDS to continue to deliver its development projects in
2022 without significant cost overruns and in a timely manner. At
the end of May 2022, the company had closed two of its main project
deliveries for this year (office project STREAM in Berlin and
residential project Donaumarina Studios and Apartments in Vienna),
which should translate into more than EUR550 million of revenue.
The company forward sold these projects to institutional investors
and delivered them on time and without material cost overruns. We
note that the company is also progressing well with the remaining
projects expected to be delivered in 2022 and 2023 (mainly office
project BEAM in Berlin, office project Schönhauser Allee in
Berlin, mixed-use project Fluggerhöfe in Hamburg, and residential
project Living Gries in Bolzano, Italy), and it has already
achieved significant levels of pre-letting in Schönhauser Allee
(90%) and BEAM (30%). SDS aims to forward sell BEAM in the near
term. That said, persistent cost inflation and supply chain
disruptions could affect the industry and SDS' profitability in the
medium term. We expect inflation in the eurozone to reach 6.4% in
2022 and 3.0% in 2023. We think an increase in cost inflation
should not translate directly into a proportionate reduction in
SDS' profitability, given that construction costs only represent
about 45% of total project costs. However, longer-than-expected
cost inflation could hurt the company's profitability in the medium
term. SDS performed a stress scenario (increasing inflation to 4%,
delaying project construction by one year, increasing financing
costs by 100 basis points (bps), and expanding valuation yields by
50 bps) on its top five projects by gross development value (GDV)
and estimated that gross margin on cost could decline to about 35%
from about 50%.

"The inherent volatility and cyclicality of the real estate
development industry continues to constrain our assessment of SDS'
business. We think property development is closely tied to economic
cycles and that competition can be intense. Historically, that has
translated into a high degree of variability in sales and property
values in the industry, which we factor into our assessment of SDS.
We estimate SDS' EBITDA margin, using percentage of completion
(PoC) revenue recognition, will be about 35% in 2022. We understand
SDS maintains a clear focus on cost control and is closely involved
through the entire lifecycle of projects thanks to its significant
workforce. SDS outsources the construction cycle to individual
contractors that the company supervises to ensure projects are
delivered on time and on budget thanks to a general policy of
fixed-price contracts. SDS' size is somewhat comparable with other
rated residential developers such as Neinor Homes S.A.
(B+/Stable/--; about EUR900 million of revenue), but it exhibits a
higher EBITDA margin (about 20% for other rated residential
developers). However, we think SDS' business is weaker than
Altareit SCA's (BBB-/Negative/--) in terms of scale (about EUR3
billion of revenue) and development-related risks.

"SDS maintains a well-diversified project development portfolio of
EUR8.3 billion of GDV and focuses on regions in Austria and Germany
with strong fundamentals. The company mainly develops commercial
real estate (primarily office; 37% by total planned area in square
meters at year-end 2021) and has some residential projects (30%).
We see the development of commercial assets, especially retail and
hotel properties, as less resilient than the development of
residential assets, which usually benefit from less volatility in
price and final demand. SDS develops good quality properties,
following high environmental, social, and governance (ESG)
standards (the company targets 100% green building certification
for all new project developments). Existing and new projects (such
as Victoriastadt lofts) are usually in well-established urban
locations with good market fundamentals and transport links in
metropolitan cities such as Vienna and Berlin. We understand that
the completion time of SDS' development projects averages two to
three years once planning permission is granted. Many of SDS'
development projects (about EUR1.6 billion of GDV) are already
under construction, and some of the projects in the planning stage
comprise existing assets that SDS will redevelop in order to
increase their value through repositioning (such as the Kaufhof
retail portfolio). About EUR2.4 billion (about 30%) of the existing
GDV is scheduled for delivery in 2022–2024, and 8% is already
completed. In addition, SDS currently owns certain income
generating assets (EUR0.8 billion of fair value) that it mainly
lets to Kika/Leiner, a furniture retail group in Austria. SDS
generated EUR87 million in rental income in 2021, including
intermediate income from development assets.

"We assume SDS will continue to focus on forward sales to
institutional investors to de-risk its development pipeline. We
view this positively since it removes uncertainty at development
completion. SDS has forward sold about EUR1.1 billion of its GDV.
These projects account for most of the deliveries expected for
2022, enhancing revenue visibility. SDS' target buyers are usually
large institutional investors, such as Allianz and Bayerische
Versorgungskammer, and we think they will remain attracted to SDS'
projects on the back of their strong available liquidity and
searches for prime real estate product. That said, we think they
might be more sensitive to market downturns than individual private
real estate investors. SDS only receives cash payment at delivery
of projects, weighing more heavily on the company's liquidity needs
through construction, which it typically covers mainly with senior
debt. SDS usually starts the project without forward sale and aims
to sell the building ahead of completion, which increases sales
uncertainties. Nevertheless, we recognize SDS' strong brand
recognition and successful track record in the Austrian and German
real estate market. We also note that SDS manages final price
fluctuation by establishing price collars in its forward sale
agreements. We understand this feature sets a minimum price that
the buyer will pay to SDS despite any potential decline in market
prices. This eliminates substantial uncertainty from SDS'
projects.

"SDS remains highly leveraged, with gross debt to EBITDA expected
at 5.0x-7.5x in 2022, compared with 7.1x as of March 31, 2022. We
forecast SDS' EBITDA interest coverage will remain comfortably
above 2x for 2022, compared with 3.3x in March 31, 2022. The
company's credit metrics will benefit this year from significant
deliveries (estimated GDV to be delivered in 2022 of EUR1.0
billion-EUR1.4 billion) before weakening next year because of lower
project deliveries (estimated GDV of EUR0.3 billion-EUR0.7
billion). This should translate into debt to EBITDA at 10x-15x in
2023, with EBITDA interest coverage close to but above 2x. SDS'
capital structure primarily contains debt at the project level
(about EUR1 billion), but it also includes profit participation
capital amounting to EUR428 million at end-March 2022. Although
this instrument has some hybrid-like features, we do not assess it
as equity content, given the short maturity (less than 10 years)
and nondeferability of its coupon (SDS needs to pay the coupon if
the company meets a certain level of profitability). We understand
that the profit participation capital is deeply subordinated in
SDS' capital structure.

"SDS is under the umbrella of Signa Holding and we think this
provides a competitive advantage over peers. Signa Holding, founded
in 1999 by Mr. René Benko, is one of the largest private
conglomerates in Austria. The company benefits from a large scale
and the group's network, which provide a dominant market position
regarding market knowledge and proprietary deal sourcing. This is
one of the reasons why we apply a positive comparable rating
analysis to our rating. We note that Signa's brand recognition and
track record could also be an advantage for SDS during its
construction and sales process. Conversely, it could also result in
certain dependence on the founder of the group and other key
individuals, in our view. Furthermore, the company has demonstrated
asset management capabilities that could help it to absorb finished
developments if no buyer is found. This has been demonstrated in
its owned property portfolio, and is part of SDS' appeal for
institutional investors. The company usually delivers its
commercial projects with a high level of occupancy, although it is
not a requirement under the forward sale agreements, creating
significant value-added for the final buyers.

"The stable outlook reflects our view that SDS will continue to
deliver its good quality development pipeline within budget and
without material disruptions. We think SDS will continue to attract
institutional buyers and de-risk projects by leaning on forward
sales.

"We therefore expect gross debt to EBITDA at 5.0x-7.5x and EBITDA
interest coverage comfortably above 2x in the next 12 months."

S&P would downgrade the company if:

-- Operating performance and margins deteriorated markedly, or if
the company failed to execute significant projects, putting its
brand reputation at risk;

-- Credit metrics deviated meaningfully from S&P's base-case
projections, particularly EBITDA interest cover below 2x;

-- Liquidity position eroded substantially; or

-- Signa Holding changed its conservative approach, jeopardizing
SDS' credit quality, for example, through large dividend
distributions.

S&P would upgrade SDS if it sustained:

-- Improved gross debt to EBITDA close to or below 5x;

-- EBITDA interest coverage comfortably above 2x; and

-- Adequate liquidity.

S&P might also consider an upgrade if SDS' weight within Signa
Holding increased significantly and it viewed the parent's
creditworthiness as meaningfully higher than the current rating on
SDS.

-- Environmental, Social, And Governance

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

S&P said, "Environmental factors are a moderately negative
consideration on our credit rating analysis of SDS, since
homebuilders and developers have a material environmental impact
across their value chain, primarily associated with the development
and construction of buildings. SDS has defined targets, measures,
and key performance indicators in its sustainability strategy, "Our
Sustainability Signature 2025," which includes 100% green building
certifications for its project development and using low-emission
and low-pollutant materials. Governance factors also are a
moderately negative consideration, given the company is ultimately
controlled by one principal shareholder, Mr. Benko, with a 56%
stake (including a 5.6% stake owned by the principal shareholder's
family). We think individual interests could influence SDS'
strategy. At the same time, the business could generate certain
dependence on the founder of the company and other key individuals,
in our view.

"SDS' EUR300 million senior unsecured notes, issued by its funding
vehicle Signa Development Finance SCS, have a'B' issue rating and a
'3' recovery rating. Our ratings reflect the company's robust asset
base and commensurate loan-to-value ratio at project level, but
they are constrained by the significant amount of prior-ranking
debt at the project level. We expect meaningful recovery prospects
(50%-70%; rounded estimate: 65%) for SDS' unsecured lenders in the
case of payment default.

"The bondholders benefit from a significant asset base in Austria
and Germany valued at EUR3.4 billion (excluding EUR0.5 billion of
assets held for sale and equity-accounted projects) at the end of
March 2022, comprising both income generating assets (EUR0.8
billion) and development projects, of which a significant portion
(EUR1.6 billion) are under advanced construction. In our recovery
analysis, we use third-party appraisal fair valuations on SDS'
assets, which typically value SDS' projects estimating a
theoretical value of the project at completion (being fully let at
market rents) minus an estimate of the remaining construction
costs. We value SDS using a distressed asset valuation."

Bondholders also benefit from certain limitations to indebtedness
because of covenants included in the documentation, such as a
maximum net loan to value at 55% at SDS for incurrence of corporate
debt or 70% for incurrence of project finance vehicle debt
(typically nonrecourse). The documentation also includes certain
limitations to dividends at 6% of SDS' net asset value.

Under S&P's hypothetical default scenario, it assumes a severe
macroeconomic downturn in Austria and Germany that translates into
significant delays in SDS' scheduled deliveries, rental pressure,
and material declines in real estate asset values.

S&P values the company as a going concern, given its brand name,
track record, and advanced status of its development pipeline.

-- Simulated year of default: 2025

-- Jurisdiction: Austria and Germany

-- Net enterprise value at default (after 5% administrative
costs): EUR1.6 billion

-- First-lien debt, mainly issued at the project level: EUR1.4
billion*

-- Value available for senior unsecured claims: EUR0.2 billion

-- Senior unsecured debt: EUR0.3 billion*--ranking ahead of about
EUR0.3 billion of subordinated profit participation capital issued
by the holding

    --Recovery expectations: 50%-70%; rounded estimate 65%

*All debt amounts include six months of prepetition interest.




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F R A N C E
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GINKGO SALES 2022: DBRS Assigns B(low) Rating on Class F Notes
--------------------------------------------------------------
DBRS Ratings GmbH assigned the following ratings to the notes
issued by Ginkgo Sales Finance 2022 (the Issuer):

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

DBRS Morningstar does not rate the Class G notes also issued in
this transaction.

The ratings of the Class A and Class B notes address the timely
payment of scheduled interest and the ultimate repayment of
principal by the legal final maturity date. The ratings of the
Class C, Class D, Class E, and Class F notes address the ultimate
payment of scheduled interest while the class is subordinated and
the timely payment of scheduled interest while the senior-most
class outstanding, and the ultimate repayment of principal by the
legal final maturity date.

The transaction is a securitization of fixed-rate, unsecured,
amortizing consumer loans granted to individuals domiciled in
France for the purchase of home equipment and recreational
vehicles, and serviced by CA Consumer Finance.

DBRS Morningstar based its ratings on the following analytical
considerations:

-- The transaction's capital structure, including form and
sufficiency of available credit enhancement.

-- Credit enhancement levels sufficient to support the projected
expected net losses under various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms of the
notes.

-- CA Consumer Finance's financial strength and its capabilities
with respect to originations, underwriting, and servicing.

-- DBRS Morningstar's operational risk review of CA Consumer
Finance, which is deemed to be an acceptable servicer.

-- The transaction parties' financial strength regarding their
respective roles.

-- The credit quality, diversification of the collateral, and
historical and projected performance of CA Consumer Finance's
portfolio.

-- DBRS Morningstar's sovereign rating of the Republic of France,
currently at AA (high) with a Stable trend.

