---

       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, December 14, 2023, Vol. 24, No. 250

                           Headlines



A R M E N I A

ARDSHINBANK CJSC: S&P Affirms 'B+/B' ICRs, Outlook Positive
IDBANK: Moody's Ups Deposit Rating to B1, Alters Outlook to Stable


A U S T R I A

SIGNA PRIME: Seeks EUR600MM Financing; To File for Insolvency


F I N L A N D

VALOE: To File Debt Restructuring Application


F R A N C E

IM GROUP: Moody's Cuts CFR & EUR265MM Senior Secured Notes to B3


G E R M A N Y

[*] GERMANY: Company Bankruptcies Up by 23% to 18,100 in 2023


I R E L A N D

ANCHORAGE CAPITAL 6: S&P Assigns B- (sf) Rating to Cl. F-R Notes
BAIN CAPITAL 2020-1: Moody's Ups EUR5.4MM F Notes Rating to B2
HOUSE OF EUROPE: S&P Lowers Class B Note Rating to 'D(sf)'
MARINO PARK: Moody's Affirms B3 Rating on EUR6MM Cl. E Notes
SCRUMDIDDLY'S: Seeks to Restructure Debts Under Scarp

TORO EUROPEAN 7: Moody's Affirms B3 Rating on EUR7.45MM F Notes


I T A L Y

CASSIA 2022-1: DBRS Confirms BB Rating on Class C Notes
STRESA SECURITIZATION: DBRS Gives Prov. BB Rating to Class D Notes


L U X E M B O U R G

ARRIVAL: Skips Interest Payment, Triggers 30-Day Grace Period
SK NEPTUNE: Moody's Cuts CFR & Sr. Secured Debt Rating to Caa2


S P A I N

BBVA LEASING 3: DBRS Gives Prov. CCC Rating to Series B Notes


S W I T Z E R L A N D

GLOBAL BLUE: S&P Upgrades ICR to 'B+' on Completed Refinancing


U N I T E D   K I N G D O M

CASTELL 2021-1: DBRS Confirms BB(low) Rating on Class F Notes
CENTRAL NOTTINGHAMSHIRE: Moody's Outlook on Ba1 Rating Now Stable
GEMGARTO 2023-1: DBRS Gives Prov. BB(low) Rating to Class F Notes
NEWDAY FUNDING 2023-1: DBRS Finalizes BB Rating on Class E Notes
PETROFAC LTD: May Sell Assets to Raise Cash Ahead of Debt Deadline

TORO PRIVATE II: Moody's Cuts CFR to Ca & Alters Outlook to Stable

                           - - - - -


=============
A R M E N I A
=============

ARDSHINBANK CJSC: S&P Affirms 'B+/B' ICRs, Outlook Positive
-----------------------------------------------------------
S&P Global Ratings affirmed its 'B+/B' long- and short-term issuer
credit ratings on Ardshinbank CJSC. The outlook remains positive.

S&P said, "We expect Ardshinbank's profitability in 2024-2025 will
exceed our previous forecast. The improvement will predominantly
come from a higher net interest margin owing to sustained risk
asset growth, but also from higher projected revenues from currency
conversion. Ardshinbank's foreign currency conversion revenues
declined less than peers' in the first half of 2023; we also
understand the bank diversified this income stream by customer.
While we still expect the bank's return on equity (ROE) to moderate
below 30% in 2024-2025, we believe that its earnings buffer, which
measures the bank's ability to cover normalized losses, will
continue to exceed 200 basis points.

"Stronger profitability and lower sovereign risk will result in
Ardshinbank operating with higher risk-adjusted capital (RAC)
ratios. Specifically, we expect our RAC ratio will improve to about
9.2% in 2024-2025 (from 7.8% at year-end 2022). Ardshinbank has a
rather flexible dividend policy, but dividends are effectively
subject to a decision by the board and shareholders. We understand
that the bank intends to pay out about Armenian dram (AMD)18
billion-AMD20 billion (about US$45 million-US$50 million) on an
annual basis, which converts into a 30%-35% dividend payout under
our model."

Despite the disbandment of the unrecognized Nagorno-Karabakh
republic (Artsakh), the bonds issued by its government are still
being serviced. We understand that in September-November 2023 the
government of Armenia directly paid interest to bondholders on
bonds issued in 2021. No official decision on this debt has yet
been made, however.

The positive outlook reflects S&P's expectations that over the next
12-18 months, Ardshinbank will continue improving its risk profile
by reducing outstanding asset quality issues, which will in turn
support capital and earnings.

Upside scenario

A positive rating action may follow if S&P considers Ardshinbank is
making progress in improving its risk profile. This could include:

-- Reducing concentration risk;

-- Addressing problem loans, leading to asset quality metrics in
line with international peers; and

-- A track record of managing foreign currency flows within the
remit of its asset and liability management framework.

Alternatively, a positive rating action may follow if S&P expects
the bank's capital to sustainably improve to levels it would
consider strong.

Downside scenario

S&P may revise the outlook to stable if Ardshinbank's asset quality
deteriorates or if its capital buffers erode, perhaps owing to a
large, unexpected credit loss or faster-than-expected credit
growth.


IDBANK: Moody's Ups Deposit Rating to B1, Alters Outlook to Stable
------------------------------------------------------------------
Moody's Investors Service has upgraded IDBank's long-term local and
foreign currency bank deposit ratings to B1 from B2 and changed the
outlook on these ratings to stable from positive. Concurrently,
Moody's upgraded the bank's Baseline Credit Assessment (BCA) and
Adjusted BCA to b1 from b2, upgraded the bank's long-term local and
foreign currency Counterparty Risk Ratings (CRRs) to Ba3 from B1,
and upgraded the long-term Counterparty Risk Assessment (CR
Assessment) to Ba3(cr) from B1(cr). In addition, the rating agency
affirmed the Not Prime (NP) short-term local and foreign currency
bank deposit ratings, NP short-term local and foreign currency CRRs
and the NP(cr) short-term CR Assessment.

RATINGS RATIONALE

The upgrade of IDBank's BCA and Adjusted BCA to b1 from b2 is
driven by a significant improvement in loan book quality and
profitability over the last two years, while maintaining robust
capital adequacy and a strong liquidity buffer. The upgrade of the
bank's long-term local and foreign currency bank deposit ratings to
B1 from B2 follows the upgrade of the BCA.

Since 2021 IDBank has materially decreased the share of its problem
loans (PLs; defined as Stage 3 lending under IFRS 9) and improved
provisioning coverage thanks to partial repayments and write-offs
of its legacy corporate portfolio. As a result, the problem loan
ratio declined to 4.1% as of year-end 2022 from 15.4% at the end of
2020. Moody's estimates IDBank's problem loan ratio at 3% and PL
coverage ratio at 98%, respectively as of Q3 2023. In the rating
agency's view, the current loan portfolio is now of more robust
credit quality and largely focused on secured lending.

In 2022, IDBank reported net income of AMD13.5 billion, which
translated into a very strong return on tangible assets of 4.4% up
from 0.8% posted in 2021. This result was extraordinary and largely
associated with increased foreign exchange volatility, which
allowed the bank to record material trading income. Over the first
nine months of 2023 the bank reported annualised return on tangible
assets at 4.5% including trading gains. Moody's estimates that,
absent of trading gains, annualised profitability would be around
2.6% of tangible assets. The bank's recurring revenue will continue
to improve in the next 12-18 months thanks to stronger net interest
margin and fee and commission income stemming from growing loan
portfolio and transaction business.

Capital adequacy remains one of IDBank's key credit strengths. As
of Q3 2023 IDBank reported Tangible Common Equity
(TCE)/risk-weighted assets (RWA) ratio at 26.3% down from 27.3% at
the end of 2021. Moody's expects capital adequacy will remain
strong although will somewhat decline in the next 12-18 months due
to rapid growth of the loan book and dividend payouts.

The bank has remained reliant on customer deposits, while the share
of market funding decreased to 15% of tangible assets as of Q3 2023
from 27% as of year-end 2021. IDBank maintains a healthy liquidity
cushion with liquid assets at 33% of total assets as of Q3 2023
broadly flat compared with year-end 2021.

RATINGS OUTLOOK

The outlook on IDBank's long-term deposit ratings is stable,
reflecting Moody's view that the bank will maintain its sound
fundamentals, in particular asset quality and profitability, over
the next 12-18 months.

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

IDBank's BCA and long-term bank deposit ratings could be upgraded
if there is a further improvement in the bank's asset quality and
recurring profitability while maintaining robust capital and
liquidity cushion. The stable outlook on the long-term deposit
ratings of IDBank could be changed to negative, or its BCA could be
downgraded if there were signs of erosion of the bank's financial
fundamentals, namely asset quality, capitalisation or
profitability.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
Methodology published in July 2021.



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

SIGNA PRIME: Seeks EUR600MM Financing; To File for Insolvency
-------------------------------------------------------------
Libby Cherry and Jack Sidders at Bloomberg News report that the
largest unit in the troubled real estate group founded by Rene
Benko is urgently seeking EUR600 million (US$647 million) of
financing from funds as it prepares to file for insolvency.

Under the terms of a deal proposed by Signa Prime, investors were
to provide EUR300 million of so-called debtor-in-possession
financing by Dec. 13, with the remainder made available at a later
stage of the process, Bloomberg relays, citing people familiar with
the matter.

According to Bloomberg, the cash would finance the company's
restructuring under an insolvency process known as
self-administration in Austria.





=============
F I N L A N D
=============

VALOE: To File Debt Restructuring Application
---------------------------------------------
Leo Laikola at Bloomberg News reports that Finnish solar panel
maker Valoe will file a debt restructuring application and continue
financial negotiations with an unidentified investor after facing
bankruptcy proceedings initiated by pension fund Ilmarinen.

Valoe said it has received a financial commitment from an American
partner, according to a statement which was released after trading
in its shares was halted earlier on Dec. 5, Bloomberg relates.

According to Bloomberg, the company said the investor is committed
to "financing and developing Valoe in the long term," if the
financial negotiations are successful.

Ilmarinen filed a petition at the Etela-Savo district court on Dec.
5, seeking to have Valoe declared bankrupt for pension contribution
debts of around EUR311,000, according to documents filed with the
court, Bloomberg discloses.

Valoe's latest financial filing, from Nov. 16, shows equity ratio
of -26.9% at the end of September, with the company warning that
the continuity of its operations would be at risk without new
financing by the end of this year, Bloomberg notes.

The company said in the report that its situation changed after
Sono Motors canceled its Sion car project, Bloomberg recounts.



===========
F R A N C E
===========

IM GROUP: Moody's Cuts CFR & EUR265MM Senior Secured Notes to B3
----------------------------------------------------------------
Moody's Investors Service downgraded the corporate family rating of
IM Group SAS (IM or the company), the owner of French luxury
apparel brand Isabel Marant, to B3 from B2. Moody's also downgraded
the company's probability of default rating to B2-PD from B1-PD and
the instrument rating on the EUR265 million senior secured notes
due 2028 to B3 from B2. The outlook remains stable.

