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

                          E U R O P E

          Thursday, July 21, 2022, Vol. 23, No. 139

                           Headlines



F I N L A N D

FINNAIR OYJ: Egan-Jones Retains CCC- Senior Unsecured Ratings


F R A N C E

EDF: France to Pay EUR9.7BB to Fully Nationalize Company


G E R M A N Y

ALPHA GROUP: Fitch Ups IDR to 'CCC+' on Improved Cash Generation
K+S AKTIENGESELLSCHAFT: Egan-Jones Hikes Sr. Unsec. Ratings to B+


G R E E C E

PIRAEUS FINANCIAL: S&P Affirms 'B-/B' ICRs, Outlook Stable


I R E L A N D

ANCHORAGE CAPITAL 6: S&P Assigns Prelim B- (sf) Rating to F Notes
ENDO INTERNATIONAL: Egan-Jones Cuts Sr. Unsecured Ratings to CCC
FASTNET SECURITIES 16: DBRS Confirms BB(high) Rating on E Notes
LAST MILE: DBRS Confirms BB Rating on Class E Notes


I T A L Y

BCC NPLS 2019: DBRS Confirms CCC Rating on Class B Notes
TELECOM ITALIA: Egan-Jones Retains B+ Senior Unsecured Ratings


L U X E M B O U R G

METALCORP GROUP: S&P Alters Outlook to Stable, Affirms 'B' Ratings


N E T H E R L A N D S

AURORUS 2020: DBRS Confirms B Rating on Class F Notes
FAB CBO 2003-1: Moody's Affirms 'Ca' Rating on 2 Tranches


S P A I N

CAIXABANK PYMES 12: DBRS Hikes Series B Notes Rating to BB(low)
PAX MIDCO: Moody's Affirms 'B3' CFR & Alters Outlook to Stable
RMBS SANTANDER 6: DBRS Hikes Class B Notes Rating to BB(high)
SABADELL CONSUMO 2: DBRS Finalizes B(high) Rating on Class F Notes
TELEFONICA SA: Egan-Jones Retains BB- Senior Unsecured Ratings



U N I T E D   K I N G D O M

AJENTA: Impact of Covid Restrictions Prompts Liquidation
BULB: Auction Attracts Single Bid, Gov't Scrambles to Salvage Deal
CASTELL 2022-1: DBRS Gives Provisional B Rating to Class F Notes
CASTELL 2022-1: S&P Assigns CCC (sf) Rating to Class X-Dfrd Notes
PEOPLE'S ENERGY: Founders in Line for GBP50-Million Payout

PLAYTECH PLC: S&P Affirms 'BB-' ICR, Outlook Negative
SUBSEA 7: Egan-Jones Retains BB+ Senior Unsecured Ratings
TERRY HEALY: Goes Into Liquidation, 50+ Jobs Affected

                           - - - - -


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F I N L A N D
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FINNAIR OYJ: Egan-Jones Retains CCC- Senior Unsecured Ratings
-------------------------------------------------------------
Egan-Jones Ratings Company on July 11, 2022, retained its 'CCC-'
foreign currency and local currency senior unsecured ratings on
debt issued by Finnair Oyj. EJR also retained its 'C'  rating on
commercial paper issued by the Company.

Headquartered in Vantaa, Finland, Finnair Oyj operates scheduled
passenger traffic, technical and ground handling operation,
catering, travel agencies, and reservation services.




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F R A N C E
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EDF: France to Pay EUR9.7BB to Fully Nationalize Company
--------------------------------------------------------
Sarah White at The Financial Times reports that the French
government is planning to pay EUR9.7 billion to fully nationalise
EDF, as it moves to bolster the nuclear specialist's finances amid
an energy crisis.

According to the FT, the state, which already holds 84% of the
company, will launch a tender offer to buy out the remaining shares
and convertible bonds after the summer.

The government has presented the buyout as a way of financially
shoring up EDF as it embarks on a major plan to build six new
nuclear reactors in France in the coming years, the biggest order
in more than two decades, the FT discloses.

The economy ministry said on July 19 that an offer of EUR12 per EDF
share would be made to minority investors, representing a 53%
premium to EDF's closing price before the nationalisation was
announced earlier this month, the FT relates.  The deal, the FT
says, will also entail an offer to buy out the 60% of convertible
bonds the state does not already hold.

Shares in EDF, which were suspended last week pending further
announcements about the buyout, soared almost 15% in early trading,
leaving them close to the offer price, the FT notes.

EDF has struggled with outages in recent months, which involved
corrosion problems at reactors leading to unexpected shutdowns, the
FT relays.  That has forced France to switch to more energy imports
just as Europe rushes to pivot away from Russian gas, and forced
EDF to buy supply on expensive wholesale markets, the FT recounts.

Its finances have also been hobbled by political measures to shield
consumers from energy price rises, the FT states.  Analysts and
people close to the company said this had left EDF in need of more
capital, according to the FT.

The tender offer would be launched at the end of September, with a
view to delisting the shares by the end of October, said a French
economy ministry official, the FT notes.

However, the deal still faces potential hurdles.  The French
government has earmarked EUR12.7 billion for the buyout and other
operations, which will require parliamentary approval, the FT
discloses.

"With the alternative to nationalisation being a huge deeply
discounted rights issue and limping on through more earnings and
debt downgrades, institutional investors should be pleased with the
premium to market being offered and exit the stock," the FT quotes
analysts at investment bank Cowen as saying.




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G E R M A N Y
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ALPHA GROUP: Fitch Ups IDR to 'CCC+' on Improved Cash Generation
----------------------------------------------------------------
Fitch Ratings has upgraded Alpha Group SARL's (A&O) Issuer Default
Rating (IDR) to 'CCC+' from 'CCC' and has upgraded its senior
secured rating to 'B-' with a Recovery Rating of 'RR3', from
'CCC+'.

The upgrade reflects the reinforced liquidity position and
improving internal cash generation as a result of a gradual
recovery of demand. Fitch estimates that the current level of cash
gives the company enough of a buffer to run its operations despite
market conditions remaining volatile until the end of 2023.

The 'CCC+' IDR also reflects the prospects of total adjusted
debt/EBITDAR reducing to or below 9.0x in 2022-2023 and below 7.5x
by 2024 from the exceptionally high levels during the pandemic.
This will be critical to the refinancing in 2023-2024 as maturities
of its revolving credit facility (RCF) and term loan B (TLB)
approach in January 2024 and 2025, respectively. Fitch's view on
deleveraging is supported by the company's improved operating
prospects for 2022 and 2023 as travelling restrictions have eased
and the leisure segment recovers, driven by significant pent-up
demand. Fitch expects A&O's low-cost structure to facilitate the
absorption of inflationary pressures.

KEY RATING DRIVERS

Reinforced Liquidity: Resumption of operations, the EUR15 million
shareholder injection, and Covid-19-related reliefs allocated to
the industry allowed the company to improve its cash position
despite still-negative EBITDA in 2021. With EUR59 million of
available cash as of end-2021 (excluding restricted cash), Fitch
considers that A&O has improved its liquidity buffer enough to face
potential setbacks. Steady trading recovery will be essential for
the group maintaining a satisfactory liquidity headroom. Fitch's
rating case projects positive FCF from 2023, which would further
reinforce the company's cash position over the forecast horizon.

Gradual Revenue Recovery: Fitch forecasts a strong recovery in
2022, primarily driven by the leisure segment and the unprecedented
pent-up demand, although lessening consumer confidence will slow
the revenue rebound in 2023. Nevertheless, Fitch considers that, in
such scenario, A&O could benefit from some midscale travellers
trading down to budget options. Fitch expects A&O's revenue per
available bed to recover in 2022 to almost 90% of 2019 levels
(2023: 92%) before recovering completely in 2024. In an effort to
front-load inflationary pressures, average daily rates are assumed
to be above pre-pandemic levels in 2022.

Deleveraging Key, High Refinancing Risk: Fitch expects the
company's leverage to remain high over the forecast horizon, with
an adjusted debt/EBITDAR expected at 9x as of end-2022, and falling
to 8.5x in 2023. This, given the RCF maturing in January 2024 and
the TLB maturing in January 2025, leads to high refinancing risk.
Fitch consequently views deleveraging over 2022-2024 as being
critical to refinancing. The rating of the company could be revised
downwards in case of a lack of any evidence of refinancing
possibilities by the end of 2023.

EBITDA to Turn Positive in 2022: The company has demonstrated an
optimised low-cost structure base and cost-absorption capacity,
which, however, was insufficient to avoid a negative EUR7 million
EBITDA in 2021, as calculated by Fitch, due to predominantly fixed
rents. Due to revenue recovery, Fitch forecasts a positive EBITDA
in 2022 to increase towards a 28% margin by 2025. Cutting cost
measures and above-average ability to pass-through cost inflation
both contribute to A&O's resilience. Profitability will
nevertheless remain under pressure due to inflation and energy
price increases.

Concentration Risk: A&O has steadily grown to become one of the
largest hostel chains in Europe. It continued expanding during the
pandemic with a recent new leased opening in Edinburgh. However,
its predominant exposure to Germany and to groups of travellers
makes it vulnerable to potential shocks given its concentration
risk in narrowly defined addressable markets and its urban
positioning, which is attracting less demand than holiday
destinations.

Business Model Intact: A&O has an attractive lodging option for
large and small groups in several cities across Europe, coupled
with an efficiently managed low-cost base. Once the pandemic and
war in Ukraine abate, A&O has the potential to rapidly capitalise
on supportive market trends and grow into a Europe-wide brand
benefitting from travellers switching towards budget alternatives
and from its lower-than-average break-even occupancies. Economy
alternatives are proving to be more resilient after lockdowns than
upmarket accommodation.

DERIVATION SUMMARY

A&O is one of the largest hostel chains in Europe, with a strong
market position in Germany. However, it still ranks significantly
behind such global peers as NH Hotel Group S.A. (B/Stable),
Radisson Hospitality AB or Whitbread PLC (BBB-/Stable) in revenues
and number of rooms.

Based on daily rates, A&O is one of the cheapest options for
travellers, particularly compared with other urban operators in the
economy segment, such as Accor SA (BB+/Stable) and Travelodge, or
with the midscale segment, such as NH Hotels.

A&O's profitability is structurally above that of other operators
with a similar portfolio mix, but still far behind that of leaders
such as Marriott International, Inc.

The delayed recovery of traveller flows and a fairly high share of
fixed costs result in A&O's total adjusted debt/EBITDA of 8.9x in
2022, keeping the chain in the 'CCC' rating category. High
leverage, limited financial flexibility, the vulnerability of group
trips, and a much smaller scale justify the rating differences
compared to close-rated peers.

KEY ASSUMPTIONS

Fitch's Key Assumptions Within Its Rating Case for the Issuer:

-- Revenue still around 12% and 8% behind pre-pandemic levels in
    2022 and 2023, respectively, driven by weak revenue per
    available bed;

-- Positive EBITDA in 2022 with margins still behind pre-pandemic

    levels until 2024 in light of the inflationary environment;

-- Capex increase to EUR13 million and EUR12 million for 2022 and

    2023, respectively, after two years of minimum investment;

-- No dividend distributions;

-- Refinancing of TLB in 2024, with a 7.0% cash margin.

Recovery Assumptions

-- Fitch estimates that A&O would be liquidated in bankruptcy
    rather than restructured as a going-concern;

-- 10% administrative claim;

-- The liquidation estimate reflects Fitch's view that the hotel
    properties (valued by an external third party in 2017) and
    other assets can be realised in a liquidation and distributed
    to creditors in a default;

-- Haircut of 45% applied to the value of owned properties based
    on company's valuations.

-- These assumptions result in a recovery rate for the senior
    secured debt within the 'RR3' range leading to a one-notch
    uplift to the debt rating to 'B-' from the IDR. This results
    in an unchanged waterfall generated recovery computation
    (WGRC) output percentage of 69%, based on current metrics and
    assumptions.

RATING SENSITIVITIES

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

-- Quicker-than-assumed recovery from the market shock including
    EBITDA margin recovery to pre-pandemic levels;

-- Clear resumption of deleveraging path with FFO adjusted
    leverage decreasing towards 7.5x or lease adjusted
    debt/EBITDAR falling below 6.5x;

-- Operating EBITDAR/gross interest paid + rents consistently
    above 2.0x.

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

-- Trading performance failing to recover, leading to negative
    FCF and an erosion of liquidity;

-- No evidence of refinancing possibilities by end of 2023;

-- Inability to deleverage from FFO adjusted gross leverage of
    10x or lease adjusted net debt/EBITDAR consistently above
    9.0x;

-- Operating EBITDAR/interest + rents weakening below 1.5x.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Restored Liquidity: A&O had EUR59 million of unrestricted cash on
its balance sheet at end-2021, doubling the amount of end-2020.
This rebuilt position is the result of a shareholder loan of EUR15
million received in June 2021 and material fixed-cost relief
grants, allow the company to comply with the minimum EUR10 million
cash required in exchange for its covenant waiver (until September
2022). Based on Fitch's rating case, Fitch projects that A&O will
be able to partly reimburse its drawn RCF of EUR35 million in 2022,
restoring certain liquidity headroom to address any contingency.

For the purpose of Fitch's liquidity analysis, Fitch excludes EUR3
million of cash (considered restricted cash), blocked as a deposit
for landlords or required in daily operations not available for
debt servicing. A&O has a concentrated funding structure with its
RCF maturing in January 2024 and a EUR300 million term loan B (TLB)
due in January 2025.