-- The consistency of the transaction's legal structure with DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

TRANSACTION STRUCTURE

The transaction includes a 10-month scheduled revolving period.
During this period, the Issuer may purchase additional receivables,
provided that the eligibility criteria and concentration limits set
out in the transaction documents are satisfied. The revolving
period may end earlier than scheduled if certain events occur, such
as the breach of performance triggers or servicer termination.

There are separate waterfalls for interest and principal payments
that facilitate the distribution of the available distribution
amount. Following the scheduled revolving period, the transaction
enters into the normal redemption period with amortization amounts
based on the target subordination levels of each class of notes
until the breach of a sequential redemption trigger, after which
the notes will be repaid sequentially.

The transaction includes Class A and Class B liquidity reserves
that are available to the Issuer during the revolving period and
the normal redemption period in restricted scenarios where the
interest and principal collections are not sufficient to cover the
shortfalls in senior expenses, swap payments, and interests on the
Class A notes (available from both the Class A and Class B
liquidity reserves) and the Class B notes (only available from the
Class B liquidity reserve). During the accelerated redemption
period, the amounts in both liquidity reserves are not available to
the Issuer and are instead returned directly to CA Consumer Finance
as the liquidity reserve provider.

As the rated notes carry floating-rate coupons based on one-month
Euribor whereas the collateral carries fixed interest rates, the
interest rate mismatch risk is largely mitigated by an interest
rate swap for the Class A notes and another interest rate swap for
the Class B through Class F notes provided by CA Consumer Finance.

COUNTERPARTIES

CA Consumer Finance is the account bank and the interest rate swap
counterparty for the transaction. DBRS Morningstar has a private
rating on CA Consumer Finance and a Long-Term Issuer Rating of AA
(low) with a Stable trend on its ultimate parent company, Crédit
Agricole S.A. The transaction documents contain downgrade
provisions relating to the account bank and swap counterparty
consistent with DBRS Morningstar's criteria.

Notes: All figures are in euros unless otherwise noted.




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G E R M A N Y
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ATHENA BIDCO: S&P Affirms 'B' ICR on Sound Deleveraging Prospects
-----------------------------------------------------------------
S&P Global Ratings affirmed its 'B' long-term issuer credit rating
on Germany based HR software firm Athena Bidco (P&I), the immediate
holding company of P&I.

S&P said, "The stable outlook reflects our view that P&I will
maintain more than 13% revenue growth in fiscal 2023 on the back of
continued customer migration to its all-inclusive SaaS offering,
with further EBITDA margin expansion to more than 56%, leaving
sufficient rating headroom.

"We see strong deleveraging prospects from P&I's sound EBITDA
growth potential. The company's revenue growth accelerated to 12.6%
in fiscal 2022, following 6%-7% in fiscal 2021. This mainly stemmed
from the increased popularity of all-inclusive human resources (HR)
solution LogaAll-in, which is gaining traction among existing and
new customers. LogaAll-in revenue increased about 90% to EUR70
million in fiscal 2022, following about 106% growth in fiscal 2021,
and currently accounts for more than 40% of group revenue. We
expect revenue growth could further accelerate to up to 15% in
fiscals 2023-2024 given that more than half of the pay slips
processed though the company's software are still hosted on
premise. This provides strong upside potential for customer
migrations at a higher value. We also expect the company's S&P
Global Ratings-adjusted EBITDA margin will expand to more than 56%
in fiscal 2023, compared with 54.4% in fiscal 2022, because of the
high margin and scalability of its expanding SaaS solutions. As a
result, we think P&I will deleverage to below 8x in fiscal 2023,
with meaningful FOCF of more than EUR55 million and FOCF to debt of
over 5%, increasing its rating headroom."

The partial repayment of the PIK facility has an overall positive
effect on credit metrics. P&I paid EUR52.5 million in cash to PIK
facility investors in fiscal 2022. As a result, the company's cash
balance decreased to about EUR44 million by end-fiscal 2022,
compared with about EUR72 million in fiscal 2021. This had an
overall positive effect on the company's credit metrics because S&P
considers it a debt repayment, which further supports
deleveraging.

P&I's business risk profile benefits from its improving scale, high
recurring revenue, and strong profitability, but is constrained by
its niche focus on HR solutions in Germany, Austria, and
Switzerland (the DACH region). S&P said, "We forecast P&I's revenue
will increase to above EUR190 million in fiscal 2023, compared with
about EUR142 million in fiscal 2020, following the company's
accelerated growth on the back of SaaS adoption. Fast SaaS
expansion also increased the company's recurring revenue to more
than 80% from about 70% in fiscal 2020. In our view, this has
significantly improved its revenue stability considering the niche
focus on HR solutions and the DACH region." Furthermore, the
company benefits from a much higher S&P Global Ratings-adjusted
margin than the average among enterprise and commercial software
peers, of more than 50% versus 25%-30%, thanks to its lean and
focused operation in the niche market.

S&P said, "The stable outlook reflects our view that P&I will
maintain more than 13% revenue growth in fiscal 2023 on the back of
continued customer migration to its all-inclusive SaaS offering,
with further EBITDA margin expansion to more than 56%, leaving
sufficient rating headroom.

"We could lower the rating if P&I faces difficulties with top-line
and EBITDA growth through the ongoing transition to SaaS,
up-selling, and price increases. This could be indicated by
challenges in migrating existing customers and higher churn, or in
new customer sales and growth. We could also lower the rating if
P&I pursues debt-funded shareholder returns or material mergers and
acquisitions, leading to adjusted debt to EBITDA exceeding 11x
(6.7x excluding PIK) and FOCF to debt decreasing materially below
5%.

"Rating upside is remote because of the highly leveraged capital
structure and our expectation that the sponsor owner is unlikely to
pursue significant leverage reductions on a sustained basis.
However, we could raise the rating if P&I improves FOCF to about
10% of adjusted debt. This is most likely to materialize through
gross debt repayments combined with strong EBITDA growth. In
addition, we would require a firm financial policy commitment to
maintain metrics at this level."

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




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I R E L A N D
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GLENBEIGH 2: DBRS Hikes Class F Notes Rating to BB(high)
--------------------------------------------------------
DBRS Ratings GmbH took the following rating actions on the bonds
issued by Glenbeigh 2 Issuer 2021-2 Designated Activity Company
(the Issuer):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) (sf) from AA (sf)
-- Class C Notes upgraded to AA (low) (sf) from A (sf)
-- Class D Notes upgraded to A (sf) from BBB (sf)
-- Class E Notes upgraded to BBB (sf) from BB (high) (sf)
-- Class F Notes upgraded to BB (high) (sf) from BB (low) (sf)

The rating on the Class A Notes addresses the timely payment of
interest and ultimate payment of principal on or before the legal
final maturity date in June 2050. The ratings on the Class B and C
notes address the ultimate payment of interest and principal on or
before the legal final maturity date while junior, and timely
payment of interest while the senior-most class outstanding. The
ratings on the Class D, Class E, and Class F notes address the
ultimate payment of interest and principal on or before the legal
final maturity date.

Additionally, DBRS Morningstar removed the Under Review with
Positive Implications (UR-Pos.) status on the Class B, Class C,
Class D, Class E, and Class F Notes.

These rating actions are the result of an entire review of the
transaction following the upgrade of the Republic of Ireland's
Long-Term Foreign and Local Currency – Issuer Ratings to AA (low)
from A (high) on January 14, 2022.

DBRS Morningstar's credit ratings on structured finance
transactions consider sovereign, macroeconomic, and sovereign risk
of the country (or countries) in which transaction parties in a
securitization are domiciled.

The rating actions are also based on the following analytical
considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses.

-- Probability of default (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables.

-- Current available credit enhancement to the notes to cover the
expected losses at their respective rating levels.

The transaction is a securitization of buy-to-let residential
mortgage loans originated in Ireland by Permanent TSB plc and
serviced by Pepper Finance Corporation (Ireland) DAC (Pepper
Ireland).

PORTFOLIO PERFORMANCE

As of March 2022, loans two to three months in arrears represented
0.2% of the outstanding portfolio balance, the 90+ delinquency
ratio was 0.8%, and the cumulative default ratio was 0.0%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and has updated its base case PD and LGD
assumptions to 3.6% and 20.2%, respectively.

CREDIT ENHANCEMENT

As of the March 2022 payment date, the credit enhancements
available to the Class A, Class B, Class C, Class D, Class E, and
Class F Notes were 29.5%, 23.2%, 19.1%, 15.9%, 12.8%, and 10.7%,
respectively, up from 28.0%, 22.0%, 18.0%, 15.0%, 12.0%, and 10.0%
at the DBRS Morningstar initial rating, respectively. Credit
enhancement to the notes is provided by subordination of junior
classes and the general reserve fund.

The general reserve fund is currently at its target level of EUR
0.3 million, equal to 2.5% of the original principal balance of the
Class A notes, minus the liquidity reserve target amount. The
general reserve fund is available to cover senior fees, interest,
and principal (via the principal deficiency ledgers) on the rated
notes.

The liquidity reserve fund is currently at its target level of EUR
10.2 million, equal to 2.5% of the outstanding principal balance of
the Class A Notes, and is available to cover senior fees and
interest on the Class A Notes.

Citibank N.A., London Branch acts as the account bank for the
transaction. Based on the DBRS Morningstar private rating of
Citibank N.A., London Branch, the downgrade provisions outlined in
the transaction documents, and other mitigating factors inherent in
the transaction structure, DBRS Morningstar considers the risk
arising from the exposure to the account bank to be consistent with
the rating assigned to the Class A Notes, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker.

Notes: All figures are in euros unless otherwise noted.


GLENDALOUGH STORES: Owes EUR10MM in Taxes Following Liquidation
---------------------------------------------------------------
John Mulligan at Independent.ie reports that Glendalough Stores
Ltd, a fuel wholesaler in Co Louth that is now in liquidation, has
been hit with a near EUR10 million demand from the Revenue
Commissioners as part of its latest tax haul.

But none of the money has yet been paid and the full amount is
unlikely to ever be received by Revenue, Independent.ie notes.

According to Independent.ie, Glendalough Stores Ltd in Drogheda,
which traded as BK Oils, was found to owe EUR3.3 million in tax.
It was also hit with a EUR3.3 million interest bill and EUR3.3
million in penalties by Revenue, Independent.ie discloses.  It
related to the under-declaration of VAT, Independent.ie states.

The company's directors are Bernard Kirk and Seamus Lambe.  The
company went into liquidation in 2013, Independent.ie recounts.

The most recent liquidator's report for Glendalough Stores Ltd says
just EUR3,709 has been realised by the liquidator in that time,
while in February 2021, there was almost EUR3.5 million owing to
unsecured creditors, Independent.ie relays.


JUBILEE CLO 2015-XVI: Moody's Affirms B2 Rating on Class F Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Jubilee CLO 2015-XVI DAC:

EUR 25,000,000 Class C Deferrable Mezzanine Floating Rate Notes
due 2029, Upgraded to Aa2 (sf); previously on Jan 28, 2021 Upgraded
to Aa3 (sf)

EUR 20,000,000 Class D Deferrable Mezzanine Floating Rate Notes
due 2029, Upgraded to A3 (sf); previously on Jan 28, 2021 Affirmed
Baa1 (sf)

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

EUR225,000,000 (Current outstanding balance EUR 186,819,568) Class
A-1 Senior Secured Floating Rate Notes due 2029, Affirmed Aaa (sf);
previously on Jan 28, 2021 Affirmed Aaa (sf)

EUR5,000,000 (Current outstanding balance EUR 4,151,546) Class A-2
Senior Secured Fixed Rate Notes due 2029, Affirmed Aaa (sf);
previously on Jan 28, 2021 Affirmed Aaa (sf)

EUR19,000,000 Class B-1 Senior Secured Floating Rate Notes due
2029, Affirmed Aaa (sf); previously on Jan 28, 2021 Upgraded to Aaa
(sf)

EUR37,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2029,
Affirmed Aaa (sf); previously on Jan 28, 2021 Upgraded to Aaa (sf)

EUR25,600,000 Class E Deferrable Junior Floating Rate Notes due
2029, Affirmed Ba2 (sf); previously on Jan 28, 2021 Affirmed Ba2
(sf)

EUR13,000,000 Class F Deferrable Junior Floating Rate Notes due
2029, Affirmed B2 (sf); previously on Jan 28, 2021 Affirmed B2
(sf)

Jubilee CLO 2015-XVI DAC, originally issued in December 2015 and
refinanced in December 2017, 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 December 2019.

RATINGS RATIONALE

The rating upgrades on the Class C and D Notes are primarily a
result of the deleveraging of the Class A-1 and Class A-2 Notes
following amortisation of the underlying portfolio since the last
rating action in January 2021.

The affirmations on the ratings on the Class A-1, A-2, B-1, B-2, E
and F 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.

The Class A-1 and Class A-2 Notes have paid down by approximately
EUR39.0 million (17.0%) since the last rating action in January
2021. As a result of the deleveraging, over-collateralisation (OC)
has increased across the capital structure. According to the
trustee report dated May 2022 [1] the Class A/B, Class C, Class D
and Class E OC ratios are reported at 142.6%, 129.5%, 120.6% and
110.9% compared to December 2020 [2] levels of 135.8%, 124.9%,
117.4% and 108.9%, respectively.