"The downgrade reflects the company's weak results in the first 9
months of the year and more shareholder-friendly financial policy,
which translate into weak credit metrics and negative free cash
flows for 2023" said Guillaume Leglise, Moody's Vice
President-Senior Analyst and lead analyst for IM. "Given subdued
consumer sentiment and a softer wholesale order book, we expect the
company's sales and earnings to take time to recover, possibly from
the second half of 2024".

RATINGS RATIONALE

The downgrade was driven by the company's weak trading performance
to date in 2023, its negative free cash flows (FCF) and uncertain
recovery prospects.

Furthermore, governance considerations were an important driver of
the rating action. The company paid a EUR20 million dividend in
July 2023, to partly repay a shareholder convertible bond outside
the restricted group. In Moody's view the timing of this dividend
(which followed a EUR60 million dividend recapitalisation in
February 2023), while the company was facing trading challenges,
demonstrates aggressive risk and financial policies.

IM has this year faced weak consumer sentiment and some
difficulties on its wholesale channel, which has translated into a
decline in sales as well as a weaker order book. Demand from
wholesale customers was particularly weak in the first nine months
of 2023 owing to excess inventories in the market and this was
compounded by a deliberate refocus of the company on its most
qualitative partners. These pressures led to an 8% decline in sales
and a 23% fall in EBITDA in the first nine months of 2023. Moody's
forecasts full year EBITDA (as-reported by the company) will be in
the region of EUR74 million, a 20% decline from 2022.

The company's credit metrics are weak, as illustrated by high
leverage (Moody's-adjusted gross debt to EBITDA) of 6.6x and weak
interest cover (Moody's-adjusted EBITDA-capex to Interest expense)
of 1.0x in the 12 months to September 30, 2023, well outside of
Moody's parameters to maintain the B2 rating. Moody's expects IM's
earnings to slowly recover over the next 12 to 18 months, supported
by the contribution of new store openings (12 stores opened in the
last 12 months to September 2023), some cost cutting measures and
some stabilisation in the wholesale channel. However, while Moody's
expects IM's leverage to reduce slightly below 6.0x in 2024, it
will likely take more time to reduce to historical levels of less
than 5.0x.

IM's B3 CFR also reflects (1) the company's exposure to high
fashion risk in the fast-moving and competitive luxury fashion
segment, (2) its limited scale and relatively narrow brand focus,
(3) key-person risk stemming from a high reliance on the company's
founder and main designer, Isabel Marant, and (4) the weak consumer
sentiment currently and anemic macroeconomic growth prospects,
which will likely constrain sales and earnings recovery in the next
12-18 months.

More positively, the CFR incorporates (1) the company's balanced
distribution channels and geographical diversification, (2) its
asset-light business model because of the predominance of wholesale
operations, which provide good revenue visibility, (3) its solid
profitability compared with that of its apparel peers, and (4) its
adequate liquidity despite negative FCF expected in 2023.

LIQUIDITY

IM still has an adequate liquidity profile for now, despite some
liquidity erosion since the February 2023 refinancing transaction.
As at end-September 2023, IM had EUR41 million of cash available,
compared to EUR89 million at the closing of the February bond
issuance. The company's recorded negative FCF of EUR32 million in
the 12 months to September 30, 2023, driven by a decline in
earnings, higher interest charges following the February bond
refinancing, and higher working capital and capital spending needs
as part of the company's store expansion strategy. In addition, the
company made a EUR20 million payment to shareholders in July, to
partly repay a convertible bond. Moody's expects the company's FCF
to be negative in 2023 at around EUR18 million and to return to
positive territory next year, supported by new stores contribution,
lower working capital and spending requirements. That being said,
Moody's expects FCF to remain limited, at around EUR10 million in
2024, impaired by the company's high financial charges, amounting
to around EUR26 million per year.

While the company has no revolving credit facility in place,
Moody's believes its internal liquidity sources should be
sufficient to finance working capital needs, investments, interest
charges and around EUR7 million of annual debt repayment under the
company's amortising loans. IM can also count on its factoring
facility (up to EUR22 million), which enables the company to reduce
its wholesale trade receivables during peak periods.

RATIONALE FOR THE STABLE OUTLOOK

The stable rating outlook reflects Moody's view that IM's key
credit metrics will not deteriorate further from the current point
and will gradually improve in the next 12-18 months, such that
leverage reduces to below 6.0x by end-2024. The stable outlook also
incorporates the rating agency's expectation that IM will generate
positive FCF and maintain at least adequate liquidity over the next
18 months.

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

Following the rating action, upward rating pressure is unlikely in
the next 12 to 18 months. Over time, upward rating pressure could
arise if IM continues to execute on its strategy of new store
openings while delivering sustained growth in sales and earnings.
An upgrade would also require IM to generate positive and more
robust FCF, reduce leverage (as adjusted by Moody's) materially
below 5.0x and achieve adjusted EBITDA-capex/interest expense above
2.0x. An upgrade would require the company to have adequate
liquidity and demonstrate a balanced financial policy.

Conversely, further negative rating pressure could arise if there
is evidence that IM's sales and earnings are declining further.
Quantitatively, an adjusted debt/EBITDA ratio sustainably above
6.25x, or adjusted EBITDA-capex/interest expense sustainably below
1.25x could trigger a downgrade, which would also be likely if
liquidity deteriorates because of negative FCF for an extended
period of time.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Retail and
Apparel published in November 2023.

COMPANY PROFILE

Headquartered in Paris, France, IM is a holding company, owner of
Isabel Marant, a French luxury apparel company, which designs and
distributes ready-to-wear products (dresses, shirts, etc) and
accessories (bags, shoes, belts and jewellery). Founded by Isabel
Marant in 1994, the company offers its products through two main
lines: Isabel Marant (60% of revenue in 2022) and Isabel Marant
Etoile (40%). IM is part of the Federation Française de la Mode
and has been taking part in shows during the Paris Fashion Week
since 1994. In the 12 months that ended September 30, 2023, the
company reported EUR249 million of revenue and EUR77 million of
EBITDA.

IM is ultimately 51% owned by the French private equity company
Montefiore Investment SAS since 2016, while the remaining 49% is
owned by the company's founders and managers.



=============
G E R M A N Y
=============

[*] GERMANY: Company Bankruptcies Up by 23% to 18,100 in 2023
-------------------------------------------------------------
Xinhua reports that insolvencies filed by German companies went up
by more than 20% in 2023, according to a study released by a German
economic research institute on Dec. 4.

Up to 18,100 companies in Germany had to file for bankruptcy in
2023, a 23.5% increase compared to 2022, Xinhua relays, citing
Creditreform Wirtschaftsforschung.

According to Xinhua, the institute found that medium- and
large-sized companies were hit hard by the wave of insolvencies in
2023.

Bankruptcies among companies with 51 to 250 employees in Germany
went up markedly, by 76% year-on-year in 2023, Xinhua discloses.
This was followed by large companies with more than 250 employees,
which saw a year-on-year increase of 50%, Xinhua notes.

Meanwhile, the manufacturing industry recorded the sharpest
increase in bankruptcies, up by 30.2% in 2023, Xinhua states.

"The number of insolvencies will continue to increase significantly
in the coming months in these difficult economic conditions,"
Xinhua quotes Patrik-Ludwig Hantzsch, head of Creditreform
Wirtschaftsforschung, as saying. "Compared to 2019, the general
conditions for companies have deteriorated significantly, and the
economic policy slide is further unsettling."



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

ANCHORAGE CAPITAL 6: S&P Assigns B- (sf) Rating to Cl. F-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Anchorage Capital
Europe CLO 6 DAC's class A-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R
notes. The issuer also issued unrated subordinated notes.

At closing, the issuance proceeds of the refinancing notes were
used to redeem the refinanced notes and pay fees and expenses
incurred in connection with the reset.

The ratings reflect S&P's assessment of:

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

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

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

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

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

  Portfolio benchmarks
                                                         CURRENT

  S&P Global Ratings' weighted-average rating factor     2865.88

  Default rate dispersion                                 568.07

  Weighted-average life (years)                             4.26

  Obligor diversity measure                               105.88

  Industry diversity measure                               16.78

  Regional diversity measure                     1.19


  Transaction key metrics
                                                         CURRENT

  Portfolio weighted-average rating
  derived from S&P's CDO evaluator                          B

  'CCC' category rated assets (%)                           2.97

  Actual 'AAA' weighted-average recovery (%)               35.96

  Actual weighted-average spread (%)                        3.98

  Actual weighted-average coupon (%)                        4.59


Asset priming obligations and uptier priming debt

Under the transaction documents, the issuer can purchase asset
priming (drop down) obligations and/or uptier priming debt to
address the risk of a distressed obligor either moving collateral
outside the existing creditors' covenant group or incurring new
money debt senior to the existing creditors.

Rating rationale

Under the transaction documents, the rated notes 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 4.11 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 weighted-average spread (3.94%), the
weighted-average coupon (4.63%), and the actual 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 ratings.

"Until the end of the reinvestment period on Jan. 22, 2028, 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.

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

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

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for the class
A-R to E-R notes. Our credit and cash flow analysis indicates that
the available credit enhancement for the class B-1-R, B-2-R, C-R,
D-R, and E-R 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 ratings assigned to the notes.

"For the class F-R 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 '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 we rate, and that have 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 25.01% (for a portfolio with a weighted-average
life of 4.26 years), versus if we were to consider a long-term
sustainable default rate of 3.1% for 4.26 years, which would result
in a target default rate of 13.21%.

-- 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 S&P envisions 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-R notes is commensurate with a
'B- (sf)' rating.

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

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we also included the sensitivity of the ratings on the class A-R to
E-R notes based on four hypothetical scenarios.

"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-R notes."

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

  Ratings list
                      AMOUNT                       CREDIT
  CLASS    RATING*   (MIL. EUR)   INTEREST RATE   ENHANCEMENT (%)

  A-R      AAA (sf)    244.40      3mE + 1.75%      38.90

  B-1-R    AA (sf)      36.20      3mE + 2.75%      28.10

  B-2-R    AA (sf)       7.00           6.825%      28.10

  C-R      A (sf)       22.00      3mE + 3.80%  22.60

  D-R      BBB- (sf)    26.90      3mE + 5.00%      15.88

  E-R      BB- (sf)     18.40      3mE + 7.54%      11.28

  F-R      B- (sf)      14.30      3mE + 9.04%       7.70

  Sub      NR           29.38      N/A                N/A

*S&P's ratings address timely interest and ultimate principal on
the class A-R, B-1-R, and B-2-R notes and ultimate interest and
principal on the rest of the rated notes.
NR--Not rated.
N/A--Not applicable.
3mE--Three-month Euro Interbank Offered Rate.