ISSUER PROFILE

Alpha Group SARL is the top entity in a restricted group that owns
A&O, a Germany-based youth travel hotel and hostel operator with a
leading network of leased and owned properties in major European
cities (mostly in Germany), particularly focused on group
travellers.

ESG CONSIDERATIONS

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

   DEBT              RATING                RECOVERY    PRIOR
   ----              ------                --------    -----

Alpha Group         LT IDR   CCC+   Upgrade            CCC
SARL

   senior secured   LT       B-     Upgrade    RR3     CCC+

K+S AKTIENGESELLSCHAFT: Egan-Jones Hikes Sr. Unsec. Ratings to B+
-----------------------------------------------------------------
Egan-Jones Ratings Company on July 11, 2022, upgraded the foreign
currency and local currency senior unsecured ratings on debt issued
by K+S Aktiengesellschaft to B+ from B.

Headquartered in Kassel, Germany, K+S Aktiengesellschaft
manufactures and markets within the fertilizer division standard
and specialty fertilizers to the agricultural and industrial
industries worldwide.




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G R E E C E
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PIRAEUS FINANCIAL: S&P Affirms 'B-/B' ICRs, Outlook Stable
----------------------------------------------------------
S&P Global Ratings took the following rating actions on eight Greek
financial institutions:

-- Aegean Baltic Bank S.A.: S&P revised the outlook to positive
from stable and affirmed its 'B/B' long- and short-term issuer
credit ratings.

-- Alpha Bank SA: S&P revised the outlook to positive from stable
and affirmed its 'B+/B' long- and short-term issuer credit ratings
and its 'BB-/B' resolution counterparty ratings (RCRs).

-- Alpha Services and Holdings Societe Anonyme: S&P revised the
outlook to positive from stable and affirmed its 'B-/B' long- and
short-term issuer credit ratings.

-- Eurobank S.A: S&P revised the outlook to positive from stable
and affirmed its 'B+/B' long- and short-term issuer credit rating
and its 'BB-/B' RCRs.

-- Eurobank Holdings: S&P revised the outlook to positive from
stable and affirmed its 'B-/B' long- and short-term issuer credit
ratings.

-- National Bank of Greece S.A.: S&P revised the outlook to
positive from stable and affirmed its 'B+/B' long- and short-term
issuer credit ratings and its 'BB-/B' RCRs.

-- Piraeus Bank S.A.: S&P revised the outlook to positive from
stable and affirmed its 'B/B' long- and short-term issuer credit
ratings and its 'B+/B' RCRs.

-- Piraeus Financial Holdings S.A.: S&P affirmed its 'B-/B' long-
and short-term issuer credit ratings and maintained the stable
outlook.

S&P affirmed various senior and subordinated issue ratings on these
banks and related entities.

Rationale

Greek banks have made material progress on a journey that started
in 2018, significantly reducing their NPA stock and NPA ratios.
Following three years of nonperforming loan (NPL) sales and
securitizations in large amounts, with the help of the Hercules
Asset Protection Scheme (HAPS), systemwide legacy NPLs have reduced
by more than EUR50 billion since 2019. This prompted the systemwide
NPA ratio to drop to 15.9% in 2021 from 42.0% in 2019. Asset
quality's resilience to COVID-19 fallout supported the NPA
improvement. Given the upcoming sales of additional NPL, S&P
expects the systemwide NPA ratio to drop below 10% by end-2022.

As a result, cost of risk (COR) should be less of a burden for
banks over the next 12-18 months. S&P said, "We expect Eurobank's
and NBG's COR to normalize to 60-70 basis points (bps) over the
next two years. We also expect Piraeus Bank' and Alpha Bank's
underlying COR to improve once the ratios absorb the additional
provisioning costs from remaining NPL sales and securitizations.
Furthermore, we note that the domestic property prices have
continued to rise steadily, even during the pandemic, which
supports the recovery prospects of the remaining NPLs. As for
Aegean Baltic Bank, we expect the bank will continue benefitting
from its conservative lending policy and knowledge of the shipping
industry. As such, Aegean's NPL ratio is expected to remain below
2%, with above 50% coverage, and COR to remain in the 30-40 bps
range over our outlook horizon."

However, there are visible differences in the resulting asset
quality metrics and the capitalization of the four systemically
important banks. This is because these banks started the recovery
journey at different times and at varying paces. S&P said, "We note
that Eurobank's and NBG's NPA ratios have already reduced to
mid-single digits this year. We forecast that Alpha Bank's NPA
ratios will reach a similar range toward year-end. Piraeus Bank's
NPA, however, is set to stay in the high-single-digits over the
same period. Similarly, we expect the individual COR of Alpha Bank,
NBG, and Eurobank to remain in the 60-70 bps range by end-2023,
while Piraeus Bank's COR stays closer to 100 bps. NBG and Eurobank
also stand out with coverage of NPAs by loan provisions at 70% and
80%, respectively, at March 31, 2022. This compares with less than
50% for both Alpha Bank and Piraeus Bank. We therefore assume that
NBG's and Eurobank's risk-adjusted capital (RAC) ratios will exceed
5% by end-2023."

S&P said, "We still consider that large Greek banks' quality of
capital remains low, owing to a high share of deferred tax credits
(DTC) in their capital bases.Banks are amortizing these at
different paces but at negligible amounts per year compared to the
total amounts accumulated. That said, cleaner balance sheets and
improving earnings more positively capture banks' capitalizations
than before. This is especially the case for Eurobank and NBG, for
which we forecast RAC ratios to improve to above 5% by end-2023.
Still, we believe that the high amount of DTCs weighs on the
creditworthiness of all Greek banks, especially compared with that
of European peers. As such, we continue to view capital and
earnings of NBG and of Eurobank as a ratings weakness, on par with
Alpha Bank and Piraeus Bank, despite better RAC expectations for
the former two banks. Of note, and contrary to systemic banks,
Aegean Baltic Bank benefits from a sound capital base with no DTCs
and a RAC ratio expected to remain above the 10% threshold.

As the clean-up of NPAs nears completion, banks will likely
prioritize restoring earnings, better placing them to deal with
competitive challenges. S&P said, "We expect profitability to
substantially improve, supported by lower loan-loss provisions,
resumed demand for loans, and a focus on controlling operational
expenditure. Banks will shift their focus to restoring earnings and
optimizing their balance sheets, rather than cleaning up NPLs
through sales, securitizations, hive-downs, and sales of domestic
and foreign financial subsidiaries. We expect banks' performing
loan books to expand by 3%-4%, though the downside risk remains
high due to elevated macroeconomic risks at home and abroad. Yet,
resumed new business growth is a positive factor for Greek banks'
creditworthiness after years of negative loan growth, which was
driven by large nonperforming exposure sales."

Greek banks are rebalancing their funding profiles thanks to
improving depositors' confidence at home, but medium-term
challenges remain. In the past five years, systemwide deposits in
Greece increased by more than EUR50 billion to EUR188 billion. This
marked a turnaround for Greek banks, considering the loss of some
EUR40 billion of their EUR173 billion in deposits during 2014.
Improving macro fundamentals since 2017 allowed Greek banks to tap
debt markets abroad for their senior secured, unsecured, and
subordinated debt needs. This was also thanks to the ongoing
support from the ECB in various forms. At the same time, Greek
banks' deleveraging aimed at the cleaning-up of large volumes of
legacy bad assets brought the system's loan to deposits ratio to
below 70% last year compared with the peak of 128% in 2014. S&P
said, "Although we acknowledge this positive trend, the June
decision of the ECB's governing council to start normalizing its
monetary policy poses new challenges to Greek banks given their
relatively higher reliance on the TLTRO. We believe that banks have
sufficient liquidity to repay these borrowings, but with visible
differences between the banks. For example, NBG's regulatory
liquidity coverage ratio is one of the highest among the domestic
banks. That said, we believe banks' net stable funding ratios
(NSFR) will inevitably tighten, forcing banks to secure alternative
long-term funding sources." This, in the current market
environment, could prove scarce and expensive. Again, the impact
will be at different magnitudes. For instance, NBG already states
that its NSFR ratio after the full repayment of the TLTRO will be
comfortably above 100%. Nevertheless, Greek banks will need to
minimize the potential contagion effect of higher sovereign costs
on their retail funding base.

S&P said, "We expect the disruption stemming from the
Russia-Ukraine conflict and global CPI shock to be manageable for
Greece and Greek banks. We understand that banks have limited
exposures and links to Ukraine or Russia. Our base-case scenario
for all banks already assumes a slight negative impact in new NPL
flows and the loan growth owing to expected increase of lending
rates. Large expected Next Generation EU (NGEU) and other transfers
should support the demand and supply for new loans. We are not
excluding eventual trading losses from large holdings of GGBs by
Greek banks, but our forecasts take this into account. We also
believe that the fallout from the Russia-Ukraine conflict appears
manageable for the Greek sovereign considering the substantial
buffers in both the private and public sectors. Higher energy
prices and an acceleration of inflation will contribute to a
deceleration of GDP growth this year to 3.4% versus 8.3% in 2021,
with GDP projected to average more than 3.0% during 2023-2025,
thanks to the NGEU, among other transfers, and a strong anticipated
further recovery in tourism earnings. We note that the
first-quarter GDP reading was strong and still supportive of our
forecast GDP growth of 3.5% this year. Greece is set to enjoy a
solid tourism season: Bookings are very strong and new airline
connections are being set up to meet the rising demand." GGB yields
have risen visibly, but Greece has a sizable cash buffer and a very
long-dated debt, thereby enjoying the flexibility to accommodate
issuances when prices look more attractive.

Aegean Baltic Bank S.A. (ABB)

Outlook

S&P said, "The positive outlook on ABB reflects our view that there
is at least a one-in-three possibility that Greek banks will face
reduced industry risks action over the next 12 months, which will
be supportive for Aegean Baltic Bank's creditworthiness. In our
view, ABB's improved profitability prospects in line with the rest
of the Greek banking system." The bank is well positioned to
achieve a double-digit return on equity in 2022 with cost-to-income
ratio falling below 50% despite increasingly challenging
macroeconomic environment. Aegean also benefits from improved
depositors' confidence as it managed to grow organically its
depositors base, reducing its reliance on brokered deposits to 5%
of total deposits at end-June 2022 against 9% at end-2021.

Upside scenario: S&P said, "We would consider raising our long-term
issuer credit rating on ABB by one notch to 'B+' if our view was
that industry risks for Greek banks had reduced sustainably, all
else being equal. This could happen, for example, if we observed a
material improvement in the stability and diversification of the
sector's funding base."

Downside scenario: S&P could revise its outlook to stable if it
concludes that:

-- The industry risks faced by the Greek banking sector were
unlikely to reduce in the next two years.

-- ABB's funding or liquidity profile deteriorated because of its
too-aggressive balance-sheet growth, high asset-liability
mismatches, or outflows of deposits.

-- ABB's asset quality had deteriorated compared with historical
levels.

-- The bank proved unable to preserve its sound capitalization.
Specifically, this could occur if the RAC ratio fell closer or
below 10% on a sustained basis, mostly due to rising credit losses
or aggressive growth. In turn, this could stem from a scenario in
which shipping industry trade volumes and business activity are
more severely affected, putting material pressure on shippers' cash
flow capacity and overall financial profiles.

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

Alpha Bank S.A. and Alpha Services and Holdings S.A.

Outlook

S&P's positive outlook on Alpha Bank and Alpha Services and
Holdings indicates that there is at least a one-in-three
possibility that Greek banks will face reduced industry risks
action over the next 12 months.

Alpha Bank S.A.

Upside scenario: S&P said, "We could raise our long-term issuer
credit rating on Alpha Bank by one notch to 'BB-', if we form a
view that industry risks for Greek banks had reduced sustainably,
all else being equal. This could happen, for example, if we
observed a material improvement in the stability and
diversification of the sector's funding base."

Downside scenario: S&P said, "We could revise our outlook to stable
if we conclude that the industry risks faced by the Greek banking
sector were unlikely to reduce in the next two years. In addition,
if economic conditions in Greece deteriorated more than currently
anticipated due to the ongoing Russia-Ukraine conflict or the
monetary tightening, leading to resumed stress on asset quality and
pressure on the bank's capitalization, we would revise the outlook
to stable."

Alpha Services and Holdings S.A.

Upside scenario: S&P said, "A positive rating action on Alpha
Services and Holdings would follow a positive rating action on
Alpha Bank, unless we see a potential material increase in
liquidity risks, most likely in a scenario where the NOHC's
investments in Alpha Bank materially exceed 120% of the NOHC's
equity on a sustained basis. In this case, we might eventually
widen the notching difference between Alpha Bank and Alpha Services
and Holdings."

Downside scenario: S&P would revise its outlook to stable on Alpha
Services and Holdings over the next 12 months if we took a similar
action on Alpha Bank.

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

Eurobank and Eurobank Holdings

Outlook

S&P said, "Our positive outlook on Eurobank and Eurobank Holdings
reflects the at least one-in three likelihood of an upgrade on
decreasing funding and competitive risks over the next 12 months.
This could happen, for example, if we observed a material
improvement in the stability and diversification of the sector's
funding base."

Eurobank S.A.

Upside scenario: If S&P concludes that Greek banking sector's
funding stability and diversification continues improving, all else
being equal, it could raise its long-term issuer credit rating on
Eurobank.