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 and principal proceeds balance: EUR352.19m

Defaulted Securities: EUR0.2m

Diversity Score: 43

Weighted Average Rating Factor (WARF): 2973

Weighted Average Life (WAL): 3.4 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.48%

Weighted Average Coupon (WAC): 3.54%

Weighted Average Recovery Rate (WARR): 45.11%

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.


MALLINCKRODT: Expects to Complete Examninership in Coming Days
--------------------------------------------------------------
Mallinckrodt plc ("Mallinckrodt" or the "Company") on June 13
disclosed that it expects to complete its reorganization process,
emerge from Chapter 11 and complete the Irish Examinership
proceedings in the coming days.

On the effective date of emergence, all of Mallinckrodt's existing
ordinary shares will be cancelled pursuant to the Company's Plan of
Reorganization (the "Plan") and the Irish Scheme of Arrangement
(the "Scheme").  Mallinckrodt expects to issue at emergence
13,170,932 new ordinary shares to its guaranteed unsecured
noteholders in accordance with the provisions of the Plan and the
Scheme.

In accordance with the Plan, Mallinckrodt also expects to issue at
emergence to the opioid claimants 3,290,675 warrants, with a strike
price of $103.40, and to adopt at emergence a management incentive
plan providing for the issuance to management, key employees and
directors of the Company of equity awards with respect to up to an
aggregate of 1,829,068 shares.  Mallinckrodt's new shares are
anticipated to trade over-the-counter until such time as the
Company relists on a national securities exchange.

Advisors

Latham & Watkins LLP; Wachtell, Lipton, Rosen & Katz; Arthur Cox
LLP; Arnold & Porter; Ropes & Gray LLP; and Hogan Lovells served as
Mallinckrodt's counsel.  Guggenheim Securities, LLC served as
investment banker and AlixPartners LLP served as restructuring
advisor to Mallinckrodt.

                     About Mallinckrodt PLC

Mallinckrodt (OTCMKTS: MNKKQ) -- http://www.mallinckrodt.com/-- is
a global business consisting of multiple wholly-owned subsidiaries
that develop, manufacture, market and distribute specialty
pharmaceutical products and therapies.  The company's Specialty
Brands reportable segment's areas of focus include autoimmune and
rare diseases in specialty areas like neurology, rheumatology,
nephrology, pulmonology and ophthalmology; immunotherapy and
neonatal respiratory critical care therapies; analgesics; and
gastrointestinal products.  Its Specialty Generics reportable
segment includes specialty generic drugs and active pharmaceutical
ingredients.

On Oct. 12, 2020, Mallinckrodt plc and certain of its affiliates
sought Chapter 11 protection in Delaware (Bankr. D. Del. Lead Case
No. 20-12522) to seek approval of a restructuring that would reduce
total debt by $1.3 billion and resolve opioid-related claims
against them.

Mallinckrodt plc disclosed $9,584,626,122 in assets and
$8,647,811,427 in liabilities as of
Sept. 25, 2020.

Judge John T. Dorsey oversees the cases.

The Debtors tapped Latham & Watkins, LLP and Richards, Layton &
Finger, P.A. as their bankruptcy counsel; Arthur Cox and Wachtell,
Lipton, Rosen & Katz as corporate and finance counsel; Ropes &
Gray, LLP as litigation counsel; Torys, LLP as CCAA counsel;
Guggenheim Securities, LLC as investment banker; and AlixPartners,
LLP as restructuring advisor.  Prime Clerk, LLC is the claims
agent.

The official committee of unsecured creditors retained Cooley, LLP,
as its legal counsel; Robinson & Cole, LLP as co-counsel; and
Dundon Advisers, LLC as financial advisor.

On Oct. 27, 2020, the U.S. Trustee for Region 3 appointed an
official committee of opioid-related claimants.  The OCC tapped
Akin Gump Strauss Hauer & Feld, LLP as its lead counsel; Cole
Schotz as Delaware co-counsel; Province, Inc. as financial advisor;
and Jefferies, LLC as investment banker.




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

LEVITICUS SPV: DBRS Confirms BB Rating on Class A Notes
-------------------------------------------------------
DBRS Ratings GmbH confirmed its BB (sf) rating on the Class A Notes
issued by Leviticus SPV S.r.l. (the Issuer) and maintained a
Negative trend.

The transaction represents the issuance of Class A, Class B, and
Class J notes (collectively, the Notes). The rating on the Class A
notes addresses the timely payment of interest and ultimate payment
of principal. DBRS Morningstar does not rate the Class B or Class J
notes.

At issuance, the Notes were backed by a EUR 7.4 billion portfolio
by gross book value (GBV) consisting of unsecured and secured
nonperforming loans originated by Banco BPM S.p.A. (Banco BPM or
the Originator).

The receivables are serviced by Gardant Liberty Servicing S.p.A.
(Gardant or the Servicer), while Zenith Service S.p.A. was
appointed as backup servicer.

RATING RATIONALE

The confirmation follows a review of the transaction and is based
on the following analytical considerations:

-- Transaction performance: assessment of portfolio recoveries as
of December 31, 2021, focusing on: (1) a comparison between actual
collections and the Servicer's initial business plan forecast; (2)
the collection performance observed over recent months, including
the period following the outbreak of the Coronavirus Disease
(COVID-19); and (3) a comparison between the current performance
and DBRS Morningstar's expectations.

-- The Servicer's updated business plan as of December 2021,
received in March 2022, and the comparison with the initial
collection expectations.

-- Portfolio characteristics: loan pool composition as of December
2021 and the evolution of its core features since issuance.

-- Transaction liquidating structure: the order of priority
entails a fully sequential amortization of the notes – i.e., the
Class B notes will begin to amortize following the full repayment
of the Class A notes and the Class J notes will amortize following
the repayment of the Class B notes. Additionally, interest payments
on the Class B notes become subordinated to principal payments on
the Class A notes if the Cumulative Collection Ratio or Net Present
Value (NPV) Cumulative Profitability Ratio are lower than 70%.
These triggers were not breached on the January 2022 interest
payment date, with the actual figures being 72.5% and 106.3%,
respectively, according to the Servicer.

-- Liquidity support: the transaction benefits from an amortizing
cash reserve providing liquidity to the structure covering against
potential interest shortfall on the Class A notes and senior fees.
The cash reserve target amount is equal to 4.0% of the sum of Class
A and Class B notes principal outstanding and is currently fully
funded.

TRANSACTION AND PERFORMANCE

According to the latest investor report from January 2022, the
outstanding principal amounts of the Class A, Class B, and Class J
Notes were EUR 833.8 million, EUR 221.5 million, and EUR 248.8
million, respectively. As of the January 2022 payment date, the
balance of the Class A Notes had amortized by 42.1% since issuance
and the current aggregated transaction balance is EUR 1,304.2
million.

As of December 2021, the transaction was performing below the
Servicer's business plan expectations. The actual cumulative gross
collections equalled EUR 827.5 million whereas the Servicer's
initial business plan estimated cumulative gross collections of EUR
1,171.7 million for the same period. Therefore, as of December
2021, the transaction was underperforming by EUR 344.2 million
(29.4%) compared with the initial business plan expectations.

At issuance, DBRS Morningstar estimated cumulative gross
collections for the same period of EUR 614.1 million at the BBB
(sf) stressed scenario. Therefore, as of December 2021, the
transaction is performing above DBRS Morningstar's initial stressed
expectations.

Pursuant to the requirements set out in the receivable servicing
agreement, in March 2022, the Servicer delivered an updated
portfolio business plan.

The updated portfolio business plan, combined with the actual
cumulative gross collections as of December 2021, results in a
total of EUR 2,105.0 million, which is 14.0% lower than the total
gross disposition proceeds of EUR 2,446.4 million estimated in the
initial business plan. Excluding actual collections, the Servicer's
expected future collections from January 2022 account for EUR
1,277.8 million. The updated DBRS Morningstar BB (sf) rating stress
assumes a haircut of 10.9% to the Servicer's updated portfolio
business plan, considering future expected collections.

The final maturity date of the transaction is in July 2040.

DBRS Morningstar analyzed the transaction structure using Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures had caused an economic contraction, leading in some cases
to increases in unemployment rates and income reductions for many
borrowers. For this transaction, DBRS Morningstar incorporated its
expectation of a moderate medium-term decline in commercial real
estate prices for certain property types.

Notes: All figures are in euros unless otherwise noted.




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

AIR BALTIC: S&P Affirms 'B' LongTerm ICR, Outlook Negative
----------------------------------------------------------
S&P Global Ratings affirmed its 'B' long-term ratings on Latvian
airline Air Baltic and its senior unsecured notes and removed them
from CreditWatch with negative implications where it placed them on
Aug. 31, 2021. The rating continues to include two notches of
uplift from the stand-alone credit profile (SACP) based on S&P's
unchanged view that there is a moderately high likelihood that the
Latvian government would provide extraordinary financial support if
needed.

The negative outlook reflects S&P's view that the risk of liquidity
crisis for Air Baltic may increase if the expected cash burn is not
offset by external corrective measures to bolster liquidity sources
and/or sufficient and timely government support.

The EUR45 million equity injection received by Air Baltic in June
2022 has eased the risk of the near-term liquidity crisis. In May
2022, the European Commission (EC) approved the second tranche of
the EUR90 million of state aid from the Latvian government,
following the approval of the first tranche, which was received in
December last year. This came on top of the EUR250 million
recapitalization of Air Baltic in July 2020. As of March 31, 2022,
pro forma the equity injection, Air Baltic cash on hand stood at
about EUR87 million compared with about EUR79 million as of
year-end 2021. This covers the airline's financial debt
requirements in 2022, mainly consisting of the July coupon payment
(amounting to EUR13.5 million) under the EUR200 million senior
unsecured notes due 2024.

Liquidity pressure may escalate after the summer season. While
demand for flights is bouncing back, macroeconomic headwinds
suggest the recovery could lose momentum beyond the holiday season
or toward the end of 2022, particularly once pent-up demand has
been mostly satisfied. Furthermore, Air Baltic continues to burn
cash and its debt burden remains high (EUR935 million in lease and
financial obligations as of Dec. 31, 2021) with estimated annual
lease amortization and net capital expenditure (capex) needs of
EUR90 million-EUR95 million. Therefore, S&P views Air Baltic's
capital structure as unsustainable and assess its SACP as 'ccc+'
reflecting its vulnerability and dependence on favorable conditions
to meet its financial commitments. Also, the company faces a risk
of breaching the minimum liquidity covenant under its bond
documentation requiring it to maintain at least EUR25 million of
cash on balance sheet at any time.

S&P said, "We raised our forecast for European air passenger
traffic in 2022 but left the 2023 forecast unchanged.We believe
Europe's airline industry is heading toward a stronger summer than
we previously expected, with air capacity in third-quarter 2022
nearing pre-pandemic levels, but we see this winter as less
certain. We now expect European airline passenger traffic (as
measured by revenue passenger kilometers [RPK]) in 2022 will reach
60%-70% of the 2019 level rather than 50%-65% we projected in
February, as travel restrictions have been slowly lifted and
pent-up demand, particularly for short-haul leisure trips and
summer vacations, is boosting air passenger numbers across Europe.
But as demand for flights is coming back, the steeply rising cost
of living and higher interest rates are among key factors that will
likely depress consumer confidence and propensity to travel, and
hence slow the recovery pace. Furthermore, we anticipate a delayed
recovery of business and corporate traffic. Consequently, we
reiterate our position that European airline traffic will only
reach 70%-85% of 2019 levels in 2023, rising close to the 2019 base
by 2024.

"We expect Air Baltic's RPK in 2022 to fall within the range we
forecast for the industry.Compared with rated European peers, Air
Baltic has a larger exposure to the potential adversities coming
from the Russia-Ukraine military conflict (about 10% of passengers
are affected according to Air Baltic). So far, the uptick in summer
pre-bookings for outbound leisure destinations will likely
compensate for the losses from flight withdrawals to Russia and the
Ukraine and weakened inbound demand due the conflict-related
concerns. The aircraft, crew, maintenance and insurance (ACMI)
leasing contracts for 11 aircraft will add to Air Baltic's revenue
this year, which we expect to double from EUR196 million achieved
in 2021, but remain under the pre-pandemic base of EUR503
million."

The high fuel bill will weigh on profits in 2022. The Brent crude
oil price averaged $103 per barrel (/bbl) in the year to date, with
the most recent trading at $123/bbl. Since Air Baltic has not
hedged its fuel exposure for this year, S&P expects that the
airline's fuel cost will surge, only partly mitigated by its active
yield management. Based on our forecast, it expects S&P Global
Ratings-adjusted operating cash flow to be significantly less
negative than the negative EUR57 million reported in 2021.

