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

                          E U R O P E

          Friday, July 15, 2022, Vol. 23, No. 135

                           Headlines



F R A N C E

ATOS SE: S&P Lowers ICR to 'BB' on Restructuring Plans
CIRCET EUROPE: Moody's Affirms B2 CFR & Alters Outlook to Positive
KERSIA INT'L: Moody's Alters Outlook on 'B3' CFR to Stable


I R E L A N D

ANCHORAGE CAPITAL 1: Moody's Affirms B1 Rating on Class F Notes
PROVIDUS CLO I: Moody's Affirms B2 Rating on EUR9.5MM Cl. F Notes


I T A L Y

ERNA SRL: DBRS Confirms BB(high) Rating on Class C Notes
FINO 1: DBRS Maintains BB(high) Rating Under Review
IBLA SRL: DBRS Confirms CCC Rating on Class B Notes
ITALMATCH CHEMICALS: Moody's Alters Outlook on 'Caa1' CFR to Pos.
MONTE DEI PASCHI: DBRS Confirms B(high) LongTerm Issuer Rating

POP NPL 2019: DBRS Confirms CCC Rating on Class B Notes
POP NPL 2020: DBRS Confirms CCC Rating on Class B Notes
POPOLARE BARI 2017: DBRS Confirms C Rating on Class B Notes
SESTANTE FINANCE 4: S&P Affirms 'D' Rating on Class B Notes


M A L T A

MELITA LIMITED: S&P Affirms 'B' ICR on High Network Investments


N E T H E R L A N D S

CONTEGO CLO II: Moody's Ups Rating on Class F-R Notes From Ba2


S P A I N

AUTO ABS 2022-1: DBRS Finalizes B Rating on Class E Notes
BBVA CONSUMER 2018-1: DBRS Confirms BB Rating on Class D Notes


S W E D E N

SAS AB: Pilot Strike Threatens Bridge Financing Efforts


U N I T E D   K I N G D O M

AA BOND: S&P Affirms 'B+' Rating on Class B3-Dfrd Notes
ABERLA GROUP: Svella Buys Two Companies Following Administration
BLEIKER'S SMOKEHOUSE: Owed GB2.8MM+ at Time of Administration
CARLYLE EURO 2022-3: S&P Assigns B- Rating on Class E Notes
COMPLETE BUILDING: Enters Liquidation, Owes GBP200,000 to Creditors

LAURA ASHLEY: UHY Fined by FRC Over Serious Audit Breaches
SCORPIO DAC: DBRS Confirms BB Rating on Class E Notes
TAGUS: DBRS Confirms B Rating on Class E Notes
TAGUS: DBRS Finalizes B Rating on Class E Notes
TOGETHER ASSET 2022-CRE1: DBRS Finalizes BB Rating on D Notes



X X X X X X X X

[*] BOOK REVIEW: Bankruptcy and Secured Lending in Cyberspace

                           - - - - -


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F R A N C E
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ATOS SE: S&P Lowers ICR to 'BB' on Restructuring Plans
------------------------------------------------------
S&P Global Ratings lowered its ratings on technology firm Atos SE
and its senior unsecured bonds to 'BB' from 'BBB-' and assigned a
recovery rating of '3', indicating its expectation of 50% recovery
in the event of default.

The negative outlook indicates that S&P could lower the rating if
any adverse event results in a deviation from the new plan, for
instance execution risks or a deterioration of liquidity.

Rating Action Rationale

Atos expects to split the group in two and incur up to EUR1.5
billion in related operational and restructuring expenses. In June,
Atos announced its turnaround plan aiming at separating its legacy
managed services and infrastructure business (Tech Foundation) from
its digital, big data, and security operations (Evidian) into two
distinct entities. The group targets EUR1.5 billion in
restructuring and investments over 2022-2026 (EUR1.1 billion for
Tech Foundation), of which about EUR900 million is to be spent over
2022-2023. This is a change from its previous strategy of moderate
restructuring and disposals of legacy assets to support
deleveraging, a profitability rebound, and cash flow generation. At
the same time, Atos expects to finance the new plan with at least
EUR700 million in non-core asset disposals, of which EUR220 million
were executed in June (Worldline shares) and another EUR480 million
to be completed by 2023. However, unlike in the previous plan,
disposals will mostly relate to Evidian rather than the legacy
businesses, except for the unified communication business. In
addition, Atos intends to transform its EUR2.4 billion revolving
credit facility (RCF) into a EUR1.5 billion unsecured term loan and
EUR900 million RCF. Further on, upon the carve out of the two
businesses, Atos/Tech Foundation is expected to distribute 70% of
Evidian shares to shareholders while keeping a remaining 30%
stake.

S&P said, "We expect the change in Atos' disposal strategy and the
new substantial restructuring program will increase leverage and
squeeze profitability and cash flow generation until 2024.We are
mindful that Atos in its current form could cease to exist in
2023-2024 once the carve-out is completed. However, in our base
case, we continue to look at the current combined group. We now
expect Atos' operating margin and reported EBITDA margin to reach
pre-COVID-19 levels only by 2025. This is mainly due to Atos'
significant restructuring plan to bring the group's profitability
closer to the industry average, adjust Tech Foundation's cost
structure, and increase Evidian's customer and sales focus. Tech
Foundation suffered mainly from structurally declining demand for
data centers and private cloud as demand from public cloud, where
Atos' market share is lower compared with American hyperscalers,
boomed and further accelerated during the pandemic. In addition,
Atos' decision to significantly reduce its value-added reseller
channel, which affected sales, combined with an above-industry
average cost structure (lower offshoring and automation leverage
than key competitors), resulted in its operating margin and FOCF
(after leases) dropping to 3.5% and negative EUR423 million,
respectively, in 2021 from 10.3% and EUR627 million in 2019. Tech
Foundation's management expects to incur around EUR120 million in
sales investment and EUR900 million in restructuring charges over
2022-2026 to reset portfolio capabilities and close the gap to
industry benchmarks, by reducing headcount, improving its low-cost
location and the share of junior employees, increasing utilization
rates in high-cost countries, as well as optimizing spending on
subcontractors and use of its own datacenters. For Evidian, the
group expects to incur EUR70 million in operating expenses and
around EUR300 million in restructuring charges to improve its
delivery model, increase its focus on customer and sales, and
enhance profitability. As a result, we expect FOCF after leases to
be negative and adjusted leverage to remain well in excess of 5x
until 2024, before materially improving to around positive EUR276
million and higher than 3.0x, respectively, by 2025 instead of 2022
as previously expected.

"We believe the group still has certain competitive advantages with
very relevant offerings, while benefitting from strong industry
demand and growth, although its track record and profitability are
well behind peers'. Tech Foundation remains an industry leader in
private and hybrid cloud infrastructures for data-sensitive and
highly regulated entities and outsourced digital workplace services
in Europe. It has a solid order backlog and a renewal rate
exceeding 94% in Europe. Tech Foundation's own intellectual
property and planned investments to reshape its portfolio should
also allow it to address next generation demand with sovereign
cloud and edge computing. Evidian remains a leader in public cloud
migration and data and analytics; and a worldwide leader in digital
security and advanced computing where it has considerable
intellectual property, and where it addresses very relevant data
protection and sovereignty challenges. Although we do not believe
Atos can fully compete against larger and better-capitalized
players, we believe it still has some capabilities that allow it to
selectively wins projects. Atos further benefits from strong
industry growth and demand (high single digits for private cloud,
digital transformation, cloud migration, digital security, and
advanced computing). This is supported by the ever-increasing move
toward digitalization across industries, which we believe will only
continue with technology cycles, cybersecurity needs because of
geopolitical tensions and environmental concerns. Although we
believe that Atos still has clear competitive advantages, we also
understand that very significant changes are needed to improve the
group's performance and operational leverage. In addition, we are
mindful that Atos' track record and profitability are well behind
peers'.

"Strategic and management changes have led us to revise our
management and governance score.We've revised our assessment of
Atos management and governance to fair because we view as negative
the sudden change in strategy, restructuring program, and recent
management changes. In addition, we are also mindful that the group
failed to reach its financial objectives over the past two years,
including free cash flow targets. We nevertheless view the internal
appointment of managers to take care of the transition within Tech
Foundation, Evidian, and Atos as a positive development.

"We view Atos' strong liquidity and financial policy as supportive,
and we expect the group to cut its restructuring-related high
leverage by 2025.Atos' planned liquidity should give the group the
means to deliver its turnaround plan, with its planned EUR1.5
billion term loan, EUR900 million RCF, reduced commercial paper
utilization, and at least EUR700 million in non-core asset
disposals. This would help keep Atos' cash balances in excess of
EUR2.0 billion over 2022-2024, until the bulk of the plan is
delivered. In addition, the group is targeting a net reported
leverage well below 3.0x for Evidian and does not plan any dividend
distributions or significant acquisitions. Atos' target of a light
debt structure for Tech Foundation is supported by its future
ability to sell its 30% remaining stake in Evidian to further
offset additional restructuring after 2024, if needed."

Outlook

The negative outlook indicates that S&P could lower the rating if
any adverse event results in a deviation from the new plan, for
instance execution risks or deterioration of liquidity.

Downside scenario

S&P could lower the rating if Atos' operational performance,
profitability, or liquidity deteriorates compared with S&P's base
case, or if any significant deviation from the plan arises. This
could include further profit warnings, materially reduced customer
advance payments, declining working capital or liquidity, higher
debt, or a delay in asset disposals or the execution of the plan.

Upside scenario

Although remote in the next 12 months, S&P could revise the outlook
to stable if Atos outperforms its base case, for instance if
disposal proceeds were larger and restructuring faster, resulting
in FOCF after leases and leverage significantly better than in its
base case.

Company Description

Atos offers a broad range of consulting, technology, and
outsourcing services to global clients. Its annual revenue was
EUR10.8 billion in 2021, down 4.3% on an organic basis and its S&P
Global Ratings-reported EBITDA was EUR440 million (a margin of
about 4.1%, down 70% because of large restructurings). Atos offers
services from two main entities:

-- Tech foundation (55% of 2021 revenue), which manages
mission-critical applications for large enterprises, highly
regulated entities, and governments that are data sensitive and
reluctant to migrate to public cloud. It operates the IT platform
(data centers, core infrastructure) and the services and
applications of its clients 24/7 on its private cloud platform. In
addition, it offers digital workplace solutions (IT support and
professional services) and business process outsourcing to its
clients.

-- Evidian (45% of 2021 revenue), which combines digital services
(digital transformation and migration to public cloud as well as
application design), generating about 71% of revenue, and digital
security and advances computing (about 29% of revenue).

S&P's Base-Case Scenario

Assumptions

-- U.S. GDP growth of 2.4% in 2022 and 1.6% in 2023.

-- Eurozone GDP growth of 2.6% in 2022 and 1.9% in 2023.

-- Global IT services market growth of about 4% in 2022, down from
8% in 2021.

-- Combined revenue growth to stabilize below 1.0% over 2022-2024,
with a decline of 12.5% in 2023 reflecting the remaining EUR480
million of disposal proceeds, mostly from Evidian, that management
targets for the year.

-- Tech Foundation's reported revenue to decline by 6.4% in 2022,
21.6% in 2023 (mostly due to the disposal of the unified
communication business, which generates EUR600 million in revenue),
and 6.1% in 2024. Digital services (Evidian) revenue to increase by
9.3% in 2022, decline by 7.3% in 2023 (as a result of asset
disposals), and increase again by 5.3% in 2024. Big data and
security services (Evidian) revenue growth averaging 8.8% over
2022-2024.

-- Tech Foundation's operating margin (before operating
expenditure and restructuring) to remain negative at around 1.5% on
average over 2022-2024, after negative 1.1% in 2021, before
rebounding from 2025 onward. Evidian's operating margin (before
operating expenditure and restructuring) to gradually increase
toward 12% by 2025, from 9% in 2022.

-- S&P Global Ratings-adjusted EBITDA margins contracting to about
6.9% in 2022 and 4.9% in 2023, before rebounding to 7.6% in 2024,
from 4.1% in 2021, following a drop in Atos' reported operating
margin to about 3.2% on average over 2022-2023, from 3.5% in 2021,
before recovering to 5.3% in 2024 (including Atos' planned
operational expense of about EUR248 million over that period).

-- Restructuring program spending of a total of around EUR800
million for Tech Foundation and around EUR300 million for Evidian
over 2022-2024, which S&P expenses in its reported and adjusted
EBITDA figures.

-- Negative change in working capital of around EUR100 million in
2022, EUR350 million-EUR400 million in 2022, and EUR300 million in
2024, following working capital actions and adjustments of
customer/supplier payment terms.

-- Combined annual capital expenditure (capex) of about 2% of
revenue on average over 2022-2024, with about slightly below 3.0%
for Tech Foundation and slightly below 2.0% for Evidian, on average
over that period.

-- No dividend distributions, share buybacks and mergers and
acquisitions planned over 2022-2024, except the acquisition of
Cloudreach in 2022 for EUR300 million.

-- Proceeds from asset disposals of about EUR220 million
(Worldline shares) in 2022 and EUR480 million in 2023.

Key metrics

S&P said, "We have revised our assessment of Atos' liquidity to
strong because we now expect sources of liquidity will exceed uses
by more than 1.5x for the next two years rather than more than 2x
previously. We also anticipate that net sources would remain
positive even if EBITDA declined by 30%. Overall, Atos' planned
liquidity would give it flexibility to achieve its turnaround
plan."

Principal liquidity sources as of Jan. 1, 2022, for the next 24
months:

-- Estimated cash and cash equivalents of about EUR3.4 billion;

-- An undrawn RCF of EUR2.4 billion maturing in November 2025, of
which EUR2.3 billion is undrawn, which is set to be transformed
into a EUR1.5 billion term loan and EUR900 million RCF by 2022;
and

-- Asset disposal proceeds of EUR220 million in 2022.

Principal liquidity uses for the same period:

-- Negative cash FFO of about EUR40 million in 2022 and EUR205
million in 2023;

-- About EUR1.8 billion in debt repayments over the next 24
months, including a EUR700 million bond maturing in July 2022, a
EUR300 million bond maturing in 2023 and EUR750 million in
commercial papers in 2023;

-- Working capital uses of about EUR100 million in 2022 and about
EUR350 million-EUR400 million in 2023;

-- S&P's assumptions of annual intra-year working capital
requirements of EUR300 million;

-- Annual capex of about EUR220 million; and

-- S&P's assumption of additional business separation costs of
about EUR400 million in 2023.

Covenants

Atos must currently comply with one covenant that limits its net
leverage to less than 2.5x under the terms of its multi-currency
RCF. Because the RCF will be transformed into a EUR1.5 billion term
loan and EUR900 million RCF, the covenant is expected to be reset.

-- S&P's issue rating on Atos' existing unsecured bonds is now
'BB', with a '3' recovery rating. Recovery prospects are
constrained by the bonds' unsecured nature and Atos depressed
enterprise value, given the situation and the size of Atos'
goodwill relative to its assets.

-- The bonds are senior unsecured, unguaranteed, have no financial
covenants, and come with standard negative pledge, change of
control, and events of default provisions. The proposed term loan
will be senior unsecured and unguaranteed, pari passu with all the
existing debt and in line with the current RCF documentation.
Although S&P does not expect any priority debt in our waterfall,
there is the possibility that the bank documentation may offer the
group the flexibility to incur some prior-ranking debt, and this
could have an impact on the bonds' recovery rating.

-- Under S&P's hypothetical default scenario, it envisions Atos
not executing on its turnaround plan and increasing debt and
leverage, while not managing to increase its profitability and cash
flow. S&P estimates that this would lead to a payment default in
2027 or earlier.

-- S&P values Atos as a going concern, thanks to the relevant
offerings and services it has, and the strong industry demand and
growth it benefits from.

Simulated default assumptions

-- Year of default: 2027

-- Emergence EBITDA after recovery adjustments: About EUR436
million

-- Implied enterprise value multiple: 6.5x

-- Jurisdiction: France

-- Gross enterprise value at default: About EUR2.8 billion
Administrative costs: 5%

-- Net value available to debtors: EUR2.7 billion

-- Atos' unsecured debt [1]: About EUR5.3 billion

-- Recovery expectation [2]: 50% (recovery rating: '3')

[1] All debt amounts include six months of prepetition interest.
EUR900 million RCF assumed 85% drawn on the path to default. [2]
Rounded down to the nearest 5%.