BAIN CAPITAL 2020-1: Moody's Ups EUR5.4MM F Notes Rating to B2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Bain Capital Euro CLO 2020-1 Designated Activity
Company:

EUR15,300,000 Class B-1 Senior Secured Floating Rate Notes due
2033, Upgraded to Aaa (sf); previously on Dec 18, 2020 Definitive
Rating Assigned Aa2 (sf)

EUR15,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2033,
Upgraded to Aaa (sf); previously on Dec 18, 2020 Definitive Rating
Assigned Aa2 (sf)

EUR17,100,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2033, Upgraded to Aa3 (sf); previously on Dec 18, 2020
Definitive Rating Assigned A2 (sf)

EUR20,100,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2033, Upgraded to Baa2 (sf); previously on Dec 18, 2020
Definitive Rating Assigned Baa3 (sf)

EUR17,700,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2033, Upgraded to Ba2 (sf); previously on Dec 18, 2020
Definitive Rating Assigned Ba3 (sf)

EUR5,400,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2033, Upgraded to B2 (sf); previously on Dec 18, 2020
Definitive Rating Assigned B3 (sf)

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

EUR182,400,000 Class A Senior Secured Floating Rate Notes due
2033, Affirmed Aaa (sf); previously on Dec 18, 2020 Definitive
Rating Assigned Aaa (sf)

Bain Capital Euro CLO 2020-1 Designated Activity Company, issued in
December 2020, is a collateralised loan obligation (CLO) backed by
a portfolio of mostly high-yield senior secured European loans. The
portfolio is managed by Bain Capital Credit U.S. CLO Manager, LLC.
The transaction's reinvestment period will end in January 2024.

RATINGS RATIONALE

The rating upgrades on the Class B-1, Class B-2, Class C, Class D,
Class E and Class F notes are primarily a result of the benefit of
the shorter period of time remaining before the end of the
reinvestment period in January 2024.

The affirmation on the rating on the Class A notes is primarily a
result of the expected losses on the notes remaining consistent
with their current rating level, after taking into account the
CLO's latest portfolio, its relevant structural features and its
actual over-collateralisation ratios.

In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements. In particular, Moody's assumed that
the deal will benefit from a shorter amortisation profile and
higher spread levels than it had assumed at the last review in
April 2023.

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

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

Performing par and principal proceeds balance: EUR295.5m

Defaulted Securities: EUR6.04m

Diversity Score: 62

Weighted Average Rating Factor (WARF): 2888

Weighted Average Life (WAL): 4.1 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.98%

Weighted Average Coupon (WAC): 4.14%

Weighted Average Recovery Rate (WARR): 44.04%

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

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance methodology" published in October 2023. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

Additional uncertainty about performance is due to the following:

-- Portfolio amortisation: Once reaching the end of the
reinvestment period in January 2024, the main source of uncertainty
in this transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.

-- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

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

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.

HOUSE OF EUROPE: S&P Lowers Class B Note Rating to 'D(sf)'
----------------------------------------------------------
S&P Global Ratings lowered to 'D (sf)' from 'CC (sf)' its credit
rating on House of Europe Funding V PLC's class B notes. At the
same time, S&P affirmed its 'CC (sf)' ratings on the class A3a,
A3b, C, D, E1, and E2 notes. S&P will withdraw all of these ratings
after 30 days due to lack of investor interest in the credit
ratings.

The rating actions are based on the latest available trustee
payment date report, dated Oct. 31, 2023. S&P said, "We observed
that class B noteholders did not receive their full interest due
amount due to a shortfall of available proceeds, including
principal payments received on the portfolio. Our rating on the
class B notes addresses timely payment of interest and ultimate
payment of principal. As of the October 2023 interest payment date,
the class B notes have deferred interest payments of
EUR169,211.23."

S&P downgrades of the class B notes to 'D (sf)' from 'CC (sf)'
reflects the failure to honor timely payment of interest.

The class A3a and A3b notes are the most senior outstanding class,
and continue to receive timely interest. However, since this
transaction only has nine performing obligors in the asset
portfolio, with a performing balance of EUR22.48 million against
the class A3a and A3b notes' outstanding balance of almost EUR43
million, credit enhancement for these notes remains negative. The
junior class C to E2 notes continue to defer interest payments,
with negative credit enhancement. All coverage tests continue to
fail.

S&P said, "In our view, and based on the transaction's performance,
the class A3a, A3b, C, D, E1, and E2 notes remain highly vulnerable
to nonpayment. Payment is largely dependent on the amount that will
be recovered on currently defaulted assets. We therefore affirmed
our 'CC (sf)' ratings on the class A3a, A3b, C, D, E1, and E2
notes, reflecting that they are severely undercollateralized. As
per our ratings definitions, we rate an issue at 'CC' when a
default has not yet occurred but we expect default to be a virtual
certainty, regardless of the anticipated time to default.

"Our ratings reflect our assessment of the underlying asset pool's
credit and cash flow characteristics, as well as our analysis of
the transaction's exposure to counterparty, legal, and operational
risks.

"We will withdraw the ratings on all of the notes after 30 days,
given the absence of investor interest in the credit ratings."

House of Europe Funding V is a cash flow mezzanine structured
finance CDO transaction that closed in October 2006.


MARINO PARK: Moody's Affirms B3 Rating on EUR6MM Cl. E Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Marino Park CLO DAC:

EUR30,500,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Upgraded to Aa1 (sf); previously on Feb 8, 2022 Definitive
Rating Assigned Aa2 (sf)

EUR22,500,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2034, Upgraded to A1 (sf); previously on Feb 8, 2022
Definitive Rating Assigned A2 (sf)

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

EUR201,500,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Affirmed Aaa (sf); previously on Feb 8, 2022 Definitive
Rating Assigned Aaa (sf)

EUR18,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Affirmed Baa3 (sf); previously on Feb 8, 2022
Definitive Rating Assigned Baa3 (sf)

EUR19,500,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Affirmed Ba3 (sf); previously on Feb 8, 2022
Affirmed Ba3 (sf)

EUR6,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2034, Affirmed B3 (sf); previously on Feb 8, 2022 Affirmed B3
(sf)

Marino Park CLO DAC, issued in December 2020, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured European loans. The portfolio is managed by
Blackstone Ireland Limited. The transaction's reinvestment period
will end in January 2024.

RATINGS RATIONALE

The rating upgrades on the Class A-2 and Class B notes are
primarily a result of the benefit of the shorter period of time
remaining before the end of the reinvestment period in January
2024.

The affirmations on the ratings on the Class A-1, Class C, Class D
and Class E notes are primarily a result of the expected losses on
the notes remaining consistent with their current rating levels,
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.

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

Key model inputs:

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

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

Performing par and principal proceeds balance: EUR325.8m

Defaulted Securities: EUR1.0m

Diversity Score: 59

Weighted Average Rating Factor (WARF): 2935

Weighted Average Life (WAL): 4.12 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.94%

Weighted Average Coupon (WAC): 4.10%

Weighted Average Recovery Rate (WARR): 43.56%

Par haircut in OC tests and interest diversion test:  none

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

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance methodology" published in October 2023. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

Additional uncertainty about performance is due to the following:

-- Portfolio amortisation: Once reaching the end of the
reinvestment period in January 2024, the main source of uncertainty
in this transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.

-- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

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

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.

SCRUMDIDDLY'S: Seeks to Restructure Debts Under Scarp
-----------------------------------------------------
John Burns at Irish Independent reports that ice-cream chain
Scrumdiddly's is seeking to restructure its debts using the Small
Company Administrative Rescue Process (Scarp), a quicker and
cheaper form of examinership.

Scrumdiddly's has five outlets, one in Kilkenny and the rest in
Dublin, including the first shop it opened in Donabate in 2011 and
its best-known store in Dún Laoghaire.

David O'Connor, a partner in BDO's corporate recovery department,
was appointed as process adviser on Dec. 6, the Irish Independent
discloses.  He will now work out a rescue plan for the company,
which could mean writing down debts owed to Scrumdiddly's
creditors, who will get to vote on the draft agreement, Irish
Independent states.

According to its most recent accounts, for the financial year
ending August 2022, Scrumdiddly Ice Cream Ltd had EUR597,230 debts
falling due within one year and net liabilities of EUR220,375, the
Irish Independent notes.  A bank loan of EUR139,616 was also
outstanding, the Irish Independent says.

The company, whose directors are Jennifer Kane and Darren
McCormack, has 35 employees.

Mr. O'Connor told the Irish Independent the company's main debt is
with Revenue, after it used the warehousing facility during Covid.


TORO EUROPEAN 7: Moody's Affirms B3 Rating on EUR7.45MM F Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Toro European CLO 7 DAC:

EUR16,000,000 Class B-1 Secured Floating Rate Notes due 2034,
Upgraded to Aa1 (sf); previously on Dec 20, 2021 Definitive Rating
Assigned Aa2 (sf)

EUR14,950,000 Class B-2 Secured Fixed Rate Notes due 2034,
Upgraded to Aa1 (sf); previously on Dec 20, 2021 Definitive Rating
Assigned Aa2 (sf)

EUR21,300,000 Class C Secured Deferrable Floating Rate Notes due
2034, Upgraded to A1 (sf); previously on Dec 20, 2021 Definitive
Rating Assigned A2 (sf)

EUR21,350,000 Class D Secured Deferrable Floating Rate Notes due
2034, Upgraded to Baa2 (sf); previously on Dec 20, 2021 Definitive
Rating Assigned Baa3 (sf)

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

EUR192,000,000 Class A Secured Floating Rate Notes due 2034,
Affirmed Aaa (sf); previously on Dec 20, 2021 Definitive Rating
Assigned Aaa (sf)

EUR22,400,000 Class E Secured Deferrable Floating Rate Notes due
2034, Affirmed Ba3 (sf); previously on Dec 20, 2021 Affirmed Ba3
(sf)

EUR7,450,000 Class F Secured Deferrable Floating Rate Notes due
2034, Affirmed B3 (sf); previously on Dec 20, 2021 Affirmed B3
(sf)

Toro European CLO 7 DAC, issued in December 2020 and refinanced in
December 2021, is a collateralised loan obligation (CLO) backed by
a portfolio of mostly high-yield senior secured European and US
loans. The portfolio is managed by Chenavari Credit Partners LLP.
The transaction's reinvestment period will end in February 2024.

RATINGS RATIONALE

The rating upgrades on the Class B-1, B-2, C and D notes are
primarily a result of the benefit of the short period of time
remaining before the end of the reinvestment period in February
2024.

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

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

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

Performing par and principal proceeds balance: EUR317.9m

Defaulted Securities: EUR3.0m

Diversity Score: 51

Weighted Average Rating Factor (WARF): 2884

Weighted Average Life (WAL): 4.3 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 4.17%

Weighted Average Coupon (WAC): 3.70%

Weighted Average Recovery Rate (WARR): 42.81%

Par haircut in OC tests and interest diversion test:  none

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

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as the account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance methodology" published in October 2023. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

-- Portfolio amortisation: Once reaching the end of the
reinvestment period in Feb 2024, the main source of uncertainty in
this transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.

-- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

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

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.



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

CASSIA 2022-1: DBRS Confirms BB Rating on Class C Notes
-------------------------------------------------------
DBRS Ratings GmbH confirmed its credit ratings on the following
classes of commercial mortgage-backed security (CMBS) notes issued
by Cassia 2022-1 S.R.L. (the issuer):

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

DBRS Morningstar removed the Under Review with Positive
Implications (UR-Pos.) of the ratings, on which they were placed on
13 October 2023. The trends on all credit ratings are Stable.