S&P said, "We continue to see a moderately high likelihood that the
Latvian government would provide extraordinary support to Air
Baltic in case of need.This translates into a two-notch uplift from
the SACP. We base our view on our assessment of Air Baltic's strong
links with, and important role for, the Latvian government. The
government has a controlling stake in Air Baltic and appoints three
of the airline's four supervisory board members. At the same time,
the government views the airline as a strategic asset that is
critical to Latvia's economic development and tourism industry. It
is estimated that about 2.5% of GDP is typically linked to Air
Baltic's operations. Furthermore, Air Baltic provides air
connectivity to the country, which would otherwise be less
accessible by alternative modes of transport, and to a certain
extent, serves as a feeder to two other government-owned
assets--Riga Airport and Latvian Railways. In addition, unlike
low-cost carriers, Air Baltic attracts business traffic by offering
more convenient and sufficiently frequent flights, which provide
Latvia with stable economic ties with the rest of Europe.

"The negative outlook reflects our view that the risk of liquidity
crisis for Air Baltic may increase if the expected cash burn is not
offset by external corrective measures to bolster liquidity sources
and/or sufficient and timely government support.

"We could downgrade Air Baltic if we believed the airline would
likely default because of a near-term liquidity crisis or consider
a distressed debt exchange within 12 months.

"To consider a stable outlook, we would need to be confident that
the improvement in demand conditions is continuing and Air Baltic
is able to avert a cash burn, translating into improved liquidity,
with a ratio of sources to uses of at least 1.2x."

ESG credit indicators: E-3, S-5, G-2




===================
L U X E M B O U R G
===================

PARTICLE INVESTMENT: S&P Affirms 'B' ICR & Alters Outlook to Pos.
-----------------------------------------------------------------
S&P Global Ratings revised its outlook on Particle Investment
S.a.r.l. (WebPros) to positive from stable and affirmed its
long-term rating on the company at 'B'.

The positive outlook indicates that S&P could raise the ratings if
it expects adjusted leverage to remain below 5.5x, EBITDA interest
to be above 3.0x, and FOCF to debt nearly 10%, on a sustainable
basis.

S&P said, "We forecast continued price increases and organic growth
in 2022, supported by customer loyalty and favorable market
trends.After revenue growth of 21% in 2021, we estimate WebPros
will expand its topline by about 12%-14% in 2022, supported by
continued price increases as well as about 5% growth in number of
licenses sold. In 2020, WebPros implemented a new pricing model for
its cPanel, one of its key products, by increasing average revenue
per license (ARPL) by 64% for its cPanel software and moving from a
user-based model to a license-based one. Despite the price hike,
volumes for cPanel increased by 6.1% in 2020 and 2.3% in 2021,
which demonstrates that customers continue seeing WebPros' software
as mission critical. We anticipate that the annual price and volume
rise will continue, albeit at a slower pace, as the company adds
further features to its software and services."

Above-average profitability coupled with low capex needs support
material cash flow generation. WebPros' low cost of good sales
(COGS) and low sales and marketing expenses led to about 58% S&P
Global Ratings-adjusted EBITDA margin in 2021, compared with
average margins of 25%-30% for software peers. COGS mainly relates
to third-party extensions and commissions to online store partners,
as well as expenses for customer support services. As such, COGS
remains low, at only about 10% of sales. Moreover, WebPros
generates about 90% of its revenue through web hosting partners.
WebPros has over 2,800 web hosting partners, which buy and install
WebPros software on their servers and then sell it onward to end
users. As such, hosting partners act as resellers for WebPros,
substantially expanding the company's reach and enabling it to
maintain extremely low customer acquisition costs. Sales and
marketing costs represent only about 5% of revenue. Moreover,
WebPros benefits from a capital-light nature and minimal working
capital requirements, which give it solid free cash flow conversion
(FOCF to revenue) of nearly 30%. This is stronger than rated peers
such as Rackspace Hosting (9%) and Endurance International Group
(17%).

In the absence of large, debt-funded acquisitions, S&P expects
leverage will decline to below 5.0x in 2022. WebPros prepaid $37.4
million of first-lien debt in 2021, an additional $37 million of
second-lien debt, and $1.35 million of first-lien debt in
first-quarter 2022, leading to a decline in adjusted debt to $617
million in first-quarter 2022 from $693 million in 2020 and $655
million in 2021. Adjusted debt to EBITDA declined to about 5.0x
from 7.8x in 2020 and 5.7x in 2021. S&P said, "We anticipate that
the recent prepayments, coupled with our estimation of 13%-15%
EBITDA growth, will lead to leverage of 4.5x-4.7x in 2022. Our base
case does not assume any acquisition or shareholder distribution;
however, our financial risk assessment remains constrained by the
company's financial sponsor ownership and the lack of track record
of maintaining the credit metrics at a level that would support a
higher rating."

WebPros' business profile remains supported by its best in class
client retention rates thanks to strong brands and high service
quality provided by WebPros. WebPros maintains high retention
rates, despite significant price increases in 2020-2021. As the
leader in the niche market for third-party control panel software,
its product is used by shared and dedicated/VPS-based web hosters.
All of its competitors are materially smaller and lag behind
WebPros in pricing and quality of service. WebPros' main
competition is from in-house control panel software developed by
web hosters. However, in-house software requires web hosters to
invest significantly in research and development (R&D), which is
often uneconomical. In addition, the strong brand of WebPros' key
products--Plesk and cPanel--and the relatively low cost for the end
user (the website owners and web developers) creates significant
loyalty among the end users. These buy the control panel software
directly from WebPros or from a web hoster and use it to manage
their websites.

On the other hand, the limited scale of Webpros' niche market and
narrow product profile are sources of business risk. WebPros
operates in the web hosting automation software segment and is
focused on shared and dedicated/VPS hosting, with one of its key
software products being control panel software. Of the estimated 10
million web-facing servers, about 3.7 million use control panels
for web hosting. This represents about $0.9 billion in revenue,
which is a fairly niche market. Furthermore, WebPros generated $200
million revenue in 2021, over 90% of which was from control panel
software, Plesk and cPanel. Compared with global software peers,
WebPros is fairly small in scale and is solely dependent on trends
in the web hosting market. In addition, its top 10 web hosting
partners account for a significant proportion of revenue; S&P notes
that no partner accounts for more than 13% of total revenue.

That said, web hosters have minimal incentive to switch from
WebPros' software, given its solid positioning. Moreover, there is
limited concentration risk in terms of end users, of which there
are more than 33 million. WebPros could risk losing customers only
if a web hoster decides to switch to an in-house solution, which is
rarely economical from the web hoster's perspective.

The positive outlook reflects S&P's expectation that WebPros
revenue will increase 12%-14% in 2022, supported by price rises and
organic growth, while the EBITDA margin will be 58%-59%, leading to
a decline in leverage to below 5.0x and strong FOCF generation.

S&P said, "We could raise the rating over the next 12 months, if we
expect adjusted leverage to remain sustainably below 5.5x and
EBITDA interest cover above 3.0x, while FOCF to debt remains at
nearly 10%. This would need to be coupled with a prudent financial
policy that supports our base case metrics.

"We could revise the outlook back to stable if we expected leverage
to remain above 5.5x, EBITDA interest cover below 3.0x, or FOCF to
debt well below 10% on a sustainable basis. This could occur if the
company pursues debt-financed acquisitions or dividends or if
unfavorable market trends or increased competition leads to muted
demand for WebPros' products, and thus significantly
lower-than-expected EBITDA growth."




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

JUBILEE PLACE 4: S&P Assigns Prelim. CCC Rating on Cl. F Notes
--------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Jubilee
Place 4 B.V.'s class A loan and class B-Dfrd to class B-Dfrd to
X-Dfrd interest deferrable notes.

Jubilee Place 4 is a RMBS transaction that securitizes a portfolio
of buy-to-let (BTL) mortgage loans secured on properties located in
the Netherlands. This is the fourth Jubilee Place transaction,
following Jubilee Place 2020-1, 2021-1, and 3, which were also
rated by S&P Global Ratings.

The loans in the pool were originated by DNL 1 B.V. (DNL; 20.6%;
trading as Tulp), Dutch Mortgage Services B.V. (DMS; 63.7%; trading
as Nestr), and Community Hypotheken B.V. (Community; 15.7%; trading
as Casarion).

All three originators are new lenders in the Dutch BTL market, with
a very limited track record. However, the key characteristics and
performance to date of their mortgage books are similar with peers.
Moreover, Citibank N.A., London Branch, maintains significant
oversight in operations, and due diligence is conducted by an
external company, Fortrum, which completes an underwriting audit of
all the loans for each lender before a binding mortgage offer can
be issued.

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 its assets in favor of the
security trustee.

Citibank will retain an economic interest in the transaction in the
form of a vertical risk retention loan note accounting for 5% of
the pool balance at closing. The remaining 95% of the pool will be
funded through the proceeds of the mortgage-backed rated notes and
class A loan amount.

S&P considers the collateral to be prime, based on the originators'
prudent lending criteria, and the absence of loans in arrears in
the securitized pool.

Credit enhancement for the rated debt will consist of subordination
from the closing date and the liquidity reserve fund, with any
excess amount over the target being released to the principal
priority of payment.

The class A loan will benefit from liquidity support in the form of
a liquidity reserve, and the class A loan and B-Dfrd through F-Dfrd
notes will benefit from the ability of principal to be used to pay
interest, provided that, in the case of the class B-Dfrd to F-Dfrd
notes, they are the most senior class outstanding.

There are no rating constraints in the transaction under our
counterparty, operational risk, or structured finance sovereign
risk criteria. S&P considers the issuer to be bankruptcy remote and
the legal framework to be compliant with our legal criteria.

  Preliminary Ratings

  CLASS     RATING     CLASS SIZE (%)*

  A loan    AAA (sf)     85.50

  B-Dfrd    AA- (sf)      6.00

  C-Dfrd    A (sf)        2.75

  D-Dfrd    BBB- (sf)     2.00

  E-Dfrd    B- (sf)       2.50

  F-Dfrd    CCC (sf)      1.25

  X-Dfrd    NR            1.25

  S1        NR             N/A

  S2        NR             N/A

  R         NR             N/A

*As a percentage of 95% of the pool for the class A to X-Dfrd debt.

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




===========
N O R W A Y
===========

HURTIGRUTEN GROUP: S&P Affirms 'CCC+' ICR & Alters Outlook to Neg.
------------------------------------------------------------------
S&P Global Ratings affirmed its 'CCC+' issuer credit rating on
cruise ship operator Hurtigruten Group AS (Hurtigruten). S&P also
affirmed its 'CCC+' issue ratings on the group's existing EUR85
million revolving credit facility (RCF) and EUR655 million term
loan B facilities, and its 'B-' issue rating on the EUR300 million
senior secured notes issued by Explorer II AS.

The negative outlook reflects the risk of a downgrade if the
company is unable to address its fragile liquidity position, debt
maturity schedule, and highly leveraged capital structure, as well
as recover its operating performance and restore cash generation.

Liquidity risk has significantly increased due to higher
refinancing risk.

S&P said, "We assess Hurtigruten's liquidity as weak, given the low
levels of cash on its balance sheet (approximately EUR35 million of
unrestricted cash as of March 2022), its limited cash generation,
and the fact that the company has no availability under its EUR85
million RCF. In addition to that, the TLC (EUR130 million) and TLD
(EUR46.5 million) are maturing in less than 12 months (June 2023),
and the company needs to refinance it over the next few months in
the current challenging macroeconomic and credit market
conditions.

"Despite the positive booking momentum, we expect Hurtigruten's
profitability to remain subdued in 2022. We expect topline revenue
to grow during 2022 compared with 2020 and 2021 thanks to improving
bookings (now above pre-pandemic levels because of higher yields
per night). However, we expect profitability to remain below
pre-pandemic levels during 2022 due to increasing costs in the
current inflationary environment. Fuel costs, together with wages,
are one of the key components of the company's cost base and while
the group partially hedges its exposure to fuel prices, we expect
fuel costs (as a percentage of total costs) to increase
significantly during fiscal year 2022 compared with 2021, hindering
overall profitability and cash flow generation. We expect the
company to partially offset these increases by passing them through
in the form of prices increases and volumes to remain resilient
thanks to the customer demographics.

"We expect Hurtigruten's S&P Global Ratings-adjusted leverage to
remain elevated in the medium term. We deem the current capital
structure unsustainable and anticipate adjusted leverage will
remain significantly above 10.0x in 2022 and beyond." Its current
capital structure includes a EUR85 million senior secured revolving
credit facility fully drawn maturing in 2024, EUR655 million term
loan B (TLB) maturing in 2025, EUR130 million TLC maturing in June
2023, and EUR46.5 million TLD maturing in June 2023. In addition to
this, the group has a EUR300 million secured bond (against MS Roald
Amundsen and MS Fridtjof Nansen vessels), a newly issued EUR50
million green bond, and additional leases and some smaller loans.