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


CIRCET EUROPE: Moody's Affirms B2 CFR & Alters Outlook to Positive
------------------------------------------------------------------
Moody's Investors Service has changed the outlook on Circet Europe
SAS' ratings to positive from stable. Circet is the largest telecom
network infrastructure services provider in Europe. Concurrently,
Moody's has affirmed Circet's B2 corporate family rating , its
B2-PD probability of default rating, and the B2 rating on the
EUR1,825 million senior secured term loan B (TLB) and on the EUR300
million senior secured revolving credit facility (RCF), both due in
2028 and issued by Circet Europe SAS.

"The outlook change to positive reflects Circet's strong operating
performance, its enhanced scale, diversification and growth
opportunities following the two recently closed acquisitions in
Italy and the US, as well as its successful track record of
contract renewals which gives revenue visibility at a time when the
macroeconomic environment is slowing down," says Agustin Alberti, a
Moody's Vice President - Senior Analyst and lead analyst for
Circet.

"The acquisitions, which have been funded with a mix of debt and
equity rollover from previous owners, have had a neutral effect on
leverage, and confirm the historical prudent M&A approach of the
company under the new ownership," adds Mr. Alberti.

RATINGS RATIONALE

The company has improved its business profile following the US and
Italian acquisitions closed in Q1 2022, because they increase the
company's diversification into new geographies with high fibre
rollout opportunities and they reduce its customer concentration.
However, the entry into new markets, and particularly into the US,
where the telecoms industry structure and regulation is different
compared to European markets, will entail integration and execution
risks. This negative consideration is somewhat mitigated by the
fact that the previous owners will remain as shareholders of the US
business.

The rating agency expects Circet to report strong operating
performance, with organic revenue growth of around 10% in 2022 and
mid-single digit rate growth in 2023. Revenue growth in the US,
Italy, UK, Germany and Belgium will more than compensate the
expected decline in France, as fibre deployment in the country will
start slowing down. Despite the expected weakening in economic
conditions, revenue growth prospects are supported by the strong
FTTH network deployment plans laid out by telecom operators as well
as by the continuation of the rollout of 5G mobile technology in
Europe and the US. In 2022, the company has renewed a large master
agreement contract with Orange (Baa1 stable) covering the
deployment and maintenance of fixed networks, while the one
covering mobile networks is expected to be renewed soon.

Moody's expects the company's pro forma Moody's-adjusted gross
debt/EBITDA ratio to improve supported by strong EBITDA growth.
Leverage will reduce from 5.1x in 2021 to 4.7x in 2022 and to 4.5x
in 2023, which is the leverage threshold for upward pressure on the
rating.

Moody's forecasts Circet's annual free cash flow will be around
EUR150 million - EUR200 million in 2022 and 2023. Free cash flow
generation is supported by higher margins than peers, owing to
Circet's focus on turnkey projects, and low capital spending
requirements of around 2% of sales. This solid cash flow generation
will increase the cash balance over time. However, Moody's expects
this cash, together with equity rollover from the acquired
companies' owners, to be used to continue its expansion into new
countries or regions through mid-size acquisitions.

Circet's B2 CFR reflects (1) its position as the leading European
network infrastructure services provider for the telecommunications
industry; (2) its favourable growth prospects fueled by heavy
telecoms investment plans in fiber-to-the-home (FTTH) and 5G
networks; (3) the increasing share of recurring revenues related to
"life of network" activities accounting for more than 50% of total
revenues and supporting Circet's operating performance visibility;
(4) its enhanced scale and geographic diversification accelerated
by M&A; (5) its strong FCF generation supported by high margins and
low capex requirements; and (6) the track record of the management
team and its equity ownership that provides support to the strategy
execution and prudent approach to acquisitions.

The rating also reflects (1) the company's high initial leverage,
although it has reduced owing to its strong operating performance;
(2) its customer concentration, with the top 2 customers
representing around 23% of its revenue, although this percentage
has reduced from 80% in 2017; (3) the risk from large contract
renewals, although this is mitigated by the fact that no major
contract is up for renewal for the next 3-4 years and by its
long-standing customer relationships with large telecoms companies;
and (4) the execution risk related to expanding into new markets
via M&A.

LIQUIDITY

Circet's liquidity is good, supported by its strong annual free
cash flow generation of around EUR150 million -EUR200 million and a
cash balance of EUR297 million as of March 2022. The company also
has access to EUR80 million availability under its EUR300 million
senior secured revolving credit facility and to a EUR100 million
non-recourse factoring facility.

Moody's also expects Circet to maintain ample headroom under the
springing net leverage covenant of 9.0x included in the senior
secured RCF, and tested when drawings exceed 40%. Moody's forecasts
the net leverage ratio as per the covenant definition will be
around 3.5x by year-end 2022.

The company has a long term debt maturity profile, with the senior
secured RCF and senior secured TLB both maturing in 2028.

STRUCTURAL CONSIDERATIONS

The senior secured TLB and the senior secured RCF are rated at the
same level as the CFR reflecting their pari passu ranking and
upstream guarantees from operating companies.

The senior secured TLB and senior secured RCF benefit from a
security package that includes share pledges, bank accounts and
intragroup receivables of material subsidiaries. Moody's typically
views debt with this type of security package to be akin to
unsecured debt. However, the term loans and the revolver benefit
from upstream guarantees from operating companies accounting for at
least 80% of consolidated EBITDA. The capital structure also
includes a shareholder loan due in 2029 which has been treated as
equity under Moody's Hybrid Equity Credit methodology.

RATING OUTLOOK

The positive outlook reflects Moody's expectation that the company
will continue to report strong operating performance fueled by
organic growth in international markets and bolt-on acquisitions.
 Moody's expects M&A to be consistent with the company's
historical approach with funding coming from available cash, debt
and equity rollover from previous owners of the acquired companies
and not resulting in material increase in gross leverage.

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

The rating could be upgraded if (1) the company continues to
generate organic earnings growth despite the slow down of fibre
deployment in France; (2) the company's financial policy is
supportive of it maintaining a Moody's-adjusted debt/EBITDA ratio
trending towards 4.5x on a sustained basis; and (3) the company
maintains a solid liquidity profile including a Moody's-adjusted
free cash flow/debt of around 10%.

Downward rating pressure could arise if (1) the company experiences
a significant decline in revenue and earnings due to the slow down
of fibre deployment in France or other operational challenges; (2)
Moody's-adjusted debt/EBITDA exceeds 5.5x on a sustained basis; or
(3) free cash flow or liquidity materially weakens.

LIST OF AFFECTED RATINGS

Affirmations:

Issuer: Circet Europe SAS

Probability of Default Rating, Affirmed B2-PD

LT Corporate Family Rating, Affirmed B2

Senior Secured Bank Credit Facility, Affirmed B2

Outlook Actions:

Issuer: Circet Europe SAS

Outlook, Changed To Positive From Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Construction
published in September 2021.

COMPANY PROFILE

Headquartered in France, Circet provides telecom companies in
Europe and the US with a wide range of engineering, deployment and
maintenance services, covering all mobile and fixed technologies.

In 2021, the company reported revenues of EUR2.4 billion (c. EUR3.1
billion pro forma for acquisitions) and reported EBITDA of EUR378
million (EUR394 million as adjusted by the company). Circet is
owned by private equity sponsor ICG (around 50%) and management
(around 50%).


KERSIA INT'L: Moody's Alters Outlook on 'B3' CFR to Stable
----------------------------------------------------------
Moody's Investors Service affirmed Kersia International SAS' B3
corporate family rating, B3-PD probability of default rating and
the B3 instrument ratings on its senior secured bank credit
facility. Moody's also changed the outlook to stable from
positive.

RATINGS RATIONALE

The outlook change reflects Moody's expectation that Kersia will
not reach the debt-to-EBITDA, free cash flow, or liquidity levels
appropriate for a B2 rating over the next several years.

A combination of lower than expected sales volume in 2021, debt
funded acquisitions and high raw material prices led to an increase
of Moody's adjusted gross leverage for the twelve month period
ending in March 2022 to 8.6x (FY 2021: 7.4x). Moody's expects
leverage to decline to the mid 7x range by year end 2022 and to
around 7x in 2023, in line with expectations for a B3 CFR.  This
estimate assumes Kersia passes through a high proportion of
increased raw material prices to its customers and that solid
volume growth in its farm segment resumes from trough levels of
2021, which were hurt by the avian flu.

The company currently estimates that its raw material bill could
increase by around EUR40-EUR45 million compared to 2021. According
to Kersia the time lag in recovering the increased raw material
prices has negatively impacted Q1-22 company defined EBITDA by
around EUR4.2 million.

Since the company put in place the current capital structure in
late 2020, Kersia has closed several debt financed acquisitions,
which have resulted in drawings of around EUR51 million under the
EUR100 million senior secured revolving credit facility (RCF).
Furthermore, Kersia financed the equity contribution for the Sopura
acquisition by issuing a PIK note outside of the the debt group,
and  the sponsor IK partners has not contributed real equity to
any of the acquisitions.  These actions demonstrate a high risk
tolerance and a financial policy that prioritizes shareholder
returns. Moody's expects Kersia to continue to prioritize organic
and inorganic growth opportunities once it has passed through raw
material price increases and hence does not foresee meaningful
gross debt reduction in the next 12-18 month.

The rating also considers the company's small scale compared to its
globally operating larger competitors Ecolab Inc. (A3 stable) and
Diamond (BC) B.V. (B2 positive), operating as "Diversey". This
scale disadvantage is to some degree mitigated by a pure play farm
to fork positioning and a focused footprint and solutions offering,
which in the past has allowed the company to create long-standing
customer relationships and leading positions in its local markets.
Regulatory requirements, with most of the company's products
requiring a registration with local or EU authorities create an
effective barrier to entry.

LIQUIDITY PROFILE

Kersia has an adequate liquidity profile. As of March 31, 2022 the
company had around EUR30 million of cash and EUR49 million of
availability under its EUR100 million senior secured revolving
credit facility. These sources in combination with expected FFO
generation in excess of EUR30 million in 2022 provide the company
with sufficient liquidity to accommodate capital expenditures,
which Moody's expects to amount to around EUR15 million (including
repayment of operating leases and adjusted for capitalized
development cost not related to product registration) and swings in
working capital, which we expect to be more pronounced than
historically given the steep increase in raw material prices.

STRUCTURAL CONSIDERATIONS

Kersia's senior secured term loan and senior secured RCF are rated
in line with the company's corporate family as they rank pari
passu, share the same guarantor coverage and security package and
represent the predominant class of debt in the capital structure.

ESG CONSIDERATIONS

The high tolerance for financial risks of Kersia's financial
sponsor IK Partners and management team, indicated by track record
of debt-financed acquisitions and the PIK note raised outside the
restricted group, are a governance consideration relevant to this
rating action.

RATING OUTLOOK

The stable outlook on Kersia's rating reflects Moody's expectation
that the company will reduce its leverage towards 7x in the next
12-18 month and maintain an adequate liquidity profile.

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

Moody's would consider upgrading Kersia's rating, if leverage
decreased to well below 6x and if the company would generate
Moody's adjusted FCF above EUR20 million p.a., both on a
sustainable basis. An upgrade furthermore would require a balanced
approach towards capital allocation and acquisition financing.

Moody's could consider downgrading Kersia's rating if leverage
would remain above 7x or the company's liquidity profile would
deteriorate as a result of negative FCF generation or acquisitions.
A failure to maintain EBITDA / Interest expense above 2x would also
be negative for the rating.

LIST OF AFFECTED RATINGS

Issuer: Kersia International SAS

Affirmations:

LT Corporate Family Rating, Affirmed B3

Probability of Default Rating, Affirmed B3-PD

Senior Secured Bank Credit Facility, Affirmed B3

Outlook Actions:

Outlook, Changed To Stable From Positive

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Chemicals
published in June 2022.

COMPANY PROFILE

Headquartered in France, Kersia is a leading biosecurity company
for the food, farm and healthcare industries. Kersia's products are
used in Farming (33% of 2021 sales), Food & Beverage (50%) and Food
Service (7%). In 2021 the company generated EUR392 million of
revenues and company defined adjusted EBITDA of around EUR72
million, equivalent to a company defined adjusted EBITDA margin of
18.4%. Kersia is owned by IK Partners which acquired the company
from Ardian in late 2020.




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

ANCHORAGE CAPITAL 1: Moody's Affirms B1 Rating on Class F Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Anchorage Capital Europe CLO 1 DAC:

EUR39,200,000 Class B Senior Secured Floating Rate Notes due 2031,
Upgraded to Aa1 (sf); previously on Oct 22, 2021 Affirmed Aa2 (sf)

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

EUR218,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Oct 22, 2021 Assigned Aaa
(sf)

EUR30,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aaa (sf); previously on Oct 22, 2021 Assigned Aaa (sf)

EUR23,600,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Oct 22, 2021
Affirmed A2 (sf)

EUR13,600,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed Baa2 (sf); previously on Oct 22, 2021
Affirmed Baa2 (sf)

EUR6,000,000 Class D-2 Senior Secured Deferrable Fixed Rate Notes
due 2031, Affirmed Baa2 (sf); previously on Oct 22, 2021 Assigned
Baa2 (sf)

EUR27,600,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed Ba2 (sf); previously on Oct 22, 2021
Affirmed Ba2 (sf)

EUR11,700,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed B1 (sf); previously on Oct 22, 2021
Upgraded to B1 (sf)

Anchorage Capital Europe CLO 1 DAC, issued in July 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Anchorage Capital Group, L.L.C. The transaction's
reinvestment period will end in July 2022.

RATINGS RATIONALE

The rating upgrade on the Class B Notes is primarily a result of
the benefit of the shorter period of time remaining before the end
of the reinvestment period in July 2022.

In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements.

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: EUR399.7 million

Defaulted Securities: EUR2.2 million

Diversity Score: 52

Weighted Average Rating Factor (WARF): 3029

Weighted Average Life (WAL): 5.15 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.95%

Weighted Average Coupon (WAC): 5.02%

Weighted Average Recovery Rate (WARR): 43.08%

Par haircut in OC tests and interest diversion test: Nil

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.

Moody's notes that the June 2022 trustee report was published at
the time it was completing its analysis of the May 2022 data. Key
portfolio metrics such as WARF, diversity score, weighted average
spread and life, and OC ratios exhibit little or no change between
these dates.

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 June 2022. 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. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

Additional uncertainty about performance is due to the following:

Portfolio amortisation: Once reaching the end of the reinvestment
period in July 2022, 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.


PROVIDUS CLO I: Moody's Affirms B2 Rating on EUR9.5MM Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Providus CLO I Designated Activity Company:

EUR18,500,000 Class B-1 Senior Secured Floating Rate Notes due
2031, Upgraded to Aa1 (sf); previously on Apr 11, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR15,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031,
Upgraded to Aa1 (sf); previously on Apr 11, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR17,750,000 Class B-3 Senior Secured Floating Rate Notes due
2031, Upgraded to Aa1 (sf); previously on Apr 11, 2018 Definitive
Rating Assigned Aa2 (sf)

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

EUR203,000,000 Class A Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Apr 11, 2018 Definitive
Rating Assigned Aaa (sf)

EUR12,250,000 Class C-1 Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Apr 11, 2018
Definitive Rating Assigned A2 (sf)

EUR10,000,000 Class C-2 Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Apr 11, 2018
Definitive Rating Assigned A2 (sf)

EUR19,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed Baa2 (sf); previously on Apr 11, 2018
Definitive Rating Assigned Baa2 (sf)

EUR18,750,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed Ba2 (sf); previously on Apr 11, 2018
Definitive Rating Assigned Ba2 (sf)

EUR9,500,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2031, Affirmed B2 (sf); previously on Apr 11, 2018 Definitive
Rating Assigned B2 (sf)

Providus CLO I Designated Activity Company, issued in April 2018,
is a collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European and US loans. The
portfolio is managed by Permira Credit Group Holdings Limited. The
transaction's reinvestment period ended in May 2022.

RATINGS RATIONALE

The rating upgrades on the Class B-1, B-2 and B-3 Notes are
primarily a result of the transaction having reached the end of the
reinvestment period in May 2022.