Downside scenario: S&P said, "We could revise our outlook to stable
if we conclude that the industry risks faced by the Greek banking
sector were unlikely to reduce in the next two years. In addition,
if economic conditions in Greece deteriorate more than anticipated
due to the Russia-Ukraine conflict or the ongoing monetary
tightening, leading to resumed stress on asset quality and
capitalization, we would revise our outlook to stable."

Eurobank Holdings

Upside scenario: S&P said, "A positive rating action on Eurobank
Holdings would follow a positive rating action on the operating
entity Eurobank unless we see a potential increase in liquidity
risks, most likely in a scenario where the NOHC's investments in
Eurobank materially exceed 120% of the NOHC's equity on a sustained
basis. In this case, we might eventually widen the notching
difference between the operating and holding entities."

Downside scenario: S&P would revise its outlook to stable on
Eurobank Holdings should it does the same for Eurobank.

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

National Bank of Greece (NBG)

Outlook

S&P said, "Our positive outlook on NBG reflects the at least
one-in-three likelihood of an upgrade owing to our anticipation of
decreasing funding and competitive risks for Greek banks over the
next 12 months. This could happen, for example, if we observed a
material improvement in the stability and diversification of the
sector's funding base."

Upside scenario: If S&P concludes that the Greek banking sector's
funding stability and diversification strengthens further, all else
being equal, it could raise its long-term issuer credit rating on
NBG.

Downside scenario: S&P said, "We could revise our outlook on NBG to
stable if we conclude that the industry risks faced by the Greek
banking sector were unlikely to reduce in the next two years. In
addition, if economic conditions in Greece deteriorate more than
anticipated due to the Russia-Ukraine conflict or the ongoing
monetary tightening, leading to resumed stress on asset quality and
capitalization, we would revise our outlook to stable."

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

Piraeus Bank S.A.

Outlook

S&P said, "Our positive outlook on Piraeus Bank reflects our view
that there is at least one-in-three possibility that Greek banks
will face reduced industry risks action over the next 12 months.
This could happen, for example, if we observed a material
strengthening in the stability and diversification of the sector's
funding base."

Upside scenario: S&P said, "We could raise our long-term issuer
credit rating on Piraeus Bank by one notch to 'B+' if we view that
industry risks for Greek banks had reduced sustainably, all else
being equal. A positive rating action would also hinge on the bank
continuously improving its asset quality and profitability as per
its strategic plan, while maintaining its RAC ratio above the 3%
threshold."

Downside scenario: S&P said, "We could revise our outlook to stable
if we concluded that the industry risks faced by the Greek banking
sector were unlikely to reduce in the next two years. Additionally,
if economic conditions in Greece deteriorate more than anticipated
due to the Russia-Ukraine conflict or the monetary tightening,
leading to resumed stress on asset quality and pressure on the
bank's capitalization, we would revise our outlook to stable."

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

Piraeus Financials Holdings S.A.

Outlook

The stable outlook on Piraeus Financial Holdings reflects the
subordination of the holding to the operating company and balances
the bank's low quality of capital, weak earnings capacity, and
deeper legacy NPEs than those of domestic peers against its
improved liquidity and the benefits from its strategic
transformation targeting a cleaner balance sheet.

Downside scenario: S&P said, "We could take a negative rating
action if economic conditions in Greece worsen substantially,
intensifying the stress on asset quality and pushing NPEs to levels
like those in the past downturn. Rating pressure would also stem
from an unexpected weakening of Piraeus Bank's funding profile.
Furthermore, we could take a negative rating action on Piraeus
Financial Holdings if we saw a lower likelihood of Piraeus Bank
meeting its obligations toward the NOHC."

Upside scenario: S&P said, "A positive rating action on Piraeus
Financial Holdings is unlikely because of the NOHC's structural
subordination to Piraeus Bank. At the 'bb-' anchor level, we
usually rate NOHCs two notches below the group SACP. Therefore, an
upgrade to the NOHC would require us to revise the group SACP
upward by at least two notches."

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

BICRA Score Snapshot*

  Greece  
                                TO          FROM

  BICRA group                    8           8

  Economic risk                  7           8

  Economic resilience         High Risk    High Risk

  Economic imbalances         High Risk    Very High Risk

  Credit risk in the economy  Very High Risk    Very high Risk

  Trend                       Stable            Stable

  Industry risk                  8                 8

  Institutional framework     High Risk         High risk

  Competitive dynamics        Very High Risk    Very High Risk

  Systemwide funding          Very High Risk    Very high Risk

  Trend                       Positive          Stable

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

  Ratings List

  AEGEAN BALTIC BANK S.A.

  OUTLOOK ACTION; RATINGS AFFIRMED  
                                TO             FROM
  AEGEAN BALTIC BANK S.A.

   Issuer Credit Rating     B/Positive/B     B/Stable/B


  ALPHA SERVICES AND HOLDINGS SOCIETE ANONYME

  OUTLOOK ACTION; RATINGS AFFIRMED  
                                TO             FROM
  ALPHA BANK SA

   Issuer Credit Rating     B+/Positive/B    B+/Stable/B

   Resolution Counterparty
       Rating               BB-/--/B         BB-/--/B

  ALPHA SERVICES AND HOLDINGS SOCIETE ANONYME

   Issuer Credit Rating     B-/Positive/B    B-/Stable/B


  EUROBANK HOLDINGS

  OUTLOOK ACTION; RATINGS AFFIRMED  
                                TO             FROM
  EUROBANK S.A

   Issuer Credit Rating     B+/Positive/B    B+/Stable/B

   Resolution Counterparty
        Rating              BB-/--/B         BB-/--/B

  EUROBANK HOLDINGS

   Issuer Credit Rating     B-/Positive/B    B-/Stable/B



  NATIONAL BANK OF GREECE S.A.

  OUTLOOK ACTION; RATINGS AFFIRMED  
                                TO             FROM
  NATIONAL BANK OF GREECE S.A.

   Issuer Credit Rating     B+/Positive/B    B+/Stable/B

   Resolution Counterparty
        Rating              BB-/--/B         BB-/--/B


  PIRAEUS FINANCIAL HOLDINGS S.A.

  OUTLOOK ACTION; RATINGS AFFIRMED  
                                TO             FROM
  PIRAEUS BANK S.A.

   Issuer Credit Rating     B/Positive/B     B/Stable/B

   Resolution Counterparty
        Rating              B+/--/B          B+/--/B

  
  RATINGS AFFIRMED  

  PIRAEUS FINANCIAL HOLDINGS S.A.

   Issuer Credit Rating      B-/Stable/B




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

ANCHORAGE CAPITAL 6: S&P Assigns Prelim B- (sf) Rating to F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Anchorage
Capital Europe CLO 6 DAC's class A, B-1, B-2, C, D, E, and F notes.
At closing, the issuer will also issue subordinated notes.

The preliminary 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 S&P expects to be
bankruptcy remote.

-- The transaction's counterparty risks, which S&P expects to be
in line with its counterparty rating framework.

  Portfolio Benchmarks
                                                 CURRENT
  S&P weighted-average rating factor            2,982.50
  Default rate dispersion                         470.28
  Weighted-average life (years)                     5.22
  Obligor diversity measure                       120.23
  Industry diversity measure                       17.77
  Regional diversity measure                        1.26

  Transaction Key Metrics
                                                 CURRENT
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                    B
  'CCC' category rated assets (%)                   4.75
  Covenanted 'AAA' weighted-average recovery (%)   34.28
  Covenanted weighted-average spread (%)            4.00
  Covenanted weighted-average coupon (%)            4.75

Rating rationale

Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately two 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 its criteria for corporate cash flow
CDOs.

S&P said, "In our cash flow analysis, we used the EUR400 million
target par amount, the covenanted weighted-average spread (4.00%),
the reference weighted-average coupon (4.75%), and the identified
portfolio's weighted-average recovery rates at each rating level.
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.

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

"Until the end of the reinvestment period on Aug. 17, 2024, 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 it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

"The transaction's legal structure and framework is expected to be
bankruptcy remote, in line with our legal criteria.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our preliminary ratings
are commensurate with the available credit enhancement for the
class A to E notes. Our credit and cash flow analysis indicates
that the available credit enhancement for the class B-1, B-2, and C
notes could withstand stresses commensurate with higher ratings
than those we have assigned. However, as the CLO will be in its
reinvestment phase starting from closing, during which the
transaction's credit risk profile could deteriorate, we have capped
our preliminary ratings assigned to the notes.

"For the class F notes, our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses that
are commensurate with a lower rating. However, we have applied our
'CCC' rating criteria resulting in a preliminary 'B- (sf)' rating
on this class of notes."

The ratings uplift (to 'B-') reflects several key factors,
including:

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

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

-- S&P's model generated break-even default rate at the 'B-'
rating level of 27.62% (for a portfolio with a weighted-average
life of 5.22 years), versus if it was to consider a long-term
sustainable default rate of 3.1% for 5.22 years, which would result
in a target default rate of 16.18%.

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

-- For S&P to assign a rating in the 'CCC' category, it also
assessed (i) whether the tranche is vulnerable to non-payments in
the near future, (ii) if there is a one in two chance of this
tranche defaulting, and (iii) if it envision this tranche to
default in the next 12-18 months.

-- Following this analysis, S&P considers that the available
credit enhancement for the class F notes is commensurate with a
preliminary 'B- (sf)' rating.

S&P said, "Taking the above factors into account and following our
analysis of the credit, cash flow, counterparty, operational, and
legal risks, we believe that our preliminary ratings are
commensurate with the available credit enhancement for all the
rated classes of notes.

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

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

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it is managed by Anchorage CLO ECM
LLC.

Environmental, social, and governance (ESG) factors

S&P siad, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to certain activities,
including, but not limited to the following: An obligor which
derives more than 5% of revenue from tobacco or tobacco products,
more than 10% of revenue from the production of palm oil,
extraction of shale oil/gas or activities adversely affecting
animal welfare, more than 20% of revenue from the extraction or
production of crude bitumen, and more than 25% of revenue from
defense-related products, nuclear energy or mining of coal,
uranium, and minerals in zones of military conflict. 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     PRELIM      AMOUNT     INTEREST RATE     CREDIT
            RATING     MIL. EUR)                  ENHANCEMENT (%)

   A        AAA (sf)     224.30     3mE + 2.12%       43.93

   B-1      AA (sf)       31.50     3mE + 3.56%       32.30

   B-2      AA (sf)       15.00           6.00%       32.30

   C        A (sf)        28.90     3mE + 4.60%       25.08

   D        BBB- (sf)     25.80     3mE + 6.75%       18.63

   E        BB- (sf)      16.90     3mE + 8.11%       14.40

   F        B- (sf)       12.00     3mE + 11.37%      11.40

   Sub      NR            29.38              N/A        N/A

  NR--Not rated.
  N/A--Not applicable.
  3mE--Three-month Euro Interbank Offered Rate.


ENDO INTERNATIONAL: Egan-Jones Cuts Sr. Unsecured Ratings to CCC
----------------------------------------------------------------
Egan-Jones Ratings Company on July 13, 2022, downgraded the foreign
currency and local currency senior unsecured ratings on debt issued
by Endo International Public Limited Company to CCC to B-. EJR also
downgraded the rating on commercial paper issued by the Company to
C from B.

Headquartered in Dublin, Ireland, Endo International Public Limited
Company provides specialty healthcare solutions.



FASTNET SECURITIES 16: DBRS Confirms BB(high) Rating on E Notes
---------------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the notes issued by
Fastnet Securities 16 DAC (Fastnet 16) and Fastnet Securities 17
DAC (Fastnet 17) as follows:

Fastnet 16:
-- Class A1 notes at AAA (sf)
-- Class A2 notes at AAA (sf)
-- Class A3 notes at AAA (sf)
-- Class B notes at AA (high) (sf)
-- Class C notes at A (sf)
-- Class D notes at BBB (sf)
-- Class E notes at BB (high) (sf)

Fastnet 17:
-- Class A1 notes at AAA (sf)
-- Class A2 notes at AAA (sf)
-- Class A3 notes at AAA (sf)
-- Class B notes at AA (high) (sf)
-- Class C notes at A (high) (sf)
-- Class D notes at BBB (high) (sf)
-- Class E notes at BBB (low) (sf)

The ratings on the respective Class A1, Class A2, and Class A3
notes (together, the Class A notes) address the timely payment of
interest and the ultimate payment of principal on or before the
legal final maturity date in December 2058. The ratings on the
respective Class B notes address the timely payment of interest
when most senior and the ultimate payment of principal on or before
the legal final maturity date. The ratings on the respective Class
C, Class D, and Class E notes address the ultimate payment of
interest and principal on or before the legal final maturity date.

The confirmations follow an annual review of the transactions and
are based on the following analytical considerations:

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

-- Portfolio default rate (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables; and

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

The transactions are static securitizations of Irish first-lien
residential mortgages originated and serviced by Permanent TSB plc
(PTSB), which closed in July 2021. Fastnet 16 had an initial
portfolio balance of EUR 3.95 billion of owner-occupied mortgages
while Fastnet 17 had an initial portfolio balance of EUR 1.03
billion of both owner-occupied and buy-to-let mortgages.

PORTFOLIO PERFORMANCE

-- Fastnet 16: As of the June 2022 payment date, loans that were
30 to 60 days and 60 to 90 days delinquent represented 0.04% and
0.03% of the outstanding principal balance, respectively, while
loans more than 90 days delinquent amounted to 0.04%. There have
not been any repossessions or realized losses to date.