The negative outlook reflects the risk of a further downgrade if
Hurtigruten is not able to address its fragile liquidity position
and its debt maturity schedule, both of which are ultimately a
function of the capacity of the company to achieve a significant
recovery of its operational performance during the high season
upcoming in the next few months. The negative outlook also reflects
the fact that the group continues to have an unsustainable capital
structure, in S&P's view, with forecast adjusted leverage metrics
above 10x (excluding debt-like shareholder instruments) after 2022
and weak cash generation as a result of squeezed margins, high
interest payments and commitment to high capital expenditure
(capex).

S&P said, "We understand Hurtigruten continues to assess the
options in the market to raise additional liquidity in the form of
debt and/or equity.

"We could downgrade Hurtigruten if the company were not able to
show a sufficient recovery of its operating performance during the
next few months, which could lead to a deterioration of its current
liquidity position or could make it more difficult to successfully
refinance its upcoming debt maturities.

"We could also lower the rating if the company undertook a debt
exchange offer that we would deem distressed under our methodology
or undertook a balance-sheet restructuring.

"We could raise our rating on Hurtigruten if the group were to
address its liquidity position, successfully refinance the debt
instruments maturing in 2023 in the next few months, and address
its unsustainable capital structure. An upgrade would also require
the company to outperform our base-case forecast, with earnings
recovery causing S&P Global Ratings-adjusted debt to EBITDA to fall
significantly below 8.0x, and the company to report meaningfully
positive free operating cash flow after leases on a sustainable
basis."

ESG credit indicators: E-3, S-5, G-3




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

CAIXABANK RMBS 3: Moody's Affirms Caa3 Rating on EUR255MM B Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of Notes in AyT
ICO-FTVPO Caja Vital Kutxa and CAIXABANK RMBS 3, FONDO DE
TITULIZACION. The upgrades reflect consistently stable pool
performance and increased level of credit enhancement for the
affected Notes.

Issuer: AyT ICO-FTVPO Caja Vital Kutxa

EUR140.4M Class A Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR7.7M Class B Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR6.9M Class C Notes, Upgraded to Aa1 (sf); previously on Jun 29,
2018 Upgraded to Aa2 (sf)

Issuer: CAIXABANK RMBS 3, FONDO DE TITULIZACION

EUR2295M Class A Notes, Upgraded to A1 (sf); previously on Dec 14,
2017 Definitive Rating Assigned A3 (sf)

EUR255M Class B Notes, Affirmed Caa3 (sf); previously on Dec 14,
2017 Definitive Rating Assigned Caa3 (sf)

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

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

RATINGS RATIONALE

The upgrades of the ratings of the Notes are prompted by
consistently stable collateral performance enabling pro rata
principal redemption in AyT ICO-FTVPO Caja Vital Kutxa and the
increase in credit enhancement for the affected tranche in
CAIXABANK RMBS 3, FONDO DE TITULIZACION. For instance, the
outstanding balance of Class C in AyT ICO-FTVPO Caja Vital Kutxa
has decreased to EUR4.3 million from EUR6.5 million since the
previous rating action in June 2018. The credit enhancement of
Class A in CAIXABANK RMBS 3, FONDO DE TITULIZACION has increased to
19.17% from 14.50% at closing.

Key Collateral Assumptions

As part of the rating actions, Moody's reassessed its lifetime loss
expectations and recovery rates for the portfolios reflecting their
collateral performance to date.

The performance of the transactions continued to be stable since
the last rating actions. Cumulative defaults remain largely
unchanged in the past year and are as follows across the
transactions: AyT ICO-FTVPO Caja Vital Kutxa, currently at 0.97%
and CAIXABANK RMBS 3, FONDO DE TITULIZACION currently at 1.03% as a
percentage of the original pool balance. In addition, the
anticipated increase in defaults by borrowers who benefited from
the payment holiday schemes has not materialized.

Moody's maintained its expected loss assumptions for AyT ICO-FTVPO
Caja Vital Kutxa, at 0.70%, and for CAIXABANK RMBS 3, FONDO DE
TITULIZACION, at 4.82% as a percentage of the original pool
balance.

Moody's also assessed loan-by-loan information as part of its
detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future
losses. As a result, Moody's has maintained the MILAN CE
assumptions at 7.0% for AyT ICO-FTVPO Caja Vital Kutxa and at 21.0%
for CAIXABANK RMBS 3, FONDO DE TITULIZACION.

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

The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less
relevant or typically remain unchanged during the surveillance
stage.

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

Factors or circumstances that could lead to an upgrade of the
ratings include: (1) performance of the underlying collateral that
is better than Moody's expected; (2) an increase in the Notes'
available credit enhancement; (3) improvements in the credit
quality of the transaction counterparties; and (4) a decrease in
sovereign risk.

Factors or circumstances that could lead to a downgrade of the
ratings include: (1) an increase in sovereign risk; (2) performance
of the underlying collateral that is worse than Moody's expected;
(3) deterioration in the Notes' available credit enhancement; and
(4) deterioration in the credit quality of the transaction
counterparties.


HAYA HOLDCO 2: S&P Assigns 'CCC+' ICR, Outlook Stable
-----------------------------------------------------
S&P Global Ratings relates that Spain-based Haya Real Estate S.A.U.
has restructured its debt, extending its maturity by three years.
Haya Holdco 2 (Haya) will become the new debt-issuing entity and
the existing debt at Haya Real Estate will be redeemed.
The maturity extension will support an improved liquidity position
for the company.

S&P assigned its 'CCC+' issuer credit rating to Haya Real Estate
S.A.U. and its 'CCC+' issue rating with a recovery rating of '4' to
the newly issued notes. S&P also raised the issuer credit rating on
Haya Real Estate to 'CCC+' and removed it from CreditWatch, where
S&P placed it with positive implications on March 28, 2022. S&P
withdrew the 'CCC-' issue rating on Haya Real Estate's senior
secured notes.

S&P said, "The stable outlook reflects our view that Haya will
sustain adequate liquidity over the next 12 months and continue to
generate stable cash flow to support potential future prepayments
on the EUR368.4 million of restructured notes.

"Haya successfully completed the restructuring in line with the
lockup agreement. The restructuring will see an approximate 13%
prepayment of debt at par, reducing total debt to EUR368.4 million
from EUR423 million. Our 'CCC+' rating on the new floating rate
notes and the '4' recovery (estimated recovery: 40%) reflect the
removal of priority debt, with the super senior revolving credit
facility (RCF) not extended, as well as prepayment of debt. Lower
cashflow generation, given the contract maturities in June 2022,
constrain the issue rating. We withdrew the rating on the existing
EUR423 million fixed and floating notes issued by Haya Real Estate
following the closing of the restructuring, given that these were
redeemed and reissued under new notes by Haya Holdco 2.

"We view the company's capital structure as unsustainable given the
relatively high leverage in 2022 and 2023. We expect higher
restructuring costs, primarily stemming from the Sareb contract
loss, will constrain EBITDA in 2022, resulting in debt to EBITDA of
about 10x this year. We expect debt to EBITDA will remain elevated
at about 9x-10x in 2023 and it could increase above 10x by 2025,
the year of maturity, without new contract wins, supporting our
view that the capital structure remains unsustainable without a
favorable uplift in business conditions.

"The three-year maturity extension provides greater liquidity
protection in the coming two years. We previously viewed Haya's
liquidity as weak given that the notes were due to mature within 12
months, by November 2022. We think the extension supports an
improved liquidity assessment of adequate, despite the maximum
EUR25 million cash to be maintained on the balance sheet following
the transaction. We anticipate the company will continue to
generate cash with limited capital expenditure (capex) and working
capital needs in the short term.

"The stable outlook reflects our view that Haya will sustain
adequate liquidity over the next 12 months and continue to generate
stable cash flow to support potential future prepayments on the
EUR368.4 million of restructured notes.

"We could lower the rating if the company faced greater operational
disruption than anticipated, which could increase the risk of a
potential default in the coming year. This would likely occur with
higher-than-anticipated restructuring costs or further contract
losses, which we expect would result in negative free operating
cash flow (FOCF) generation and constrain liquidity as a result.

"We could also lower the rating if the company undertook any
further restructuring initiatives that we viewed as tantamount to
default.

"Although unlikely in the short term, we could raise the rating on
Haya if the company secured additional EBITDA via new contract
wins, which would support the sustainability of the capital
structure and support greater prepayments of debt as a result. We
would also require the company to sustain adequate liquidity in
doing so."

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

S&P said, "We no longer think pandemic-related social factors
affect Haya following the reopening of most judicial activities and
expiration of moratoriums. Governance factors remain a negative
consideration, reflecting the limited execution of new contracts to
effectively manage the risk of the maturity of the existing debt
and, without new wins, of the restructured debt. It also
incorporates our assessment of the company's financial risk profile
as highly leveraged, reflecting corporate decision-making that
prioritizes the interests of the controlling owners, in line with
our view of the majority of rated entities owned by private-equity
sponsors. Our assessment also reflects their generally finite
holding periods and focus on maximizing shareholder returns."


PEPPER IBERIA: DBRS Gives Prov. BB(high) Rating on Class E Notes
----------------------------------------------------------------
DBRS Ratings GmbH assigned the following provisional ratings to the
notes to be issued by Pepper Iberia Unsecured 2022 DAC (the Issuer)
as follows:

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at A (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BB (high) (sf)

DBRS Morningstar did not assign a provisional rating to the Class J
Notes also expected to be issued in this transaction.

The provisional ratings are based on information provided to DBRS
Morningstar by the Issuer and its agents as of the date of this
press release. These ratings will be finalized upon review of the
final version of the transaction documents and of the relevant
opinions. If the information therein were substantially different
DBRS Morningstar may assign different final ratings to the notes.

The ratings on the Class A Notes and Class B Notes address the
timely payment of scheduled interest and the ultimate repayment of
principal by the legal final maturity date. The ratings on the
Class C Notes, Class D Notes, and Class E Notes address the
ultimate repayment of interest (timely when most senior) and the
ultimate repayment of principal by the legal final maturity date.

The transaction is a securitization of fixed-rate, unsecured,
amortizing consumer loans granted to individuals domiciled in Spain
by Pepper Finance Corporation S.L.U. (the originator).

The ratings are based on the following analytical considerations:

-- The transaction's capital structure, including form and
sufficiency of available credit enhancement;

-- Credit enhancement levels sufficient to support DBRS
Morningstar's projected cumulative net loss assumptions under
various stressed scenarios;

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms of the
notes;

-- DBRS Morningstar's operational risk review of the originator's
capabilities with regard to originations, underwriting and
servicing;

-- The transaction parties' financial strength regarding their
respective roles;

-- The credit quality, diversification of the collateral, and
historical and projected performance of the originator's
portfolio;

-- DBRS Morningstar's sovereign rating on the Kingdom of Spain,
currently at "A" with a Stable trend; and

-- The expected consistency of the transaction's legal structure
with DBRS Morningstar's "Legal Criteria for European Structured
Finance Transactions" methodology.

TRANSACTION STRUCTURE

The transaction has a scheduled 24-month revolving period. During
the revolving period, the originator may offer additional
receivables that the Issuer will purchase, provided that the
eligibility criteria and concentration limits set out in the
transaction documents are satisfied. The revolving period may end
earlier than scheduled if certain events occur, such as the breach
of performance triggers, insolvency of the originator, or
replacement of the servicer.

The transaction allocates collections in separate interest and
principal priorities of payments and benefits from an amortizing
reserve starting at EUR at closing. The cash reserve would be
replenished in the transaction interest waterfalls and amortize to
the target amount of 1.75% of the Class A, Class B, Class C, and
Class D Notes during the redemption period without a floor. The
reserve was initially funded with the proceeds of the Class J Notes
and can be used to cover senior expenses and interest payments of
the most senior class among the Class A, Class B, Class C, and
Class D Notes. The remaining cash reserve at the full repayment of
the Class D Notes would become part of principal available funds.

The transaction also benefits from a principal deficiency ledger
mechanism to capture excess spread to cure principal deficiencies.
Principal funds can also be reallocated to cover senior expenses
and interest payments on the most senior class of the rated notes
(including the Class E Notes) if the interest collections and
reserve are not sufficient.

At the end of the revolving period, the notes will be repaid on a
fully sequential basis.

The interest rate risk is expected to be largely mitigated by an
interest rate cap arrangement provided by J.P. Morgan SE.

COUNTERPARTIES

Citibank Europe plc is the account bank for the transactions. DBRS
Morningstar has a Long-Term Issuer Rating of AA (low) on Citibank
Europe. The transaction documents contain downgrade provisions
relating to the account bank consistent with DBRS Morningstar's
criteria.

J.P. Morgan SE is the cap counterparty for the transaction. DBRS
Morningstar has a private rating on J.P. Morgan SE, which meets its
criteria to act in such capacity. DBRS Morningstar notes that the
downgrade provisions in the transaction documents are not fully
consistent with DBRS Morningstar's criteria and will monitor the
transaction based on its rating on J.P. Morgan SE or its
replacement.