CREDIT RATING RATIONALE

The rating confirmations reflect the transaction's stable
performance over the last 12 months. The loans securing the
transaction are performing in line with the provisions of the
facility agreements, and no breach of any of the cash trap covenant
thresholds has been reported to date.

The transaction is a two-loans conduit securitization arranged by
Bank of America Europe DAC (Bofa) and Goldman Sachs International
and comprises two separate commercial real estate (CRE) senior
loans (the Thunder II loan and the Jupiter loan) advanced to
borrowing entities ultimately owned by The Blackstone Group Inc.
(the sponsor). The transaction was originated in April 2022.

The purpose of the loans was to refinance the existing indebtedness
of the related borrowers. In particular, the Thunder II borrower is
an Italian close-end fund (REIF), whereas the borrowers of the
Jupiter loan were split into an Italian REIF, the Jupiter Fund, and
two limited liability companies, Mileway Italy 2021 Bidco S.r.l.
and Bracchi Immobiliare Logistica S.r.l. The former merged into the
latter with completion occurring in July 2022.

The two loans, totalling EUR 236.4 million as of the November 2023
interest payment date (IPD), are backed by 42 big-box and last-mile
logistics properties across Italy. The loans are interest only, and
no prepayment has occurred since the loans' utilization date. Based
on the most recent valuations prepared by CBRE Limited (CBRE), the
appraised value of the portfolio under special assumption (which
includes 2.7% premium as a single-lot sale) is EUR 400.5 million as
of 1 July 2023, up from EUR 396.2 million as of 1 October 2021.
This resulted in a weighted average (WA) loan-to-value ratio (LTV)
of 57.9%, slightly down from 59.6% at origination.

The WA debt yield (DY) has slightly increased to 10.8% as of August
2023 from 10.1% at last year's review and 8.6% at cut off. Overall,
the net rental income generated by the pool improved to EUR 25.5
million as of August 2023, 6.4% higher than last year (EUR 24
million) and 20.3% higher than at cut off (EUR 21.2 million),
mainly reflecting the indexation of the rental income stream. As of
the August 2023 IPD, the vacancy rate increased to 4.2% from 2.2%
at cut off, driven by the vacancy rate increase of the Thunder II
portfolio to 9.6% from full occupancy at cut off, while the vacancy
rate of the Jupiter portfolio decreased to nil from 6.8% at cut
off.

By loan amount, the larger loan is the Thunder II loan, which
accounts for 69.4% of the entire pool and has an outstanding
balance of EUR 164.0 million, whereas the Jupiter loan has an
outstanding balance of EUR 72.4 million and accounts for 30.6% of
the pool.

Each loan bears interest at a floating rate equal to three-month
Euribor (subject to zero floor), plus a margin that is a function
of the WA of the aggregate interest amounts payable on the notes.
As of the last payment date in November 2023, the margin was
3.1763% per annum (p.a.). The interest rate risk is fully hedged by
a prepaid cap with a strike rate of 1.0%, which was provided by
Merrill Lynch International at issuance. The initial interest rate
cap agreements terminate in May 2024, and they are expected to be
renewed annually for the remaining term of the loans. Both the
senior loans mature in May 2027, which corresponds to five years
after the cut-off date with no extension options.

The Thunder II loan is secured by 20 logistics assets let to 20
tenants as of the August 2023 IPD. The properties are in the
Northern and Central regions of Italy. In July 2023, CBRE's updated
valuation increased to EUR 276.6 million, up from EUR 275.3 million
in October 2021. As of the August 2023 IPD, the top five tenants
represent 52.3% of the Thunder II portfolio net rental income of
EUR 15.5 million. DBRS Morningstar maintains its cut-off
underwriting assumptions of net cash flow (NCF) at EUR 11.7 million
and cap rate of 6.5%, equating to a DBRS Morningstar value of EUR
178.9 million, which represents a haircut of 35.0% to the CBRE
appraised value. DBRS Morningstar LTV and DY are 91.7% and 7.1%,
respectively.

The Jupiter loan is secured by 22 logistics assets let to 36
tenants as of the August 2023 IPD. The properties are mainly in the
area of Milan. The assets were revalued in July 2023. The values
increased marginally to EUR 124.9 million from EUR 120.9 million.
As of the August 2023 IPD, the top five tenants represent 68.6% of
the Jupiter portfolio rental income of EUR 10 million. DBRS
Morningstar maintains its cut-off underwriting assumption of NCF of
EUR 5.7 million and cap rate of 6.7%, equating to a DBRS
Morningstar value of EUR 85.8 million, which represents a haircut
of 31.2% to the CBRE appraised value. DBRS Morningstar LTV and DY
are 84.3% and 7.9%, respectively.

The sponsor can dispose of any assets securing the loans by
repaying a release price of 100% of the allocated loan amount (ALA)
up to the first-release price threshold, which equals 10% of the
portfolio valuation. Once the first-release price threshold is met,
the release price will be 105% of the ALA up to the second release
price threshold, which equals 20% of the portfolio valuation. The
release price will be 110% of the ALA thereafter. Following a
permitted structural change, the release price will be 115% of the
ALA.

For the purpose of satisfying the applicable risk retention
requirements, Bofa (the VRR Lender) advanced a EUR 6.2 million loan
(the VRR Loan) to the issuer on the closing date, and Goldman Sachs
Bank Europe SE (the VRR noteholder) subscribed for EUR 6.2 million
in the notes (the VRR notes and, together with the VRR Loan, the
VRR Instruments) issued by the issuer on the closing date. As at
the closing date, the aggregate principal amount of the VRR
Instruments was EUR 12.4 million.

At issuance, the liquidity reserve stood at EUR 11.5 million.
Following the erroneous release of EUR 1.8 million occurring at the
August 2022 IPD, the issuer transaction documents were amended to
allow the rebalancing of the required liquidity reserve amount. The
amendment includes (i) surplus in the interest paid on the senior
loans to be applied on each IPD to top up the issuer liquidity
reserve to the corrected required amount (rebalanced amount), and,
where a (voluntary or mandatory) prepayment on a senior loan
occurs, (ii) an amount equal to the then remaining rebalancing
amount to be deducted from note principal receipts and also applied
to top up the issuer liquidity reserve.

At the November 2023 IPD, the outstanding balance of the liquidity
reserve amount stood at EUR 9.97 million providing for 17.7 months
of interest shortfall coverage based on 1.0% cap strike rate and
approximately 9.9 months based on the 4.0% Euribor cap after the
scheduled notes' maturity.

The final legal maturity of the notes falls in May 2034, providing
a tail period of seven years from the loans' maturity. If
necessary, DBRS Morningstar believes that this provides sufficient
time to enforce the loan collateral and repay the bondholders,
given the security structure and jurisdiction of the underlying
loan.

DBRS Morningstar's credit rating on the notes issued by Cassia
2022-1 S.R.L. addresses the credit risk associated with the
identified financial obligations in accordance with the relevant
transaction documents. The associated financial obligations are the
interest payments and principal amounts.

DBRS Morningstar's credit rating does not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, Euribor Excess Amounts, Pro Rata Default
Interest Amounts and Note Exit Fees.

DBRS Morningstar's long-term credit ratings provide opinions on
risk of default. DBRS Morningstar considers risk of default to be
the risk that an issuer will fail to satisfy the financial
obligations in accordance with the terms under which a long-term
obligation has been issued.

Notes: All figures are in euros unless otherwise noted.


STRESA SECURITIZATION: DBRS Gives Prov. BB Rating to Class D Notes
------------------------------------------------------------------
DBRS Ratings GmbH assigned provisional credit ratings to the
residential mortgage-backed notes to be issued by Stresa
Securitization S.r.l. (the Issuer) as follows:

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

The credit rating on the Class A notes addresses the timely payment
of interest and the ultimate repayment of principal. The credit
ratings on the Class B, Class C and Class D notes address the
ultimate payment of interest and principal.

DBRS Morningstar does not rate the Class R and Class Z notes also
expected to be issued in this transaction.

CREDIT RATING RATIONALE

The Issuer is a bankruptcy-remote special-purpose vehicle
incorporated in the Republic of Italy. The Issuer will use the
proceeds of the notes to resecuritize an existing portfolio of
mostly prime and performing Italian owner-occupied (OO) mortgage
loans secured over properties in Italy.

Meliorbanca S.p.A. (Meliorbanca; the originator) originated the
mortgage loans included in this portfolio in 2006 and 2007.
Meliorbanca merged into BPER Banca S.p.A. (BPER) in 2011. Following
Commerzbank group's purchase, the portfolio was securitized under
Borromeo Finance S.r.l. (Borromeo). Borromeo subsequently sold the
portfolio to Stresa, a new special-purpose vehicle sponsored by the
Fortress Investment Group LLC (Fortress) with two separate
transfers in 2017 and 2019. The purpose of the newly issued notes
is to repay the outstanding notes that Stresa issued to finance the
portfolio purchases from Borromeo.

doNext S.p.A. (doNext) has been acting as the servicer for the
portfolio since March 2011 and will continue to service the
portfolio after the new notes issuance. DBRS Morningstar reviewed
doValue S.p.A.'s (doNext's parent company) servicing practices.

The portfolio size as of June 2023 amounts to EUR 158 million, with
a weighted average (WA) current loan-to-value (CLTV) of 65.5%
(calculated by DBRS Morningstar) and a WA seasoning of
approximately 16 years. Roughly 13% of the portfolio is equal to or
more than three months in arrears. The majority of the portfolio
corresponds to floating-rate for life loans tracking six-month
Euribor. Although these loans track the same index and reset every
three months, the index calculation method is different depending
on the product type. In most cases, the index is calculated as the
average of the last two months before each quarterly reset. The WA
coupon of the portfolio equals 4.9%.

Liquidity for the Class A notes will be supported by a liquidity
reserve fund (LRF), which will be fully funded at closing and then
amortize in line with the referred class of notes, which shall also
feature a floor equal to 2% of the Class A notes' initial balance.
The notes' terms and conditions allow interest payments other than
on the Class A notes to be deferred if the available funds are
insufficient. However, when the Class B notes are the most senior
class of notes outstanding, deferral is not possible for the Class
B notes.

Furthermore, Deutsche Bank AG/London Branch shall act as the Issuer
Account Bank, and BPER Banca S.p.A. shall be appointed as the
Collection Account Bank. While the former is privately rated by
DBRS Morningstar, the latter is publicly rated with a long-term
critical obligations rating (COR) of A (low) and a long-term issuer
rating (IR) of BBB, both with a stable trend. Both entities meet
the eligible ratings in structured finance transactions and are
consistent with DBRS Morningstar's "Legal Criteria for European
Structured Finance Transactions" methodology.

The notes expected to be issued in this transaction feature a
coupon cap meaning that the coupon on the rated notes cannot exceed
the maximum coupon established at closing. Payments made by the
Issuer above the coupon cap are junior in the waterfall and for
that reason DBRS Morningstar credit ratings do not address the
payment of this additional amount.

Credit enhancement for the Class A notes is calculated at 19.25%
and is provided by the subordination of the Class B to Class D
notes and Class Z notes. Credit enhancement for the Class B notes
is calculated at 15.50% and is provided by the subordination of the
Class C to Class D notes and Class Z notes. Credit enhancement for
the Class C notes is calculated at 11.75% and is provided by the
subordination of the Class D and Class Z notes. Credit enhancement
for the Class D notes is calculated at 8.50% and is provided by the
Class Z notes.