-- Fastnet 17: As of the June 2022 payment date, loans that were
30 to 60 days and 60 to 90 days delinquent represented 0.9% and
0.3% of the outstanding principal balance, respectively, while
loans more than 90 days delinquent amounted to 0.8%. There have not
been any repossessions or realized losses to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

For Fastnet 16, DBRS Morningstar updated its base case PD and LGD
assumptions on the remaining receivables to 1.1% and 5.7%,
respectively, compared to 1.6% and 11.9% at the initial rating
date. For Fastnet 17, DBRS Morningstar updated its base case PD and
LGD assumptions to 2.9% and 14.6%, respectively, compared to 4.7%
and 18.1% at the initial rating date. The lower loss numbers
reflect the reduced risk profile of the collateral pools compared
with closing, driven primarily by increased housing prices in
Ireland over the past year.

CREDIT ENHANCEMENT

The subordination of the respective junior obligations and the
general reserve funds provide credit enhancement to the respective
rated notes in the transactions.

As of the May 2022 payment date, in Fastnet 16, credit enhancement
to the Class A notes increased to 14.1% from 11.9% at the time of
the initial rating; credit enhancement to the Class B notes
increased to 10.4% from 8.8%; credit enhancement to the Class C
notes increased to 4.7% from 3.9%; credit enhancement to the Class
D notes increased to 2.6% from 2.1%; and credit enhancement to the
Class E notes increased to 1.4% from 1.1%.

In Fastnet 17, credit enhancement to the Class A notes increased to
22.2% from 18.7% at the time of the initial rating; credit
enhancement to the Class B notes increased to 17.0% from 14.2%;
credit enhancement to the Class C notes increased to 10.0% from
8.2%; credit enhancement to the Class D notes increased to 7.7%
from 6.2%; and credit enhancement to the Class E notes increased to
5.9% from 4.7%.

The transactions benefit from a general reserve fund and a
liquidity reserve fund providing credit support and liquidity
support, respectively, funded at closing through a subordinated
loan. Together, the general reserve and liquidity reserve funds
equal 1.0% of the initial total notes balance in each transaction.


As of the June 2022 payment date:

-- For Fastnet 16: the general reserve fund was at EUR 9.4 million
and the liquidity reserve fund was at EUR 30.1 million.

-- For Fastnet 17: the general reserve fund was at EUR 3.1 million
and the liquidity reserve fund was at EUR 7.2 million.

BNP Paribas Securities Services, Dublin Branch (BNPPSS-Dublin) acts
as the account bank for the transactions. Based on DBRS
Morningstar's private rating on BNPPSS-Dublin, the downgrade
provisions outlined in the transaction documents, and other
mitigating factors inherent in the transaction structures, DBRS
Morningstar considers the risk arising from the exposure to the
account bank to be consistent with the ratings assigned to the
notes in the transactions, as described in DBRS Morningstar's
"Legal Criteria for European Structured Finance Transactions"
methodology.

Notes: All figures are in euros unless otherwise noted.


LAST MILE: DBRS Confirms BB Rating on Class E Notes
---------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the following classes of
commercial mortgage-backed floating rate notes due August 2033
issued by Last Mile Logistics Pan Euro Finance DAC (the Issuer):

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

All trends on all classes of notes remain Stable.

The transaction is a securitization of a EUR 510.2 million senior
commercial real estate (CRE) loan backed by a pan-European
portfolio of light-industrial and logistics assets managed
collectively by Mileway and owned by Blackstone Real Estate
Partners (Blackstone or the Sponsor). The senior loan is divided
into two term facilities—term A and term B—with term A advanced
to non-Irish borrowers and term B advanced only to Irish borrowers.
Additionally, there was a EUR 102.0 million mezzanine facility at
origination, contractually and structurally subordinated to the
securitized senior loan, which was repaid in April 2022 as per
Mileway's recapitalization.

The senior loan is backed by 112 predominately light-industrial or
logistics assets across seven European countries (Germany, France,
the Netherlands, Finland, Spain, Denmark and Ireland). At
origination, the loan was backed by 113 properties with the
acquisition of the Choisy asset to be completed shortly after the
loan utilization. However, the property's completion was delayed
beyond the longstop date and the loan proceeds for the asset were
applied pro rata toward prepayment of the loan at the November 2021
interest payment day (IPD). As a result, the loan balance decreased
by EUR 2.3 million to EUR 507.9 million while the portfolio value
declined by EUR 4.5 million to EUR 758.7 million based on the
aggregate market value of each property or to EUR 796.6 million,
including a 5% portfolio premium, as per a valuation that Jones
Lang LaSalle Limited conducted in May 2021. The loan-to-value (LTV)
ratio stood at 63.8% at the May 2022 IPD, in compliance with the
LTV cash trap covenant of 73.7%.

The loan performance has been in line with expectations over the
past 12 months, with gross rental income (GRI) increasing to EUR
46.5 million in May 2022 from EUR 41.6 million in Q3 2021, helped
by the slight improvement in vacancy. In Q1 2022, the servicer
reported net operating income of EUR 45.7 million and a debt yield
(DY) of 9.0%, up from 8.3% a year ago. The tenant profile remains
granular, with the top 10 tenants contributing approximately 21% of
the portfolio GRI.

Reflecting the changes in the portfolio's composition outlined
above, DBRS Morningstar updated its DBRS Morningstar net cash flow
(NCF) to EUR 36.0 million. With the capitalization rate remaining
unchanged from the initial rating, the resulting DBRS Morningstar
Value is EUR 553.1 million, representing a haircut of 27.1% to the
appraised value. This did not trigger any changes to the ratings on
all classes of notes, which DBRS Morningstar confirmed with Stable
trends. For DBRS Morningstar's underwriting assumptions at
issuance, please refer to the transaction's rating report.

DBRS Morningstar noted that the senior facility is denominated in
euros (EUR) whereas the Danish assets and income, which amount to
approximately 6.9% of the portfolio aggregated MV, are denominated
in Danish kroner (DKK). In the absence of a currency swap, the
borrower takes on the foreign-exchange risk between the two
currencies. However, the Danish central bank has pegged the DKK
exchange rate to EUR and historical data shows little fluctuation
in the DKK/EUR exchange rate. To reflect this, DBRS Morningstar
applied an exchange rate of DKK 7.6282 per EUR to the GRI generated
by the Danish assets, the highest exchange rate allowed by the
Danish central bank for all non-AAA (sf)-rated investment-grade
stress scenarios and a higher exchange rate of 12.1086 DKK per EUR
in the AAA (sf) stress scenario.

There are no financial covenants applicable prior to a permitted
change of control (COC), but cash trap covenants are applicable
both before and after a permitted COC. The cash trap covenants are
set at 73.67% LTV while the DY covenant is set at 7.55% for the
first and second year and steps up to 7.93% on and from the third
year. After a permitted COC, the financial default covenants on the
LTV and the DY will be applicable. These covenants are set at 10%
above the LTV at the time of the permitted COC and the higher of
85% of the DY at the time of the permitted COC and 7.34%,
respectively. The loan will also start to amortize at 1% per year
after a permitted COC; however, DBRS Morningstar noted that, to be
qualified as a permitted COC, the LTV should not exceed 63.67% and
the new owner needs to be a qualifying transferee.
 
The transaction benefits from the liquidity reserve of EUR 11.9
million (EUR 12.0 million at origination), which is funded through
the over issuance of Class A notes and through the Issuer loan,
which funds the Issuer loan share of the reserve. The liquidity
reserve can be used to cover any potential interest shortfalls on
the Class A, Class B, and the relevant portion of the Issuer loan.
DBRS Morningstar estimated that the commitment amount is equivalent
to approximately 20 months of coverage based on the interest rate
cap strike of 1.25% or approximately nine months of coverage based
on the 4% Euribor cap.

The Class E and Class F notes are subject to an available funds cap
where the shortfall is attributable to a reduction in the
interest-bearing balance of the senior loan that results from
prepayments or by a final recovery determination of the senior
loan.

The two-year senior loan has three one-year extension options,
which can be exercised if certain conditions are met. As such, the
legal final maturity of the notes is in August 2033, seven years
after the fully extended loan maturity date.

Notes: All figures are in euros unless otherwise noted.




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

BCC NPLS 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 BCC NPLs 2019 S.r.l. (the Issuer) at BBB (sf) and
CCC (sf), respectively, with Negative trends.

The transaction represents the issuance of Class A, Class B, and
Class J Notes (collectively, the Notes) backed by a mixed pool of
Italian nonperforming secured and unsecured loans originated by 68
Italian banks (collectively, the Originators). The rating assigned
to the Class A Notes addresses the timely payment of interest and
the ultimate repayment of principal while the rating assigned to
the Class B Notes addresses the ultimate payment of both interest
and principal. DBRS Morningstar does not rate the Class J Notes.

The gross book value (GBV) of the loan pool was approximately EUR
1.32 billion as of the December 31, 2018 selection date. The
securitized portfolio is composed of secured loans, representing
approximately 73.8% of the GBV, with unsecured loans representing
the remaining 26.2% of the GBV. Residential and industrial real
estate properties represent 44.2% and 16.2% of the pool by
first-lien real estate value, respectively.

The receivables are serviced by doValue S.p.A. (doValue or the
Special Servicer). doNext S.p.A. acts as the master servicer while
Banca Finanziaria Internazionale S.p.A. (formerly Securitization
Services S.p.A.) operates as the 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 December 31, 2021, focusing on: (1) a comparison between actual
collections and the Special 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.

-- Updated business plan: The Special Servicer's updated business
plan as of December 2021, which DBRS Morningstar received in June
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 collection ratio or
the present value cumulative profitability ratio is lower than 90%.
These triggers were not breached on the January 2022 interest
payment date (IPD), with the actual figures at 108.3% and 105.4%,
respectively, according to the Special Servicer.

-- 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 3% of the Class A Notes'
principal outstanding balance and is currently fully funded.

TRANSACTION AND PERFORMANCE

According to the latest investor report from January 2022, the
outstanding principal amounts of the Class A, Class B, and Class J
Notes were EUR 299.4 million, EUR 53.0 million, and EUR 13.2
million, respectively. As of the January 2022 IPD, the balance of
the Class A Notes had amortized by approximately 15.7% since
issuance and the current aggregated transaction balance was EUR
365.6 million.

As of December 2021, the transaction was performing above the
Special Servicer's business plan expectations. The actual
cumulative gross collections equalled EUR 83.1 million whereas the
Servicer's initial business plan estimated cumulative gross
collections of EUR 73.7 million for the same period. Therefore, as
of December 2021, the transaction was overperforming by EUR 9.4
million (12.7%) compared with the initial business plan
expectations.

At issuance, DBRS Morningstar estimated cumulative gross
collections for the same period of EUR 48.0 million at the BBB (sf)
stressed scenario and EUR 71.5 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 June 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 83.1 million as of December 2021, results in a
total of EUR 595.5 million, which is 7.9% lower than the total
gross disposition proceeds of EUR 646.8 million estimated in the
initial business plan. Excluding actual collections, the Servicer's
expected future collections from January 2022 account for EUR 512.4
million. The updated DBRS Morningstar BBB (sf) rating stress
assumes a haircut of 22.1% to the Servicer's updated business plan,
considering future expected collections from January 2022. In DBRS
Morningstar's CCC (sf) scenario, the Servicer's updated forecast
was only adjusted in terms of the actual collections to date and
the timing of future expected collections.

The final maturity date of the transaction is in January 2044.

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.


TELECOM ITALIA: Egan-Jones Retains B+ Senior Unsecured Ratings
--------------------------------------------------------------
Egan-Jones Ratings Company on July 15, 2022, retained its 'B+'
foreign currency and local currency senior unsecured ratings on
debt issued by Telecom Italia S.p.A.

Headquartered in Milan, Italy, Telecom Italia S.p.A., through
subsidiaries, offers fixed line and mobile telephone and data
transmission services in Italy and abroad.




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

METALCORP GROUP: S&P Alters Outlook to Stable, Affirms 'B' Ratings
------------------------------------------------------------------
S&P Global Ratings revised its outlook on nonferrous and ferrous
metal trader and recycler Metalcorp Group S.A. to stable from
positive, and affirmed its 'B' ratings on the company and its
EUR300 million senior secured notes.

The stable outlook reflects Metalcorp's ability to continue ramping
up its bauxite operations and keep free cash flow (FCF) under
control (slightly negative) in the coming 12-18 months.

Logistical issues which led to lower production in Metalcorp's
bauxite mines in Guinea will delay a positive contribution until
2023. The company's ability to ramp-up its highly cost-competitive
bauxite mines in Guinea has been the driving consideration in its
credit analysis. The mines have a total nameplate capacity of about
15 million tons (mmt), which should become cash-generative engines
in future years. At that stage, the company expected the bauxite
mining operations to reach 2.5 mmt in 2021 and 9 mmt in 2022. In
practice, the company started large-scale mining only in the first
quarter of 2022 (about 0.5 mmt) with estimated total production of
2.5 mmt by the end of the year and an only insignificant EBITDA
contribution. The management attributes the shortfall to logistical
issues and transportation costs. S&P understands that some of these
issues will not be resolved in the next 12-18 months, and as a
result the company is scaling back its previous mining plan, hence
the ramp-up will be slower than expected. According to the company,
total production in 2023 would ramp up to about 8 mmt with an
EBITDA contribution of about EUR50 million-EUR60 million. At this
stage, reaching the 15 mmt nameplate capacity is beyond its rating
horizon through 2024.