Notes: All figures are in euros unless otherwise noted.




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

BRANTS BRIDGE 2022-1: Moody's Gives B3 Rating to Class X1 Notes
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to Notes
issued by Brants Bridge 2022-1 PLC:

GBP295.6M Class A Mortgage Backed Floating Rate Notes due December
2064, Definitive Rating Assigned Aaa (sf)

GBP20.0M Class B Mortgage Backed Floating Rate Notes due December
2064, Definitive Rating Assigned Aa1 (sf)

GBP10.0M Class C Mortgage Backed Floating Rate Notes due December
2064, Definitive Rating Assigned A2 (sf)

GBP5.8M Class D Mortgage Backed Floating Rate Notes due December
2064, Definitive Rating Assigned Baa2 (sf)

GBP6.7M Class X1 Mortgage Backed Floating Rate Notes due December
2064, Definitive Rating Assigned B3 (sf)

Moody's has not assigned a rating to the GBP4.2M Class X2 Mortgage
Backed Floating Notes due December 2064, the GBP2.5M Class Z1
Mortgage Backed Notes due December 2064 and the GBP3.3M Class Z2
Mortgage Backed Notes due December 2064.

The Definitive Ratings on the Class D and Class X1 notes are a
notch higher than the Provisional Ratings previously assigned on
these Notes, reflecting the positive impact of the higher excess
spread following the pricing of the transaction.

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. Additionally, the interest rate risk mismatch
between the fixed rate loans in the portfolio and the floating rate
notes is hedged through two interest rate swap agreements provided
by Natixis (Aa3(cr)/P-1(cr)). The exposure to the swap counterparty
constrains the rating of the Class C Notes at A2.

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.

The analysis undertaken by Moody's at the initial assignment of
ratings for an RMBS security may focus on aspects that become less
relevant or typically remain unchanged during the surveillance
stage.

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

Factors 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 B- Rating on Class X1 Notes
-------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Brants Bridge 2022-1
PLC's class A to X1-Dfrd notes. At the same time, Brants Bridge
2022-1 issued 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 consists 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 used the issuance proceeds to purchase the
full beneficial interest in the mortgage loans from the seller. The
issuer granted 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. It considers the issuer to be bankruptcy remote
under its legal criteria.

  Ratings

  CLASS    RATING*    CLASS SIZE (MIL. GBP)

  A        AAA (sf)   295.567

  B        AA (sf)     20.038

  C-Dfrd   A (sf)      10.019

  D-Dfrd   BBB (sf)     5.845

  X1-Dfrd  B- (sf)      6.679

  X2       NR           4.175

  Z1       NR           2.505

  Z2       NR           3.340

  RC1 Residual Certificates

           NR             N/A

  RC2 Residual Certificates
         
           NR             N/A

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


DERBY COUNTY FOOTBALL: Chris Kirchner Withdraws Bid to Buy Club
---------------------------------------------------------------
Sky Sports reports that administrators of Derby County Football
Club have confirmed American businessman Chris Kirchner has pulled
out of his deal to buy the club.

According to Sky Sports, concerns over the club's future have
mounted since Kirchner, who exchanged contracts committing to buy
the club on May 16, failed to transfer the necessary cash before
the June 10 deadline.

The EFL had written to administrators, Quantuma, expressing real
concern that Derby will not be able to field a team next season,
"risking the integrity of the competition", Sky Sports relates.

Sky Sports understands that Mr. Kirchner's withdrawal has come as a
shock to the EFL and Quantuma -- both of whom had been given
reassurances that Mr. Kirchner was determined to complete the
sale.

He had again shown proof of funds to both parties, Sky Sports
notes.

An update from the joint administrators of Derby County was issued
on June 13, confirming the businessman's withdrawal, Sky Sports
recounts.

A spokesperson, as cited by Sky Sports, said: "We are aware that
some will be concerned by this news, however, the joint
administrators wish to reassure the club's staff, players and
supporters that they are continuing to actively engage with a
growing number of interested parties, each of whom have a real
willingness to complete a deal as soon as possible.

"The joint administrators would remind all stakeholders of the
process in place for those parties who wish to acquire The Club.
The joint administrators are running a competitive bidding process.
Bids should be best and final and not contain any referential
element.  Clearly, any bid is subject to interested parties
entering into an NDA, accessing the data room, and undertaking
their own due diligence.  Of the parties we are engaging with, some
are more progressed in this process than others."

An EFL spokesperson also said they remain committed to "working
proactively alongside the Administrators of the Club . . . as they
continue to engage with a number of interested parties so that the
objective of concluding a sale is achieved at the earliest possible
opportunity."

Mike Ashley is among a number of businesspeople who could step in
to prevent Derby County from being liquidated, Sky Sports
discloses.

League organisers have taken what is thought to be an unprecedented
step, informing the joint administrators that they must be directly
involved in negotiations with potential bidders for Derby, Sky
Sports notes.

It is understood Quantuma have seen proof of funds from at least
five groups who still want to buy the club, including former
Newcastle owner Ashley and former Derby chairman Andy Appleby, Sky
Sports states.

Sky Sports News has been told that while the priority is to
complete a club takeover long before next season's fixtures are
released, there is the potential for "back-up" funding to be made
available for Derby to assemble a squad and fulfil their fixtures
should that process be delayed.

                About Derby County Football Club

Founded in 1884, Derby County Football Club is a professional
association football club based in Derby, Derbyshire, England.  The
club competes in the English Football League Championship (EFL, the
'Championship'), the second tier of English football.  The team
gets its nickname, The Rams, to show tribute to its links with the
First Regiment of Derby Militia, which took a ram as its mascot.
Mel Morris is the owner while Wayne Rooney is the manager of the
club.

On Sept. 22, 2021, the club went into administration.  The EFL
sanctioned a 12-point deduction on the club, putting the team at
the bottom of the Championship.  Andrew Hosking, Carl Jackson and
Andrew Andronikou, managing directors at business advisory firm
Quantuma, had been appointed joint administrators to the club.


DTEK RENEWABLES: S&P Lowers ICR to 'CCC-', On Watch Negative
------------------------------------------------------------
S&P Global Ratings lowered its ratings on Ukrainian renewables
developer DTEK Renewables and its senior unsecured debt to 'CCC-'
from 'CCC'; the ratings remain on CreditWatch with negative
implications, where they were placed March 7, 2022.

The CreditWatch placement indicates that S&P could lower the
ratings if the company is unlikely to make payments on its debt,
resulting in a potential default within the next 12 months.

DTEK's Renewables' solar assets continue to generate electricity,
but cash collection remains very low. The wind and solar assets
(around 950 megawatts [MW]) are in southern Ukraine. The company's
wind farms are no longer operational as the grid to which they were
connected to has been damaged and repair is not possible due to the
conflict, except for three wind turbines from DTEK Tiligulskaya,
which became operational at the beginning of May. However, S&P
understands that despite the assets' location, they were not
damaged. Nevertheless, DTEK Renewables' production decreased
substantially, by 70%% since the Russian invasion of Ukraine .
Furthermore, as of the beginning of April, due to a severe
liquidity issue in Ukraine, the state issued a decree stating that
all renewable producers would receive limited cash for generation
activities during the war. It amounts to 15% of secured tariffs for
solar power producers (SPPs) and 16% for wind power producers. As a
result, the payments from the guaranteed buyer--the state owned
monopoly off-taker of its electricity--under the feed-in-tariff
reached around 17%. The original feed-in tariff for SPP was EUR127
per megawatt-hour. The company has curtailed its development
capital expenditure (capex) massively and as suspended development
of large wind farm--Tiligul (500 MW)--until further notice. S&P
said, "We understand that around 85% of capex has been already paid
(about EUR352 million) to the project's main contractor but we will
monitor the company's ability to renegotiate the terms of the
remaining amount. We estimate that DTEK Renewables' cash flow is
sufficient to cover the company's operating expenditure only, which
we estimate at about EUR2 million a month."

S&P said, "DTEK Renewables continues to service its debt, but if
cash collection does not improve, we cannot rule out a default
because it will experience a material liquidity shortfall. On May
9, 2022, the company received consent from bondholders to use the
debt service reserve (DSR) account to pay the interest (around
EUR14 million) in its only senior unsecured bond issued back in
2019 (EUR325 million 8.5% notes due 2024). The company also used
the DSR to pay the interest and principal repayments on its
remaining bank debt. We estimate it has limited cash available and
very limited cash in its DSR account, the funds from which paid
debt obligations. Without additional cash flow from the guaranteed
buyer, we believe DTEK Renewables is likely to have to restructure
its payment schedule or default within 12 months due to a material
liquidity deterioration. This depends on how the conflict evolves.
We believe further support might not be forthcoming because the
government could lose its financial capacity to provide support to
local companies or could be required to allocate financial
resources toward other urgent needs. If cash collection were to be
completely disrupted, the company might not be able to sustain the
impact of unexpected events, including reparation of damaged assets
during the conflict."

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.

The CreditWatch placement reflects the risks to DTEK Renewables'
liquidity and operations stemming from the conflict.

S&P said, "We could lower the ratings further if we deem the
company is unlikely to make payments in accordance with its
maturity schedule if the cash collections does not improve. We will
also closely monitor the risk of severe damage to DTEK Renewables'
assets resulting from the conflict."

S&P expects to resolve the CreditWatch placement within 90 days.

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


ELIZABETH FINANCE 2018: DBRS Cuts Class E Notes Rating to C
-----------------------------------------------------------
DBRS Ratings Limited downgraded its ratings of the Class A, Class
B, Class C, Class D, and Class E Notes of Elizabeth Finance 2018
DAC (the Issuer) as follows:

-- Class A Notes to A (high) (sf) from AA (high) (sf)
-- Class B Notes to BBB (low) (sf) from A (low) (sf)
-- Class C Notes to BB (low) (sf) from BBB (low) (sf)
-- Class D Notes to CCC (sf) from B (sf)
-- Class E Notes to C (sf) from B (low) (sf)

The trends on all classes of notes remain Negative.

The downgrades follows the portfolio's deteriorating cash flow. The
continued slow recovery in the aftermath of the Coronavirus Disease
(COVID-19) outbreak and the continuing uncertainty surrounding the
UK retail property market is reflected in the Negative trend on the
notes.

Elizabeth Finance 2018 DAC is a securitization of two senior
commercial real estate loans that were advanced by Goldman Sachs
International Bank in August 2018. The MCR loan of GBP 21.2 million
was granted to refinance an office asset, Universal Square, located
in Manchester and the Maroon loan of GBP 63.9 million (GBP 69.6
million at inception) was granted to refinance a portfolio of three
secondary retail properties in the United Kingdom (Kings Lynn and
Loughborough in England and Dunfermline in Scotland). The MCR loan
was repaid in full on the Q3 2020 interest payment date.

The Maroon loan is secured by the three secondary shopping centers.
The loan was accelerated by the initial special servicer CBRE Loan
Services Limited (CBRELS) following a loan-to-value (LTV) covenant
breach. CBRELS subsequently agreed to a standstill until the
initial loan maturity in January 2021. It was also agreed that
three months before such maturity, the Maroon borrower would
provide an exit strategy showing how it expected to repay the loan
in full on the initial maturity date; however, the exit strategy
provided by the Maroon borrower was considered unsatisfactory by
the special servicer. As a result, in October 2020, CBRELS decided
to accelerate the loan and subsequently fixed charge receivers were
appointed by the common security agent with the aim of disposing of
the assets.

Following the appointment of the fixed charge receivers, the
controlling Class D noteholders exercised their right to replace
CBRELS with Mount Street Mortgage Servicing (Mount Street) as the
special servicer. Subsequently, Mount Street temporarily suspended
the sale of the portfolio and sought to implement asset management
initiatives to improve and stabilize the portfolio's net operating
income and to wait for a likely pickup of the retail investment
market following the easing of lockdown restrictions during the
course of the pandemic. Waypoint Asset Management, which is set to
take over as the asset manager in June 2022, is currently drawing
up business plans to re-base the in-place leases and collect the
arrears, which now stand at GBP 4.6 million across the portfolio.

The litigation hanging over the Kingsgate Shopping Centre asset, in
Dunfermline, between APCOA parking and the borrower HRGT Crosslands
Holdco (UK) Ltd for the entire portfolio (Crosslands) was settled
around April 1, 2022 with the lease remaining in place until
September 2034. It was agreed that APCOA will pay 50% of the
outstanding rent/license fee and service charge arrears within
seven days of the date of the settlement agreement. Going forward,
the rental amount due to October 31, 2024 will be GBP 507,472 per
annum, then GBP 512,547 per annum for the period from November 1,
2024 to October 31, 2029; increasing to GBP 520,235 per annum for
the period commencing on November 1, 2029 until October 31, 2035;
and GBP 528,039 per annum commencing on November 1, 2035 until the
date of the termination of the lease (September 20, 2034). APCOA
will contribute GBP 150,000 (plus any value-added tax payable to
this sum towards Crossland's cost of defending the proceedings.
Furthermore, the lease will be guaranteed by APCOA Parking Holdings
GmbH, an indirect parent of APCOA. Following the settlement, the
Maroon borrower will likely incur a cost of approximately GBP
250,000 (or in the worst case scenario GBP 1 million) to remediate
parts of the car park; however, even with this cost, Mount Street
deemed the net outcome to be positive.