DBRS Morningstar based its credit ratings primarily on the
following considerations:

-- The transaction capital structure, including the form and
sufficiency of available credit enhancement and liquidity
provisions.

-- The credit quality of the mortgage portfolio and the servicer's
ability 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 uses as inputs into its cash flow
tool. DBRS Morningstar analyzed the mortgage portfolio in
accordance with its "European RMBS Insight Methodology" and
“European RMBS Insight: Italian Addendum".

-- The transaction's ability to withstand stressed cash flow
assumptions and repay investors in accordance with the terms and
conditions of the notes.

-- The exposure to the transaction account bank and the downgrade
provisions outlined in the transaction documents.

-- 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.

-- The sovereign rating of the Republic of Italy, rated BBB (high)
with a Stable trend by DBRS Morningstar, as of the date of this
press release.

DBRS Morningstar's credit rating on the rated notes addresses the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Interest Amounts and the
related Class Balances.

DBRS Morningstar's credit rating does not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, the ratings on the applicable notes do
not address the related Additional Coupon Cap Payments.

DBRS Morningstar's long-term credit ratings provide opinions on
risk of default. DBRS Morningstar considers risk of default to be
the risk that an issuer will fail to satisfy the financial
obligations in accordance with the terms under which a long-term
obligation has been issued.

Notes: All figures are in euros unless otherwise noted.



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

ARRIVAL: Skips Interest Payment, Triggers 30-Day Grace Period
-------------------------------------------------------------
Arrival disclosed in a Form 6-K Report filed with the Securities
and Exchange Commission that the Company did not make the
semiannual interest payment due under its 3.50% Convertible Senior
Notes due 2026. As provided for in the indenture governing the
Notes, the Company has a 30-day grace period to make the interest
payment.

The Company is currently in the process of drawing additional
amounts under its previously announced bridge facility, and
believes that it is likely that it will have funds sufficient to
meet the interest payment obligation under the Notes during the
grace period. However, there can be no assurance that the Company
will have sufficient capital to make such interest payment.

                          About Arrival

Luxembourg-based Arrival is a company that designs, produces,
sells, and services purpose-built electric vehicles, to support a
world where cities are free from fossil fuel vehicles. Arrival's
in-house technologies enable a unique approach to producing
vehicles using rapidly-scalable, local Microfactories. Arrival
(Nasdaq: ARVL) is a joint stock company governed by Luxembourg
law.

In its annual report for 2022, filed in February this year, the
Company issued a "going concern" warning it would run out of cash
within 12 months, with cash burn at the time likely to leave its
reserves fully depleted by the summer.

SK NEPTUNE: Moody's Cuts CFR & Sr. Secured Debt Rating to Caa2
--------------------------------------------------------------
Moody's Investors Service has downgraded SK Neptune Husky
Intermediate IV S.a r.l.'s (formerly Luxembourg Investment Company
437 S.a r.l.) (Heubach or the company) corporate family rating and
probability of default rating to Caa2 from B3 and Caa2-PD from
B3-PD, respectively. Concurrently Moody's downgraded Heubach's
backed senior secured debt instruments, borrowed by Luxembourg
Investment Company 438 S.a r.l., to Caa2 from B3, which comprise a
CHF560 million dollar equivalent term loan and a $125 million
revolving credit facility (RCF). The outlook for both entities
remains negative.

The rating action reflects:

-- Continued decline in revenue and EBITDA with no visibility for
improved trading conditions

-- Unsustainable capital structure and heightened risk of a debt
restructuring

-- The company's weak liquidity position

RATINGS RATIONALE

The downgrade of Heubach's CFR to Caa2 from B3 rating reflects a
23% decline in revenues year-to-date in September 2023,
predominantly impacted by lower sales volumes in all market
segments and across all regions. Margins remain very weak as the
company faces aggressive pricing in a competitive low-demand market
and low utilisation at the main site in Hoechst. Currently, the
agency considers there is very limited visibility for a meaningful
earnings recovery in 2024 and expects the company will remain
Moody's adjusted free cash flow negative in the next twelve to
eighteen months.

Heubach is very highly leveraged and interest costs have increased.
Moody's expects total interest expense of EUR75 million for 2023.
The company's weak liquidity position and the lack of visibility
for an EBITDA recovery for 2023 increase the likelihood that
Heubach will be unable to meet its interest payments and other
basic cash obligations in the next twelve months without new
liquidity. Moody's therefore considers the capital structure as
unsustainable, despite the long-dated maturity of its debt. Heubach
has already indicated it is in discussions to raise additional
liquidity.

LIQUIDITY

The company's liquidity position is weak. As of the end of
September 2023, the company reported a cash balance of EUR33
million, of which around EUR10 million is held in geographical
regions that cannot be accessed for central funding purposes. The
company reported availability under the $125 million RCF of $77.8
million at the end of September 2023. The RCF contains a springing
covenant, tested two months after quarter-end, if drawings reach
35%. The testing condition requires the company's net leverage
ratio (which includes significant EBITDA addbacks) to be no more
than 6.3x. Moody's expects the company may need to seek covenant
relief following the last quarter of 2023. The majority of the
assets of the group are encumbered and there is limited possibility
of non-core asset sales. There are no significant maturities until
2027.

STRUCTURAL CONSIDERATIONS

Heubach's senior secured term loan and RCF are rated Caa2 and, in
line with the CFR. The company has a simple capital structure with
only two debt instruments and relatively small pension and lease
liabilities. The senior secured debt instruments are guaranteed by
subsidiaries of the group and secured on a first-lien basis by a
significant amount of assets owned by the group. However, the
guarantees from the operating subsidiaries are likely to only
represent around 55% of groupwide EBITDA and around 70% of the
company's fixed assets because of the limitations around providing
guarantees from Indian subsidiaries. The loan documentation
contains limitations on investments in, and the incurrence of debt,
by non-guarantors.

RATING OUTLOOK

The negative outlook reflects the company's weak liquidity position
and the likelihood the company will need to raise additional
liquidity to meet its basic cash obligations (which include
interest costs) in 2024 and the heightened risk of default.

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

Positive pressure on the rating is unlikely to develop given the
company's weak liquidity position and unsustainable capital
structure.

The rating could be downgraded if the company fails to secure
additional funding to meet its basic cash obligations in 2024 or
the risk of default increases with an expectation of greater loss
to debt holders

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Chemicals
published in October 2023.

COMPANY PROFILE

Heubach emerged from the combination of the German-based pigments
business company Heubach GmbH and the pigments business of Clariant
AG (Ba1 positive). The company is now owned 50.1% by the US private
equity sponsors SK Capital Partners, 29.9% owned by Heubach GmbH,
and 20% by Clariant AG. Heubach produces a variety of organic and
inorganic pigments and pigment preparations in 19 facilities across
Europe, the Americas, Asia, and Africa.



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

BBVA LEASING 3: DBRS Gives Prov. CCC Rating to Series B Notes
-------------------------------------------------------------
DBRS Ratings GmbH assigned provisional credit ratings to the
following notes to be issued by BBVA Leasing 3, F.T. (the Issuer):

-- Series A Notes at AA (sf)
-- Series B Notes at CCC (sf)

The credit rating on the Series A Notes addresses the timely
payment of scheduled interest and the ultimate repayment of
principal by the legal final maturity date in November 2043. The
credit rating on the Series B Notes addresses the ultimate payment
of interest and the ultimate repayment of principal by the legal
final maturity date.

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

CREDIT RATING RATIONALE

The transaction represents the issuance of Series A Notes and
Series B Notes (together, the Notes) backed by a portfolio of
approximately EUR 2.4 billion of commercial leases granted mostly
to corporates and small and medium-size enterprises (SMEs)
originated by Banco Bilbao Vizcaya Argentaria S.A. (BBVA) in Spain.
The transaction will be managed by Europea de Titulizacion, S.A.,
Sociedad Gestora de Fondos de Titulizacion (the Management
Company). BBVA is the servicer of the portfolio.

DBRS Morningstar's credit ratings are based on the following
analytical considerations:

-- The transaction's structure, including the form and sufficiency
of available credit enhancement to withstand stressed cash flow
assumptions and repay the Issuer's financial obligations according
to the terms under which the Notes are issued.

-- The credit quality of BBVA's portfolio, the well
diversification of the collateral, its historical performance, and
DBRS Morningstar projected behavior under various stress
scenarios.

-- BBVA's capabilities with respect to originations, underwriting,
servicing, and its position in the market and financial strength.

-- The operational risk review of BBVA, which DBRS Morningstar
deems to be an acceptable servicer.

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

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

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

-- The sovereign rating on the Kingdom of Spain, currently rated
"A" with a Stable trend by DBRS Morningstar.

The transaction benefits from a reserve fund that will be funded at
EUR 120,000,000 at closing through the proceeds of a subordinated
loan and will be able to cover the Notes interest and Series A
Notes principal shortfalls. Once the Series A Notes have been
redeemed in full, the reserve fund will also cover potential
principal shortfalls of the Series B Notes.

As of 27 October 2023, the provisional portfolio had an aggregate
principal balance of EUR 2.6 billion (from which the EUR 2.4
billion initial portfolio will be selected on or about the issue
date) and consisted of 34,304 loans extended to 19,355 borrower
groups.

The Notes will be paying a fixed rate like the majority of the
portfolio (67.6% by outstanding balance) whereas 32.4% the
portfolio by outstanding balance are floating-rate leases indexed
to Euribor.

The Notes will be repaid on a fully sequential basis starting from
the first payment date in February 2024. The transactions'
available funds are distributed through a combined interest and
principal waterfall.

TRANSACTION COUNTERPARTIES

BBVA acts as the account bank for the transaction. Based on the
DBRS Morningstar credit rating of BBVA at A (high) (Long-Term
Critical Obligations Rating at AA (low)), 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 BBVA to be consistent with
the credit ratings assigned to the Notes, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

BBVA is the interest rate swap provider for the transaction. DBRS
Morningstar has a Long-Term Issuer Rating of A (high) on BBVA,
which meets its criteria to act in such capacity. The transaction
documents contain downgrade provisions consistent with DBRS
Morningstar's criteria.

The transaction is exposed to BBVA as it covers the role of Issuer
account bank, servicer, and swap provider. Due to this
concentration of roles, DBRS Morningstar carried out further
analysis to assess the exposure to the bank.

DBRS Morningstar's credit ratings on the rated Notes address the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the rated Notes are the related
Interest Amounts and the Initial Principal Amount Outstanding.

DBRS Morningstar's credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations.

DBRS Morningstar's long-term credit ratings provide opinions on
risk of default. DBRS Morningstar considers risk of default to be
the risk that an issuer will fail to satisfy the financial
obligations in accordance with the terms under which a long-term
obligation has been issued.

Notes: All figures are in euros unless otherwise noted.