S&P said, "It is likely that results for the company's downstream
business in Europe will be better than we expected, but a potential
global recession casts a shadow over the coming quarters. In the
year to date, the performance of Metalcorp's downstream activities
(metals trading and recycling) was stronger than projected, and is
expected to remain strong also in the second half of the year. The
company's aluminum and metallurgical coke facilities ran at full
capacity. Overall, we expect the downstream activities to report
EBITDA of EUR90 million-EUR100 million, in line with our previous
projection. That said, we don't believe that the current activity
level and profitability are sustainable, and under normal market
conditions we factor EBITDA of EUR50 million-EUR60 million. This
profitability level could be also challenged if Europe experiences
a recession in 2023."

The recent EUR50 million bond issue removed potential question
marks about Metalcorp's short-term liquidity. However, liquidity
remains far from comfortable. The sharp increase in raw materials
and some large maturities (EUR52 million in April and EUR72 million
in October) have stretched the company's liquidity position.
However, the EUR50 million tap and reliance on short-term financing
to support its trading activities will buy the company more time.
S&P said, "In our view, lack of meaningful cash flow contribution
from the Guinea operations (expected as early as 2024), would
result in overreliance on its cash balance and its short-term
uncommitted finance facilities. The company's lack of available
committed credit facilities required it to tap the capital markets
with less favorable timing, resulting in an effective interest rate
of almost 14%. The company might need to test its liquidity
management again if it experiences further working capital needs,
though. We note that without signs of improvement in the liquidity
(either refinancing lines or better visibility on cash upstreamed
from its subsidiaries), pressure on the rating may result."

The stable outlook reflects Metalcorp's ability to continue ramping
up its bauxite operations with a first EBITDA contribution by the
last quarter of 2022, as well as the ability to benefit from the
favorable demand for its products and services in the second half
of the year. Both should result in somewhat negative FCF in the
coming 12-18 months.

S&P said, "Under our revised base-case scenario, we assume EBITDA
of about EUR90 million-EUR100 million in 2022, resulting in FCF of
negative EUR20 million to negative EUR50 million and adjusted debt
to EBITDA of 4.5x-5.0x. More importantly, with an aggregate bauxite
production of about 5 mmt–6 mmt in 2023, we assume EBITDA of 2023
of EUR110 million-EUR130 million, leading to FCF of negative EUR10
million to negative EUR20 million and improvement of leverage to
3.5x-4.0x.

"We assume the company will progress with its transformation to a
mining company over the coming two to three years, after which the
majority of the EBITDA will come from the mining business. While
the ramp-up continues, we expect the company will maintain adjusted
debt to EBITDA between 4x-5x, supporting at least neutral FCF."

Downside scenario

S&P could lower the rating if it revised its EBITDA calculation to
less than EUR90 million in 2022 and below EUR120 million in 2023.
Such a change is possible if the company were to experience some of
the following:

-- Further delays in the ramp-up of the mining operations with no
meaningful contribution to the company's results.

-- A recession in Europe leading to softer demand for the
company's products and services.

In addition, S&P could take a negative rating action if it saw:

-- Deterioration of Metalcorp's liquidity position, due to larger
cash outflows than we expect via capital expenditure (capex) and
working capital spending, or a mismatch between the company's cash
generation at its subsidiaries and upstreams to the parent
company.

-- Additional debt-funded acquisitions with no immediate
contribution to the EBITDA or leverage.

-- Deterioration in our creditworthiness assessment of its parent
company, Monaco Resources Group S.A.M. (MRG).

Upside scenario

S&P sees a positive rating action in the coming 12 months as less
likely. Over time, it could consider a positive rating action if:

-- Metalcorp reaches aggregate bauxite mine production of 5 mmt or
more, with further prospects of reaching or exceeding 10 mmt in the
following years.

-- Adjusted debt to EBITDA is below 5.0x, with supportive positive
FCF, excluding working capital and additional growth capex.

-- Metalcorp improves its liquidity position by relying less on
short-term uncommitted facilities and managing ahead of time its
larger maturities (the company's EUR300 million due 2026 is beyond
our rating horizon).

-- There are no negative changes in our assessments of either
MRG's creditworthiness or country risk in Guinea.

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

S&P said, "Social factors are a negative consideration in our
credit rating analysis of Metalcorp. The exposure to Guinea and the
country's weak social standards (such as potential strikes and
other social issues) affects operating efficiency. The recent
military coup in the country is an example of a security issue in
an unpredictable political and economic environment in which
businesses are operating. Governance factors are also a negative
consideration in our rating analysis, primarily reflecting high
country risk in Guinea, where Metalcorp will be generating most of
its FCF. Environmental factors are a moderately negative
consideration, similarly to the broader mining industry globally
(we expect 70%-80% of EBITDA to come from mining, primarily
bauxite, in the next few years)."




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

AURORUS 2020: DBRS Confirms B Rating on Class F Notes
-----------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the notes issued by
Aurorus 2020 B.V. as follows:

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

The ratings on the Class A and Class B notes address the timely
payment of interest and the ultimate payment of principal on or
before the legal final maturity date. The ratings on the Class C,
Class D, Class E, and Class F notes address the timely payment of
interest when most senior class of notes outstanding otherwise the
ultimate payment of interest and the ultimate payment of principal
on or before the legal final maturity date.

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

-- Portfolio performance, in terms of delinquencies and cumulative
net losses, as of the June 2022 payment date;

-- Probability of default (PD), loss given default (LGD), and
expected loss assumptions on a potential portfolio migration
according to the replenishment criteria;

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

-- No early amortization events have occurred.

The transaction is a securitization of instalment loans, unsecured
amortizing credit cards receivables where further drawings are not
allowed, and revolving credit facilities originated by Qander
Consumer Finance B.V. (Qander) in the Netherlands. The receivables
are serviced by Qander, with Vesting Finance Servicing B.V. acting
as the backup servicer. The transaction is currently in its
revolving period scheduled to end in October 2023. The end of the
revolving period coincides with the First Optional Redemption Date
and a step-up in the coupon on the rated notes. The transaction
closed in August 2020 and the legal final maturity is in August
2046.

At the end of Q1 2020, Qander withdrew from the credit card market
and has blocked all associated revolving facilities, resulting in
these receivables becoming fully amortizing and carrying a fixed
rate of interest. The terms and conditions of the revolving loan
product also changed in May 2019, which resulted in a significantly
shorter tenor and restrictions on drawing capabilities.

PORTFOLIO PERFORMANCE

Delinquency ratios have been low since closing. As of the June 2022
payment date, two- to three-month arrears and 90+-day delinquency
ratios were at 0.4% and 0.3% of the portfolio's outstanding
balance, slightly up from 0.3% and 0.1%, respectively, at the last
annual review. As of the June 2022 payment date, cumulative
defaults represented 2.0% of the total receivables purchased, up
from 1.2% at the last annual review. Defaulted loans are based on a
120-day arrears definition.

PORTFOLIO ASSUMPTIONS

DBRS Morningstar maintained its base case PD assumption on each of
the product types at 10.0%, 5.0%, and 12.5% on revolving
facilities, amortizing credit cards receivables, and instalment
loans, respectively, leading to a weighted-average PD of 8.1%. DBRS
Morningstar also maintained its base case LGD assumption of 75.0%
across the three product types.

CREDIT ENHANCEMENT AND RESERVES

Credit enhancement (CE) to the rated notes consists of the
subordination of their respective junior notes. Given that the
transaction is in its revolving period, the CE to the rated notes
remained stable since closing as follows:

-- CE to the Class A Notes at 36.0%
-- CE to the Class B Notes at 24.0%
-- CE to the Class C Notes at 16.5%
-- CE to the Class D Notes at 11.5%
-- CE to the Class E Notes at 9.0%
-- CE to the Class F Notes at 6.0%

The transaction benefits from a liquidity reserve, currently at its
target level of EUR 2.7 million, equal to 0.9% of the original
Class A, Class B, Class C, and Class D Notes balances. After the
revolving period, the target increases to 1.5% of the Class A,
Class B, Class C, and Class D Notes balances and is funded from the
proceeds available according to the interest priority of payments.
It is non-amortizing and, following the redemption of the Class D
Notes, it becomes available to pay interest on the most senior
class of notes outstanding, subject to no amount being recorded in
the applicable note-specific principal deficiency ledger (PDL). The
reserve can be used to cover balances recorded on the
class-specific PDLs subject to conditions. As of the June 2022
payment date, all PDLs were clear.

ABN AMRO Bank N.V. (ABN AMRO) acts as the account bank for the
transaction. Based on the account bank's reference rating of ABN
AMRO at AA (low), which is one notch below the DBRS Morningstar
Long Term Critical Obligations Rating (COR) of AA, 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.

BNP Paribas SA (BNP) acts as the swap counterparty for the
transaction. DBRS Morningstar's Long Term COR of BNP at AA (high)
is above the First Rating Threshold as described in DBRS
Morningstar's "Derivative Criteria for European Structured Finance
Transactions" methodology.

Notes: All figures are in euros unless otherwise noted.


FAB CBO 2003-1: Moody's Affirms 'Ca' Rating on 2 Tranches
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the following
classes of notes issued by FAB CBO 2003-1 B.V.:

EUR14.5M (Current outstanding amount EUR2,617,097) Class A-3E
Floating Rate Notes, Upgraded to Aa1 (sf); previously on Sep 15,
2021 Upgraded to A1 (sf)

EUR8M (Current outstanding amount EUR1,443,916) Class A-3F Fixed
Rate Notes, Upgraded to Aa1 (sf); previously on Sep 15, 2021
Upgraded to A1 (sf)

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

EUR8M (Current outstanding amount EUR9,435,041) Class BE Floating
Rate Notes, Affirmed Ca (sf); previously on Sep 15, 2021 Affirmed
Ca (sf)

EUR7M (Current outstanding amount EUR11,143,030) Class BF Fixed
Rate Notes, Affirmed Ca (sf); previously on Sep 15, 2021 Affirmed
Ca (sf)

This transaction is a structured finance collateralized debt
obligation ("SF CDO") backed by a portfolio of European SF assets
composed primarily of RMBS.

RATINGS RATIONALE

The upgrade action on the notes is primarily a result of an
improvement in the credit quality of the portfolio since the last
rating action in September 2021 and the deleveraging of the
transaction, following amortisation of the underlying portfolio.

The credit quality has improved as reflected in the improvement in
the average credit rating of the portfolio (measured by the
weighted average rating factor, or WARF). According to the trustee
report dated May 2022 [1], the WARF was 659, compared with 1026
reported in August 2021 [2].

The Class A-3E and Class A-3F Notes have paid down by approximately
EUR0.5m and EUR0.3m respectively since August 2021. As a result,
Class A-3 Notes over-collateralisation (OC) ratio has increased to
412.8% as per May 2022 trustee report, compared to 260.8%, as per
the August 2021 report. Moody's notes that the August 2021
principal payments of EUR6.5m were not reflected in the August 2021
OC ratio.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in June 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.

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.
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.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.



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

CAIXABANK PYMES 12: DBRS Hikes Series B Notes Rating to BB(low)
---------------------------------------------------------------
DBRS Ratings GmbH upgraded its ratings on the notes issued by
CaixaBank PYMES 12, FT (the Issuer) as follows:

-- Series A Notes to AA (high) (sf) from AA (sf)
-- Series B Notes to BB (low) (sf) from B (high) (sf)

The rating on the Series A Notes addresses the timely payment of
interest and the ultimate payment of principal on or before the
legal maturity date in September 2062. The rating on the Series B
Notes addresses the ultimate payment of interest and principal on
or before the legal maturity date.

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

-- The portfolio performance, in terms of level of delinquencies
and defaults, as of the June 2022 payment date;

-- The one-year base case probability of default (PD) and default
and recovery rates on the outstanding receivables;

-- The current available credit enhancement to the notes to cover
the expected losses assumed in line with their respective rating
levels; and

-- The current economic environment and an assessment of
sustainable performance, as a result of the Coronavirus Disease
(COVID-19) pandemic.

The transaction is a cash flow securitization collateralized by a
portfolio of secured and unsecured loans originated by CaixaBank,
S.A. (CaixaBank) to corporates, small and medium-size enterprises
(SMEs), and self-employed individuals based in Spain. The
transaction closed in November 2020, with a total portfolio of EUR
2.55 billion. The current outstanding portfolio as of June 2022
payment date was EUR 1.60 billion.

PORTFOLIO PERFORMANCE

The transaction's performance has been stable since closing. As of
June 2022, loans that were two to three months in arrears
represented 0.01% of the outstanding portfolio balance. The 90+-day
delinquency ratio was 1.3%, up from 0.4% at the time of the last
annual review, and the cumulative gross default ratio stood at 0.3%
of the original portfolio balance. Receivables are classified as
defaulted after 12 months of arrears per the transaction
documentation.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis on the remaining
pool of receivables and updated its recovery rate assumptions to
20.8% and 28.3% at the AA (high) (sf) and BB (low) (sf) rating
level, respectively.

DBRS Morningstar updated its lifetime default assumptions to 24.7%
at the AA (high) (sf) rating level and to 9.2% at the BB (low) (sf)
rating level.

DBRS Morningstar updated the base case PD to 1.6% (including
coronavirus adjustments as described below).