In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements. In particular, Moody's assumed that
the deal will benefit from a shorter amortisation profile and
higher spread levels than it had assumed when issuing a rating
agency confirmation on this transaction in November 2021.

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

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

Performing par and principal proceeds balance: EUR349,678,923

Defaulted Securities: none

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2891

Weighted Average Life (WAL): 5.0 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.62%

Weighted Average Coupon (WAC): 4.22%

Weighted Average Recovery Rate (WARR): 43.89%

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 June 2022. 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. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

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.




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

ERNA SRL: DBRS Confirms BB(high) Rating on Class C Notes
--------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the following classes of
commercial mortgage-backed notes (due July 2031) issued by ERNA
S.r.l.:

-- Class A at A (high) (sf)
-- Class B at BBB (sf)
-- Class C at BB (high) (sf)

All trends are Stable.

The confirmation of the ratings reflects the transaction's stable
performance over the past 12 months, with no significant change in
rental performance, as well as disposal-driven deleveraging.

ERNA S.r.l. is the securitization of four Italian senior commercial
real estate loans: the Aries loan, the Ermete loan, the Raissa
loan, and the Excelsia Nove (Nucleus) loan. The loans are secured
predominantly by telephone exchange properties, but the Nucleus
loan portfolio also includes some office, warehouse, garage and
residential spaces. The loans were granted as refinancing
facilities to four borrowers, all ultimately owned and controlled
by TPG Sixth Street Partners (the Sponsor).

The transaction's balance stood at EUR 252.6 million as of the
April 2022 interest payment date, decreasing by 14.8% from EUR
296.5 million at the last review. The reduction was driven by the
disposal of 92 properties over the past year and six partial
disposals, all subject to the release price of 115% the allocated
loan amount, with the prepayment amounts allocated pro rata to the
notes. In total, there have been 159 disposals since origination
and 11 partial disposals.

CBRE Valuation S.p.A. (CBRE) and Colliers Valuation Italy S.r.l.
(Colliers) revalued the 489 properties currently remaining in the
portfolio at EUR 607.8 million as of 31 December 2021, representing
a marginal decline in value on a like-for-like basis since
origination. Deleveraging offset the decline in value, with the
transaction-level loan-to-value (LTV) decreasing to 41.6% from
43.0% at the last review and 42.7% at origination. Meanwhile, the
debt yield increased to 13.4% from 12.9% at the last review and is
now above the issuance level of 13.0%.

The performance of the four loans has been stable over the past 12
months with credit quality generally preserved. The vacancy levels
of the Ermete, Raissa, and Aries portfolios remained below 1% while
the vacancy level of the Nucleus portfolio remained at 30%. Telecom
Italia S.p.A. and Enel Italia S.p.A. remain the largest tenants,
accounting for 60.1% and 32.6% of the EUR 43.8 million
transaction-level gross rental income, respectively.
Weighted-average lease term to expiry remains long, ranging between
12 and 17 years for all loans, with the majority of rent expiring
post loan maturity.

As a result, DBRS Morningstar did not revise its underwriting
assumptions, apart from updating the net cash flow (NCF) to account
for the disposed properties. This led to NCFs of EUR 7.0 million,
EUR 2.5 million, EUR 6.2 million, and EUR 10.0 million for the
Aries, Ermete, Raissa, and Nucleus loans, respectively. By applying
the same cap rates as at initial rating action of 8% for the Aries,
Ermete, and Raissa loans and 8.5% for the Nucleus loan, the
stressed values of these four loans are EUR 87.4 million, EUR 31.1
million, EUR 77.9 million, and EUR 117.0 million, respectively.
This did not trigger any changes to the current ratings, which DBRS
Morningstar confirmed with Stable trends. For DBRS Morningstar's
underwriting assumptions at issuance, please refer to the
transaction's rating report.

The Sponsor subscribed to the unrated and junior-ranking Class Z
notes. This retention note is fully subordinated within the
structure and will not receive any principal payments until the
Class A, Class B, and Class C notes are repaid in full.

The transaction benefits from a EUR 12.0 million liquidity reserve
(down from EUR 15.0 million at origination) provided by Bank of
America Merrill Lynch International DAC, Milan Branch. The
liquidity reserve facility can be only used to cover interest
shortfalls on the Class A notes. According to DBRS Morningstar's
analysis, the commitment amount could provide the equivalent of
approximately 19 months of interest coverage on the covered notes
with a 2.25% weighted-average loan margin or approximately 11
months of coverage based on the Euribor cap of 5.00%.

At inception, DBRS Morningstar noted that there were potential
tax-related liabilities on the Ermete and Nucleus loans. However,
DBRS Morningstar considers the tax liability risk to be nonmaterial
to the credit quality of the bonds and largely covered by the cash
surplus generated by the portfolio.

There are no extension options, with the expected maturity for each
loan in July 2024. The final maturity of the notes is in July 2031,
approximately seven years after the loan termination date.

Notes: All figures are in euros unless otherwise noted.


FINO 1: DBRS Maintains BB(high) Rating Under Review
---------------------------------------------------
DBRS Ratings GmbH maintained the Under Review with Positive
Implications status on the BBB (high) (sf), BB (high) (sf), and BB
(sf) ratings on the Class A, Class B, and Class C notes,
respectively, issued by Fino 1 Securitization S.r.l. (the Issuer).

RATING RATIONALE

The maintenance of the Under Review with Positive Implications
status is based on the following analytical considerations:

-- Notes amortization: according to the latest payments report
from April 2022, the outstanding principal amounts of the Class A
Notes, Class B Notes, Class C Notes, and Class D Notes were equal
to EUR 71.8 million, EUR 29.6 million, EUR 40.0 million, and EUR
50.3 million, respectively. The balance of the Class A Notes has
amortized by 89.0% since issuance. The current aggregated
transaction balance is EUR 191.7 million.

-- Transaction performance: as reported in the most recent
quarterly servicer report, the actual cumulative gross collections
as of 31 March 2022 were EUR 914.9 million whereas the special
servicer's initial business plan assumed cumulative gross
collections of EUR 995.8 million for the same period. Therefore,
the transaction is underperforming by 8.1% compared with the
servicer's initial expectations.

-- Notes performance events: as per the most recent October 2021
payment report, the Class B and Class C performance events have not
occurred. A performance event occurs if the cumulative net
collections (as a percentage of the gross book value of the
portfolio at issuance) are lower than the product of (1) the amount
included in the business plan for notes performance events and (2)
70% for the Class B Notes and 75% for the Class C Notes.

-- The special servicer's updated business plan: in August 2021,
DBRS Morningstar received the special servicer's third revised
business plan as of December 2020. The third updated business plan
displays a EUR 0.73 million decrease (-0.05%) in gross collections
compared with the servicer's initial expectations. The monitoring
agent has not yet released a fourth updated business plan as it
does not have the required approvals.

Following the receipt of the fourth updated business plan, DBRS
Morningstar will assess the changes from previous expectations in
detail, which may result in adjustments to its stressed
assumptions.

The final maturity date of the transaction is in October 2045.

DBRS Morningstar analyzed the transaction structure using Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures 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.


IBLA SRL: DBRS Confirms CCC Rating on Class B Notes
---------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the Class A and Class B
Notes issued by Ibla S.r.l. (the Issuer) at BBB (low) (sf) and CCC
(sf), respectively, and assigned Positive trends. At the same time,
DBRS Morningstar removed the ratings from Under Review with
Positive Implications, where they were placed on March 15, 2022.

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 the ultimate
payment of principal on or before the legal final maturity date in
April 2037. The rating on the Class B Notes addresses the ultimate
payment of principal and interest. DBRS Morningstar does not rate
the Class J Notes.

At issuance, the Notes were backed by a EUR 348.6 million by gross
book value portfolio consisting of secured and unsecured Italian
nonperforming loans originated by Banca Agricola Popolare di Ragusa
S.C.p.A.

The receivables are serviced by doValue S.p.A. (doValue or the
Servicer) while Banca Finaziaria Internazionale S.p.A. (Banca
Finint) operates 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 March 31, 2022, 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, which
was received in April 2022, and the comparison with the initial
collection expectations.

-- Portfolio characteristics: loan pool composition as of March
2022 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).

-- Performance ratios and underperformance events: as per the most
recent April 2022 investor report, the cumulative collection ratio
was 74.8% and the net present value cumulative profitability ratio
was 137.6%. Since the April 2021 interest payment date, the
cumulative collection ratio has breached the 85% limit, so that
Class B interest payments are subordinated to the repayment of
Class A principal.

-- Liquidity support: the transaction benefits from an amortizing
cash reserve providing liquidity to the structure, covering
potential interest shortfall on the Class A Notes and senior fees.
The cash reserve target amount is equal to 7.5% of the Class A
Notes principal outstanding balance and is currently fully funded.

TRANSACTION AND PERFORMANCE

According to the latest investor report from April 2022, the
outstanding principal amounts of the Class A, Class B, and Class J
Notes were EUR 43.2 million, EUR 9.0 million, and EUR 3.5 million,
respectively. As of the April 2022 payment date, the balance of the
Class A Notes had amortized by approximately 49.1% since issuance
and the current aggregated transaction balance was EUR 55.7
million.

As of March 2022, the transaction was performing below the
Servicer's business plan expectations. The actual cumulative gross
collections equaled EUR 61.9 million whereas the Servicer's initial
business plan estimated cumulative gross collections of EUR 80.6
million for the same period. Therefore, as of March 2022, the
transaction was underperforming by EUR 18.7 million (-23.2%)
compared with the initial business plan expectations.

At issuance, DBRS Morningstar estimated cumulative gross
collections of EUR 27.1 million at the BBB (low) (sf) stressed
scenario. Therefore, as of March 2022, the transaction was
performing above DBRS Morningstar's initial stressed expectations.

Pursuant to the requirements set out in the receivable servicing
agreement, in April 2022, the Servicer provided DBRS Morningstar
with a revised portfolio business plan combined with the actual
cumulative collections as of December 2021. The updated portfolio
business plan, combined with the actual cumulative gross
collections of EUR 56.7 million as of December 2021, results in a
total of EUR 145.7 million, which is 12.6% lower than the total
gross disposition proceeds of EUR 166.8 million estimated in the
initial business plan. Excluding actual collections, the Servicer's
expected future collections from April 2022 account for EUR 85.1
million. The updated DBRS Morningstar BBB (low) (sf) rating stress
assumes a haircut of 19.0% to the Servicer's updated business plan,
considering future expected collections from April 2022. In DBRS
Morningstar's CCC (sf) scenario, DBRS Morningstar only adjusted the
updated Servicer's forecast in terms of actual collections to date
and timing of future expected collections.

The final maturity date of the transaction is in April 2037.

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.


ITALMATCH CHEMICALS: Moody's Alters Outlook on 'Caa1' CFR to Pos.
-----------------------------------------------------------------
Moody's Investors Service changed the outlook on Italmatch
Chemicals S.p.A. to positive from stable. Concurrently, Moody's
affirmed Italmatch's Caa1 corporate family rating and Caa1-PD
probability of default rating, as well as the Caa1 rating of
Italmatch's senior secured floating rate notes (FRN).

RATINGS RATIONALE

The rating action reflects the significant improvements in
Italmatch's credit metrics over the last twelve months and Moody's
expectations for Italmatch to maintain solid credit metrics for the
rating category in 2022 on the back of favorable pricing and volume
growth. Though Moody's expects material improvements in Italmatch's
gross leverage in 2022 because of strong operating results in the
first half of 2022, there are uncertainties and risks around
earnings in 2023. As of end of March 2022, the company's liquidity
profile is adequate with EUR39 million of cash on balance and
EUR69.5 million available under its EUR107 million super senior
revolving credit facility (RCF) which matures in April 2024. Its
nearest debt maturity occurs in September 2024, when the EUR650
million senior secured floating rate notes mature. The company is
considering a refinancing of its EUR650 million of debt, subject to
certain market conditions, which would likely lead to higher
interest costs based on Moody's assumptions.

The first quarter of 2022 was exceptionally strong and Italmatch's
management adjusted EBITDA doubled to EUR44 million from EUR22
million during the year-earlier period, mainly because of increased
pricing power and higher volumes. EBITDA growth supported a
reduction in Moody's estimated adjusted gross leverage to 6.1x
(6.9x excluding unrealized forex gains on intragroup loans) for the
last twelve months ended in March 2022 from 7.1x (9.1x excluding
unrealized forex gains on intragroup loans) in 2021. Higher selling
prices more than offset increased raw material and energy costs.
Italmatch's increased pricing power results mainly from the tight
supply conditions in the market, its ability to secure key raw
materials which provides reliability for its customers and the
company's strong competitive position in specialty niches.

Moody's anticipates earnings to moderate in the second half of the
year 2022 compared to the first half of the year 2022, although
EBITDA in 2022 is likely to be above historical levels on a
like-for-like basis. Nevertheless, Moody's sees downside risk to
the company's ability to maintain EBITDA generation at the
currently very strong  levels in 2023, especially in a scenario
with a softer macroeconomic environment and rising energy costs.
Furthermore, Moody's expects that the company will continue to
incur non-recurring costs, including restructuring expenses and
consulting fees, albeit at a lower level than during the period of
2019 to 2021, where management adjustments and non-recurring items
ranged from EUR15 million to EUR17 million per annum. According to
the company, supply in the market has been reduced because smaller
competitors struggle to operate in the current industry environment
given supply chain disruptions, higher environmental regulation,
higher raw material costs and raw material shortages. Additionally,
Italmatch expects continued strong demand across its main
end-markets. While these factors argue in favor for a continued
positive trajectory even after 2022, current macroeconomic
uncertainties limit earnings' visibility for the company and the
sector. Potential gas curtailment in Europe represents additional
downside risks to the company's performance, partly mitigated by
energy surcharge and a contingency plan for all the European plants
(switch from gas to other fuels).

With the publication of Q1 results, management communicated that
they are evaluating a potential refinancing of the EUR650 million
senior secured floating rate notes subject to market conditions.
Moody believes that a refinancing will likely lead to higher
interest costs. The company might need to raise additional debt or
draw under its revolving credit facility to finance upfront costs
associated with a refinancing transaction.

RATIONALE FOR POSITIVE OUTLOOK

The positive outlook reflects the expectation that credit metrics
will remain solid for the rating category in 2022 and that
Italmatch will maintain an adequate liquidity position. The
positive outlook highlights the fact that a continued solid
operating trajectory, and better visibility on the likelihood of a
refinancing and future interest cost could result in an upgrade. An
upgrade would also require a liquidity profile commensurate with a
higher rating.

LIQUIDTY PROFILE

Moody's views Italmatch's liquidity as adequate. As of end March
2022, the company had around EUR39 million of cash and cash
equivalents on balance sheet, and EUR69.5 million available under
its EUR107 million super senior RCF. In combination with forecasted
funds from operations over the next 12 months, those sources will
be sufficient to meet its working capital requirements, capex and
short-term debt. In addition, the company has access to different
non-recourse factoring programs. Moody's debt calculations for
Italmatch do not include non-recourse factoring.

ESG CONSIDERATIONS

Moody's views the chemical industry as being exposed to very high
environmental risks. In particular, regulatory changes, including
banning of products, could impact the company's earnings and cash
flow profile.

Moody's governance assessment for Italmatch incorporates its highly
leveraged capital structure, reflecting high risk tolerance of its
private equity owners. The private equity business model typically
involves an aggressive financial policy and a highly leveraged
capital structure to extract value.

STRUCTURAL CONSIDERATIONS

The Caa1 instrument rating for the EUR650 million senior secured
floating rate notes (FRNs) due September 2024 is in line with the
CFR. In Moody's waterfall assessment, the super senior RCF and
trade claims rank ahead of the FRNs. The security package of senior
FRNs comprises a pledge over the company´s bank accounts and
intercompany receivables and benefits from upstream guarantees from
most of the group's operating subsidiaries.

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

Moody's could upgrade Italmatch's rating if Moody's adjusted
leverage would remain below 7x debt-to-EBITDA, while the company
builds a track record of maintaining EBITDA generation at current
levels, and EBIT/Interest Expense remains comfortably above 1x on a
sustainable basis. An upgrade furthermore would require the company
to maintain an adequate liquidity profile and to extend the debt
maturity profile.