=====================
S W I T Z E R L A N D
=====================

GLOBAL BLUE: S&P Upgrades ICR to 'B+' on Completed Refinancing
--------------------------------------------------------------
S&P Global Ratings raised its long-term issuer credit rating on
Switzerland-headquartered Global Blue Group Holding to 'B+' from
'B' and removed it from CreditWatch, where S&P placed it with
positive implications on Nov. 13, 2023. S&P also assigned a 'B+'
issue rating and '3' recovery rating to the term loan.

The stable outlook reflects S&P's view that Global Blue will
continue to report strong revenue and EBITDA growth, expanding
margins towards 30%, and reducing leverage towards 5.0x in the next
12 months.

The upgrade reflects the successful completion of the refinancing
transaction. On Nov. 23, 2023, Global Blue completed a refinancing
of its capital structure and issued a EUR610 million senior secured
term loan due in 2030 and a EUR97.5 million RCF due in 2030. The
term loan amount was EUR40 million less than S&P's initial
expectations because Global Blue received a $50 million (EUR47
million) equity investment from Tencent, a China-based internet
company. Global Blue used the proceeds to redeem its EUR99 million
RCF, the EUR630 million term loan that was due to mature in August
2025, and the EUR61 million shareholder liquidity facility.

As a result, S&P expects the company's S&P Global Ratings-adjusted
debt to EBITDA at the end of FY2024 will reduce to about 5.3x from
more than 16x in FY2023, and then subsequently to below 4.0x in
FY2025.

S&P said, "Global Blue's business benefits from its position as a
solid market leader but is constrained by its exposure to the
travel industry. In our view, the group's leading market position
and long-standing relationships with payment providers, and the
industry's high barriers to entry together with the continued
strong recovery in international travel, will support its operating
performance in the next two to three years. Tight control over
costs and savings achieved during the pandemic will likely lead to
the adjusted EBITDA margin recovering toward 35%. However, Global
Blue's operating performance and credit metrics are sensitive to
changes in tourism activity and international shopping spending,
which exposes the group to event risk, in particular potential
terrorist attacks, and to an extent changes in value-added taxes
and regulation. At the same time, the group's exposure to spending
on luxury goods somewhat offsets its sensitivity to economic
cycles. The payment processing business benefits from long standing
relationships with major business-to-business customers. Global
Blue is mostly shielded from macroeconomic factors such as
inflation, as luxury shoppers' price sensitivity is low, and luxury
goods prices increase at a higher rate than the consumer price
index (CPI).

"We expect Global Blue's operating performance and free cash flow
generation will recover and leverage will reduce swiftly in
FY2024-FY2025. The ramp-up in demand from shoppers in the tax-free
shopping (TFS) service business will likely result in this segment
seeing revenue growth of 40%-45% in FY2024. In July and August
2023, demand from Asia-Pacific (APAC) shoppers recovered and
surpassed pre-pandemic spending, driven by luxury goods price
inflation and higher disposable incomes, together with the return
of travelers from Mainland China. We expect the payments solutions
segment--which is partly exposed to travel and represents 20% of
total revenue--to expand by about 20%-25% on the back of enhanced
technology solutions. The company recently issued public operating
guidance pointing to company-adjusted EBITDA exceeding EUR200
million in FY2025 and reported 50% revenue and 130% EBITDA growth
in the first half of FY2024 compared with first-half FY2023, which
supports our forecast.

"We expect Global Blue's free operating cash flow (FOCF) will turn
positive in FY2024 reflecting the strong recovery in EBITDA.
Interest costs will increase following the refinancing--cash
interest of about EUR60 million-EUR70 million in FY2024 and EUR50
million-EUR60 million in FY2025, up from about EUR31 million in
FY2023. However, the company's capital expenditure (capex) and
working capital needs are modest, and we expect EBITDA will
continue to strongly increase in FY2025, leading FOCF to further
strengthen and result in FOCF to debt surpassing 10%.

"Our view of the company's less aggressive financial policy
compared with other financial sponsor-owned peers supports the
rating. We expect Global Blue's controlling shareholder, Silver
Lake, to maintain its financial policy, which assumes lower
leverage levels for the company than at many rated peers. The
company recently provided public leverage guidance of 2.5x net debt
to EBITDA (on a company-adjusted basis), corresponding with S&P
Global Ratings-adjusted debt to EBITDA of about 3.5x. In
combination with expected recovery in EBITDA, our base-case
scenario assumes the company will maintain S&P Global
Ratings-adjusted leverage comfortably below 5.0x in the coming
years. We do not expect any material dividend recapitalizations or
debt-funded acquisitions. We also note the company's track record
of operating with 4x-5x adjusted leverage before the pandemic.

"The stable outlook reflects our view that Global Blue will report
strong revenue and EBITDA growth, expanding margins towards 30% on
the back of continued recovery in international travel and
expanding its payment processing business, which will result in
leverage reducing below 5.0x in the next 12 months.

"We could lower the rating if Global Blue's adjusted leverage fails
to reduce below 5.0x and FOCF to debt remains below 10%. This could
happen if the company materially underperforms our base case, for
example if demand for international travel weakened, the luxury
goods market declined, or unexpected working capital outflows
occurred.

"We could raise the rating if the private equity owners were to
relinquish control over the company, leading us to reassess its
financial policy. The upgrade would also require Global Blue to
demonstrate a robust operating performance and with adjusted
reducing to comfortably below 4.0x. and FOCF to debt exceeding
15%."





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

CASTELL 2021-1: DBRS Confirms BB(low) Rating on Class F Notes
-------------------------------------------------------------
DBRS Ratings Limited took the following credit rating actions on
the rated notes issued by Castell 2021-1 PLC (C2021) and Castell
2022-1 PLC (C2022) (together, the Issuers):

C2021

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

C2022
-- Class A notes confirmed at AAA (sf)
-- Class A Loan notes confirmed at AAA (sf)
-- Class B notes upgraded to AAA (sf) from AA (high) (sf)
-- Class C notes upgraded to AA (low) (sf) from A (high) (sf)
-- Class D notes upgraded to A (low) (sf) from BBB (high) (sf)
-- Class E notes confirmed at BB (high) (sf)
-- Class F notes confirmed at BB (low) (sf)

For C2021, the credit ratings on the Class A and Class B notes
address the timely payment of interest and the ultimate repayment
of principal by the legal final maturity date. The credit ratings
on the Class C, Class D, Class E, and Class F notes address the
timely payment of interest when they are the most senior class of
notes outstanding, and the ultimate repayment of principal by the
legal final maturity date in November 2053.

For C2022, the credit ratings on the Class A, Class A Loan
(together, Class A), and Class B notes address the timely payment
of interest and the ultimate repayment of principal by the legal
final maturity date. The credit ratings on the Class C, Class D,
Class E, and Class F notes address the timely payment of interest
when they are the most senior class of notes outstanding, and the
ultimate repayment of principal by the legal final maturity date in
April 2054.

The credit rating actions 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 October 2023 payment date.

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

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

The transactions are securitizations of UK second-lien mortgage
loans originated by UK Mortgage Lending Limited (UKML, formerly
Optimum Credit Limited). UKML is a specialist UK second charge
mortgage lender based in Cardiff, which has offered finance to
homeowners in England, Wales, and Scotland since its launch in
November 2013. Pepper UK Limited (Pepper) is the primary and
special servicer of the portfolio

PORTFOLIO PERFORMANCE

C2021: As of the September 30, 2023 cut-off date, loans two to
three months in arrears represented 0.4% of the outstanding
portfolio balance, and loans more than three months in arrears
represented 2.2%. Cumulative defaults amounted to 0.3% of the
original portfolio balance

C2022: As of the September 30, 2023 cut-off date, loans two to
three months in arrears represented 0.7% of the outstanding
portfolio balance, and loans more than three months in arrears
represented 3.0%. Cumulative defaults amounted to 0.5% of the
original portfolio balance

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and updated its base case PD and LGD
assumptions at the B (sf) rating level to the following:

-- C2021: A base case PD of 4.4% and a base case LGD of 35.0%.
-- C2022: A base case PD of 5.4% and a base case LGD of 33.5%.

CREDIT ENHANCEMENT

Credit enhancement (CE) is provided by the subordination of the
respective junior notes. Current CE levels to the rated notes
compared with the CE levels at the DBRS Morningstar previous annual
review are as follows:

C2021:

-- Class A CE is 41.3%, up from 31.0%
-- Class B CE is 30.8%, up from 22.9%
-- Class C CE is 21.1%, up from 15.5%
-- Class D CE is 12.3%, up from 8.7%
-- Class E CE is 5.1%, up from 3.2%
-- Class F CE is 2.2%, up from 0.9%

C2022:

-- Class A CE is 36.81%, up from 28.8%
-- Class B CE is 27.78%, up from 21.7%
-- Class C CE is 19.45%, up from 15.1%
-- Class D CE is 12.9%, up from 9.9%
-- Class E CE is 8.0%, up from 6.0%
-- Class F CE is 5.2%, up from 3.8%

The transactions each benefit from a liquidity reserve fund (LRF),
which covers senior fees, interest on the Class A notes, and senior
deferred consideration. The LRFs are currently at their target
levels of GBP 1.3 million for C2021, and GBP 1.4 million for C2022,
each equal to 1.0% of the outstanding Class A notes balance.

Citibank N.A., London Branch acts as the account bank for both
transactions. Based on the DBRS Morningstar private rating on the
account bank, 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 Class A and Class B notes in each transaction, as
described in DBRS Morningstar's "Legal Criteria for European
Structured Finance Transactions" methodology.

NatWest Markets Plc acts as the swap counterparty for C2021, and
Banco Santander SA acts as the swap counterparty for C2022. DBRS
Morningstar's Long Term Critical Obligations Ratings on the swap
counterparties, both currently AA (low), are above the first rating
threshold as described in DBRS Morningstar's "Derivative Criteria
for European Structured Finance Transactions" methodology.

DBRS Morningstar's credit ratings on the notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents.

DBRS Morningstar's credit ratings on the notes also address the
credit risk associated with the increased rate of interest
applicable to the notes if the notes are not redeemed on the
Optional Redemption Date (as defined in and) in accordance with the
applicable transaction documents.

DBRS Morningstar's credit ratings do not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction documents that are not financial
obligations.

DBRS Morningstar's long-term credit ratings provide opinions on
risk of default. DBRS Morningstar considers risk of default to be
the risk that an issuer will fail to satisfy the financial
obligations in accordance with the terms under which a long-term
obligation has been issued.

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



CENTRAL NOTTINGHAMSHIRE: Moody's Outlook on Ba1 Rating Now Stable
-----------------------------------------------------------------
Moody's Investors Service has changed the outlook to stable from
negative for Central Nottinghamshire Hospitals plc (the Issuer,
ProjectCo or CNH). Concurrently, Moody's has affirmed the Ba1
underlying senior secured rating of the GBP351.9 million
index-linked guaranteed secured bonds due 2042 (the Bonds).

The A1 backed debt rating of the Bonds, based upon the
unconditional and irrevocable guarantee by Assured Guaranty UK
Limited (A1 stable), is unaffected by this rating action.