CREDIT ENHANCEMENT

The credit enhancements available to the Series A Notes have
increased as the transaction deleverages. As of the June 2022
payment date, the credit enhancements available to the Series A
Notes and Series B Notes were 27.8% and 5.4%, respectively (up and
slightly down from 22.0% and 5.8%, respectively, one year ago).
Credit enhancement is provided by the subordination of the Series B
Notes and a reserve fund. The reserve fund was funded through a
subordinated loan and is available to cover senior fees, interest,
and principal payments on the Series A Notes and, once the Series A
Notes are fully amortized, interest and principal on the Series B
Notes. The cash reserve started amortizing after 12 months from
closing, subject to the target level being equal to 5.0% of the
outstanding balance of the Series A and Series B Notes.

CaixaBank acts as the account bank for the transaction. Based on
the account bank reference rating of A (high) on CaixaBank (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 Series A Notes, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures had caused an immediate economic contraction, leading in
some cases to increases in unemployment rates and income reductions
for many borrowers. DBRS Morningstar anticipates that delinquencies
may continue to increase in the coming months for many SME
transactions. The ratings are based on additional analysis to
expected performance as a result of the global efforts to contain
the spread of the coronavirus.

For this transaction, DBRS Morningstar increased the expected
default rate on receivables granted to obligors operating in
certain industries based on their perceived exposure to the adverse
disruptions of the coronavirus. As per DBRS Morningstar's
assessment, 18.8% of the outstanding portfolio balance, represented
industries classified in the high-risk economic sectors. This led
the underlying one-year PDs to be multiplied by 1.5 times. DBRS
Morningstar also conducted an additional sensitivity analysis to
determine that the transaction benefits from sufficient liquidity
support to withstand high levels of payment holidays in the
portfolio.

Notes: All figures are in euros unless otherwise noted.


PAX MIDCO: Moody's Affirms 'B3' CFR & Alters Outlook to Stable
--------------------------------------------------------------
Moody's Investors Service has affirmed the corporate family rating
of Pax Midco Spain (Areas or the company) at B3 and the probability
of default rating at B3-PD. Concurrently, Moody's has affirmed the
ratings on the senior secured bank credit facilities at Financiere
Pax S.A.S. at B3. The outlook on both entities has been changed to
stable from negative.

RATINGS RATIONALE

The affirmation of the CFR with a stable outlook reflects
relatively solid performance in the first 6 months of the company's
fiscal 2022, which will end September 30. The positive momentum has
been driven by progressive lifting of pandemic related travel
restrictions and increasing passengers traffic in all transport
hubs. Moody's expects that the credit metrics of Areas will
significantly improve in fiscal 2022, relative to fiscal 2021,
thanks also to the renegotiation of concession fees, including
minimum annual guarantees (MAG).

Moody's expects the company's leverage, measured by adjusted gross
debt to EBITDA to decrease to 5.4x in fiscal 2022 from 12.3x in
fiscal 2021, albeit on a pro-forma basis (as if the MAG relief had
been immediately applied once recognised) the improvement is less
significant (decline to 8.3x in fiscal 2022 from 8.9x in fiscal
2021). Moody's expectation is that profitability will reach 2019
levels within the next 24-30 months.

Areas' CFR of B3 is supported by Moody's expectations that the
company will maintain adequate liquidity and also by Areas' strong
positioning in its core geographies (France, Spain, Italy). The
industry features fairly high barriers to entry, underpinned by the
significant capital requirements to win new contracts and the
necessity to maintain a wide assortment of franchised brands as
well as proprietary ones.

The B3 CFR is however still constrained by the company's leveraged
financial structure, its negative free cash flow generation and
weak credit metrics, which significantly deteriorated following the
breakout of the pandemic.

LIQUIDITY

Areas' adequate liquidity profile is supported by EUR148 million
cash on its balance sheet as of March 31, 2022, providing a cushion
to negative free cash flow generation. Additionally, the company
can rely on EUR125 million under the committed senior secured
revolving credit facility (RCF). Moody's expects the springing net
leverage covenant attached to the senior secured RCF to be complied
with. Moody's also expects the company to receive total cash
inflows of EUR71 million in fiscal 2022, EUR51 million of which
relate to an additional French state-guaranteed loan and EUR20
million to equity injection from shareholders. Major cash outflows
relate to capital spending, which averages around 4.5% of revenues
a year, and debt repayments of EUR27 million in fiscal 2023
(state-guaranteed loans). Areas does not have meaningful debt
maturities before 2025-2026, when the senior secured bank credit
facilities and most of the state-guaranteed loans mature.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook reflects Moody's expectations of significant
improvements in credit metrics in fiscal 2022, supported by
recovery in all transport hubs and particularly in airports, which
represent around 44% of group revenues. Moody's expects adjusted
debt/ EBITDA to end at 5.4x in fiscal 2022 (8.3x on a pro-forma
basis for the MAG relief). Moody's expects free cash flow to be
almost at 0 in the current fiscal year. The stable outlook also
incorporates expectations that credit metrics will revert back to
levels more commensurate with the current rating in the next 24-30
months.

Moody's might consider returning the outlook to negative in case
Areas' traffic recovery is slower than expected or profitability
significantly falls, thus amplifying the negative free cash flow
generation.

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

An upgrade is unlikely before a normalization of market conditions
as well as Moody's expectation of sustained organic growth in
revenue and earnings. Over time, upward rating pressure could
develop if Moody's-adjusted (gross) debt/EBITDA is sustainably
below 5.0x, Moody's-adjusted EBITA/interest is above 1.5x and the
company maintains a solid liquidity profile, including positive
free cash flow generation.

Downward rating pressure could arise if liquidity weakens or the
capital structure becomes unsustainable. This could be evidenced by
Moody's-adjusted (gross) debt/EBITDA above 5.5x on a sustained
basis, or Moody's-adjusted EBITA/interest below 1.0x beyond 2023 or
persistently negative free cash flow generation.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Restaurants
published in August 2021.

COMPANY PROFILE

Areas, headquartered in Spain, is a leading operator of food and
beverage concessions in travel hubs such as airports, train
stations, and motorway service areas. The company had revenue of
EUR828 million in the fiscal year ended September 2021.

RMBS SANTANDER 6: DBRS Hikes Class B Notes Rating to BB(high)
-------------------------------------------------------------
DBRS Ratings GmbH upgraded its ratings of the bonds issued by FT
RMBS Santander 6 (Santander 6) and FT RMBS Santander 7 (Santander
7) as follows:

Santander 6
-- Class A notes to AAA (sf) from AA (low) (sf)
-- Class B notes to BB (high) (sf) from CCC (high) (sf)

Santander 7
-- Class A notes to AA (high) (sf) from AA (sf)
-- Class B notes to BB (high) (sf) from BB (sf)

Additionally, DBRS Morningstar removed the Under Review with
Positive Implications (UR-Pos.) status of the Class A and Class B
notes in both transactions. On May 4, 2022, DBRS Morningstar placed
these ratings UR-Pos. following a Spanish RMBS Insight methodology
update.

The ratings of the Class A notes in both transactions address the
timely payment of interest and the ultimate payment of principal by
the respective legal final maturity date in December 2059
(Santander 6) and December 2063 (Santander 7). The ratings of the
Class B notes in both transactions address the ultimate payment of
interest and principal by the respective legal final maturity
dates.

The upgrades follow an annual review of the transactions and are
based on the following analytical considerations:

-- Portfolio performances, in terms of delinquencies, defaults,
and losses as of the respective May 2022 payment dates;

-- Updated portfolio default rates (PD), loss given default (LGD),
and expected loss assumptions on the remaining pools of
receivables;

-- Updated Spanish addendum to the "European RMBS Insight
Methodology" and model; and

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

The transactions are securitizations of Spanish first-lien
residential mortgage loans originated by Banco Santander SA
(Santander), Banco Popular Español, S.A., and Banco Español de
Credito, S.A. The mortgage loans are secured over residential
properties located in Spain. Santander acts as the servicer of the
portfolios of both transactions.

PORTFOLIO PERFORMANCE
Santander 6

As of the May 2022 payment date, loans two to three month in
arrears represented 0.2% of the outstanding portfolio balance, up
from 0.1% in May 2021. Loans more than 90 days in arrears
represented 0.5%, up from 0.1% in the same period, while the
cumulative default ratio increased to 1.25%.

Santander 7

As of the May 2022 payment date, loans two to three month in
arrears represented 0.1% of the outstanding portfolio balance, and
loans more than 90 days in arrears represented 0.2%, both up from
0.0% at closing last year, while the cumulative default ratio
increased to 1.1%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pools of receivables in both transactions and updated its base case
PD and LGD assumptions to 8.9% and 28.4%, respectively for
Santander 6, and to 5.1% and 35.1%, respectively, for Santander 7.

CREDIT ENHANCEMENT

In both transactions, the credit enhancement to the Class A notes
is provided through the subordination of the Class B notes and the
reserve fund. The credit enhancement to the Class B notes is
provided through the reserve fund.

As of the May 2022 payment date, the credit enhancements to the
Class A and Class B notes in Santander 6 were 23.7% and 5.4%,
respectively, up from 22.4% and down from 5.7%, respectively, in
May 2021. As of the May 2022 payment date, the credit enhancements
to the Class A and Class B notes in Santander 7 were 15.4% and
4.6%, respectively, up from 15.0% and down from 5.0%, respectively,
at closing.

The transactions benefit from reserve funds of EUR 225 million
(Santander 6) and EUR 265 million (Santander 7), which are
available to cover senior expenses as well as interest and
principal payments on the rated notes until they are paid in full.
The reserve funds in both transactions were funded at closing via a
subordinated loan and will start amortizing three years after
closing, up to a floor of EUR 112.5 million. The reserve funds will
not amortize if certain performance triggers are breached, if they
were used on any payment date and are under their target level, or
until they reach 10% of the outstanding balance of the Class A and
Class B notes in each transaction.

As of the May 2022 payment date, the reserve funds were at EUR
211.0 million for Santander 6 and EUR 224.9 million for Santander
7. Both reserve funds were below their respective target levels as
they were used to meet the respective Class A notes target
amortization amounts according to the transaction documents.

Santander acts as the account bank for both transactions. Based on
Santander's reference rating of A (high) (which is one notch below
DBRS Morningstar's Long Term Critical Obligations Rating of AA
(low)), the downgrade provisions outlined in the transaction
documents, and other mitigating factors inherent in the transaction
structures, DBRS Morningstar considers the risk arising from the
exposure to the account bank to be consistent with the ratings
assigned to the notes in both transactions, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

Notes: All figures are in euros unless otherwise noted.


SABADELL CONSUMO 2: DBRS Finalizes B(high) Rating on Class F Notes
------------------------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following classes of notes issued by Sabadell Consumo 2 FT (the
Issuer):

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

DBRS Morningstar did not assign ratings to the Class G and Class H
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 December 2034. The rating on the Class B Notes
addresses the ultimate payment of interest, but timely once most
senior, and the ultimate repayment of principal by the legal
maturity date. The ratings on the Class C, Class D, Class E, and
Class F Notes (together with the Class A and Class B Notes, the
Rated Notes) address the ultimate payment of interest and the
ultimate repayment of principal by the legal final maturity date.

The assigned rating of B (high) (sf) to the Class F Notes is two
notches higher than the provisional rating following updated cash
flow analysis, which was positively affected by the lower than
initially expected margins on the Notes, and the lower than
expected interest rate of the swap.

This transaction represents the issuance of the Class A, Class B,
Class C, Class D, Class E, Class F, and Class G Notes (the
Collateralized Notes) backed by a portfolio of approximately EUR
750 million of fixed-rate receivables related to general consumer
loan contracts originated by Banco de Sabadell, S.A. (Banco
Sabadell; the originator and servicer), granted to individuals
residing in Spain for the purchase of consumer goods or services in
general terms and disbursed directly to borrowers. The originator
will also service the portfolio. The issuance of the Class H Notes
funded the initial cash reserve and the initial expenses.

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 under various
stressed cash flow assumptions;

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

-- Banco Sabadell'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 Banco Sabadell,
which it deemed to be an acceptable servicer;

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

The transaction allocates payments on a combined interest and
principal priority of payments basis and benefits from an
amortizing EUR 8.8 million cash reserve (corresponding to 1.17% of
the Collateralized Notes) funded through part of the subscription
proceeds of the Class H Notes. The cash reserve covers senior
expenses, swap payments, and interests on the Collateralized Notes.
The cash reserve is part of the available funds.

The repayment of the notes will start on the first payment date in
September 2022 on a pro rata basis unless certain events occur,
such as a breach of performance triggers, servicer insolvency, or
servicer termination (Subordination Events). Under these
circumstances, the principal repayment of the notes will become
fully sequential and the switch is not reversible. The Class H
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 24th of every month. The notes pay floating interest rate,
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 with an eligible
counterparty.

At inception, the weighted-average portfolio yield is about 7.2%,
well exceeding the senior cost and interest payable by the Issuer;
hence, the transaction benefits from a considerable excess of
interest collections that the Issuer can apply to offset losses
occurring in the current and previous periods. However, excess not
used in a period will be released towards junior payments in the
waterfall.

COUNTERPARTIES

The Issuer bank account is held at Société Générale S.A.,
Sucursal en España (SG or the account bank). Based on DBRS
Morningstar's private rating on SG, 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 SG 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.

JP Morgan SE is the interest rate swap counterparty. DBRS
Morningstar privately rates JP Morgan SE and concluded that it
meets DBRS Morningstar's minimum requirements to act in this role.
DBRS Morningstar notes that the downgrade provisions in the
transaction documents are not fully consistent with its criteria
and it will monitor the transaction based on its rating of J.P.
Morgan SE or its replacement.