Moody's could downgrade ratings if Italmatch's liquidity or its
operating performance deteriorated. A downgrade would also be
likely with a lack of progress in refinancing upcoming maturities
well ahead of the due date.

LIST OF AFFECTED RATINGS

Issuer: Italmatch Chemicals S.p.A.

Affirmations:

LT Corporate Family Rating, Affirmed Caa1

Probability of Default Rating, Affirmed Caa1-PD

Senior Secured Regular Bond/Debenture, Affirmed Caa1

Outlook Actions:

Outlook, Changed To Positive From Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Chemicals
published in June 2022.

COMPANY PROFILE

Headquartered in Genova, Italy, Italmatch Chemicals S.p.A is a
global chemical additives manufacturer, with leadership in
lubricants, water & oil treatments, detergents and plastics
additives. The company operates through four distinct business
divisions: Advanced Water Solutions, Lubricant Performance
Additives, Flame Retardants and Plastic Additives and Performance
Products and Personal Care. In 2021, the company generated revenues
of around EUR600 million and company-adjusted EBITDA of EUR104
million. Since late 2018, Italmatch is majority owned by Bain
Capital.

MONTE DEI PASCHI: DBRS Confirms B(high) LongTerm Issuer Rating
--------------------------------------------------------------
DBRS Ratings GmbH confirmed the ratings of Banca Monte dei Paschi
di Siena SpA (BMPS or the Bank) including the Long-Term Issuer
Ratings of B (high) and the Short-Term Issuer Ratings of R-4. DBRS
Morningstar also confirmed the Long-Term and Short-Term Critical
Obligations Ratings (COR) at BBB (low) / R-2 (middle). The COR
reflects DBRS Morningstar's expectation that, in the event of a
resolution of the Bank, certain liabilities (such as payment and
collection services, obligations under a covered bond program,
payment and collection services, etc.) have a greater probability
of avoiding being bailed-in and are likely to be included in a
going-concern entity. The Bank's Deposit ratings were confirmed at
BB (low)/R-4, one notch above the IA, reflecting the legal
framework in place in Italy which has full depositor preference in
bank insolvency and resolution proceedings. The trend on all
ratings remains Stable. DBRS Morningstar has also maintained the
Intrinsic Assessment at B (high) and the Support Assessment at SA3.


KEY RATING CONSIDERATIONS

The confirmation of the ratings takes into account certain
improvements in BMPS's fundamentals in recent quarters. However,
the Long-Term ratings of B (high) continue to reflect the weakness
of the franchise, profitability and capital levels.

Whilst BMPS returned to profits in 2021, we continue to view the
profitability as weak whilst earnings remain volatile and pressured
by the current environment. As a result, cost efficiency remains
weaker than peers, despite the Bank's cost discipline and
restructuring. However, we also acknowledge that profitability is
less pressured than in recent years, thanks to the substantial
de-risking and the resulting lower provisioning needs.

Despite progress in the restructuring plan on the cost and asset
quality sides, we consider BMPS's franchise has suffered, notably
from legacy conduct issues, which led to higher litigation risks
linked to prior capital increases. In our view, this has
contributed to preventing a successful exit from the Italian
government ownership, as initially agreed following BMPS's
precautionary recapitalization. Negotiations with UniCredit for a
potential acquisition were unsuccessful in late 2021, leaving the
Ministry of Economy and Finance (MEF), the Bank's main owner,
without an M&A solution. In the absence of such a solution, the
Bank announced they would go ahead with a planned capital injection
of EUR 2.5 billion, which we view as key to keep the Bank afloat
and help deliver on the targets of the future business plan,
expected to be presented on June 23, 2022.

The ratings also take into account the Bank's vulnerable capital
position. In 2020, de-risking, the transfer of NPEs, the impact
from COVID-19 and higher provisions for litigation risks have
eroded BMPS capital ratios. Despite capital management actions and
the Bank's return to profits in 2021, the expected increase of
risk-weighted assets (RWAs) and IFRS 9 phased-in could lead to a
capital shortfall on the Tier 1 ratio by end-Q1 2023. However, we
expect BMPS to benefit from the planned EUR 2.5 billion capital
injection included in its capital plan presented to the ECB in Q1
2022.

The ratings also incorporate the Bank's stabilized funding and
liquidity profile, although BMPS did not access the wholesale
capital markets in 2021 and Q1 2022 as issuances remains expensive
for the Bank pending the capital increase.

Finally, the ratings are underpinned by the much cleaner asset
quality profile since the large transfer of non-performing
exposures (NPE) to the Italian state-owned bad loan manager Asset
Management Co. SpA (AMCO) in Q4 2020. We now view asset quality
metrics as more in line with domestic peers. Nevertheless, we
believe uncertainty remains regarding the full effect of the
COVID-19 pandemic on asset quality. In addition, the macroeconomic
outlook has been made less clear by Russia's invasion of Ukraine,
although BMPS has no direct exposure to Russia and Ukraine

RATING DRIVERS

An upgrade would require the Bank to restore adequate capital
buffers through the planned recapitalization, continue to reduce
the pending litigation issues and demonstrate recurrent
profitability whilst maintaining current asset quality metrics.

A downgrade would occur should the recapitalization fail or should
the bank capital ratios fall below regulatory requirements.

RATING RATIONALE

Franchise Combined Building Block (BB) Assessment: Moderate/Weak

BMPS is Italy's fourth largest bank by total assets and has a
significant market share in its home region of Tuscany. The Bank is
currently undertaking a restructuring plan for 2017-2021, following
the approval of the Italian State's precautionary recapitalization
of the Bank in 2017. As part of this plan, BMPS has continued to
improve efficiency with the closure of branches and headcount
reduction. In addition, the Bank has substantially reduced NPEs,
including the EUR 7 billion of NPEs to AMCO in 2020 which, combined
with organic reduction, has resulted in a cleaner balance-sheet.
The transfer was essential for the Italian Ministry of Finance
(MEF), which is BMPS's main shareholder with a 64% stake, to find
an exit solution. However, we also recognize that the Bank's
franchise has suffered reputational damage from legacy conduct
issues, in particular litigation risk linked to prior capital
increases. After failed negotiations between the Italian government
and UniCredit to privatize BMPS, the Bank will proceed with a
capital increase at market conditions, with a pro-rata
participation by the MEF. We understand this will be announced on
June 23, 2022 with the release of BMPS's new strategic plan. We
also note BMPS has had some changes in its senior management team
with Luigi Lovaglio becoming the new CEO on February 7, 2022 and
Andrea Maffezzoni the new CFO on June 14, 2022.

Earnings Combined Building Block (BB) Assessment: Very Weak

Whilst BMPS returned to profits in 2021, we view its profitability
as weak. In 2021, the Group reported net attributable income of EUR
309.5 million compared to a EUR 1.7 billion loss a year ago.
Results were supported by lower provisions as well as resilient
core revenues and lower operating expenses. In Q1 2022, the Group
reported net attributable income of EUR 9.7 million, down from EUR
119.3 million in Q1 2021. This was a result of higher provisions
and lower revenue generation, mainly on lower profits from the sale
of securities despite higher core revenues. Operating costs
remained under control, down 0.9% YoY, thanks to the Bank's strong
cost discipline. However, the cost to income ratio remains higher
than peers, due to revenue pressure. Loan loss provisions were up
50.5% YoY, as a result of higher NPL coverage. As a result, the
cost of risk was 56 bps compared to 36 bps a year ago.

Risk Combined Building Block (BB) Assessment: Weak/Very Weak

The Group's asset quality improved significantly following the
transfer of over EUR 7 billion of NPEs to AMCO in Q4 2020. Since
then, the Group's gross and net NPL ratios have remained fairly
stable, standing at 4.8% and 2.3% at end-March 2022.

Funding and Liquidity Combined Building Block (BB) Assessment:
Moderate

Whilst BMPS's funding position has stabilized in recent years, the
bank has not accessed the wholesale markets as issuances remain
expensive. This is however mitigated by the planned EUR 2.5 billion
capital injection which will allow the bank to meet capital
requirements such as MREL. BMPS is largely funded by deposits from
retail and corporate clients.. At end-March 2022, the Bank
maintained an acceptable liquidity position with an unencumbered
counterbalancing capacity of EUR 25.0 billion, corresponding to
circa 19% of the Bank's total assets. The LCR and NSFR were
reported at above 186% and 136% respectively at end-March 2022.

Capitalization Combined Building Block (BB) Assessment: Weak/Very
Weak

Whilst BMPS's capital position improved following the prior
precautionary recapitalization and burden-sharing with the holders
of its subordinated bonds, we continue to view the Bank's current
capital buffers as very weak. De-risking, the transfer of NPEs to
AMCO, the impact from COVID-19 and provisions for litigation risks
have contributed to lower capital ratios. Incorporating the planned
capital reduction due to the IFRS 9 phasing-in and taking into
account the impact expected higher risk-weighted assets (RWAs)
subsequent to changes in the credit risk measurement models, BMPS
estimates that a shortfall of around EUR 500 million could
materialize in Tier 1 capital at end-March 2023 without any
remedial action. Nevertheless, we note this shortfall has reduced
from EUR 1.5 billion initially anticipated in November 2020, thanks
to the Bank returning to profits and executing several capital
management actions. To resolve this, BMPS will proceed to a capital
strengthening estimated at EUR 2.5 billion which the Bank included
in its capital plan presented to the ECB in Q1 2022, at market
conditions and including a pro-rata participation of the MEF. At
end-March 2022, BMPS reported a fully loaded Common Equity Tier 1
(CET 1) ratio of 10.8%, down 20 bps from end-2021, mainly resulting
from FVTOCI reserves and a slight RWA increase. The phased-in CET 1
ratio of 11.6% at end Q1-2022 continues to provide the Group with
an adequate buffer over the Overall Capital Requirement (OCR) for
CET1 (phased-in) ratio of 8.8%. The fully loaded and phased-in
Total capital ratios stood at 14.5% and 15.3% at end-March 2022,
which provides a weak buffer over the minimum OCR for total capital
of 13.5%. A shortfall could potentially materialize for the Tier 1
ratio which stood at 11.6% (phased-in) at end-March 2022 compared
to a SREP of 10.81%.

Notes: All figures are in EUR unless otherwise noted.


POP NPL 2019: DBRS Confirms CCC Rating on Class B Notes
-------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the Class A and Class B
Notes issued by POP NPLs 2019 S.r.l. (the Issuer) at BBB (sf) and
CCC (sf), respectively. The trends on both ratings remain
Negative.

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 the ultimate
payment of principal on or before the legal final maturity date and
the rating on the Class B Notes addresses the ultimate payment of
principal and interest. DBRS Morningstar does not rate the Class J
Notes.

As of January 1, 2019 cut-off date, the Notes were backed by a EUR
826.7 million portfolio consisting of secured and unsecured Italian
nonperforming loans (NPLs) sold by 12 Italian banks to the Issuer.

Prelios Credit Solutions S.p.A. (Prelios) and Fire S.p.A. (Fire;
together with Prelios, the Servicers) service the receivables. The
master servicer is Prelios Credit Servicing S.p.A. and Banca
Finanziaria Internazionale (Banca Finint; formerly Securitization
Services S.p.A.) operates as the backup servicer in the
transaction.

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 Servicers' 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 Servicers' updated business plan as of December 2021, which
was received in May 2022, and the comparison with the initial
collection expectations.

-- Portfolio characteristics: loan pool composition as of March
2022 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 net collection
ratio or the net present value cumulative profitability ratio are
lower than 90%. These triggers were not breached on the February
2022 interest payment date, with the actual figures at 127.2% and
146.0%, respectively, according to the Servicers.

-- Liquidity support: the transaction benefits from an amortizing
cash reserve providing liquidity to the structure covering
potential interest shortfall on the Class A Notes and senior fees.
The cash reserve target amount is equal to 4.5% of the Class A
Notes principal outstanding balance and is currently fully funded.

TRANSACTION AND PERFORMANCE

According to the latest investor report from February 2022, the
outstanding principal amounts of the Class A, Class B, and Class J
Notes were EUR 121.9 million, EUR 25.0 million, and EUR 5.0
million, respectively. As of the February 2022 payment date, the
balance of the Class A Notes had amortized by approximately 29.5%
since issuance and the current aggregated transaction balance was
EUR 151.9 million.

As of December 2021, the transaction was performing above the
Servicers' business plan expectations. The actual cumulative gross
collections equaled EUR 71.8 million whereas the Servicers' initial
business plan estimated cumulative gross collections of EUR 52.5
million for the same period. Therefore, as of December 2021, the
transaction was overperforming by EUR 19.3 million (36.7%) compared
with the initial business plan expectations.

At issuance, DBRS Morningstar estimated cumulative gross
collections of EUR 38.9 million at the BBB (sf) stressed scenario
for the same period and EUR 45.4 million at the CCC (sf) stressed
scenario. Therefore, as of December 2021, the transaction was
performing above DBRS Morningstar's initial stressed expectations.

Pursuant to the requirements set out in the receivable servicing
agreement, in May 2022, the Servicers provided DBRS Morningstar
with a revised semiannual business plan combined with the actual
cumulative collections as of December 2021. The updated portfolio
business plan, combined with the actual cumulative gross
collections of EUR 71.8 million as of December 2021, results in a
total of EUR 272.6 million, which is 3.0% lower than the total
gross disposition proceeds of EUR 281.2 million estimated in the
initial business plan. Excluding actual collections as of December
2021, the Servicers' expected future collections from January 2022
account for EUR 200.8 million. The updated DBRS Morningstar BBB
(sf) rating stress assumes a haircut of 20.5% to the Servicers'
updated business plan, considering future expected collections from
January 2022. In DBRS Morningstar's CCC (sf) scenario, DBRS
Morningstar only adjusted the updated Servicers' forecast in terms
of actual collections to date and timing of future expected
collections.

The final maturity date of the transaction is in February 2045.

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.


POP NPL 2020: DBRS Confirms CCC Rating on Class B Notes
-------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the Class A and Class B
Notes issued by POP NPLs 2020 S.r.l. (the Issuer) at BBB (sf) and
CCC (sf), respectively, and assigned Positive trends.

At the same time, DBRS Morningstar removed the Under Review with
Positive Implications status from the notes, which was assigned on
March 15, 2022.

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 the ultimate
payment of principal on or before the legal final maturity date.
The rating on the Class B Notes addresses the ultimate payment of
principal and interest. DBRS Morningstar does not rate the Class J
Notes.

At issuance, the Notes were backed by a EUR 919.9 million portfolio
by gross book value of Italian secured and unsecured nonperforming
loans originated and sold to the Issuer by 15 Italian banks (the
Sellers).

The receivables are serviced by Fire S.p.A. (Fire) and Special
Gardant S.p.A. (Gardant; together with Fire, the Special
Servicers), Master Gardant S.p.A. (Master Gardant) acts as the
master servicer while Banca Finanziaria Internazionale S.p.A.
(Banca Finint) has been appointed as backup servicer.

RATING RATIONALE

The confirmations follow a review of the transaction and are based
on the following analytical considerations:

-- Transaction performance: assessment of portfolio recoveries as
of March 31, 2022, focusing on: (1) a comparison between actual
collections and the Servicers' 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 Servicers' updated business plan as of December 2021, which
was received in April 2022, and the comparison with the initial
collection expectations.

-- Portfolio characteristics: loan pool composition as of March
2022 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 net collection
ratio or the net present value cumulative profitability ratio are
lower than 90%. These triggers were not breached on the May 2022
interest payment date, with the actual figures at 173.3% and
118.4%, respectively, according to the Servicers.

-- Liquidity support: the transaction benefits from an amortizing
cash reserve providing liquidity to the structure covering
potential interest shortfall on the Class A Notes and senior fees.
The cash reserve target amount is equal to 4% of the Class A Notes
principal outstanding balance and is currently fully funded.

TRANSACTION AND PERFORMANCE

According to the latest investor report from May 2022, the
outstanding principal amounts of the Class A, Class B, and Class J
Notes were EUR 174.9 million, EUR 25.0 million, and EUR 10.0
million, respectively. As of the May 2022 payment date, the balance
of the Class A Notes had amortized by approximately 27.6% since
issuance and the current aggregated transaction balance was EUR
209.9 million.