The portfolio vacancy saw a steep rise to 36%, as reported in Mount
Street's April 2022 asset status report from 7% in January 2022.
This was largely due to the closure of the 80,000-square foot
Debenhams store at the Kingsgate asset. Consequently, DBRS
Morningstar revised its vacancy assumption of 20% in April 2021 to
28% as of April 2022, which subsequently lowered the portfolio net
cash flow (NCF) to GBP 4.8 million from GBP 5.6 million in April
2021. While DBRS Morningstar maintains a cap rate of 9.5%, it has
lowered its portfolio valuation to GBP 50.4 million from GBP 59.4
million. The lower valuation represents a 27% haircut to CBRE's
March 2020 valuation of GBP 68.9 million and largely reflects the
deterioration in cash flow, the build-up of arrears, and the
increased vacancy across the portfolio. Ultimately, DBRS
Morningstar expects the Class D and Class E Notes to incur losses.

The Maroon loan had an initial maturity date of January 2021 and
two one-year extension options were initially provided in the
facility agreement, provided the loan was still compliant with its
default covenants. Because of the outstanding event of default, the
borrower was unable to exercise the extension option. The final
note maturity is scheduled in July 2028. The loan continues to
amortize by 0.25% of the original loan balance each quarter and has
amortized by 8.6 % since the closing date; however, the LTV of
93.03% remains above the cash trap and default covenant level. The
loan has now switched basis to Sonia and the reported debt service
coverage ratio of 1.38 times (x) in January 2022 remains below the
cash trap but still above the covenant level and allows the
borrower to service its ongoing debt obligations.

The transaction still benefits from a liquidity facility of GBP 3.4
million as of April 2022, provided by ING Bank N.V. (the Liquidity
Facility Provider). The liquidity facility can be used to cover
interest shortfalls on the Class A, Class B, Class C, and Class D
Notes. Furthermore, at closing the Issuer funded an interest
reserve using the proceeds from the notes' issuance, which
currently stands at GBP 58,000. The reserve stands to the credit of
the issuer transaction account and forms part of the interest
available funds on each interest payment date to cover interest
shortfalls on all of the notes (other than the Class X Notes).

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


GENESIS MORTGAGE 2022-1: DBRS Gives Prov. B(High) Rating on X Notes
-------------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to the following
classes of notes to be issued by Genesis Mortgage Funding 2022-1
plc (Genesis 22-1 or the Issuer):

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

The provisional rating on the Class A notes addresses the timely
payment of interest and the ultimate repayment of principal on or
before the final maturity date in September 2059. The provisional
ratings on the Class B, Class C, Class D, and Class E notes address
the timely payment of interest once most senior and the ultimate
repayment of principal on or before the final maturity date. The
provisional rating on the Class X notes addresses the ultimate
payment of interest and principal on or before the final maturity
date.

DBRS Morningstar does not rate the Class F or the residual
certificates.

Genesis 22-1 will be the second securitization of residential
mortgages originated by Bluestone Mortgage Limited (BML). The asset
portfolio comprises first-lien owner-occupied and buy-to-let (BTL)
mortgages, originated by BML and secured by properties in the
United Kingdom. BML is the mortgage portfolio servicer. In order to
maintain servicing continuity, CSC Capital Markets UK Limited will
be appointed as the backup servicer facilitator. BML is a
specialist UK lender that offers a full suite of mortgage products
including owner-occupied, BTL, and adverse credit history loans.
BML only started originating loans in 2016 and hence has limited
performance history.

The structure is expected to include a pre-funding mechanism where
BML has the option to sell recently originated mortgage loans to
the Issuer, subject to certain conditions to prevent a material
deterioration in credit quality. The acquisition of these assets
shall occur before the first interest payment date (IPD), using the
proceeds standing to the credit of the pre-funding principal
reserve. Any funds that are not applied to purchase additional
loans will flow through the pre-enforcement principal priority of
payments and pay down the notes on a pro rata basis.

The Issuer is expected to issue six tranches of collateralized
mortgage-backed securities (the Class A, Class B, Class C, Class D,
Class E, and Class F notes; the Principal Backed Notes) to finance
the purchase of the initial portfolio and fund the pre-funding
reserves. Additionally, Genesis 22-1 is expected to issue one class
of noncollateralized notes, the Class X notes. Part of the proceeds
of the Class X notes will be used to fully fund the General Reserve
Fund (GRF) and the pre-funding revenue reserve ledger at closing.
The aim of the pre-funding revenue reserve is to mitigate the risk
of negative carry arising during the prefunding period and the risk
arising from potential changes in the swap payments as a
consequence of any adjustment to the swap fixed notional amount and
new swap rate agreed with the swap counterparty for the additional
loans. In addition, the GRF is sized at its target level directly
as of the closing date. Any funds remaining in the pre-funding
principal reserve and pre-funding revenue reserve on the first IPD
will flow through the pre-enforcement principal priority of
payments and the pre-enforcement revenue priority of payments
respectively on the first IPD.

The transaction is structured to initially provide 16.5% of credit
enhancement to the Class A notes. This includes subordination of
the Class B to Class F notes and the GRF from closing.

The GRF will be available to cover shortfalls in senior fees,
senior swap payments, interest, and any PDL debits on the Class A
to Class E notes after the application of revenue. On the closing
date and prior to the redemption in full of the Class A to Class F
notes, the required amount will be equal to [1.5]% of the Principal
Backed Notes as of closing. Any excess will be released as part of
available revenue funds through the revenue priority of payments.
The reserve target amount will become zero once the Class F notes
are redeemed in full and any excess will become part of the
available revenue funds.

The liquidity reserve fund (LRF) will be available to cover
shortfalls of senior fees, senior swap payments, and interest on
the Class A notes after the application of revenue and the GRF. The
LRF will have a balance of zero at closing and will be funded
through principal receipts as a senior item in the waterfall to its
amortizing target – [1.5]% of the outstanding balance of the
Class A notes until the LRF reaches its target for the first time.
Any time after that, the LRF will be replenished from revenue. The
excess amounts following amortization of the Class A notes will
form part of the available principal.

Principal can be used to cure any shortfalls of senior fees or
unpaid interest payments on the most-senior class of the Class A to
Class F notes outstanding after using revenue funds and both
reserves. Any use will be recorded as a debit in the principal
deficiency ledger (PDL). The PDL comprises six subledgers that will
track the principal used to pay interest, as well as realized
losses, in a reverse sequential order that begins with the Class F
subledger.

On the interest payment date in June 2025, the coupon due on the
notes will step up and the notes may be optionally called. The
notes must be redeemed for an amount sufficient to fully repay
them, at par, plus pay any accrued interest.

As of February 28, 2022, the provisional portfolio consisted of
1,264 loans with an aggregate principal balance of GBP 218.9
million. Approximately 95.6% of the loans by outstanding balance
were owner-occupied mortgages. As is common in the UK mortgage
market for owner-occupied loans, the loans were largely scheduled
to pay interest and principal on a monthly basis. The remaining
4.4% of the loans by outstanding balance were BTL loans, out of
which 3.6% paid on an interest only basis with principal repayment
concentrated in the form of a bullet payment at the maturity date
of the mortgage.

The mortgages are high-yielding, with a weighted-average coupon of
5.0% and a weighted-average reversionary margin of 3.1% over the
Bluestone Variable Rate (BVR). The weighted-average seasoning of
the pool is relatively low at 12.5 months. The weighted-average
original loan-to-value (LTV) is 69.4%, with 28.2% of the loans
having an original LTV above 80%. The weighted-average indexed
current LTV of the portfolio as calculated by DBRS Morningstar is
69.9%, with 28.9% of the loans having an indexed current LTV above
80%.

Furthermore, 30.4% of the loans were granted to self-employed
borrowers and 8.0% of the loans were granted under the Help-to-Buy
scheme. Moreover, 24.3% of the mortgage portfolio by loan balance
have prior county court judgements (CCJ) relating to the primary
borrower and 3.1% of the borrowers having a bankruptcy or
individual voluntary arrangement recorded. As of the provisional
cut-off date, loans between one and three months in arrears
represent 1.3%% of the outstanding principal balance of the
portfolio; loans more than three months in arrears were 1.6%.

The majority of loans in the portfolio (87.7%) will revert to
floating rate referenced to BVR after the initial fixed-rate period
in the next one to five years. The remaining 12.3% of the portfolio
is currently paying a floating rate linked to BVR. The interest on
the notes is calculated based on the daily-compounded Sterling
Overnight Index Average (Sonia), which gives rise to interest rate
risk. The basis risk exposure is partially mitigated through a
minimum BVR covenant, which will provide that the variable rate is
not set below Sonia (rolling daily compounded SONIA over the
previous calendar) plus [1.0]%.

The Issuer is expected to enter into a fixed-to-floating balanced
guarantee swap with NatWest Markets Limited S.A. (NatWest) to
mitigate the fixed interest rate risk from the mortgage loans and
Sonia payable on the notes. The Issuer will pay a swap rate
equivalent to [1.05%] per annum and will receive the Sonia rate.
The Issuer can enter into further hedging agreements with the
existing swap counterparty and adjust the notional of the original
swap agreement in order to hedge the exposure to additional
fixed-rate loans resulting from additional loans during the
pre-funding period. In addition, a new swap fixed rate (applicable
market rate) will be applicable for the increased notional amount
with no upfront swap premium payable. The minimum WA post-swap
margin of the total portfolio (including the loans that are
purchased during the pre-funding period is 3.75%. Based on the DBRS
Morningstar ratings of NatWest, which has a long-term issuer rating
of A (low) and a Long Term Critical Obligations Rating of A (high),
the downgrade provisions outlined in the documents, and the
transaction structural mitigants, DBRS Morningstar considers the
risk arising from the exposure to NatWest to be consistent with the
ratings assigned to the notes as described in DBRS Morningstar's
"Derivative Criteria for European Structured Finance Transactions"
methodology.

Monthly mortgage receipts are deposited into the collections
account at NatWest and held in accordance with the collection
account declaration of trust. The funds credited to the collection
account are swept daily to the Issuer's account. The collection
account declaration of trust provides that interest in the
collection account is in favor of the Issuer over the Seller.
Commingling risk is considered mitigated by the collection account
declaration of trust and the regular sweep of funds. If the
collection account provider is downgraded below BBB (low), the
collection account bank will be replaced by an appropriately rated
bank within 60 calendar days.

Citibank N.A., London Branch (Citibank) is the account bank in the
transaction and will hold the Issuer's transaction account, the
GRF, the LRF, the prefunding reserves, and the swap collateral
account. The transaction documents stipulate in the event of a
breach of the DBRS Morningstar rating level of "A", the account
bank will be replaced by, or obtain a guarantee from, an
appropriately rated institution within 30 calendar days. Based on
the DBRS Morningstar private rating of Citibank, replacement
provisions, and investment criteria, DBRS Morningstar considers the
risk arising from the exposure to Citibank to be consistent with
the ratings assigned to the rated notes as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

DBRS Morningstar based its ratings on a review of the following
analytical considerations:

-- The transaction's capital structure and form and sufficiency of
available credit enhancement.

-- The credit quality of the mortgage portfolio and the ability of
the servicer to perform collection and resolution activities. DBRS
Morningstar calculated the probability of default (PD), loss given
default (LGD), and expected loss outputs on the mortgage portfolio,
which are used as inputs into the cash flow tool. The mortgage
portfolio was analyzed in accordance with DBRS Morningstar's
"European RMBS Insight: UK Addendum".

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay the Class A, Class B, Class C, Class D, Class
E, and Class X notes according to the terms of the transaction
documents.

-- The structural mitigants in place to avoid potential payment
disruptions caused by operational risk, such as a downgrade, and
replacement language in the transaction documents.

-- DBRS Morningstar's sovereign rating on the United Kingdom of
Great Britain and Northern Ireland at AA (high) with a Stable trend
as of the date of this press release.

-- The consistency of the transaction's legal structure with DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology and presence of legal opinions addressing
the assignment of the assets to the Issuer.

The transaction structure was analyzed using Intex DealMaker,
considering the default rates at which the rated notes did not
return all specified cash flows.

