/raid1/www/Hosts/bankrupt/TCREUR_Public/181122.mbx         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, November 22, 2018, Vol. 19, No. 232


                            Headlines


B E L G I U M

LSF9 BALTA: Moody's Lowers CFR to B2, Outlook Negative


G E R M A N Y

ASSET-BACKED EUROPEAN: Moody's Rates Class E Notes (P)Ba1 (sf)
NIDDA BONDCO: Fitch Lowers LT IDR to B, Outlook Stable


G R E E C E

GLOBAL SHIP: S&P Affirms 'B' Long-Term ICR, Outlook Stable


I R E L A N D

CARLYLE GLOBAL 2014-2: Fitch Assigns B-sf Rating to Cl. E-R Debt
DILOSK RMBS NO.2: Moody's Assigns Caa3 Rating to Class F Notes


I T A L Y

BANCA CARIGE: Fitch Affirms CCC+ LT Issuer Default Rating


N E T H E R L A N D S

EDML 2018-2: DBRS Assigns Provisional BB Rating to Class E Notes


P O R T U G A L

HEFESTO STC: DBRS Assigns Provisional CCC Rating to Class B Notes


S P A I N

ADVEO: Board Opts to Seek for Voluntary Credit Protection
AGROFRUIT EXPORT: Bankruptcy Administrator Launches Liquidation


S W E D E N

VOLVO CAR: S&P Alters Outlook to Positive & Affirms 'BB+' ICR


U K R A I N E

UKRNAFTA: Mulls Sale of Natural Gas Assets to Repay Tax Debts


U N I T E D   K I N G D O M

DRL HOLDINGS: Moody's Assigns B3 CFR, Outlook Stable
JOHNSTON PRESS: PPF Expected to Lodge GBP305MM Pensions Claim
KYEN RESOURCES UK: Enters Administration Following Financial Woes
MOORGATE FUNDING 2014-1: DBRS Confirms B Rating on Class E1 Notes
NIGHTINGALE SEC 2017-1: DBRS Confirms BB Rating on Tranche L

RESIDENTIAL MORTGAGE 31: DBRS Assigns Prov. C Rating to X1 Notes


                            *********



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B E L G I U M
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LSF9 BALTA: Moody's Lowers CFR to B2, Outlook Negative
------------------------------------------------------
Moody's Investors Service downgraded the Corporate Family Rating
of LSF9 Balta Issuer S.a r.l. to B2 from B1 and the Probability
of Default Rating to B2-PD from B1-PD. Concurrently Moody's
downgraded the senior secured rating assigned to the senior
secured notes issued by Balta to B2 from B1. The outlook on all
ratings has been changed to negative from stable.

RATINGS RATIONALE

"Today's rating action is driven by a further decline in revenue
and profitability reported by Balta for Q3. For the first nine
months of 2018 Balta reported an organic decline on its pro forma
revenue by 6.4% and in EBITDA as adjusted by Balta by 22.2%,
EBITDA margin fell to 10.8% from 13.2%. With Rugs and Residential
two out of the company's three segments, together representing
more than 60% of revenues, are affected by the decline. Only the
Commercial segment is showing growth in revenue and EBITDA,
however at slightly reduced margins," says Oliver Giani, lead
analyst for Balta. "As a result of the weak performance Moody's
adjusted leverage increased to 6.1x Debt / EBITDA as of September
which is materially above the 3.5x to 4.5x range expected by
Moody's for a B1 rating for Balta", he added.

Key drivers of the negative trend include a weak UK residential
market and raw material price increases, which Balta could not
immediately pass on to its customers. In addition, Balta reported
a 'share of wallet' loss with two US home customers, part of
which has been recovered recently. In response to the weak
results a strategic and operational review of all activities has
been initiated, an update on the outcome is expected early 2019,
which may lead to further restructuring needs. Additional
uncertainty results from the fact that the company's CEO left the
company by mutual agreement end of August, a search for a long-
term successor is currently ongoing.

Looking ahead, leverage may reduce towards 5.5x by year-end given
the base effect from a weak Q4 of 2017 with high one-time
expenses. However, in view of the ongoing weakness in the
European market and in particular in the UK, Moody's expects that
Balta may have to - at least temporarily - accept lower margins
in order to avoid market share losses so that credit metrics will
continue to be under pressure.