As of March 2022, the transaction was performing above the
Servicers' business plan expectations. The actual cumulative gross
collections equaled EUR 80.8 million whereas the Servicers' initial
business plan estimated cumulative gross collections of EUR 46.3
million for the same period. Therefore, as of March 2022, the
transaction was overperforming by EUR 34.5 million (74.5%) compared
with the initial business plan expectations.

At issuance, DBRS Morningstar estimated cumulative gross
collections of EUR 37.9 million at the BBB (sf) stressed scenario
for the same period and EUR 41.2 million at the CCC (sf) stressed
scenario. Therefore, as of March 2022, the transaction was
performing above DBRS Morningstar's initial stressed expectations.

Pursuant to the requirements set out in the receivable servicing
agreement, in April 2022, the Servicers provided DBRS Morningstar
with a revised portfolio business plan combined with the actual
cumulative collections as of December 2021. The updated portfolio
business plan, combined with the actual cumulative gross
collections of EUR 67.7 million as of December 2021, results in a
total of EUR 385.5 million, which is 2.8% lower than the total
gross disposition proceeds of EUR 396.8 million estimated in the
initial business plan. Excluding actual collections, the Servicers'
expected future collections from April 2022 account for EUR 309.0
million. The updated DBRS Morningstar BBB (sf) rating stress
assumes a haircut of 24.8% to the Servicers' updated business plan,
considering future expected collections from April 2022. In DBRS
Morningstar's CCC (sf) scenario, DBRS Morningstar only adjusted the
updated Servicers' forecast in terms of actual collections to date
and timing of future expected collections.

Considering the faster than expected collections and the high
profitability ratio registered since issuance as well as the
increased subordination, the rated bonds now pass higher rating
stresses in the cash flow analysis. However, considering the early
stage of the transaction DBRS Morningstar does not yet deem this
performance trend to be sustainable in the medium to long term and
confirmed the current rating assigned to the Class A Notes.
However, considering the current overperformance and the
profitability level of the transaction, a positive rating trend was
assigned to the notes.

The final maturity date of the transaction is in November 2045.

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.


POPOLARE BARI 2017: DBRS Confirms C Rating on Class B Notes
-----------------------------------------------------------
DBRS Ratings GmbH took the following rating actions on the notes
issued by Popolare Bari NPLs 2017 S.r.l. (the Issuer):

-- Class A confirmed at CCC (low) (sf) and maintained a Negative
trend

-- Class B confirmed at C (sf) and maintained a Stable trend

The transaction represents the issuance of Class A, Class B, and
Class J notes (collectively, the Notes). The rating of the Class A
notes addresses the timely payment of interest and the ultimate
payment of principal on or before the legal final maturity date in
October 2037. The rating of the Class B notes addresses the
ultimate payment of interest and principal on or before the legal
final maturity date.

Given the characteristics of the Class B notes, as defined in the
transaction documents, DBRS Morningstar notes that the default
would most likely only be recognized at the maturity or early
termination of the transaction.

At issuance, the Notes were backed by an Italian nonperforming loan
(NPL) portfolio originated by Banca Popolare di Bari S.c.p.A. and
Cassa di Risparmio di Orvieto S.p.A. (the Originators). The total
gross book value (GBV) of the portfolio as of November 2017 (the
Cut-off Date) was equal to EUR 319.8 million. The pool of
receivables was composed of secured and unsecured loans
(approximately 56.1% and 43.9% of GBV, respectively) and mostly
comprising exposures towards corporate borrowers and Italian small
and medium-size enterprises (SMEs). The collateral properties
mainly included residential and industrial properties, accounting
for 41.2% and 15.9% of the total property value, respectively.

The portfolio is serviced by Prelios Credit Servicing S.p.A., while
Securitization Services S.p.A. operates as backup servicer.

RATING RATIONALE

The confirmations follow a review of the transaction and are based
on the following analytical considerations:

-- Transaction performance: assessment of portfolio recoveries as
of March 31, 2022, 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 May 2022, and the comparison with the initial
collection expectations.

-- Portfolio characteristics: loan pool composition as of March
2022 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 full repayment of the Class B notes).

-- Performance ratios and underperformance events: as per the most
recent April 2022 investor report, the cumulative collection ratio
is 41.3% and the present value (PV) cumulative profitability ratio
is 89.9%. Since the October 2021 interest payment date, the 90%
limit for PV cumulative profitability ratio has been breached, so
that Class B interest payments are subordinated to the
repayment of the Class A principal.

-- Liquidity support: the transaction benefits from an amortizing
cash reserve providing liquidity to the structure covering
potential interest shortfall on the Class A notes and senior fees.
The cash reserve target amount is equal to 4% of the Class A notes
principal outstanding and is currently fully funded.

TRANSACTION AND PERFORMANCE

According to the latest investor report from April 2022, the
outstanding principal amounts of the Class A, Class B, and Class J
notes were EUR 62.6 million, EUR 10.1 million, and EUR 13.5
million, respectively. As of the April 2022 payment date, the
balance of the Class A notes has amortized by 22.6% since issuance
and the current aggregated transaction balance is EUR 86.2
million.

As of March 2022, the transaction was performing below the
Servicer's business plan expectations. The actual cumulative gross
collections equaled EUR 30.3 million whereas the Servicer's initial
business plan estimated cumulative gross collections of EUR 73.4
million for the same period. Therefore, as of March 2022, the
transaction was underperforming by EUR 43.1 million (-58.7%)
compared with the initial business plan expectations.

At issuance, DBRS Morningstar estimated cumulative gross
collections for the same period of EUR 43.4 million at the BBB
(low) (sf) stressed scenario and EUR 46.5 million at the B (low)
(sf) stressed scenario. Therefore, as of March 2022, the
transaction was performing below DBRS Morningstar's initial
stressed expectations.

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

The updated portfolio business plan, combined with the actual
cumulative gross collections of EUR 27.4 million as of September
2021, results in a total of EUR 84.7 million, which is 29.6% lower
than the total gross disposition proceeds of EUR 120.4 million
estimated in the initial business plan. The servicer has been
underperforming its updated business plan in the past semester.

Excluding actual collections, the Servicer's expected future
collections from April 2022 are now accounting for EUR 51.5
million, which is less than the current aggregated outstanding
balance of the Class A and Class B notes. In its CCC (low) (sf)
scenario, DBRS Morningstar considers future collections in line
with the Servicer's updated expectations. Considering senior costs,
interest due on the notes and the non-occurrence of the
subordination event, the full repayment of Class A principal is
increasingly unlikely.

Notes: All figures are in euros unless otherwise noted.


SESTANTE FINANCE 4: S&P Affirms 'D' Rating on Class B Notes
-----------------------------------------------------------
S&P Global Ratings raised to 'A- (sf)' from 'BBB- (sf)' its credit
rating on Sestante Finance S.r.l.series 4's class A2 notes. At the
same time, S&P affirmed its 'D (sf)' ratings on the class B, C1,
and C2 notes.

The rating actions follow its credit and cash flow analysis of the
most recent transaction information that it has received, as of the
April 2022 payment date.

As of this review, severe delinquencies of more than 90 days were
at 1.5%, down from 5.7% at our previous review. Total arrears have
decreased to 2.4% from 8.0% over the same period. This transaction
defines defaults as mortgage loans in arrears for more than 12
months. Cumulative defaults are 20.8%, compared with 19.9% as of
our previous review.

S&P said, "After applying our global RMBS criteria, our credit
analysis results show a sharp decrease in the weighted-average
foreclosure frequency (WAFF) compared with our previous review,
mainly driven by lower arrears and increased seasoning. Our
analysis also shows a decrease in the weighted-average loss
severity (WALS) at all ratings, driven by a decrease in the
weighted-average current loan-to-value ratio. The overall effect is
a decrease in the required credit coverage for all ratings."

  Credit Analysis Results

                       APRIL 2022               APRIL 2021

  RATING LEVEL     WAFF (%)     WALS (%)     WAFF (%)    WALS (%)

   AAA             22.58        19.04        27.93       21.37

   AA              17.84        15.99        22.49       18.26

   A               15.45        10.02        19.47       12.28

   BBB             13.05         6.90        16.42        9.27

   BB              10.63         4.76        13.29        7.18

   B               10.02         2.91        12.51        5.26

  WAFF--Weighted-average foreclosure frequency.
  WALS--Weighted-average loss severity.

The available credit enhancement for the class A2 notes has
slightly decreased by 21 basis points since S&P's previous review
due to the slight increase of the unpaid principal deficiency
ledger, but this is more than offset by lower WAFFs.

The reserve fund has not been replenished since its depletion in
August 2009.

S&P said, "Our ratings on Sestante Finance's series 4 are capped at
the resolution counterparty rating (RCR) on the swap counterparty
(Commerzbank AG), which is 'A- (sf)', because the swap documents do
not contain downgrade provisions in line with our counterparty
criteria and consequently we assessed the collateral framework as
weak. Additionally, our sovereign risk criteria cap the rating on
the class A2 notes at 'A+ (sf)'.

"Considering the results of our updated credit and cash flow
analysis, the available credit enhancement for the class A2 notes
of 8.05% can support a higher rating than that currently assigned.
Additionally, this class of notes can achieve a higher rating under
the additional stresses we apply in a scenario with slow
recoveries. However, our counterparty risk criteria cap at 'A-
(sf)' our ratings on the notes. We therefore raised to 'A- (sf)'
from 'BBB- (sf)' our rating on the class A2 notes.

"The class C1 and C2 notes breached the interest deferral trigger
in October 2013, and the class B notes breached it in October 2016.
After these breaches, we lowered to 'D (sf)' our ratings on these
classes of notes. As interest on the class B, C1, and C2 notes
remains unpaid, we affirmed our 'D (sf)' ratings on these classes
of notes.

"We acknowledge 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. The 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, we will update our
assumptions and estimates accordingly."

This transaction does not have direct exposure to collateral in the
conflict region. Collateral-related pressures could, therefore,
only come to bear through second-round effects, such as lower
economic growth and higher inflation hurting consumers' ability to
service their debt. However, S&P's doesn't see this as a material
risk in the short term.

Sestante Finance's series 4 is an Italian RMBS transaction, which
closed in December 2006. It is backed by a pool of residential
mortgage loans originated by Meliorbanca SpA.




=========
M A L T A
=========

MELITA LIMITED: S&P Affirms 'B' ICR on High Network Investments
---------------------------------------------------------------
S&P Global Ratings affirmed its 'B' issuer credit rating on
Malta-based telecommunications services provider Melita Limited, as
well as its 'B' ratings on the EUR275 million term loan and EUR20
million undrawn revolving credit facilities (RCF) issued at Melita
Ltd.

The stable outlook balances anticipated improvements in revenue and
adjusted EBITDA strengthening to EUR58 million-EUR62 million in
2022, with still-modest FOCF to debt due to planned network
investments over the coming 12-18 months.

Melita is poised for continued strong performance over the next 12
months.

This factors in Melita's track record of resilience and sound
operating performance throughout the COVID-19 pandemic and into
2022 as more customers opt for higher-speed products. This trend
should continue thanks to Melita's sizable market shares in Malta.
Melita is the market leader in fixed broadband, holding 48.5% of
the market, and is a strong player in pay-TV, with a market share
of 61.8%. Melita deleveraged to S&P Global Ratings-adjusted debt to
EBITDA of 5.3x in 2021 from 6.3x in 2020, and S&P expects growth
and high margins--amid convergence between fixed broadband and
mobile services, product bundles and speed upgrades--to further
this trend.

Melita's organic growth and improving profitability over the past
two years underpins our view of the business and its growth
prospects.Melita achieved an increase of 3% in revenue generating
units (RGUs) for broadband and an improvement in average revenue
per user in 2021, with further convergence between fixed and mobile
services (about 36% of RGUs as of end-2021), and an acceleration in
mobile postpaid. In 2021, adjusted EBITDA reached EUR56 million,
with a 61% margin, from 52% in 2020. This stemmed from Melita's
ongoing focus on cost efficiencies, which yielded a EUR3.4 million
reduction in its total cost of sales and selling and administrative
expenses.

At this time, modest FOCF, due to high growth capital expenditure
(capex)in network, limits Melita's credit metrics from
strengthening above the thresholds for the current rating. S&P
said, "We assume Melita will continue to enhance its cable
distribution network and internet services by gradually rolling out
fiber-to-the-home, with capex of around EUR33 million per year in
2022-2023. This remains relatively high at about 33%-36% of revenue
in the next two years, but the forecast capex is still lower than
the previous 2018-2020 5G upgrade cycle. Under our base case,
Melita's FOCF-to-debt ratio will remain moderate at less than 3.5%
during the next 18 months, curbing the group's potential for
further deleveraging. Moreover, Melita's limited track record of
maintaining leverage comfortably below 5x weighs on the upside
potential. That said, we do not anticipate any dividend to the
private-equity owner or significant acquisitions in 2022 that would
prompt releveraging over this period."

S&P said, "We still see Melita's scale and diversity, alongside its
concentrated exposure to Malta relative to rated peers, as possible
rating constraints.Revenue from the group's B2B and IOT
connectivity services increased moderately to EUR13 million and
EUR0.6 million, respectively, in 2021. These activities should
represent a greater portion of Melita's revenue in 2022 from a
combined 15% share currently, and they'll likely present the group
with opportunities to expand gradually beyond Malta. We assume the
group would lean on its EUR28 million of cash on balance sheet for
this expansion, as well as on resources potentially becoming
available following the intended disposal of its loss-making
business in Italy, which may occur by year-end.

"The stable outlook on Melita reflects our expectations of revenue
growth of 5.5%-7.5% and adjusted EBITDA of EUR58 million-EUR62
million in 2022, supported by broadband upgrades and convergence
between mobile and fixed. The outlook also captures still-modest
FOCF to debt because of network investments scheduled over the
coming 12-18 months.

"We could lower our rating if Melita's RGU rises materially slower
than we project, or if expansion capex into its network is higher
than expected, causing adjusted leverage to surpass 6.5x, negative
FOCF, or funds from operations (FFO) interest coverage to drop
below 3x on a prolonged basis.

"We could raise the rating over the next 12-18 months if adjusted
leverage falls significantly and sustainably below 5x, and FOCF to
debt exceeds 5%, supported by a prudent financial policy."

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

S&P said, "Governance factors are a moderately negative
consideration in our credit rating analysis of Melita Ltd. Our
assessment of the company's financial risk profile as highly
leveraged reflects corporate decision-making that prioritizes the
interests of the controlling owners, which is the case for most
rated entities owned by private-equity sponsors. Our assessment
also reflects the generally finite holding periods and a focus on
maximizing shareholder returns."




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

CONTEGO CLO II: Moody's Ups Rating on Class F-R Notes From Ba2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Contego CLO II B.V.:

EUR16,250,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2026, Upgraded to Aaa (sf); previously on Feb 14, 2022
Upgraded to Aa1 (sf)

EUR23,400,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2026, Upgraded to A1 (sf); previously on Feb 14, 2022
Upgraded to Baa1 (sf)

EUR10,800,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2026, Upgraded to Baa3 (sf); previously on Feb 14, 2022
Upgraded to Ba2 (sf)

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

EUR37,600,000 (Current outstanding amount EUR 30,625,798) Class
B-R Senior Secured Floating Rate Notes due 2026, Affirmed Aaa (sf);
previously on Feb 14, 2022 Affirmed Aaa (sf)

EUR24,250,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2026, Affirmed Aaa (sf); previously on Feb 14, 2022
Affirmed Aaa (sf)

Contego CLO II B.V., issued in November 2014 and refinanced in
August 2017, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured European loans. The
portfolio is managed by Five Arrows Managers LLP. The transaction's
reinvestment period ended in November 2018.

RATINGS RATIONALE

The rating upgrades on the Class D-R, Class E-R and Class F-R Notes
are primarily a result of the deleveraging of the Class A-R and
Class B-R Notes following amortisation of the underlying portfolio
since the last rating action in February 2022.

The Class A-R and Class B-R Notes have paid down by approximately
EUR19 million (9.1%) and EUR7 million (18.6%) since the last rating
action in February 2022 and EUR209.5 million (100.0%) and EUR7
million (18.6%) respectively since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased across the
capital structure. According to the trustee report dated February
2022 [1] the Class A/B, Class C, Class D, Class E and Class F OC
ratios are reported at 223.3%, 171.8%, 148.8%, 124.7% and 116.1%
compared to May 2022 [2] levels of 276.3%, 193.4%, 161.0%, 129.7%
and 119.1%, respectively. Moody's notes that the May 2022 principal
payments are not reflected in the reported OC ratios.