Notes: All figures are in euros unless otherwise noted.


TELEFONICA SA: Egan-Jones Retains BB- Senior Unsecured Ratings
--------------------------------------------------------------
Egan-Jones Ratings Company on July 14, 2022, retained its 'BB-'
foreign currency and local currency senior unsecured ratings on
debt issued by Telefonica SA.

Headquartered in Madrid, Spain, Telefonica SA operates as a
telecommunications company.




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

AJENTA: Impact of Covid Restrictions Prompts Liquidation
--------------------------------------------------------
Emma Newlands at The Scotsman reports that Edinburgh-based video
tech firm Ajenta has also gone under, with the loss of eight jobs
-- with the collapse blamed on the major impact Covid restrictions
had on its ability to supply hardware to customers.

According to The Scotsman, the business has appointed Shona
Campbell of Henderson Loggie as liquidator, who said: "We are
hopeful of a speedy and satisfactory sale."


BULB: Auction Attracts Single Bid, Gov't Scrambles to Salvage Deal
------------------------------------------------------------------
Gill Plimmer and Jim Pickard at The Financial Times report that the
British government is scrambling to salvage a deal for collapsed
energy supplier Bulb after attempts to auction off the company
attracted just a single bid -- from its one-time rival Octopus
Energy.

The government has been trying to sell Bulb since it collapsed last
November after natural gas prices soared and it failed to raise new
money, the FT relates.  The government stepped in to ensure that
its 1.6 million customers would still receive energy and aimed to
sell the business by the end of July, the FT recounts.

Final bids were due last month and only Octopus, the fifth-biggest
UK gas and electricity supplier, tabled an offer after the
government "hardballed" suppliers, according to three sources close
to the discussions, the FT notes.

Centrica, the largest UK supplier, had been tipped to lodge a bid
but pulled out of the competition last month, the FT recounts.
Masdar, an Abu Dhabi-based company that had been in discussions
with the government, declined to submit a bid but may provide
financing for Octopus, the FT relays, citing two sources close to
the process.  A government official confirmed that only one bid had
been received, the FT notes.

According to the FT, the government is now in a weakened position
as it attempts to agree terms for a sale of Bulb, which is burning
through taxpayer cash and losing staff.  The company is already
expected to cost the government at least GBP2.2 billion, marking
the biggest state bailout since Royal Bank of Scotland in 2008, the
FT states.

A ministerial meeting was held on July 15 to discuss options for
Bulb, which could still include dividing up its customers between
other suppliers or handing incentives to Octopus to take them on,
said two people close to the sales process, the FT notes.

The terms of Octopus's offer are not yet clear, according to the
FT.

The sources added that the government could decline Octopus's bid,
although it is keen to sell the business as it is haemorrhaging
cash as a result of government rules that do not allow it to hedge
-- or buy in advance the energy it sells, the FT relays.  That has
left it exposed to volatile gas prices, which have soared since
Russia invaded Ukraine, according to the FT.

Industry experts said the Bulb brand has also been tarnished and
there is a risk that customers will leave, the FT relates.

Bulb, the FT says, was the biggest supplier out of 31 companies
that have failed since the middle of last year as a result of poor
capitalisation and inadequate hedging that left them unable to
manage the sharp rise in gas prices.

Although millions of customers from other collapsed suppliers have
been transferred to solvent rivals, Bulb was considered too large
so the costs are currently being borne by taxpayers, the FT
discloses.

All households are already paying GBP94 a year to cover the cost of
failed suppliers but this is expected to rise to GBP164 a year once
the price of Bulb's administration is eventually spread across
customer energy bills, according to analysis by Citizens Advice,
the FT states.


CASTELL 2022-1: DBRS Gives Provisional B Rating to Class F Notes
----------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to the following
classes of notes to be issued by Castell 2022-1 PLC (the Issuer):

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

DBRS Morningstar does not rate the Class G or Class H notes also
expected to be issued in this transaction.

The provisional ratings on the Class A notes, Class A Loan note,
and Class X notes address the timely payment of interest and the
ultimate repayment of principal on or before the legal final
maturity date. The provisional ratings on the Class B, Class C,
Class D, Class E, and Class F notes address the timely payment of
interest once most senior and the ultimate repayment of principal
on or before the final maturity date.

The provisional 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 loan and
notes.

The transaction is a bankruptcy-remote special-purpose vehicle
incorporated in the UK. The notes will be used to fund the purchase
of UK second-lien mortgage loans originated by UK Mortgage Lending
Ltd. (UKML). Pepper UK Limited (Pepper) will be the primary and
special servicer of the portfolio. UKML, formerly Optimum Credit
Ltd. (Optimum Credit), was established in November 2013 as a
specialist provider of second-lien mortgages based in Cardiff,
Wales. Optimum Credit was fully integrated into Pepper Money (PMB)
Limited in January 2022 and its name was changed to UK Mortgage
Lending Ltd. on 17 January 2022. Both UKML and Pepper are part of
the Pepper Group Limited, a worldwide consumer finance business,
third-party loan servicer, and asset manager. CSC Capital Markets
UK Limited will be appointed as the backup servicer facilitator.

RATING RATIONALE

DBRS Morningstar was provided with information on the provisional
mortgage portfolio as of May 31, 2022. The portfolio consists of
7,268 mortgage loans with an aggregate principal balance of GBP 300
million. The average loan per borrower is GBP 41,277.

All of the mortgage loans in the provisional portfolio are owner
occupied and almost all loans are repaying on a capital and
interest basis. Within the portfolio, 76.9% of the loans are
fixed-rate loans that switch to floating rate upon completion of
the initial fixed-rate period whereas 21.0% are floating-rate loans
for life and the remaining 2.1% are fixed-rate loans for life.
Interest rate risk is expected to be hedged through a
fixed-floating interest rate swap with Banco Santander SA
(Santander) to mitigate the fixed interest rate risk from the
mortgage loans and Sonia payable on the notes. The Issuer will pay
the swap counterparty an amount equal to the swap notional amount
multiplied by the swap rate and, in turn, the Issuer will receive
the swap notional amount multiplied by Sonia. Santander currently
has a DBRS Morningstar Long Term Critical Obligations Rating of AA
(low) and a Long-Term Issuer Rating of A (high), both with Stable
trends. Following a review of the provisions outlined in the swap
agreement, DBRS Morningstar concludes that Santander meets DBRS
Morningstar's criteria to act in such capacity. The transaction
documents contain downgrade and collateral posting provisions with
respect to Santander's role as hedging counterparty, consistent
with DBRS Morningstar's criteria.

Furthermore, approximately 4.3% of the portfolio by loan balance
comprises loans originated to borrowers with a prior county court
judgement, 0.1% comprises those with a flagged bankruptcy, and 2.0%
comprises those in arrears. In addition, 17.3% of the loans were
granted to self-employed borrowers, unemployed borrowers, or
pensioners (referring to the primary borrower's employment status
only). The weighted-average (WA) seasoning of the portfolio is
relatively low at 22 months and the WA remaining term is
approximately 15 years. The WA current loan-to-value ratio,
including any prior-ranking balances of the portfolio, is 64.1%.

Credit enhancement for the Class A notes and Class A Loan note is
expected to be 27.25% at closing and will be provided by the
subordination of the Class B to Class H notes (excluding the
uncollateralized Class X notes). The Class A notes benefit from
further liquidity support provided by an amortizing liquidity
reserve, which can support the payment of senior fees and interest
on the Class A notes. The liquidity reserve fund (LRF) will be zero
at closing and its required amount of 1.0% of the outstanding
balance of the Class A notes and Class A Loan note balance will be
funded through principal receipts. Any subsequent use of the LRF
will be replenished from revenue receipts. The excess amounts
following amortization of the Class A notes and Class A Loan note
will form part of available principal.

The structure includes a principal deficiency ledger (PDL)
comprising seven subledgers (Class A PDL to Class H PDL) that
provision for realized losses as well as the use of any principal
receipts applied to meet any shortfall in payment of senior fees
and interest. The losses will be allocated starting from the Class
H PDL and then to the subledgers of each class of notes in
reverse-sequential order.

Available principal funds can be used to provide liquidity support
to the transaction. Following the application of the available
revenue funds and liquidity reserve, available principal funds can
be used to pay senior fees, swap payments, and interest shortfalls
on the Class A to Class F notes. In more detail, principal is
available to provide liquidity support to the Class B to Class G
notes, provided that the respective PDL balance is less than 10% of
the outstanding balance of the respective class of notes. There is
no condition for principal used to provide liquidity support for
the Class A notes, given that available revenue funds and the LRF
have been applied first. Any use will be recorded as a debit in the
PDL.

The coupon on the notes will step up on the interest payment date
falling in February 2026, which is also the first optional
redemption date. The notes can be redeemed in full, at the
outstanding balance plus accrued interest, on any subsequent
payment date. DBRS Morningstar considered the increased interest
payable on the notes on the step-up date in its cash flow
analysis.

The Issuer account bank is Citibank N.A./London Branch. Based on
DBRS Morningstar's private rating on the account bank, the
downgrade provisions outlined in the transaction documents, and
structural mitigants, DBRS Morningstar considers the risk arising
from the exposure to the account bank to be consistent with the
ratings assigned to the notes, as described in DBRS Morningstar's
"Legal Criteria for European Structured Finance Transactions"
methodology.

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

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

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

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

-- The structural mitigants in place to avoid potential payment
disruptions caused by operational risk, such as a downgrade, and
replacement language in the transaction documents. DBRS Morningstar
analyzed the transaction structure in Intex DealMaker, considering
the default rates at which the rated notes did not return all
specified cash flows.

-- 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 the presence of legal opinions
addressing the assignment of the assets to the Issuer.

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


CASTELL 2022-1: S&P Assigns CCC (sf) Rating to Class X-Dfrd Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Castell 2022-1
PLC's class A, A Loan Note, B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, F-Dfrd,
and X-Dfrd notes. At closing, Castell 2022-1 issued unrated class
G-Dfrd and H notes, as well as RC1 and RC2 residual certificates.

The assets backing the notes are U.K. second-ranking mortgage
loans. Most of the pool is considered prime, with 86.4% originated
under UK Mortgage Lending's prime product range. Additionally, 3.5%
of the pool refers to loans advanced to borrowers under UK Mortgage
Lending's "near prime" product, with the remaining 10.1% loans
advanced to borrowers under its "Optimum+" product. Loans advanced
under the "near prime" or "Optimum+" product range have lower
credit scores and potentially higher amounts of adverse credit
markers, such as county court judgments, than those under the
"prime" product range.

The transaction benefits from liquidity provided by a liquidity
reserve fund, and principal can be used to pay senior fees and
interest on the notes subject to various conditions.

Credit enhancement for the rated notes consists of subordination.

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

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

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

Pepper (UK) Ltd. is the servicer in this transaction. S&P said, "In
our view, it is an experienced servicer in the U.K. market with
well-established and fully integrated servicing systems and
policies. It has our ABOVE AVERAGE ranking as a primary and special
servicer of residential mortgages in the U.K."

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

  Ratings

  CLASS          RATING*     CLASS SIZE (MIL. GBP)

  A**            AAA (sf)        10.951***

  A Loan Note**  AAA (sf)       208.060***

  B-Dfrd         AA+ (sf)        19.568

  C-Dfrd         A+ (sf)         18.062

  D-Dfrd         BBB+ (sf)       14.299

  E-Dfrd         BB+ (sf)        10.536

  F-Dfrd         B+ (sf)          6.020

  G-Dfrd         NR               7.526

  X-Dfrd         CCC (sf)         9.031

  H              NR               6.025

  RC1 Certs      NR                 N/A

  RC2 Certs      NR                 N/A

*S&P Global Ratings' ratings address timely receipt of interest
and ultimate repayment of principal on the class A notes and A loan
note, and the ultimate payment of interest and principal on all
other rated notes. Its ratings also address timely interest on the
rated notes when they become most senior outstanding. Any deferred
interest is due immediately.

**The class A and A loan note rank pro rata and pari passu without
preference or priority among themselves regarding payment of
interest and principal throughout the transaction's life.

***The class A note and class A loan note together represent
72.75% of the total notes' balance.

NR--Not rated.

N/A--Not applicable.


PEOPLE'S ENERGY: Founders in Line for GBP50-Million Payout
----------------------------------------------------------
Gill Plimmer at The Financial Times reports that the founders of a
collapsed British energy supplier are in line for a GBP50 million
payout even as every household in the country foots the bill for
its failure.

Administrators to People's Energy Company, which collapsed last
September, have recouped more than GBP285 million from the sale of
its hedged energy, which was bought before the sharp rise in
wholesale gas prices last year, the FT relays, citing a report
filed in April.

Under UK insolvency law, that is set to be distributed to
shareholders of the failed business once its creditors are paid
off.

BP, People's Energy's largest secured creditor, has been paid GBP11
million, the FT says, citing the administrator's report.

According to the FT, BP said it supplied gas and electricity to the
company and had "recouped outstanding fees as part of the
administration process".

David Pike and Karin Sode, who founded People's Energy, are in line
for a payout from the proceeds as they held a 25% stake in the
company, the FT discloses.

They could be entitled to receive around GBP50 million or more once
smaller creditors have been paid, according to people with
knowledge of the administration process, the FT states.

Edinburgh-based People's Energy, which supplied 350,000 households
and 500 business customers, collapsed four years after it was
established through a crowdfunding campaign in 2017, when it
pledged to tackle fuel poverty in Britain, the FT recounts.