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


NEWDAY FUNDING 2022-1: DBRS Finalizes B(high) Rating on F Notes
---------------------------------------------------------------
DBRS Ratings Limited finalized its provisional ratings on the notes
(the Notes) issued by NewDay Funding Master Issuer plc (the
Issuer):

-- Series 2022-1, Class A1 Notes at AAA (sf)
-- Series 2022-1, Class A2 Notes at AAA (sf)
-- Series 2022-1, Class B Notes at AA (sf)
-- Series 2022-1, Class C Notes at A (low) (sf)
-- Series 2022-1, Class D Notes at BBB (low) (sf)
-- Series 2022-1, Class E Notes at BB (low) (sf)
-- Series 2022-1, Class F Notes at B (high) (sf)

The ratings address the timely payment of scheduled interest and
the ultimate repayment of principal by the relevant legal final
maturity dates.

The Notes are backed by a portfolio of own-branded credit cards
granted by NewDay Cards, the originator, to individuals domiciled
in the UK.

The ratings are based on the following analytical considerations:

-- The transaction's capital structure, including form and
sufficiency of available credit enhancement to support DBRS
Morningstar's revised expectation of charge-off, principal payment,
and yield rates under various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay the Notes.

-- The originator's capabilities with respect to origination,
underwriting, and servicing.

-- An operational risk review of the originator, which DBRS
Morningstar deems to be an acceptable servicer.

-- The transaction parties' financial strength regarding their
respective roles.

-- The credit quality, diversification of the collateral, and
historical and projected performance of the securitized portfolio.

-- DBRS Morningstar's sovereign rating on the United Kingdom of
Great Britain and Northern Ireland at AA (high) with a Stable
trend.

-- The consistency of the transaction's legal structure with DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

TRANSACTION STRUCTURE

The Notes are issued out of NewDay Funding Master Issuer plc as
part of the NewDay Funding-related master issuance structure, where
all series of notes are supported by the same pool of receivables
and generally issued under the same requirements regarding
servicing, amortization events, priority of distributions, and
eligible investments.

The transaction includes a scheduled revolving period. During this
period, additional receivables may be purchased and transferred to
the securitized pool, provided that the eligibility criteria set
out in the transaction documents are satisfied. The revolving
period may end earlier than scheduled if certain events occur, such
as the breach of performance triggers or servicer termination. The
scheduled revolving period may be extended by the servicer by up to
12 months. If the Notes are not fully redeemed at the end of the
respective scheduled revolving periods, the transaction enters into
a rapid amortization.

As the Class A2 notes are denominated in U.S. dollars (USD), there
is a balance-guaranteed, cross-currency swap to hedge the currency
risk between the British pound sterling (GBP)-denominated
receivables and the USD-denominated Class A2 notes. For the
GBP-denominated classes of the Notes, which carry floating-rate
coupons based on the rate of daily compounded Sterling Overnight
Index Average (Sonia), the interest rate mismatch risk arising from
the fixed-rate collateral is mitigated by the excess spread in the
transaction and is considered in DBRS Morningstar's cash flow
analysis.

The transaction includes a series-specific liquidity reserve that
is available to cover the shortfalls in senior expenses, swap costs
if applicable, and interest due on the Class A1, Class A2, Class B,
Class C, and Class D notes and would amortize down to a floor of
GBP 250,000.

COUNTERPARTIES

HSBC Bank plc is the account bank and swap collateral account bank
for the transactions. Based on DBRS Morningstar's private rating on
HSBC Bank and the downgrade provisions outlined in the transaction
documents, DBRS Morningstar considers the risk arising from the
exposure to the account bank and swap collateral account bank to be
commensurate with the ratings assigned.

ING Bank N.V. is the swap counterparty for the Class A2 swap. DBRS
Morningstar has a Long-Term Issuer Rating of AA (low) with a Stable
trend on ING Bank N.V., which meets DBRS Morningstar's criteria to
act in such capacity. The swap documentation also contains
downgrade provisions consistent with DBRS Morningstar's criteria.

PORTFOLIO ASSUMPTIONS

The most recent March 2022 servicer report of the securitized
portfolio shows a total payment rate of 13.9%, including the
interest collections. The most recent payment rates are above
historical levels but it remains to be seen if they are sustainable
in the current challenging environment of further Coronavirus
Disease (COVID-19) variants, uneven economic recovery, persistent
inflationary pressures, and interest rate increases. After removing
the interest collections, the estimated monthly principal payment
rates (MPPRs) of the securitized portfolio have been stable above
8%. Based on the analysis of historical data, DBRS Morningstar
maintained the expected MPPR at 8%.

The portfolio yield was largely stable over the reported period
until March 2020. The most recent performance in February 2022
showed a total yield of 30.2%, which increased from the record low
of 25.0% in May 2020 because of higher delinquencies and the
forbearance measures (i.e., payment holidays and payment freeze)
offered. Based on the observed trend, DBRS Morningstar maintained
the expected yield at 24.5%.

The reported historical charge-off rates was high but stable at
approximately 16% until June 2020. The most recent performance in
February 2022 showed a charge-off rate of 9.3% after reaching a
record high of 17.1% in April 2020. Based on the analysis of
historical data, DBRS Morningstar maintained the expected
charge-off rate at 18%.

DBRS Morningstar also elected to stress the asset performance
deterioration over a longer period for the Notes rated below
investment grade in accordance with its "Rating European Consumer
and Commercial Asset-Backed Securitizations" methodology.

DBRS Morningstar analyzed the transaction structure in its
proprietary cash flow tool.

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


PODIUM EVENT: Owes GBP870,000 to Creditors Following Collapse
-------------------------------------------------------------
Maya George at Daily Echo reports that Podium Event Group Limited,
the company behind a cancelled music festival, owes over GBP870,000
to creditors after going bust.

According to the Daily Echo, the company recently announced it is
"taking steps to be placed into liquidation" only two months ahead
of its highly-anticipated Park Proms event at Broadlands Estate.

The festival was due to take place in August 2021 but was later
rescheduled to August 2022 due to the pandemic, the Daily Echo
discloses.

But the event has since been cancelled and thousands of people are
now out of pocket, the Daily Echo notes.

According to documents seen by the Daily Echo, the firm owes
creditors, from businesses to Park Proms ticketholders, around
GBP870,000.

A total of GBP340,633.50 is owed to ticketholders, the Daily Echo
notes.

The documents submitted as part of the liquidation process reveal
Podium Event Group owes a total of GBP527,194.29 to 44 business
creditors, the Daily Echo relays.

Its biggest creditor is Southampton-based company Emphasis Event
Production, which is owed GBP134,474, the Daily Echo discloses.

Broadlands Estate, who previously told the Daily Echo it is "still
waiting to hear from Podium Events as to whether they are intending
to fulfil their contact and host events here in August" is also
listed as a creditor.

The liquidation documents state it "appears unlikely" that there
will be "a dividend available for unsecured creditors" due to the
financial information on the company that is currently available,
the Daily Echo notes.

Podium Event Group said ticketholders may only be able to obtain a
refund by claiming it back from their credit or debit card issuer,
the Daily Echo relates.


POLARIS PLC 2022-2: S&P Assigns B- Rating on 2 Tranches
-------------------------------------------------------
S&P Global Ratings assigned ratings to Polaris 2022-2 PLC's class A
to X-Dfrd notes. At closing, the issuer also issued 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 we have 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 will 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 can 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 used 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 ratings assigned."

  Ratings

  CLASS         RATING*     AMOUNT (MIL. GBP)

  A             AAA (sf)      302.67

  B-Dfrd        AA (sf)        19.47

  C-Dfrd        A (sf)         12.39

  D-Dfrd        BBB+ (sf)       7.08

  E-Dfrd        B+ (sf)         8.85

  Z-Dfrd        B- (sf)         3.54

  X-Dfrd        B- (sf)         3.89

  RC1 residual
  certificates   NR              N/A

  RC2 residual
  certificates   NR              N/A

*S&P's 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.


TOGETHER ASSET 2022-CRE-1: S&P Assigns BB+ Rating on D Notes
------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Together Asset Backed
Securitisation 2022-CRE-1 PLC's (TABS 2022 CRE1) class B-Dfrd,
C-Dfrd, and D-Dfrd notes, as well as the issued loan note. At
closing, TABS 2022 CRE1 also issued unrated class X and Z notes.

The transaction is a static transaction that securitizes a
portfolio of mortgage loans secured on commercial (76.67%),
mixed-use (20.68%), and residential (2.66%) properties in the U.K.

This is the third transaction S&P has rated in the U.K. that
securitizes small ticket commercial mortgage loans, after Together
Asset Backed Securitisation 2021-CRE1 PLC and Together Asset Backed
Securitisation 2021-CRE2 PLC.

The loans in the pool were originated by Harpmanor Ltd between 2015
and 2016, and by Together Commercial Finance Ltd. from 2015 to
2022. Both are subsidiaries of Together Financial Services Ltd.

S&P said, "We consider the nonresidential nature of most of the
pool as higher risk than a fully residential portfolio,
particularly the potential losses following borrower default. We
have nevertheless assessed these loans' probability of default
using our global residential loans criteria, as the method by which
the loans were underwritten and are serviced resembles that of
Together's residential mortgage portfolio. On the loss severity
side however, we have used our covered bond commercial real estate
criteria to fully capture the market value declines associated with
commercial properties."

At closing, credit enhancement for the rated notes consisted of
subordination. Following the step-up date, additional
overcollateralization will also provide credit enhancement. The
overcollateralization will result from the release of the excess
amount from the revenue priority of payments to the principal
priority of payments.

Liquidity support for the loan notes is in the form of an
amortizing liquidity reserve fund. Principal can also be used to
pay interest on the most senior class outstanding (for the loan
note to D-Dfrd notes only).

At closing, the issuer used the issuance proceeds to purchase the
beneficial interest in the mortgage loans from the seller. The
issuer granted security over its assets in the security trustee's
favor.

S&P said, "Our ratings on the notes also reflect their ability to
withstand the potential repercussions of extended recovery timings
and largest borrower default sensitivities.

"There are no rating constraints in the transaction under our
counterparty, operational risk, or structured finance sovereign
risk criteria. We consider the issuer to be bankruptcy remote under
our legal criteria."

  Ratings

  CLASS       RATING*     AMOUNT (MIL. GBP)

  Loan note   AA+ (sf)    327.328

  B-Dfrd      A+ (sf)      17.028

  C-Dfrd      BBB+ (sf)    13.244

  D-Dfrd      BB+ (sf)      7.568

  X           NR           20.812

  Z           NR           18.923

  Residual certs  NR          N/A

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


UK HOUSING: Moody's Affirms Ba1 Rating on 2 Tranches
----------------------------------------------------
Moody's Investors Service has upgraded the rating of one class of
UK Housing Association Notes issued by Finance for Residential
Social Housing PLC (Fresh):

GBP40.92M (GBP1.3M currently outstanding) Ser. 2 - A Notes,
Upgraded to Aa1 (sf); previously on Jul 21, 2021 Upgraded to Aa2
(sf)

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

GBP727.88M (GBP434.6M currently outstanding) Ser. 1 - A1 Notes,
Affirmed Aa2 (sf); previously on Jul 21, 2021 Upgraded to Aa2 (sf)

GBP115.91M (GBP60.3M currently outstanding) Ser. 1 - A2 Notes,
Affirmed Aa2 (sf); previously on Jul 21, 2021 Upgraded to Aa2 (sf)

GBP37.09M (GBP22.1M currently outstanding) Ser. 1 - A3 Notes,
Affirmed Baa1 (sf); previously on Jul 21, 2021 Affirmed Baa1 (sf)

GBP37.09M (GBP22.1M currently outstanding) Ser. 1 - B Notes,
Affirmed Ba1 (sf); previously on Jul 21, 2021 Affirmed Ba1 (sf)

GBP3.11M (GBP0.1M currently outstanding) Ser. 2 - B Notes,
Affirmed Ba1 (sf); previously on Jul 21, 2021 Affirmed Ba1 (sf)

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

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

RATINGS RATIONALE

The rating upgrade on the Series 2 - A Notes, is driven by the
transaction's exposure to the account bank and follows the
replacement of the current account bank, NatWest Markets Plc
("NWM", formerly known as The Royal Bank of Scotland plc, or "RBS",
(A2, P-1)) with a higher rated bank, National Westminster Bank Plc
("NWB") (A1, P-1) via a deed of novation and amendment.

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

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

Considering the ineffective replacement trigger and "strong"
exposure, the maximum achievable rating for this transaction is Aa1
(sf).

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

The affirmation rating action on Series 1 - A1, Series 1 - A2,
Series 1 - A3,  Series 1 - B and Series 2 - B Notes is based on
the underlying stable performance of the transaction.

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

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

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

Main factors or circumstances that could lead to a downgrade of the
ratings are generally: (i) an increase in default risk assessment
driven by a change in the ratings or credit estimates of the
underlying borrowers; (ii) a decline in the property values backing
the underlying loans; or (iii) a deterioration in the credit of the
counterparties, especially the account bank and the replacement
trigger remains ineffective.


                           *********


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

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

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

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