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: EUR130.34m

Defaulted Securities: none

Diversity Score: 20

Weighted Average Rating Factor (WARF): 2939

Weighted Average Life (WAL): 2.59 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.59%

Weighted Average Coupon (WAC): 0%

Weighted Average Recovery Rate (WARR): 46.19%

Par haircut in OC tests and interest diversion test: 0%

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 and swap provider,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2022.

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.




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

AUTO ABS 2022-1: DBRS Finalizes B Rating on Class E Notes
---------------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following notes issued by Auto ABS Spanish Loans 2022-1 FT (the
Issuer):

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

DBRS Morningstar did not assign a rating on the Class F Notes also
issued in this transaction.

The rating on the Class A Notes addresses the timely payment of
interest and the ultimate repayment of principal by the legal final
maturity date in February 2032. The ratings on the Class B Notes,
Class C Notes, Class D Notes, and Class E Notes (together with the
Class A Notes, the Rated Notes) address the ultimate payment of
interest and the ultimate repayment of principal by the legal final
maturity date.

This transaction represents the issuance of notes backed by a
portfolio of approximately EUR 700 million of fixed-rate
receivables related to amortizing and balloon auto loans granted by
PSA Financial Services Spain, E.F.C., S.A, (PSA or the Originator)
to private individuals residing in Spain for the acquisition of new
or used vehicles. The Originator also services the portfolio. The
Class F Notes funded the cash reserve.

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

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

-- Relevant credit enhancement in the form of subordination,
excess spread, and the availability of the cash reserve;

-- Credit enhancement levels that are sufficient to support DBRS
Morningstar's projected cumulative net losses and residual value
(RV) losses under various stressed cash flow assumptions for the
Rated Notes;

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested;

-- PSA's financial strength and its capabilities with regard to
originations, underwriting, and servicing;

-- The transaction parties' financial strength with regard to
their respective roles;

-- DBRS Morningstar's operational risk review of PSA, which it
deemed to be an acceptable servicer;

-- The credit quality of the collateral and historical and
projected performance of the seller's portfolio; and

-- The expected consistency of the transaction's legal structure
with DBRS Morningstar's "Legal Criteria for European Structured
Finance Transactions" methodology and the presence of legal
opinions that are expected to address the true sale of the assets
to the Issuer.

TRANSACTION STRUCTURE

The transaction is subject to a revolving period of seven months,
during which time the seller may offer additional receivables and
their related RV purchase option receivables. The Issuer can
purchase these receivables so long as the eligibility criteria,
global portfolio limits, and other conditions set out in the
transaction documents are met. The revolving period may end earlier
than scheduled if certain events occur, such as the breach of
performance triggers, the Originator's insolvency, or the
servicer's replacement.

The transaction allocates payments on a combined interest and
principal priority of payments basis and benefits from an
amortizing EUR 5.9 million cash reserve funded through the
subscription proceeds of the Class F Notes. The cash reserve can be
used to cover senior costs, payments under the interest rate swap
agreement, and interest on the Rated Notes. The cash reserve is
part of the Issuer's available funds.

The repayment of the Rated Notes will start after the end of the
revolving period on the first principal payment date in January
2023 on a pro rata basis unless certain events such as the breach
of performance triggers, the servicer's insolvency, or the
servicer's termination occur (Subordination Events). Under these
circumstances, the principal repayment of the Rated Notes will
become fully sequential, and the switch is not reversible. The
Class F Notes will be repaid with available funds up to their
target amortization amount.

Interest and principal payments on the notes will be made monthly
on the 28th of every month. The Rated Notes pay interest indexed to
one-month Euribor whereas the total portfolio pays a fixed-interest
rate. The interest rate risk arising from the mismatch between the
Issuer's liabilities and the portfolio is hedged through an
interest rate swap agreement provided by Banco Santander SA (Banco
Santander).

COUNTERPARTIES

The Issuer bank account is held at BNP Paribas Securities Services,
Spanish Branch (BNPSS). Based on DBRS Morningstar's private rating
on BNPSS, the downgrade provisions outlined in the transaction
documents, and structural mitigants inherent in the transaction
structure, DBRS Morningstar considers the risk arising from the
exposure to BNPSS 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.

Banco Santander is the swap counterparty for the transaction. DBRS
Morningstar's public Long-Term Issuer Rating on Banco Santander is
at A (high) with a Stable trend. The hedging documents are expected
to contain downgrade provisions consistent with DBRS Morningstar's
criteria.

Notes: All figures are in euros unless otherwise noted.


BBVA CONSUMER 2018-1: DBRS Confirms BB Rating on Class D Notes
--------------------------------------------------------------
DBRS Ratings GmbH took the following rating actions on the notes
issued by BBVA Consumer Auto 2018-1 FT (the Issuer):

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

The rating of the Class A Notes addresses the timely payment of
interest and ultimate payment of principal on or before the legal
final maturity date in July 2031. The rating of the Class B Notes
addresses the ultimate payment of interest and principal by the
legal final maturity date and the timely payment of interest once
they become the most senior outstanding class of notes in the
transaction. The ratings of the Class C and D notes address the
ultimate payment of interest and principal by the legal final
maturity date.

The rating actions follow an annual review of the transaction and
are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses, as of the April 2022 payment date.

-- 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 Spanish unsecured vehicle
loans originated and serviced by Banco Bilbao Vizcaya Argentaria,
S.A. (BBVA). The portfolio comprises loans to finance the purchase
of new and used vehicles. The transaction closed in June 2018 and
had a revolving period that ended in January 2020.

PORTFOLIO PERFORMANCE

As of the April 2022 payment date, loans that were 30 days to 60
days delinquent and 60 days to 90 days delinquent represented 1.0%
and 1.2% of the portfolio balance, respectively, from 1.2% and
0.7%, respectively, at the time of the last annual review. The
cumulative gross default ratio was 2.5% of the aggregate original
portfolio, up from 2.0% last year, with cumulative principal
recoveries of 40.4% to date.

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 7.4% and 59.2%, respectively.

CREDIT ENHANCEMENT

Subordination of the junior notes provides credit enhancement. As
of the April 2022 payment date, the Class A, Class B, Class C, and
Class D Notes credit enhancement increased to 29.4%, 21.9%, 11.3%,
and 7.7% from 18.0%, 13.4%, 6.8%, and 4.8%, respectively, one year
ago.

The upgrade in credit enhancements prompted the aforementioned
rating actions.

The transaction benefits from a cash reserve, currently at the
target level of EUR 1.4 million, equating to 0.50% of the
outstanding balance of the Class A, Class B, and Class C notes. The
cash reserve covers senior fees and provides liquidity support to
the Class A, Class B, and Class C notes.

BBVA acts as the account bank for the transaction. Based on the
account bank reference rating of A (high) on BBVA (which is one
notch below its DBRS Morningstar Long Term Critical Obligations
Rating of AA (low)), 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.

Notes: All figures are in euros unless otherwise noted.




===========
S W E D E N
===========

SAS AB: Pilot Strike Threatens Bridge Financing Efforts
-------------------------------------------------------
Helena Soderpalm, Anna Ringstrom, Johan Ahlander and Stine Jacobsen
at Reuters report that SAS said on July 14 a pilot strike now in
its 11th day threatened the airline's ability to access bridge
financing without which it may be forced to radically downsize or
could collapse.

SAS and unions were locked in more talks on July 14 to end a strike
among most of its pilots at the peak of the holiday travel season,
over conditions related to the Scandinavian carrier's rescue plan,
Reuters relates.

"The strikes . . . threaten the company's ability to ultimately
successfully raise critically needed near-term and long-term
capital to fund the company's successful reorganisation," Reuters
quotes SAS as saying in a statement.

"In such an event, the company will need to consider selling
valuable strategic assets under duress while also radically
downsizing SAS's operations and fleet."

Talks between SAS and pilot unions on Thursday were due to run
until 2000 GMT at the latest, mediator Jan Sjolin said, Reuters
notes.

                About Scandinavian Airlines

SAS AB is Scandinavia's leading airline.  It has main hubs in
Copenhagen, Oslo and Stockholm, and flies to destinations in
Europe, USA and Asia.  In addition to flight operations, SAS offers
ground handling services, technical maintenance and air cargo
services.  SAS is a founder member of the Star Alliance, and
together with its partner airlines offers a wide network worldwide.
On the Web: https://www.sasgroup.net

SAS AB and its affiliates, including Scandinavian Airlines Systems
Denmark-Norway-Sweden and Scandinavian Airlines of North America
Inc., sought protection under Chapter 11 of the U.S. Bankruptcy
Code (Bankr. S.D.N.Y. Case No. 22-10925) on July 5, 2022.  In the
petition filed by Erno Hilden, as authorized representative, the
Debtor SAS AB estimated assets between $10 billion and $50 billion
and liabilities between $1 billion and $10 billion.

Weil, Gotshal & Manges LLP is serving as global legal counsel and
Mannheimer Swartling Advokatbyra AB is serving as Swedish legal
counsel to SAS. Seabury Securities LLC and Skandinaviska Enskilda
Banken AB are serving as investment bankers, Seabury is also
serving as restructuring advisor.  FTI Consulting is serving as
financial advisor.  Kroll Restructuring Advisors is the claims
agent.




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

AA BOND: S&P Affirms 'B+' Rating on Class B3-Dfrd Notes
-------------------------------------------------------
S&P Global Ratings assigned its 'BBB- (sf)' credit rating to AA
Bond Co. Ltd.'s class A10 notes. S&P's rating on these senior notes
addresses the timely payment of interest and the ultimate payment
of principal by the legal final maturity date. The class A10 notes'
expected maturity date will be in July 2029 and the notes rank pari
passu with the other outstanding class A notes. At the same time,
S&P affirmed its 'BBB-' (sf)' ratings on the outstanding class A2,
A7, A8, and A9 notes and its 'B+ (sf)' rating on the outstanding
class B3-Dfrd notes.

S&P also affirmed its rating on the class A6 notes, based on their
full repayment with the proceeds of the class A10 notes one day
later.

The issuer used the class A10 notes' gross proceeds to redeem the
existing GBP250 million class A6 notes. In the absence of any
exchange of the class A2 and A7 notes, their balance remained
unchanged. Since S&P assigned preliminary ratings to this
transaction, the borrower has not made any other notable structural
changes.

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

The transaction will likely qualify for the appointment of an
administrative receiver under the U.K. insolvency regime. An
obligor default would allow the noteholders to gain substantial
control over the charged assets prior to an administrator's
appointment, without necessarily accelerating the secured debt,
both at the issuer and borrower levels.

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

S&P's ratings on the class A notes are based primarily on its
ongoing assessment of the borrowing group's underlying business
risk profile (BRP), the integrity of the transaction's legal and
tax structure, and the robustness of operating cash flows supported
by structural enhancements.

Business risk profile

S&P does not see material changes in business fundamentals for AA
Intermediate Co. relative to its existing BRP assessment, which
would remain unchanged at satisfactory. S&P's BRP assessment is
based on the factors outlined below.

Key Credit Considerations

Leading market position

-- With about 40% and 50% market share in the B2C and B2B roadside
segments, respectively, the AA is the market leader in the U.K.'s
roadside breakdown services industry.

Membership-based business model

-- The AA had about 3.2 million paid members in the B2C roadside
segment and about 8.8 million paid members in the B2B roadside
segment in FY2022. Retention rates in the B2C segment are
approximately 81% and it retained or extended all its key contracts
in the B2B segment in FY2022. This membership-based business model
provides good cash flow visibility, despite some churn in
membership base, and potential renewal risk for the longer-term B2B
contracts.

Relatively high barriers to entry

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

Strong profitability

-- Underpinned by above average absolute profitability, with
EBITDA adjusted margins historically in the 30%-35% range. That
said, S&P expects a slight weakening in margins towards the lower
end of the range over the next two years, because of the higher
exceptional costs in FY2023 and FY2024. However, absent major
operational issues related to the program's implementation, these
should remain comfortably above the 25% margin threshold S&P would
expect from the group and supportive of the group's satisfactory
business risk profile.

Limited scale

-- Despite the significant advantage in terms of size relative to
its direct competitors, S&P views this base as relatively small
compared with peers from across other business services sectors.

Limited service diversification and weak geographic
diversification

-- The roadside segment accounted for about 87% of the group's
revenue base and 90% of EBITDA in FY2022. The AA derives its
revenues solely in the U.K.

Moderate customer concentration

-- Top 10 B2B clients account for about 15% of the group's revenue
in that segment.

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

DSCR analysis

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

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

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

Base-case scenario

S&P said, "Our base-case EBITDA and operating cash flow projections
in the short term and the company's satisfactory BRP rely on our
corporate methodology. We gave credit to growth through the end of
FY2024. Beyond FY2024, our base-case projections are based on our
methodology and assumptions for corporate securitizations, from
which we then apply assumptions for capital expenditures (capex),
finance leases, pension liabilities, and taxes to arrive at our
projections for the cash flow available for debt service." For AA
Intermediate Co., S&P's assumptions were:

-- Maintenance capex (including net finance leases): GBP62 million
for FY2023 and GBP63 million for FY2024. Thereafter, S&P assumes
GBP35 million, in line with the transaction documents' minimum
requirements.

-- Development capex: GBP39 million for FY2023 and GBP30 million
for FY2024. Thereafter, because S&P assumes no growth, it
considered no investment capex, in line with its corporate
securitization criteria.

-- Working capital: A net outflow of GBP6 million for FY2023
followed by net inflows of GBP5 million in FY2024. Thereafter, S&P
assumes that the change in working capital is nil.

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

-- Tax: GBP11 million for FY2023 and GBP29 million for FY2024.
Thereafter, S&P considered slightly higher tax exposure.

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

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

Downside DSCR analysis

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

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

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

Modifiers analysis

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

Comparable rating analysis

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

Counterparty risk

S&P's 'BBB- (sf)' rating on the class A10 note is not constrained
by the ratings on any of the counterparties, including the
liquidity facility, derivative, and bank account providers.

Eligible investments

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

Rationale for the class B3-Dfrd notes

S&P said, "Our rating on the class B3-Dfrd notes only addresses the
ultimate repayment of principal and interest on or before its legal
final maturity date in July 2050. The class B3-Dfrd notes are
structured as soft-bullet notes due in July 2050, but with interest
and principal due and payable to the extent received under the B3
loan. Under the terms and conditions of the class B3 loan, if the
loan is not repaid on its expected maturity date (January 2026),
interest and principal will no longer be due and will be deferred.
The deferred interest, and the interest accrued thereafter, becomes
due and payable on the final maturity date of the class B3-Dfrd
notes in 2050. Our analysis focuses on the scenarios in which the
underlying loans are not repaid on their EMD and the corresponding
notes are not redeemed. We understand that the obligors will not be
permitted to make payments under the class B3 issuer/borrower
facility agreement. Therefore, we assume that the class B3 notes do
not receive interest after the class A7 EMD, receiving no further
payments until the class A notes are fully repaid.

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

"Our view of the borrowing group's standalone creditworthiness has
not changed. Therefore, we have affirmed our 'B+ (sf)' rating on
the class B3-Dfrd notes."

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

Outlook

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

Upside scenario

S&P said, "We do not see any upside scenario at this stage in
relation to our assessment of the borrowing group's BRP, which is
constrained by the group's weak geographic and service
diversification, and its exposure to the insurance broker business.
Furthermore, our rating on the class A10 notes is capped at
'BBB-(sf)' under our eligible investments criteria."

Downside scenario

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

"We may also consider lowering our rating on the class A notes if
our minimum projected DSCR falls below 1.4:1 in our base-case
scenario or 1.8:1 in our downside scenario. This could happen if
the cash flow available for debt service declines beyond our
expected base case level.

"We could also lower the rating on the class B3 notes if there was
a deterioration in our assessment of borrower's overall
creditworthiness, which reflects its financial and operational
strength over the short-to-medium term. This could occur, for
example, if there is a material decline in profitability or if the
group loses significant market share to its competitors, resulting
in weaker free operating cash flow and higher leverage; or if the
group pursued aggressive financial policy."