At least GBP820 million in assets -- including from the sale of
hedged energy -- has been recovered from energy firms that have
been wound up, according to calculations by Bloomberg, which first
reported the People's Energy payout, the FT discloses.

The cost of transferring customers of a failed business is borne by
households through extra charges on customer bills.

People's Energy's customers were moved to British Gas at a cost of
GBP283 million to British households, the FT says.

The People's Energy payouts are dependent on a court case in
October, where the administrators to numerous collapsed energy
companies and Ofgem are asking for guidance on how to manage
claims, the FT notes.


PLAYTECH PLC: S&P Affirms 'BB-' ICR, Outlook Negative
-----------------------------------------------------
S&P Global Ratings affirmed its 'BB-' ratings on Playtech PLC and
its two bonds.

S&P said, "The outlook is still negative, which reflects at least a
one-in-three probability in the next 12 months that we downgrade
Playtech as a result of a strategic corporate action weakening its
business position or financial profile. While not our base case, it
also reflects the risk of delay in refinancing 2023 maturities,
which if not refinanced before the 12-month remaining tenor, could
lead us to consider a multi-notch rating action due to refinancing
risks and liquidity concerns.

Playtech's recent trading in Italy and Latin America is ahead of
our previous expectations and, despite the U.K. Gambling Act 2005
Review, S&P now expects S&P Global Ratings-adjusted EBITDA
(excluding capitalized development costs) to be about EUR290
million-EUR320 million in 2022 and credit metrics to support the
current rating.

Delay in the timing of potential corporate transactions jeopardizes
Playtech's debt-refinancing plans. S&P said, "We estimate that
unrestricted cash balances and proceeds from the Finalto disposal
will not be sufficient to repay the EUR530 million bond. Playtech's
EUR530 million bonds mature in October 2023, and RCF matures
shortly thereafter in November 2023. Playtech's refinancing plans
were inadvertently affected by the timing of corporate activity,
including Aristocrat's offer (October 2021 to February 2022) and
the timing of the possible offer from the TTB partners-advised
consortium (February 2022 to mid July 2022). In our view, Playtech
faces a short window to refinance its EUR530 million notes before
the tenor of these maturities falls below 12 months. However, in
light of its resilient trading performance and improving financial
credit metrics, in our base case we anticipate Playtech will
address its refinancing risk before the debt become current. We
will review the rating again in the next few months should the
maturities approach becoming current, resulting in our assessment
of the group's refinancing risk, weighted maturity profile, or
liquidity weakening."

Notwithstanding solid recent performance, potential strategic
corporate transactions could deteriorate Playtech's credit metrics
and its business diversification. Although Playtech's board
recommended Aristocrat's offer to acquire Playtech's entire
business at GBP6.80 per share, the required 75% of shareholders did
not approve the deal at the shareholder's meeting held in February
2022. After Aristocrat's lapsed offer, an investor
consortium--advised by TTB Partners, which Playtech's current CEO
Mr. Mor Weizer subsequently joined--began due diligence to support
a potential offer to acquire the entire business. On July 14, 2022,
the TTB Partners consortium announced that due to challenging
market conditions it wouldn't make an offer. Following the
announcement, Playtech's board has indicated that it is continuing
to assess options to maximize shareholder value. These options
could result in changes in the capital structure, financial policy,
scope, or geographic profile and diminish the credit strengths that
underpin S&P's current 'BB-' rating on Playtech.

Playtech's business to consumer (B2C) earnings contribution is
relatively higher as the group returns to normalized trading after
pandemic restrictions. Playtech's B2C segment (Snaitech) is its
significant profitability contributor, representing about 65% of
its second-half 2021 management-adjusted EBITDA compared with 48%
in the second half of 2019.

The previously enacted law banning gambling advertisements in Italy
has enhanced existing retail operators' competitive advantage,
particularly in online gambling. All forms of gambling
advertisements have been banned in Italy since July 2019.
Therefore, incumbent retail operators with online operations have a
competitive advantage over online-only competitors because of the
strength of their retail brand and presence. Through the pandemic,
Italian retail gaming customers transitioned to online channels as
penetration rates improved to 27% in 2021 from 11% in 2019. The
Italian online market expanded to EUR3.9 billion in 2021 from
EUR2.2 billion in 2019 (compound annual growth rate [CAGR] of 32%).
Snaitech benefitted from market expansion and gained market share
in these two years, as its online revenue increased to EUR239
million from EUR100 million in 2019 (CAGR of 54%). Snaitech's
online segment's profitability remained materially higher than the
2019 level even after reopening the retail estates in the second
half of 2021, leveraging its position as the leading sports betting
operator in Italy. S&P understands that within retail operations,
current licenses underpinning AWP and VLT machines run until June
2023. At this point we anticipate annual renewal license fees as
opposed to a lump sum upfront requirement, but this is a crucial
cash flow assumption regarding 2023.

Playtech's operating performance will continue to improve in 2022.
Playtech has had a good start for the year, with company-adjusted
EBITDA of more than EUR200 million for the first half of 2022
(which S&P estimates should translate into S&P Global
Ratings-adjusted EBITDA of about EUR160 million-EUR170 million
after adjusting for capitalized development costs and certain
exceptional costs). It faces headwinds from: lower discretionary
spending as inflation rises aggressively; productivity losses from
the Russia-Ukraine conflict (more than 700 employees were based in
Ukraine at the start of the conflict); and potential changes
arising from the review of the U.K. Gambling Act 2005. However,
Playtech's 2022 results will benefit from Snaitech's full-year
retail trading (compared with six to seven months of trading in
2021). S&P said, "We forecast Playtech's S&P Global
Ratings-adjusted EBITDA to be about EUR290 million-EUR320 million
in 2022 versus EUR261 million in 2021 and EUR187 million in 2020.
We estimate the group's S&P Global Ratings-adjusted leverage will
be in the 2.0x-3.0x range. As such, the material downside risks to
the rating, in our view, are currently more likely to arise from
from capital structure changes or refinancing risk, rather than
operational risk."

Growth in Latin America and Europe will drive the business to
business (B2B) segment's growth in the next two years.Playtech's
B2B segments operate through various business models, including
structured agreements, providing content and technology, and
software licensing through its flexible SaaS offering. Structured
agreements require upfront investments but tend to be sticky over
the contracted term. In comparison, the modular nature of its SaaS
offering is easy to implement but involves higher substitution
risk. Playtech's structured agreements with Caliente (Mexico) and
Wplay (Columbia) have been particularly successful. Holland Casino
is another important contract win. Through a long-term strategic
agreement, Playtech enabled Holland Casino (state-owned land-based
monopoly casino operator) to expand into the online betting and
gaming space as the Netherlands legalized online gambling from
October 2021. The Netherlands operations contributed EUR7.2 million
to Playtech's revenue in 2021 and will remain Playtech's meaningful
growth contributor in the next few years.

Structured agreements with Latin American operators present a
potential for windfall gain, but also the risk of earnings
volatility. Through its structured agreement with Caliente, Mexico
is Playtech's third-largest geographic market and generated revenue
of EUR90 million (7.5% of 2021 revenue). This revenue includes
profit/revenue-linked services fees of EUR49.4 million. The
structured agreement also provides Playtech with the right to
acquire equity stakes in Caliente at a nominal price. But on
exercising such an option, Playtech waives its rights to
profit/revenue-linked services fees. Playtech accounted for these
call rights in Caliente and other companies (such as WPlay, Onjoc,
and Tenbet) as derivative options.

Regulatory risk remains a constant threat. S&P expects the review
of the U.K. Gambling Act 2005 in the second half of 2022 will
result in a government white paper with draft recommendations. Key
changes could include greater affordability measures, bans of very
important persons or heavier restrictions, GBP2 online slot stake
limits, sport advertising bans, and greater collective measures to
identify and prevent gaming harm to individuals categorized as
young or vulnerable. S&P thinks the government could implement more
significant measures from 2023 and some in 2022. The U.K.
represents Playtech's second-largest geographic market with revenue
of about EUR190 million in 2021, comprised of about EUR130 million
from the B2B segment and EUR60 million from the B2C segment. The
U.K.'s contribution to Playtech's revenue has steadily declined to
EUR190 million (16% of the group's 2021 revenue) from EUR201
million in 2020 (about 18.6%) and EUR247 million in 2019 (23%).
Sector consolidation, customers opting to bring in-house services
and content (for example, Entain), and safe gambling measures have
contributed to the steady decline. The risk of a further increase
in gaming tax is a constant regulatory risk to all gaming companies
as governments look to repair their respective fiscal deficits
after heavy fiscal support spending during the pandemic.

S&P said, "The outlook is still negative, which reflects at least a
one-in-three probability that we will downgrade Playtech in the
next 12 months due to a strategic corporate action decreasing its
business position or financial profile. While not our base case, it
also reflects the risk of delay in refinancing 2023 maturities,
which if not refinanced before the 12-month tenor remaining could
lead us to consider a multi-notch rating action due to refinancing
risks and liquidity concerns."

Downside scenario

S&P could consider a negative rating action if:

-- Playtech makes no material progress in addressing its debt
maturities within the next couple of months, after which its EUR530
million bonds become current;

-- A disposal of a material segment of the business results in
weakening of the business strength;

-- An M&A transaction significantly deteriorates Playtech's credit
quality with leverage above S&P's adjusted 4.0x; or

-- Trading performance is materially weaker than S&P's base case,
due to regulatory changes, competitive pressure, or weak consumer
confidence, and free operating cash flow (FOCF) to debt dropped
greatly below 10%.

Upside scenario

S&P would not likely revise the outlook to stable until Playtech
addresses its upcoming refinancing risk. Beyond that, any positive
rating action will depend on the outcomes of the various corporate
options being assessed, including the confirmation of the group's
business profile and capital structure. As such, if Playtech were
to dispose of any meaningful part of the business, maintaining the
current rating would likely hinge on Playtech commensurately
materially reducing its indebtedness and improving its credit
metrics.

Environmental, Social, And Governance

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

Social factors are a moderately negative consideration in S&P's
credit rating analysis of Playtech. Like most gaming companies,
Playtech is exposed to regulatory and social risks and the
associated costs related to increasing player health and safety
measures, prevention of money laundering, and changes to gaming
taxes and laws. Governance factors are also a moderately negative
consideration. Playtech continues to derive revenues from
unregulated markets, with Asia notably accounting for about 15% of
B2B group revenue.

The group's EUR530 million senior secured bond and EUR350 million
senior secured bond are rated 'BB-', in line with the issuer credit
rating. The recovery rating on these instruments is '3', indicating
S&P's expectation of meaningful recovery prospects (50%-70%;
rounded estimate: 65%) in the event of default.

The recovery rating is supported by the lack of prior-ranking debt,
but partly constrained by the significant expected amount of
equally ranked senior debt.

The security package comprises share pledges and intercompany loan
receivables.

S&P's hypothetical default scenario envisages a combination of
adverse regulatory changes and market dynamics that lead to
heightened competitive and pricing pressures and a loss of market
share.

S&P values Playtech as a going concern because of its recognized
brands in the global gaming software industry and the Italian
gambling market, its established relationships with major gambling
operators, and its geographic diversification.

-- Year of default: 2026

-- Jurisdiction: U.K.

-- Emergence EBITDA after recovery adjustments: EUR142 million

-- Implied enterprise value multiple: 6x

-- Gross enterprise value: EUR854 million

-- Net enterprise value after administrative costs (5%): EUR811
million

-- Estimated senior secured debt claims: EUR1.221 billion

-- Recovery expectations: 50%-70% (rounded estimate 65%)

*All debt amounts include six months of prepetition interest.


SUBSEA 7: Egan-Jones Retains BB+ Senior Unsecured Ratings
---------------------------------------------------------
Egan-Jones Ratings Company on July 13, 2022, retained its 'BB+'
foreign currency and local currency senior unsecured ratings on
debt issued by Subsea 7 S.A.

Headquartered in Sutton, United Kingdom, Subsea 7 S.A. offers
oilfield services.


TERRY HEALY: Goes Into Liquidation, 50+ Jobs Affected
-----------------------------------------------------
Emma Newlands at The Scotsman reports that Dalkeith-based Terry
Healy Group, a building and home-improvements business as well as a
key Hibs sponsor, has folded with the loss of more than 50 jobs.

Callum Carmichael and Chad Griffin, partners with FRP Advisory,
have been appointed joint provisional liquidators of the business,
which has ceased trading with immediate effect with all 51 staff
laid off, The Scotsman relates.

According to The Scotsman, FRP said that despite extensive efforts
to try and save the firm, its trading position had become
"untenable" due to unsustainable cash flow problems stemming from
liabilities built up during the Covid-19 pandemic, soaring labour
and raw material costs, shrinking margins, delays to contracts and
slow payments.

"Terry Healy Group had grown rapidly into one of the high-profile
and respected multi-trades home-improvement businesses in the east
of Scotland," The Scotsman quotes Mr. Carmichael, partner at FRP,
as saying. "Unfortunately, the business has been unable to overcome
very serious financial problems and closure was the only option.
We will now focus on asset realisations including the sale of the
heating maintenance contracts database and would ask interested
parties to contact the Edinburgh office of FRP Advisory."

Terry Healy Group was founded in 2014, and provided building,
electrical, heating, roofing, renewable and plumbing services to
trade and domestic clients.  The company also supplied windows and
doors and operated a 24-hour emergency repairs and maintenance
service.



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

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