RATINGS RATIONALE

The rating action follows the recently agreed formal extension of
the standstill agreement, originally finalised on December 7, 2021
to facilitate negotiations to settle historical issues. In Moody's
view, the extension of the standstill agreement indicates a
continued willingness to resolve past disputes between Project
parties. Although the implications of a potential settlement
agreement are not known at this stage and could result in future
pressures on ProjectCo's operating or financial risk profile, this
risk is partially mitigated by ProjectCo's good liquidity position,
with significant trapped cash, which represents a material buffer
in the context of any financial compensation due in the context of
a potential settlement agreement, as well as anticipated
pass-through of many of the provisions to ProjectCo's
sub-contractors.

CNH entered into a standstill agreement with the Sherwood Forest
Hospitals National Health Service Foundation Trust (the Trust),
originally for a period of 10 months from the signing date (or such
later date as may be agreed). The term of the standstill agreement
has recently been extended to January 31, 2024. During the
standstill period the parties aim to: (1) agree historic claims
(i.e. the level of past deductions arising in connection with the
Project's performance, given the persistent differences in the
self-reported position vs. the Trust's own calculations); (2) reach
a common understanding on the contractual interpretation of certain
rights and obligations under the Project Agreement (PA); (3)
implement an operational development plan with the objective to
improve operating performance; and (4) negotiate and agree the
terms of a settlement agreement. Discussions between the Project
parties have significantly advanced on the various workstreams in
recent months and Moody's understands that there are currently no
specific issues that are expected to be escalated to a formal
dispute procedure.

RATIONALE FOR STABLE OUTLOOK

The stable outlook reflects (1) the advanced stage of negotiations
on the settlement agreement with the Trust;  (2) Moody's
expectation that final terms of the agreement will be reached in H1
2024 with an outcome that will resolve outstanding issues without a
material impact to ProjectCo beyond what is already reflected in
current forecasts and (3) the existence of a cash buffer above
mandatory reserves to absorb a level of additional cost for
ProjectCo should the final terms of the settlement agreement result
in higher costs for ProjectCo than currently anticipated.

Given the advanced stage of negotiations between the Trust and
ProjectCo, Moody's consider the likelihood of a complete failure in
the settlement agreement process to be low.

RATIONALE FOR AFFIRMATION OF Ba1 SENIOR SECURED RATING

The affirmation of the Ba1 rating reflects, as positives: (1) the
stable availability-based revenue stream under the Project
Agreement (the PA) with the Sherwood Forest Hospitals National
Health Service Foundation Trust (the Trust); (2) a range of
creditor protections included within ProjectCo's financing
structure; (3) Moody's expectation that there is a likelihood of
high recovery for lenders in the event of any default by ProjectCo
under the PA and termination by the Trust; (4) the protective
mechanisms mitigating the offtaker's credit risks for ProjectCo's
senior lenders; and (5) the fact that performance deductions are
passed through to the respective FM contractors (with a cap of 100%
of the annual payments) with no financial impact on ProjectCo
except for in some limited circumstances.

However, the Ba1 rating also reflects the following credit
constraints: (1) a history of weak operating performance, leading
to a relatively high level of Service Failure Points (SFPs) and
deductions; (2) the difficult relationships between parties, also
reflecting the involvement of P2G in the performance monitoring of
the Project; (3) the delays in the finalisation of a settlement
agreement with the Trust and the uncertainties related to the
implications of such potential agreement for ProjectCo; (4) the
Project's high leverage, which reduces the ability to withstand
unexpected stress; and (5) the exposure to hard FM cost
benchmarking without the ability to pass all cost increases to the
Trust.

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

Moody's could upgrade CNH's underlying rating, following formal
implementation of the settlement agreement, if: (1) operating
performance sustainably returns to satisfactory levels and awarded
SFPs fall comfortably below contractual thresholds; and (2) the
project exhibits a track record of stable and effective working
relationships between project parties.

Downward pressure on CNH's underlying rating would develop if: (1)
the finalisation of a settlement agreement continues to be delayed
or operating performance fails to improve, resulting in the Trust
using formal contractual remedies and increasing the risk of
Project termination; (2) the final terms of any settlement
agreement result in a permanent detrimental impact on ProjectCo's
operating or financial risk profile; (3) the quality of
relationships between Project parties shows further signs of
deterioration; (4) ProjectCo faced materially increased hard FM
costs following a cost benchmarking exercise; or (5) the lifecycle
cost budget or other operating costs were to materially increase.

The principal methodology used in this rating was Operational
Privately Financed Public Infrastructure (PFI/PPP/P3) Projects
published in March 2023.

CNH is a special purpose company that, in November 2005, signed a
37-year Project Agreement with Sherwood Forest Hospitals National
Health Service Trust (reconstituted as Sherwood Forest Hospitals
NHS Foundation Trust on February 1, 2007) to build, refurbish,
maintain and provide facilities management services at the King's
Mill Hospital, Mansfield Community Hospital and Newark General
Hospital in Nottinghamshire (the Project). Interim facility
management services commenced in November 2005 and full facilities
management services started in April 2011.

GEMGARTO 2023-1: DBRS Gives Prov. BB(low) Rating to Class F Notes
-----------------------------------------------------------------
DBRS Ratings Limited assigned provisional credit ratings to the
residential mortgage-backed notes to be issued by Gemgarto 2023-1
PLC (the Issuer) as follows:

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

The credit rating on the Class A notes addresses the timely payment
of interest and the ultimate repayment of principal on or before
the final maturity date in December 2073. The credit ratings on the
Class B, Class C, Class D, Class E, and Class F notes address the
timely payment of interest once they are the senior-most class of
notes outstanding and the ultimate repayment of principal by the
legal final maturity date.

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

CREDIT RATING RATIONALE

The Issuer is a bankruptcy-remote special-purpose vehicle
incorporated in the UK. The Issuer will use the proceeds from the
issuance of the collateralized notes to fund the purchase of prime
and performing owner-occupied (OO) mortgage loans originated by
Kensington Mortgage Company Limited (KMC) and secured over
properties located in the UK. The initial mortgage portfolio
consists of GBP 573 million of first-lien mortgage loans
collateralized by OO residential properties in England, Scotland,
and Wales. The mortgages were mostly granted between 2021 and 2023,
with a few cases dating back to 2019.

The Issuer is expected to issue seven tranches of collateralized
mortgage-backed securities (the Class A to Class G notes) to
finance the purchase of the portfolio. The transaction is
structured to initially provide 14.0% of credit enhancement to the
Class A notes. This includes subordination of the Class B to Class
G notes.

The transaction also features a general reserve fund (GRF) and a
liquidity reserve fund (LRF). The GRF will provide liquidity and
credit support to the Class A to Class F notes. The GRF will be
funded from the issuance of the Class Z notes on the closing date,
and its balance will be 1.0% of the initial balance of the Class A
to Class G notes as at the cut-off date until the Class F notes
have been redeemed. The GRF will be available to cover shortfalls
in senior fees, Senior Deferred Consideration payments, interest,
and any principal deficiency ledger (PDL) debits on the Class A to
Class F notes after the application of revenue. After full
amortization of the Class A to Class F notes, the GRF will form
part of the available revenue funds.

Additionally, if the GRF balance falls below 0.5% of the Class A to
Class G notes' balance, principal available funds will be used to
fund the LRF, which will be available to cover shortfalls in senior
fees, Senior Deferred Consideration payments, and interest payments
on the Class A and Class B notes after the application of revenue
and the GRF (subject to a 10% PDL condition for Class B unless
senior-most). Any drawing on the LRF will be recorded as debit to
the PDL. On each interest payment date, any excess above the LRF
target amount will form part of the available principal funds.

Principal can be used to cure any shortfalls in senior fees, Senior
Deferred Consideration payments, and unpaid interest payments on
the rated notes, after using revenue funds and both reserves, which
will be recorded as a debit in the PDL. The PDL comprises seven
subledgers that will track the principal used to pay interest, LRF
drawdowns, as well as realized losses, in a reverse-sequential
order that begins with the Class G subledger. The availability of
principal for paying interest on notes that are not the most-senior
class of notes outstanding is subject to the relevant PDL of each
class of notes being debited by less than 10% (Class B) or 0%
(Class C to Class F), respectively.

The notes' terms and conditions allow interest payments, other than
on the most-senior class of notes, to be deferred if the available
funds are insufficient, and deferred interest becomes due when the
class becomes senior-most. Deferred interest accrues further
interest on the deferred amounts, at the same rate of interest that
each note pays.

On the interest payment date in March 2027, the coupon due on the
notes and Senior Deferred Consideration will step up and the notes
may be optionally called. The notes must be redeemed for an amount
sufficient to fully repay them, at par, plus pay any accrued
interest.

As of August 31, 2023, the provisional portfolio consisted of 3,059
loans with an aggregate principal balance of GBP 573.4 million. The
majority of the loans in the pool were originated during 2023
(4.4%), 2022 (78.2%), and 2021 (17.2%). Because of this, the
weighted-average (WA) seasoning of the pool is relatively low at 15
months. The WA original loan-to-value ratio (LTV) is 85.8% and the
WA indexed current LTV (CLTV) of the portfolio as calculated by
DBRS Morningstar is 83.6%, with 89.4% of the loans having an
indexed CLTV higher than 80%. This relatively high LTV compared
with peer transactions in the UK reflects KMC's business model
targeting borrowers it sees as underserved by high street banks,
including contractors, applicants who have failed credit scores
with other lenders, those with complex income, first-time buyers,
and the self-employed.

The portfolio contains 8.2% shared ownership loans, which are
granted to borrowers for the purchase of only a portion of the
property they reside in with the other share remaining with the
original owner. Approximately 25.8% of the portfolio is granted to
self-employed borrowers. Furthermore, loans with prior County Court
Judgements (CCJs) comprise 17.6% of the mortgage pool. All of these
loans have at least three years of clean credit history in terms of
CCJs, defaults, Individual Voluntary Arrangements, and
bankruptcies. As of the cut-off date, loans in arrears between one
and three months represent 0.8% of the outstanding principal
balance of the portfolio; no loans were more than three months in
arrears.

All loans in the portfolio are fixed-rate loans for an initial
period of time (2.7 years on a WA basis) before they revert to
KMC'’s standard variable rate (KSR) plus a predetermined margin
(WA 4.5%). The current WA coupon of the portfolio is 5.3%. The
interest on the notes is calculated based on the daily-compounded
Sterling Overnight Index Average (Sonia), which gives rise to
interest rate risk.

The Issuer is expected to enter into a fixed-floating swap with
Barclays Bank PLC (Barclays) to mitigate the interest rate risk
from the fixed-rate mortgage loans and Sonia payable on the notes.
Based on DBRS Morningstar's ratings on Barclays (which has a
Long-Term Issuer Rating of "A" and a Long Term Critical Obligations
Rating of AA (low)), the downgrade provisions outlined in the
documents, and the transaction structural mitigants, DBRS
Morningstar considers the risk arising from the exposure to
Barclays to be consistent with the credit ratings assigned to the
notes as described in DBRS Morningstar's "Derivative Criteria for
European Structured Finance Transactions" methodology.