Surveillance

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

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

  Ratings List

  CLASS      RATING*     BALANCE (MIL. GBP)

  RATING ASSIGNED

  A10        BBB- (sf)     250.0

  RATINGS AFFIRMED

  A2         BBB- (sf)     500.0

  A6§        BBB- (sf)     250.0

  A7         BBB- (sf)     550.0

  A8         BBB- (sf)     325.0

  A9         BBB- (sf)     270.0

  B3-Dfrd    B+ (sf)       280.0

*S&P's ratings on the class A notes address the timely payment of
interest and the ultimate payment of principal on the legal final
maturity date.


ABERLA GROUP: Svella Buys Two Companies Following Administration
----------------------------------------------------------------
Grant Prior at Construction Enquirer reports that investment and
acquisition specialist Svella has purchased two Aberla Group
companies after the utilties business fell into administration
earlier this week.

According to Construction Enquirer, the move will safeguard 19 jobs
at the Warrington based specialist as Svella strengthens its
infrastructure division.

Svella bought the telecoms, plant hire, transport and accommodation
operations of failed contractor nmcn out of administration last
year, Construction Enquirer relates.

And former nmcn CEO Lee Marks is now a director of Svella,
Construction Enquirer discloses.

"Having suffered extremely difficult times the Aberla board was
required to make some difficult decisions," Construction Enquirer
quotes Jason Elliott, joint administrator and partner at Cowgills,
as saying.

"However, with our guidance, their backing and the unwavering
interest shown by Svella Plc, we were able to successfully complete
these deals thereby ensuring the continuity of 19 jobs.  I wish
Svella Plc and everyone associated the very best for the future."


BLEIKER'S SMOKEHOUSE: Owed GB2.8MM+ at Time of Administration
-------------------------------------------------------------
Tom Keighley at Business Live reports that new documents indicate
that smoked salmon brand Bleiker's Smokehouse owed more than GBP2.8
million when it went into administration earlier this year before
being acquired.

According to Business Live, the Leeming Bar-based business has now
reportedly been bought by US-based Seriously Fish following a
troubled period in which the loss of a major supermarket contract
spurred its collapsed and a fraud investigation was launched into
the company over concerns about country of origin claims on some of
the brand's products.

The National Food Crime Unit confirmed to Business Live that the
investigation -- which has so far prompted one arrest -- is still
ongoing, Business Live notes.  Administrators at FRP confirmed that
in late March, Bleiker's largest supermarket customer, accounting
for 50% of its sales, abruptly pulled its products from the shelves
and cancelled orders over doubts about provenance of Bleiker's
foods, Business Live relates.

Directors attempted to sell the company but despite detailed
discussions with some interested parties, no deal was reached and
administrators were called in, Business Live discloses.  The firm's
84 staff were left some GBP106,000 short in pay arrears, pension
contributions and holiday pay while Clydesdale Bank is expected to
suffer a shortfall of GBP458,000, Business Live states.  Bleiker's
also owed hundreds of thousands to other creditors including
seafood suppliers, Business Live notes.

According to Business Live, writing in a report on the progress of
the administration, FRP explained the sequence of events: "The
company had experienced volatile trading conditions during 2020 and
2021 as a result of the impact of Covid on its customer base. It
had managed to maintain profitable trading during most of this
period and serviced its debt facilities.

"The statutory accounts for the year to April 30, 2021 showed
turnover of GBP14 million and a profit after tax of GBP296,000.
However, increasing raw materials prices which could not be passed
on in full to customers, combined with difficulties sourcing
temporary labour in the busy pre-Christmas period in 2021 resulted
in poor trading performance during the final quarter of 2021.

"This in turn placed pressure on the company's cash position.
Management carried out a review of the business and identified some
changes to the company's cost base which, alongside sales price
increases from customers, it believed would allow the company to
trade on with the continued support of its funder."


CARLYLE EURO 2022-3: S&P Assigns B- Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned credit ratings to the class A-1A to E
European cash flow CLO notes issued by Carlyle Euro CLO 2022-3 DAC.
At closing, the issuer also issued unrated subordinated notes.

The ratings reflect S&P's assessment of:

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

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

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

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

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

Under the transaction documents, the rated notes pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will permanently switch to semi-annual payments.

The portfolio's reinvestment period will end approximately 4.5
years after closing and the non-call period will end 1.5 years
after closing.

The portfolio is well-diversified, primarily comprising broadly
syndicated speculative-grade senior secured term loans and senior
secured bonds. Therefore, S&P has conducted its credit and cash
flow analysis by applying our criteria for corporate cash flow
CDOs.

Under the transaction documents, the issuer can purchase loss
mitigation obligations, which are assets of an existing collateral
obligation held by the issuer offered in connection with
bankruptcy, workout, or restructuring of an obligation, to improve
the related collateral obligation's recovery value.

The issuer may purchase loss mitigation obligations using either
interest proceeds, principal proceeds, or amounts standing to the
credit of the supplemental reserve account. The use of interest
proceeds to purchase loss mitigation obligations is subject to all
the coverage tests passing following the purchase and the manager
determining there are sufficient interest proceeds to pay interest
on all the rated notes on the upcoming payment date. The usage of
principal proceeds is subject to the following conditions:

-- The par coverage tests (including the reinvestment
overcollateralization test) pass following the purchase.

-- The purchase happens only above reinvestment target par
balance.

-- The obligation to be acquired is a debt obligation.

-- The obligation is pari passu or senior to the obligation
already held by the issuer.

-- The obligation's maturity falls before the rated notes'
maturity date.

-- It is not purchased at a premium.

S&P said, "In our cash flow analysis, we used the EUR335 million
target par amount, the covenanted weighted-average spread (4.00%),
the reference weighted-average coupon (3.50%), and the actual
weighted-average recovery rate calculated in line with our CLO
criteria. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

"Our credit and cash flow analysis show that the class A-2A, A-2B,
B, C, and D notes benefit from break-even default rate (BDR) and
scenario default rate cushions that we would typically consider to
be in line with higher ratings than those assigned. However, as the
CLO is still in its reinvestment phase, during which the
transaction's credit risk profile could deteriorate, we have capped
our ratings on these classes of notes.

"The class E notes' current BDR cushion is negative at the assigned
rating. Nevertheless, based on the portfolio's actual
characteristics and additional overlaying factors, including our
long-term corporate default rates and recent economic outlook, we
believe this class is able to sustain a steady-state scenario, in
accordance with our criteria." S&P's analysis further reflects
several factors, including:

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

-- S&P's model-generated portfolio default risk, which is at the
'B-' rating level at 22.19% (for a portfolio with a
weighted-average life of 4.86 years) versus 15.06% if it was to
consider a long-term sustainable default rate of 3.1% for 4.86
years.
Whether the tranche is vulnerable to non-payment in the near
future.

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

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

S&P said, "Following this analysis, we consider that the available
credit enhancement for the class E notes is commensurate with the
assigned 'B- (sf)' rating.

"Under our structured finance sovereign risk criteria, we consider
that the transaction's exposure to country risk is sufficiently
mitigated at the assigned rating levels.

"Until the end of the reinvestment period on Jan. 13, 2027, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and compares that with the
default potential of the current portfolio plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager can, through trading, deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

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

"Considering the above-mentioned factors and following our analysis
of the credit, cash flow, counterparty, operational, and legal
risks, we believe our ratings are commensurate with the available
credit enhancement for each class of notes."

The transaction securitizes a portfolio of primarily senior secured
leveraged loans and bonds, and is managed by CELF Advisors LLP, a
wholly owned subsidiary of Carlyle Investment Management LLC, which
is a Delaware limited liability company, indirectly owned by The
Carlyle Group L.P.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class
A-1A to D notes to five of the 10 hypothetical scenarios we looked
at in our publication, "How Credit Distress Due To COVID-19 Could
Affect European CLO Ratings," published on April 2, 2020.

"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have not included the above scenario analysis results
for the class E notes."

Environmental, social, and governance (ESG)

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries:
production or marketing of controversial weapons, tobacco or
tobacco-related products, nuclear weapons, thermal coal production,
speculative extraction of oil and gas, pornography or prostitution,
illegal drugs, physical casinos and online gambling, endangered
wildlife, palm oil, oil and gas extraction, oil exploration, opioid
manufacturing and distribution, coal, transportation of tar sands,
private prisons, soft commodities, adversely affecting animal
welfare, predatory lending, and controversial practices in land
use. Accordingly, since the exclusion of assets from these
industries does not result in material differences between the
transaction and our ESG benchmark for the sector, no specific
adjustments have been made in our rating analysis to account for
any ESG-related risks or opportunities."

  Ratings List

  Class     Rating     Amount     Interest rate*         Credit
                     (mil. EUR)                     enhancement(%)

  A-1A      AAA (sf)   174.30    Three-month EURIBOR
                                 plus 1.20%              40.51

  A-1B      AAA (sf)    25.00    Three-month EURIBOR
                                 plus 1.48%§             40.51

  A-2A      AA (sf)     25.10    Three-month EURIBOR
                                 plus 2.50%              28.00

  A-2B      AA (sf)     16.80    3.15%                   28.00

  B         A (sf)      20.10    Three-month EURIBOR
                                 plus 3.70%              22.00

  C         BBB- (sf)   21.10    Three-month EURIBOR
                                 plus 6.00%              15.70

  D         BB- (sf)    15.40    Three-month EURIBOR
                                 plus 8.19%              11.10

  E         B- (sf)     12.90    Three-month EURIBOR
                                 plus 10.62%              7.31

  Sub notes  NR         27.00    N/A                       N/A

*The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.

§EURIBOR is capped at 2.50%.
EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A--Not applicable.


COMPLETE BUILDING: Enters Liquidation, Owes GBP200,000 to Creditors
-------------------------------------------------------------------
William Telford at PlymouthLive reports that Complete Building
Developments Ltd, yet another  Plymouth building firm, has gone
bust this time leaving GBP200,000 of debts unpaid including a large
Covid loan.

Complete Building Developments has entered liquidation and doesn't
have enough cash to pay employees, its own director or a GBP44,000
Bounce Back Loan, PlymouthLive relates.

The company, set up in 2017, is the latest in a string of Plymouth
construction industry casualties as firms struggle with rising
costs for labour and materials and the end of Covid support from
the Government, PlymouthLive notes.

According to PlymouthLive, a report by Coventry-based Cromwell & Co
Insolvency Practitioners, showed Complete Building Developments Ltd
went bust with just GBP553 in assets.

The company, based in Mount Gould, cited its business as being
involved in development and construction of commercial and domestic
buildings, PlymouthLive discloses.

The report revealed GBP9,446 is owed to trade creditors, including
GBP5,446 to William Lean commercial property and development
consultants based at Mount Wise House, in Plymouth, PlymouthLive
relays.  Nearly GBP18,000 is owed to employees, and director Ricky
White, who also lives in Mount Gould, is short of GBP21,495,
PlymouthLive states.


LAURA ASHLEY: UHY Fined by FRC Over Serious Audit Breaches
----------------------------------------------------------
Rebecca Whittaker at AccountancyAge reports that UHY Hacker Young,
the auditor of the fashion retailer Laura Ashley which fell into
administration amid the pandemic, has been "severely reprimanded"
by the Financial Reporting Council (FRC) over "serious" breaches.

The FRC has imposed sanctions against UHY Hacker Young and Martin
Jones, audit engagement partner, in relation to the statutory
audits of the financial statements of Laura Ashley Holdings for the
financial years ended June 30, 2018, and June 30, 2019,
AccountancyAge relates.

"The breaches in this case were serious and spanned two audit years
affecting multiple areas of the audits, some which were fundamental
to the proper conduct of audit," AccountancyAge quotes Jamie
Symington, deputy executive counsel at the FRC, as saying in a
statement.  

"These included the Auditors' failure to adequately challenge or
investigate management's use of the going concern assumption --
i.e. that the company would remain in business for the foreseeable
future -- despite this being identified as a significant risk for
the FY2018 Audit due to the state of the retail sector.

"UHY further failed to respond appropriately to criticism of their
work by the FRC's Audit Quality Review team, leading to a repeat in
the FY2019 Audit of certain breaches which occurred in the FY2018
Audit."

It was confirmed on July 13 that UHY Hacker Young was fined
GBP300,000 and Martin Jones GBP45,000, AccountancyAge recounts.
UHY Hacker Young also agreed to not carry out any new audits of
public companies for at least two years following the decision by
the FRC, AccountancyAge notes.

In June 2019, Laura Ashley had 155 stores in the UK and employed
more than 2,700 people.

However, the group's revenue, operating profit, profit before tax
and profit after tax consistently declined between FY2016 and
FY2019, and the group's loss after tax increased ten-fold from
GBP1.4 million in FY2018 to GBP14 million in FY2019, AccountancyAge
discloses.

The FRC found the audit reports for FY2018 and FY2019 were
"unmodified and noted no material uncertainty related to the use of
the going concern assumption".

In March 2020, the retailer filed for administration, citing the
impact of the pandemic on its business as the reason,
AccountancyAge relays.


SCORPIO DAC: DBRS Confirms BB Rating on Class E Notes
-----------------------------------------------------
DBRS Ratings Limited confirmed its ratings of the following classes
Commercial Mortgage-Backed Floating Rate Notes due May 2029 issued
by Scorpio (European Loan Conduit No. 34) DAC:

-- Class RFN at AAA (sf)
-- Class A1 at AAA (sf)
-- Class A2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)

All trends on all classes of notes remain Stable.

Scorpio (European Loan Conduit No.34) DAC is the securitization of
82.5% (GBP 236.4 million) of a GBP 286.4 million floating-rate
senior commercial real estate loan (the senior loan) advanced by
Morgan Stanley Bank N.A. (the Loan Seller) to borrowers sponsored
by Blackstone Group L.P. (Blackstone or the Sponsor). The remaining
17.5% of the senior loan was retained by the original senior lender
and ranks pari passu with the securitized senior loan. The
financing is also accompanied by a GBP 57.3 million (80%
loan-to-value or LTV) mezzanine loan granted by BSRECP III Joint
International S.a r.l. and Broad Street Credit Holdings S.a r.l.
The mezzanine loan is structurally and contractually subordinated
to the senior facility and is not part of the transaction.

The senior loan (64.8% LTV) is backed by a portfolio of 107
multi-let, last-mile industrial properties located throughout the
United Kingdom. A total of five assets have been sold since
issuance, resulting in a partial repayment of the loan by GBP 7.1
million. The current securitized loan balance is GBP 280.0 million.
Blackstone acquired the assets through 16 sub-portfolio
transactions between Q2 2018 and Q1 2019. Blackstone and M7 Real
Estate Ltd. (M7) manage the portfolios, leveraging its asset and
investment management platforms.

Since issuance, the overall performance of the portfolio has been
stable, even amidst the Coronavirus Disease (COVID-19) pandemic. As
of May 2022, 93.2% of the portfolio's net lettable area (NLA) was
occupied. The top five tenants contribute 7.3% of the gross rental
income (GRI) with no tenant lease in the portfolio representing
more than 2% of GRI. The assets are located across the UK: in
Scotland (22.0% market value or MV), Northern England (25.8% MV),
and the Midlands (24.8% MV). Properties accounting for a combined
27.4% of the portfolio MV are located in Southern England and
Wales.

The quarter's debt yield, to the May 2022 interest payment date,
was 11.4%, which is in line with the previous quarters' figures and
is well above the covenant levels.

The borrower had three annual loan extension options available and
having already extended once, and further satisfying all senior
loan extension option conditions, the borrower exercised the second
extension option and extended the loan maturity date until the
second senior loan extended repayment date, being November 15,
2022. If all extensions are exercised the final loan maturity will
be in May 2024 as the final extension option extends the loan
maturity by 18 months.

In September 2020, the portfolio was revalued by Jones Lang
Lasalle, which appraised the market value at GBP 439.2 million, an
increase in value of 2.6% since issuance; however, following the
disposal of assets the current valuation of the portfolio, as of
May 2022, was GBP 430.5 million.

The loan structure does not include financial default covenants
prior to a permitted change of control, but provides other standard
events of default including: (1) any missing payment, including
failure to repay the loan by the maturity date; (2) borrower
insolvency; (3) a loan default arising as a result of any
creditor's process or cross-default. DBRS Morningstar notes that
the lack of default financial covenants makes it easier for the
borrower to exercise the loan maturity extension options included
in the facility agreement.