Balta's B2 corporate family rating (CFR) is primarily constrained
by its: (1) small scale (turnover EUR689 million in 2017 pro
forma for full-year contribution from the Bentley Mills
acquisition), and limited product and end-market diversification;
(2) exposure to the cyclical new construction and renovation
markets, with generally low revenues visibility; (3) some
geographic and customer concentration, with its top three
customers representing approximately 20% of group revenues and
(4) currently weak profitability primarily driven by raw material
price increases and adverse f/x effects.

These constraints are partially offset by Balta's (1) market
leading positions in most of its products, particularly in its
key markets in Germany, UK and France; (2) high share of
renovation and redecoration business (80% of the sales and 85% of
company's EBITDA in 2016 which tends to be less cyclical compared
to new construction; (3) long-standing relationships with its key
customers; (4) solid manufacturing and distribution footprint,
enabling customer proximity and limiting transportation costs and
(5) good track record of product innovation.

LIQUIDITY

Moody's considers Balta's liquidity profile to be adequate,
consisting of a seasonally very low cash balance of around EUR7.6
million as of end-September 2018 but supported by full
availability under its relatively sizeable revolving credit
facility (RCF) of EUR68 million. The facility, which matures in
2021, has one springing net leverage covenant which is not
tested, since the RCF is not drawn by more than 30%. In case more
than 30% of the RCF would be drawn at the end of a quarter,
leverage would need to be below 6.5x (vs. 3.9x as at September).
In addition, Bentley Mills has access to an undrawn $18 million
borrowing base facility which matures in January 2022. Moody's
believes that these sources should cover the seasonality of
working capital, with Balta typically building up working capital
in the second and third quarter of a year and releasing it
towards year-end. Sales are largely stable during the year albeit
slightly higher during the September-November period which
reflects consumers habits of undertaking indoor improvements
before the winter. Next major debt maturity is in September 2020
when the EUR35 million Senior Term Loan facility matures. The
legacy finance lease liabilities totaling some EUR13.3 million
are periodically amortized at around EUR2.2 million per year.

RATIONALE FOR OUTLOOK

The rating is currently weakly positioned. The negative outlook
reflects Moody's concerns that in view of adverse market
conditions in particular in the UK and potential further
restructuring needs Balta may be challenged to improve
profitability to a level of around 5-6% Moody's adjusted EBIT
margin and to move leverage sustainably below 5.5x debt/EBITDA
(Moody's adjusted) as expected by Moody's for a B2 rating of the
company.

WHAT COULD CHANGE THE RATING UP/DOWN

Moody's could downgrade Balta's ratings if (i) the company's
operating performance would remain under pressure as indicated by
an EBIT margin as adjusted by Moody's sustainably below 5%, (ii)
free cash flow would remain negative for a prolonged period or
(iii) its Moody's-adjusted debt/EBITDA would sustainably exceed
5.5x. Likewise, uncertainty related to Balta's ability to address
its 2020 debt maturities may lead to a negative rating action.

Albeit unlikely in the near term, the rating agency could upgrade
Balta's ratings, if the company (i) improved its operating
performance as indicated by an EBIT margin as adjusted by Moody's
sustainably above 8%, even in an adverse economic environment,
(ii) showed a track record of positive free cash flow generation
and (iii) sustainably improved Moody's-adjusted debt/EBITDA to
below 4.5x.

Headquartered in Sint-Baafs-Vijve, Belgium, LSF9 Balta Issuer S.a
r.l. (during 2017 the company changed its legal form to S.a r.l.
from S.A.) is one of the leading manufacturers of soft-flooring
products, including rugs for the consumer home furnishing market
(33% of 2017 revenues pro-forma full-year contribution from the
Bentley Mills acquisition) as well as broadloom and carpet tiles
for both residential (34%) and commercial (29%) construction
markets. In 2017 Balta generated around EUR689 million revenues
pro-forma for the Bentley Mills acquisition, employing more than
4,000 workforce.