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

Barclays will hold the Issuer's transaction account from the
closing date. Based on DBRS Morningstar's ratings on Barclays,
replacement provisions, and investment criteria, DBRS Morningstar
expects the risk arising from the exposure to Barclays to be
consistent with the credit ratings assigned to the rated notes as
described in DBRS Morningstar's "Legal Criteria for European
Structured Finance Transactions" methodology.

KMC originated and services the mortgages. CSC Capital Markets UK
Limited will be the backup servicer facilitator in the
transaction.

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

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

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

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

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

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

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

DBRS Morningstar's credit rating on the rated notes addresses the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the rated notes are the related
Interest Amounts and the related Class Balances.

DBRS Morningstar's credit rating on the rated notes also addresses
the credit risk associated with the increased rate of interest
applicable to each of the rated notes if the rated notes are not
redeemed on the Optional Redemption Date (as defined in and) in
accordance with the applicable transaction documents.

DBRS Morningstar's credit rating does not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction documents that are not financial
obligations.

DBRS Morningstar's long-term credit ratings provide opinions on
risk of default. DBRS Morningstar considers risk of default to be
the risk that an issuer will fail to satisfy the financial
obligations in accordance with the terms under which a long-term
obligation has been issued.

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



NEWDAY FUNDING 2023-1: DBRS Finalizes BB Rating on Class E Notes
----------------------------------------------------------------
DBRS Ratings Limited finalized provisional credit ratings on the
notes (collectively, the Notes) issued by NewDay Funding Master
Issuer plc (the Issuer) as follows:

-- Series 2023-1, Class A1 Notes at AAA (sf)
-- Series 2023-1, Class A2 Notes at AAA (sf)
-- Series 2023-1, Class B Notes at AA (sf)
-- Series 2023-1, Class C Notes at A (sf)
-- Series 2023-1, Class D Notes at BBB (sf)
-- Series 2023-1, Class E Notes at BB (sf)
-- Series 2023-1, Class F Notes at B (high) (sf)

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

The credit ratings are based on the following analytical
considerations:

-- The transaction's structure, including the form and sufficiency
of available credit enhancement to withstand stressed cash flow
assumptions and repay the Issuer's financial obligations according
to the terms under which the Notes are issued.

-- The credit quality of NewDay Ltd.'s portfolio, the
characteristics of the collateral, its historical performance and
DBRS Morningstar's expectation of charge-offs, monthly principal
payment rate (MPPR), and yield rates under various stress
scenarios.

-- NewDay Ltd.'s capabilities with respect to origination,
underwriting, servicing, and its position in the market and
financial strength.

-- An operational risk review of NewDay Cards Ltd., which DBRS
Morningstar deems to be an acceptable servicer.

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

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

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

-- The sovereign rating on United Kingdom of Great Britain and
Northern Ireland, currently rated AA with a stable trend by DBRS
Morningstar.

TRANSACTION STRUCTURE

The Notes are backed by a portfolio of own-branded,
direct-to-consumer credit cards granted to individuals domiciled in
the UK by NewDay and are issued out of NewDay Funding Master Issuer
plc as part of the NewDay Funding-related master issuance structure
under the same requirements regarding servicing, amortization
events, priority of distributions and eligible investments.

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

The transaction also includes a series-specific liquidity reserve
funded by NewDay at closing equal to 2% of the balances of Class
A1, Class A2 (collectively Class A Notes), Class B, Class C and
Class D Notes (collectively with the Class A Notes, Senior Notes)
and will be replenished to the target amount of 3% of the Senior
Notes' balances in the transaction's interest waterfalls. The
liquidity reserve is available to cover the shortfalls in senior
expenses, senior swap payments and interest on the Senior Notes and
would amortize to the target amount, subject to a floor of GBP
250,000.

As the Class A2 Notes are denominated in U.S. dollars (USD) with a
Secured Overnight Financing Rate (SOFR) coupon rate, there is a
balance-guaranteed, cross-currency swap to hedge the currency and
interest rate mismatch between the British pound sterling (GBP)
denominated receivables and the Class A2 Notes. Other classes of
the Notes are denominated in GBP with floating-rate coupons based
on the daily compounded Sterling Overnight Index Average (Sonia)
and there is also an interest rate mismatch between the fixed-rate
collateral and the Sonia coupon rates. While the potential risk is
to a certain degree mitigated by excess spread and NewDay's ability
to increase the credit card annual percentage rates (APRs), the A
(sf) rated Class C Notes benefit from higher subordination to
compensate for higher notes margins than the other A (low) (sf)
rated notes issued separately out of the NewDay Funding-related
master issuance programme. This approach is consistent with DBRS
Morningstar's criteria in respect of the credit rating stability of
a master issuance structure.

COUNTERPARTIES

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

Banco Santander S.A. is the swap counterparty for the Class A2
Notes swap. DBRS Morningstar has a Long-Term Issuer Rating of A
(high) on Banco Santander, which meets its criteria to act in such
capacity. The swap documentation also contains downgrade provisions
consistent with DBRS Morningstar's criteria.

PORTFOLIO ASSUMPTIONS

Recent total payment rates including the interest collections
continue to be higher than historical levels. Nonetheless, it
remains to be seen if these levels remain susceptible to the
current macroeconomic environment of persistent inflationary
pressures and interest rate increases. DBRS Morningstar therefore
elected to maintain the securitized portfolio's expected MPPR at 8%
after removing the interest collections.

The portfolio yield was largely stable over the reported period
until March 2020, the initial outbreak of the COVID-19 pandemic.
The most recent performance in October 2023 showed a total yield of
32%, up from the record low of 25% in May 2020 due to the
consistent repricing of credit card rates by NewDay following the
Bank of England base rate increases since mid-2022. After
consideration of the observed increasing trend and the removal of
spend-related fees, DBRS Morningstar revised the expected yield
upward to 27.0% from 24.5%.

The reported historical annualized charge-off rates were high but
stable at around 16% until June 2020. The most recent performance
in October 2023 showed a charge-off rate of 10.0% after reaching a
record high of 17.1% in April 2020. Based on the analysis of
historical data and consideration of the current macroeconomic
environment, DBRS Morningstar continued to maintain the expected
charge-off rate at 18%.

DBRS Morningstar's credit ratings on the notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the notes are the related
Interest Payment Amounts and the Class Balances.

DBRS Morningstar's credit rating on the notes also addresses the
credit risk associated with the increased rate of interest
applicable to the notes if the notes are not redeemed on the
initial scheduled redemption date as defined in and in accordance
with the applicable transaction documents.

DBRS Morningstar's credit ratings do not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations.

DBRS Morningstar's long-term credit ratings provide opinions on
risk of default. DBRS Morningstar considers risk of default to be
the risk that an issuer will fail to satisfy the financial
obligations in accordance with the terms under which a long-term
obligation has been issued.

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


PETROFAC LTD: May Sell Assets to Raise Cash Ahead of Debt Deadline
------------------------------------------------------------------
Irene Garcia Perez at Bloomberg News reports that oil-services
provider Petrofac said it was considering a sale of assets to raise
cash ahead of bank loans coming due next year.

According to Bloomberg, the company, which has been struggling with
loss-making legacy contracts, said it is in talks with parties to
take a non-controlling stake in a portion of its business
portfolio.

Petrofac and its advisers have held talks with a US special
situations fund about a possible deal, Bloomberg relays, citing a
person familiar with the matter.

The completion of a deal might need bondholders' consent for a
waiver on certain contract clauses, Bloomberg notes.

London-based Petrofac design, build, manage and maintain
infrastructure for the energy industries.

TORO PRIVATE II: Moody's Cuts CFR to Ca & Alters Outlook to Stable
------------------------------------------------------------------
Moody's Investors Service has downgraded Toro Private Holdings II,
Limited's (Travelport) corporate family rating to Ca from Caa2 and
its probability of default rating to C-PD from Caa2-PD.
Concurrently, Moody's has downgraded Travelport Finance
(Luxembourg) S.a.r.l.'s $2,165 million junior priority first lien
senior secured term loan rating to C from Caa3 and its $2.1 billion
priority lien senior secured term loan rating to Caa1 from B3. The
rating agency has also changed the outlook on both entities to
stable from negative.

These rating actions follow the launch on December 4, 2023 of a
comprehensive debt restructuring including a significant debt
haircut, a maturity extension and new money injection.

RATINGS RATIONALE

The downgrade of Travelport's CFR to Ca from Caa2 reflects the
significant debt haircut of around half of the company's $4.3
billion outstanding financial debt, which the restructuring will
entail, representing a commensurate loss to creditors. Moody's
expects that the proposed set of transactions will constitute a
distressed exchange, which is an event of default under Moody's
definitions. As a reflection of financial strategy and risk
management, it is therefore a key governance factor. The
contemplated restructuring combines default avoidance and losses
for creditors because of (i) the large debt haircut and (ii) the
maturity extension on the senior debt and new money injection
necessary to avoid a future payment default on the capital
structure.

The downgrade of Travelport's PDR to C-PD from Caa2-PD reflects the
fact that, at launch of the restructuring, the company had already
received consent from 80% of its senior lenders and 85% of its
junior lenders. If Travelport does not receive 100% consent from
its lenders on the proposed out-of-court restructuring, it will
commence the proposed transactions through a prepackaged Chapter 11
process in the US, which also constitutes an event of default under
Moody's definitions.

The downgrade of the instrument rating on the $2,165 million junior
priority first lien senior secured term loan to C from Caa3
reflects the absence of any immediate or cash recovery on the
instrument's outstanding amount. At the same time, it is uncertain
in Moody's view whether there is value in the common equity which
junior lenders will receive in exchange for their debt holdings. In
addition, common equity will be subordinated to $570 million of
fully underwritten convertible preferred shares to be issued, of
which junior lenders will subscribe for an aggregate $270 million.

The downgrade of the instrument rating on the $2,106 million senior
priority first lien senior secured term loan to Caa1 from B3
reflects (i) the loss compared with the original promise which the
maturity extension represents and (ii) the much lower quantum of
capital other than common equity sitting below it in the structure
and absorbing any loss before it.

RATING OUTLOOK

The stable outlook primarily reflects the very low uncertainty
surrounding expected loss, including its components namely recovery
rates and probability of default.

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

Positive rating pressure would arise (1) upon completion of the
debt restructuring, in light of the improved leverage and liquidity
position in particular, (2) if booking volumes and yields led to
Travelport's revenue and EBITDA growing sustainably and (3) the
company maintains adequate liquidity.

Moody's could downgrade Travelport's ratings if actual or expected
recovery rates on the company's debt weakened further.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Services published in November 2021.

COMPANY PROFILE

Headquartered in Langley, UK, Toro Private Holdings II, Limited
(Travelport) is a leading travel commerce platform that provides
distribution, technology and other solutions for the global travel
and tourism industry including airlines and agents. In the 12
months ended September 2023, the group reported net revenue of $1.4
billion. Travelport is majority-owned by financial investors Siris
Capital and Elliott Private Equity.


                           *********


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

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

Copyright 2023.  All rights reserved.  ISSN 1529-2754.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.

Information contained herein is obtained from sources believed to
be reliable, but is not guaranteed.

The TCR Europe subscription rate is US$775 per half-year,
delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000.


                * * * End of Transmission * * *