The transaction includes a Reserve Fund Note (RFN), which funds 95%
of the liquidity reserve (i.e., the note share part). The GBP 10.1
million RFN proceeds and the GBP 0.5 million Vertical Risk
Retention (VRR) loan contribution, as of May 2022, stood to the
credit of the transaction's liquidity reserve, which works
similarly to a typical liquidity facility by providing liquidity to
pay property protection advances, senior costs, and interest
shortfalls (if any) in relation to the corresponding VRR loan,
Class A1, Class A2, Class B, Class C, and Class D notes (for
further details, please see the "Liquidity Support" section in DBRS
Morningstar's rating report for this transaction). According to
DBRS Morningstar's analysis, the liquidity reserve amount will be
equivalent to approximately 15 months on the covered notes, based
on the interest rate cap strike rate of 2.0% per year and nine
months based on the Sonia cap after the loan maturity of 5.0% per
year.

The final legal maturity of the notes is expected to be in May
2029, five years after the fully extended loan term. The latest
loan maturity date, considering potential extensions, is May 15,
2024. In DBRS Morningstar's view, such structural feature provides
further benefit to the securitization with regard to loan
refinancing risk and property value declines.

Class E is subject to an available funds cap where the shortfall is
attributable to an increase in the weighted-average margin of the
notes.

Notes: All figures are in GBP unless otherwise noted.


TAGUS: DBRS Confirms B Rating on Class E Notes
----------------------------------------------
DBRS Ratings GmbH took the following rating actions on the
provisional ratings on the notes to be issued by TAGUS - Sociedade
de Titularizacao de Creditos, S.A. (Ulisses Finance No. 3) (the
Issuer):

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

DBRS Morningstar did not assign provisional ratings to the Class G
Notes or Class Z Notes also expected to be issued in this
transaction.

The rating actions follow the final pricing of the coupons on the
notes, which resulted in an overall increase in costs of
approximately 0.1% per annum to the transaction compared with the
initial assumptions that DBRS Morningstar used in in its cash flow
analysis at the time of assigning the initial provisional ratings.

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

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 a 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 Rated
Notes.

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

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

-- Relevant credit enhancement in the form of subordination, a
cash reserve, and excess spread;

-- Credit enhancement levels that are sufficient to support DBRS
Morningstar's projected cumulative net loss assumptions under
various stressed cash flow assumptions for the Rated Notes;

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors of the Rated Notes according to the
terms under which they have invested ;

-- 321C's capabilities with regard to originations, underwriting,
and servicing;

-- The transaction parties' financial strength with regard to
their respective roles;

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

-- DBRS Morningstar's sovereign rating on the Republic of
Portugal, currently at BBB (high) with a Positive trend; and

-- The expected consistency of the transaction's legal structure
with DBRS Morningstar's "Legal Criteria for European Structured
Finance Transactions methodology" and the presence of legal
opinions that are expected to address the true sale of the assets
to the Issuer.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS

General Considerations

Environmental (E) Factors

The initial portfolio has a high exposure to older petrol and
diesel engine vehicles that are unlikely to be classified as Euro 6
(58.4% of receivables are related to vehicles registered prior to
2016). DBRS Morningstar considers that risks related to greenhouse
gas emissions may be associated with future restrictions on these
vehicle types, including bans and additional taxes. These risks may
lead to changes in expected vehicle valuations and borrower
behaviors that could subsequently influence future default,
recovery, and prepayment activity. DBRS Morningstar considers that
this exposure combined with the longer than typical contract tenors
is a relevant environmental factor within its analysis.

Notes: All figures are in euros unless otherwise noted.


TAGUS: DBRS Finalizes B Rating on Class E Notes
-----------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following classes of notes (the Rated Notes) issued by TAGUS -
Sociedade de Titularizacao de Creditos, S.A. (Ulisses Finance No.
3) (the Issuer), a limited liability company incorporated under the
laws of Portugal:

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

DBRS Morningstar does not rate the Class G Notes or Class Z Notes
also issued in this transaction. The rating on the Class A Notes
addresses the timely payment of scheduled interest and the ultimate
repayment of principal by the legal final maturity date. The
ratings on the Class B Notes, Class C Notes, Class D Notes, Class E
Notes, and Class F Notes address the ultimate payment of interest
(timely when most senior) and the ultimate repayment of principal
by the legal final maturity date.

The transaction represents the issuance of notes backed by assigned
rights of receivables related to auto loans granted by 321Credito
– Instituicao Financeira de Credito, S.A. (321C) to borrowers in
the Republic of Portugal. 321C will also act as servicer for the
transaction.

The underlying receivables consist of fully amortizing auto loan
contracts granted for the purpose of acquiring used vehicles (100%
of the initial portfolio). There are neither balloon loans nor auto
lease contracts contained within the portfolio and, therefore, the
Issuer is not directly exposed to residual value risk.

The transaction includes a one-year revolving period, during which
time the originator may offer additional receivables that the
Issuer may purchase, provided that 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 a breach of performance triggers, an
insolvency of the seller, or a default of the servicer.

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

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

-- Relevant credit enhancement in the form of subordination, a
cash reserve, and excess spread;

-- Credit enhancement levels that are sufficient to support DBRS
Morningstar's projected cumulative net loss assumptions under
various stressed cash flow assumptions for the Rated Notes;

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors of the Rated Notes according to the
terms under which they have invested;

-- 321C's capabilities with regard to originations, underwriting,
and servicing;

-- The transaction parties' financial strength with regard to
their respective roles;

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

-- DBRS Morningstar's sovereign rating on the Republic of
Portugal, currently at BBB (high) with a Positive trend; and

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

TRANSACTION STRUCTURE

During the revolving period and prior to the delivery of an
enforcement notice or an optional redemption event, the Issuer
applies the available funds in accordance with a combined priority
of payments that incorporates a specific carveout for the repayment
of principal on the Rated Notes (the application of the principal
withholding amount). Prior to a sequential redemption event
principal is allocated to the Rated Notes on a pro rata basis.
Following a sequential redemption event, principal is allocated on
a sequential basis. Once the amortization becomes sequential, it
cannot switch to pro rata.

Except for the then-most senior notes, interest on the Rated Notes
may be deferred to protect the payment of principal on the notes
senior to itself. Interest deferral is subject to note-specific
conditions that evaluate principal deficiencies for each of the
Rated Notes. These deferrals are curable and potentially allow for
interest payments previously deferred to switch back to their
higher position in the pre-enforcement payment priority.

The structure incorporates a cash reserve available to cover senior
expenses and interest shortfalls on the Rated Notes. After the
Rated Notes have been redeemed, the target cash reserve amount is
equal to zero.

There is an interest rate mismatch as 93.3% of the initial
portfolio represents fixed-rate loans while floating-rate Rated
Notes have been issued. There is also a degree of basis risk as
floating-rate loans are indexed to three-month Euribor while the
Rated Notes are indexed to one-month Euribor. The Issuer has
entered into an interest rate swap agreement to mitigate the
interest rate risk. Floating-rate loans are repriced on a quarterly
basis and represent a relatively small proportion of the
portfolio.

COUNTERPARTIES

Deutsche Bank AG has been appointed as the Issuer's account bank
for the transaction. DBRS Morningstar's public Long-Term Issuer
Rating of Deutsche Bank AG is at A (low) with a Stable trend, which
meets DBRS Morningstar's criteria to act in these capacities. The
transaction documents contain downgrade provisions relating to the
account bank consistent with DBRS Morningstar's legal criteria
where a replacement must be sought if the long-term rating of the
accounts bank falls below a specific threshold (BBB (high) by DBRS
Morningstar). DBRS Morningstar considered this threshold and the
current rating on Deutsche Bank AG within its analysis. The
Issuer's accounts include the payment account, cash reserve
account, and the swap collateral account.

Crédit Agricole Corporate & Investment Bank (CACIB) has been
appointed as the swap counterparty for the transaction. DBRS
Morningstar privately rates CACIB and concluded that it meets the
minimum criteria to act in its capacity. The hedging documents
contain downgrade provisions consistent with DBRS Morningstar
criteria's where the DBRS Morningstar rating refers to the rating
on Crédit Agricole S.A. while CACIB acts as the swap
counterparty.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS

General Considerations

Environmental (E) Factors

The initial portfolio has a high exposure to older petrol and
diesel engine vehicles that are unlikely to be classified as Euro 6
(58.4% of receivables are related to vehicles registered prior to
2016). DBRS Morningstar considers that risks related to greenhouse
gas emissions may be associated with future restrictions on these
vehicle types, including bans and additional taxes. These risks may
lead to changes in expected vehicle valuations and borrower
behaviors that could subsequently influence future default,
recovery, and prepayment activity. DBRS Morningstar considers that
this exposure combined with the longer than typical contract tenors
is a relevant environmental factor within its analysis.

Notes: All figures are in euros unless otherwise noted.


TOGETHER ASSET 2022-CRE1: DBRS Finalizes BB Rating on D Notes
-------------------------------------------------------------
DBRS Ratings Limited finalized its provisional ratings on the
following classes of notes issued by Together Asset Backed
Securitization 2022-CRE1 Plc (TABS 2022-CRE1 or the Issuer):

-- Loan note at AA (sf)
-- Class B notes at A (sf)
-- Class C notes at BBB (sf)
-- Class D notes at BB (sf)

The final rating of the Loan note addresses the timely payment of
interest and the ultimate repayment of principal on or before the
final maturity date in April 2054. The final ratings of the Class
B, Class C, and Class D notes address the timely payment of
interest once most senior and the ultimate repayment of principal
on or before the final maturity date.

DBRS Morningstar does not rate the Class X or Class Z notes, or the
residual certificates also issued in this transaction.

TABS 2022-CRE1 is the third public securitization issuance backed
by small balance commercial assets originated by Together
Commercial Financial Services Limited (TCFL) and Harpmanor Limited
(HARP). The portfolio comprises first- and second-lien mortgage
loans, secured by commercial, mixed-use, and residential properties
located in the United Kingdom.

The Issuer issued four rated tranches of collateralized
mortgage-backed securities (Loan notes to Class D notes) to finance
the purchase of the initial portfolio. The Loan note is not listed
and instead was purchased by the Loan Noteholder via the Loan Note
Agreement. The issuance proceeds from the unrated Class Z notes
were used to partially purchase the initial portfolio and the
remaining proceeds were used to fund the liquidity reserve fund
(LRF). Additionally, TABS 2022-CRE1 issued one class of
uncollateralized notes, the Class X notes, which will amortize
using the excess revenue funds.

The LRF will amortize in line with the portfolio and will be
available to cover shortfalls on senior expenses and interest on
the Loan note. The LRF was fully funded at close from the proceeds
of the Class Z notes and is sized at 1.5% of the initial portfolio
balance. Additionally, the notes will be provided with liquidity
support from the principal receipts, which can be used to cover
interest shortfalls on the most-senior class of notes.

As of March 31, 2022, the portfolio consisted of 1,748 loans
provided to 1,637 borrowers. The average outstanding principal
balance per borrower is GBP 238,915, aggregating to a total
portfolio balance of GBP 391.1 million. Approximately 34.3% of the
loans are either fully or partially borrower-occupied with 38.5% of
the portfolio provided to self-employed borrowers. About 57.0% of
the portfolio is scheduled to only pay interest on a monthly basis,
with principal repayment concentrated in the form of a bullet
payment at the maturity date of the mortgage. Furthermore, the
portfolio contains 1.8% of second-lien loans by outstanding loan
balance, and 7.8% of the loans were granted to borrowers with a
prior County Court Judgement.

The mortgages are high yielding with a weighted-average (WA) coupon
of 7.1% and newly originated with a WA seasoning of 16.7 months.
The WA current loan-to-value (CLTV) ratio of the portfolio is
57.2%, with 0.5% of loans exceeding 80% CLTV. No loans in the
portfolio are three months or more in arrears.

All loans in the portfolio pay a floating rate of interest linked
to a standard variable rate set by TCFL. The rated notes are all
floating rate linked to the Sterling Overnight Index Average
(Sonia).

Elavon Financial Services DAC, UK Branch (Elavon UK), will hold the
Issuer's transaction account. Based on the DBRS Morningstar private
rating of Elavon UK, the downgrade provisions outlined in the
documents, and the transaction structural mitigants, DBRS
Morningstar considers the risk arising from the exposure to Elavon
UK 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 servicers to perform collection and resolution activities. DBRS
Morningstar calculated probability of default (PD), loss given
default (LGD), and expected loss (EL) 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" methodology.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay the Loan note, and the Class B, Class C, and
Class D 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.

DBRS Morningstar analyzed the transaction structure 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.




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

[*] BOOK REVIEW: Bankruptcy and Secured Lending in Cyberspace
-------------------------------------------------------------
Author: Warren E. Agin
Publisher: Bowne Publishing Co.
List price: $225.00
Review by Gail Owens Hoelscher

Red Hat Inc. finds itself with a high of 151 5/8 and low of 20 over
the last 12 months! Microstrategy Inc. has roller-coasted from a
high of 333 to a low of 7 over the same period! Just when the IPO
boom is imploding and high-technology companies are running out of
cash, Warren Agin comes out with a guide to the legal issues of the
cyberage.

The word "cyberspace" did not appear in the Merriam-Webster
Dictionary until 1986, defined as "the on-line world of computer
networks." The word "Internet" showed up that year as well, as "an
electronic communications network that connects computer networks
and organizational computer facilities around the world."
Cyberspace has been leading a kaleidoscopic parade ever since, with
the legal profession striding smartly in rhythm. There is no
definition for the word "cyberassets" in the current
Merriam-Webster. Fortunately, Bankruptcy and Secured Lending in
Cyberspace tells us what cyberassets are and lays out in meticulous
detail how to address them, not only for troubled technology
companies, but for all companies with websites and domain names.
Cyberassets are primarily websites and domain names, but also
include technology contracts and licenses. There are four types of
assets embodied in a website: content, hardware, the Internet
connection, and software. The website's content is its fundamental
asset and may include databases, text, pictures, and video and
sound clips. The value of a website depends largely on the traffic
it generates.

A domain name provides the mechanism to reach the information
provided by a company on its website, or find the products or
services the company is selling over the Internet. Examples are
Amazon.com, bankrupt.com, and "swiggartagin.com." Determining the
value of a domain name is comparable to valuing trademark rights.
Domain names can come at a high price! Compaq Computer Corp. paid
Alta Vista Technology Inc. more than $3 million for "Altavista.com"
when it developed its AltaVista search engine.

The subject matter covered in this book falls into three groups:
the Internet's effect on the practice of bankruptcy law; the ways
substantive bankruptcy law handles the impact of cyberspace on
basic concepts and procedures; and issues related to cyberassets as
secured lending collateral.

The book includes point-by-point treatment of the effect of
cyberassets on venue and jurisdiction in bankruptcy proceedings;
electronic filing and access to official records and pleadings in
bankruptcy cases; using the Internet for communications and
noticing in bankruptcy cases; administration of bankruptcy estates
with cyberassets; selling bankruptcy estate assets over the
Internet; trading in bankruptcy claims over the Internet; and
technology contracts and licenses under the bankruptcy codes. The
chapters on secured lending detail technology escrow agreements for
cyberassets; obtaining and perfecting security interests for
cyberassets; enforcing rights against collateral for cyberassets;
and bankruptcy concerns for the secured lender with regard to
cyberassets.

The book concludes with chapters on Y2K and bankruptcy; revisions
in the Uniform Commercial Code in the electronic age; and a
compendium of bankruptcy and secured lending resources on the
Internet. The appendix consists of a comprehensive set of forms for
cyberspace-related bankruptcy issues and cyberasset lending
transactions. The forms include bankruptcy orders authorizing a
domain name sale; forms for electronic filing of documents;
bankruptcy motions related to domain names; and security agreements
for Web sites.

Bankruptcy and Secured Lending in Cyberspace is a well-written,
succinct, and comprehensive reference for lending against
cyberassets and treating cyberassets in bankruptcy cases.



                           *********


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

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

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

This material is copyrighted and any commercial use, resale or
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Information contained herein is obtained from sources believed to
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delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
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                * * * End of Transmission * * *