Issuer: LSF9 Balta Issuer S.a r.l.

Downgrades:

LT Corporate Family Rating, Downgraded to B2 from B1

Probability of Default Rating, Downgraded to B2-PD from B1-PD

Senior Secured Regular Bond/Debenture, Downgraded to B2 from B1

Outlook Actions:

Outlook, Changed To Negative From Stable

The principal methodology used in these ratings was Consumer
Durables Industry published in April 2017.



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G E R M A N Y
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ASSET-BACKED EUROPEAN: Moody's Rates Class E Notes (P)Ba1 (sf)
--------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to Notes to be issued by Asset-Backed European
Securitisation Transaction Sixteen UG:

EUR 540.0M Class A Floating Rate Notes due December 2028,
Assigned (P)Aaa (sf)

EUR 18.0M Class B Floating Rate Notes due December 2028, Assigned
(P)Aa2 (sf)

EUR 20.0M Class C Floating Rate Notes due December 2028, Assigned
(P)A1 (sf)

EUR 16.0M Class D Floating Rate Notes due December 2028, Assigned
(P)Baa2 (sf)

EUR 11.0M Class E Floating Rate Notes due December 2028, Assigned
(P)Ba1 (sf)

Moody's has not assigned a rating to the EUR 26.6M Class M Fixed
Rate Notes, which will be issued at the closing of the
transaction. Only 17.5M of the Class M is backed by collateral.

RATINGS RATIONALE

Asset-Backed European Securitisation Transaction Sixteen UG
(haftungsbeschrankt) is a 12-month revolving cash securitisation
of auto loan receivables extended by FCA Bank Deutschland GmbH,
which is a 100% subsidiary of FCA Bank S.p.A. (Baa2(cr)/P-
2(cr)/Baa1 long-term deposits), to obligors located in Germany.
The portfolio consists of loans extended to private non-value
added tax and small businesses/commercial Value Added Tax (VAT)
obligors in Germany. The servicer is FCA Bank Deutschland GmbH.
This is the third public auto loan securitisation transaction in
Germany rated by Moody's originated by FCA Bank Deutschland GmbH
since 2002. The originator will also act as the servicer and swap
counterparty of the portfolio during the life of the transaction.

The securitised assets are made up of monthly paying standardised
auto loans that FCA Bank Deutschland GmbH dealerships have
granted to private and commercial individuals resident in
Germany.

As of 7th of November 2018, the portfolio balance of the final
portfolio amounts to EUR622,460,282 for a total of 45,205 loans.
The portfolio is collateralised by 65.2% new cars and 34.8% used
cars, whereby the majority of vehicles relate to the Fiat brand
53.5%. Portfolio cash flows result from 72.3% regular installment
27.7% balloon payments.

According to Moody's, the transaction benefits from credit
strengths such as a granular portfolio, a simple transaction
structure, and the positive performance of past transactions.
Furthermore, the Class A, B, C, D and E Notes benefit from an
amortising cash reserve of 1.5% of the rated Notes at closing
with a floor of EUR1 million. This reserve is fully funded at
closing and will provide liquidity during the life of the
transaction to pay senior expenses and coupons on Class A, B, C,
D and E Notes in the event of a cash flow disruption. In
addition, the contractual documents include the obligation of the
calculation agent to estimate amounts due in the event that a
servicer report is not available. This reduces the risk of any
technical non-payment of interest on the Notes.

However, Moody's Notes that the transaction features some credit
weaknesses such as (i) the 12-month revolving period which could
create volatility of pool performance and (ii) the relatively
high proportion of balloon loans. Moody's considers commingling
risk to be sufficiently mitigated mainly by the transfer of
collection in the collection account to the issuer account bank
latest 1 business day after they were received and the automatic
termination of collection authority upon servicer insolvency.
There is no set-off risk from customer deposits or employees in
the transaction. However, set-off risk from the various types of
insurance may arise.

Three broad contract types will be securitised: retail loans
(42.5%), balloon loans (45.3%) and formula loans (12.2%). Retail
loans are repaid on the basis of fixed monthly instalments of
equal amounts throughout the term of the loan. Balloon loans
having monthly instalments of equal amounts throughout the term
of the loan with a substantial portion of the outstanding
principal under the loan being repaid in a single bullet at
maturity and Formula loans which are structured as the 'Balloon
Loan'. The borrower under a formula loan enters into a repurchase
agreement with a FCA Group dealer under which the dealer agrees
to repurchase the vehicle at maturity. The dealer agrees to pay
the balloon amount to the Originator. However, the liability of
the borrower is independent of the dealer's situation.

Moody's analysis focused, among other factors, on (1) an
evaluation of the underlying portfolio of receivables; (2) the
historical performance on defaults and loss data from April 2000
to March 2018; (3) the credit enhancement provided by
subordination and cash reserve; (4) the liquidity support
available in the transaction by way of principal to pay interest,
the cash reserve and excess spread; and (5) the legal and
structural aspects of the transaction.

The automotive sector is undergoing a technology-driven
transformation which will have credit implications for auto
finance portfolios. Technological obsolescence, shifts in demand
patterns and changes in government policy will result in some
segments experiencing greater volatility in the level of
recoveries compared to that seen historically. For example Diesel
engines have declined in popularity and older engine types face
restrictions in certain metropolitan areas.

The seller has provided a detailed breakdown of the engine types
in the portfolio including the split between Euro 5 (and older)
and 6 emission standards.

MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime expected loss of 2.00%
and Aaa portfolio credit enhancement of 13.00% related to
borrower receivables. The expected loss captures its expectations
of performance considering the current economic outlook, while
the PCE captures the loss Moody's expects the portfolio to suffer
in the event of a severe recession scenario. Expected defaults
and PCE are parameters used by Moody's to calibrate its lognormal
portfolio loss distribution curve and to associate a probability
with each potential future loss scenario in the ABSROM cash flow
model to rate Auto ABS.

Portfolio expected loss of 2.00% is slightly higher than the EMEA
Auto Loan ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account (i)
historic performance of the loan book of the originator, (ii)
benchmark transactions, and (iii) other qualitative
considerations, such as the balloon loan component of the
portfolio.

PCE of 13.00% is higher than the EMEA Auto Loan ABS average and
is based on Moody's assessment of the data variability, as well
as by benchmarking this portfolio with past and similar
transactions. Factors that affect the potential variability of a
pool's credit losses are: (i) historical data variability, (ii)
quantity, quality and relevance of historical performance data,
(iii) originator quality, (iv) servicer quality, and (v) certain
pool characteristics, such as asset concentration, lumpiness of
cash flows (high balloon payments). The PCE level of 13.00%
results in an implied coefficient of variation ("CoV") of 53.27%.

METHODOLOGY

The principal methodology used in these ratings was 'Moody's
Global Approach to Rating Auto Loan- and Lease-Backed ABS'
published in October 2016.

The Credit Rating for Asset-Backed European Securitisation
Transaction Sixteen was assigned in accordance with Moody's
existing Methodology entitled "Moody's Global Approach to Rating
Auto Loan- and Lease-Backed ABS," dated October 6, 2016. Please
note that on November 14, 2018, Moody's released a Request for
Comment, in which it has requested market feedback on potential
revisions to its Methodology for Auto ABS. If the revised
Methodology is implemented as proposed, the Credit Rating on
Asset-Backed European Securitisation Transaction Sixteen are not
expected to be affected. Please refer to Moody's Request for
Comment, titled "Proposed Update to Moody's Global Approach to
Rating Auto Loan- and Lease-Backed ABS," for further details
regarding the implications of the proposed Methodology revisions
on certain Credit Ratings.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE
RATINGS:

Factors that may lead to an upgrade of the Class B, Class C,
Class D and E Notes rating include significantly better than
expected performance of the pool.

Factors that may cause a downgrade of the Class A, Class B, Class
C, Class D and Class E Notes include a decline in the overall
performance of the pool, or a significant deterioration of the
credit profile of the originator.


NIDDA BONDCO: Fitch Lowers LT IDR to B, Outlook Stable
------------------------------------------------------
Fitch Ratings has downgraded Nidda Bondco GmbH's (Nidda Bondco)
Long-Term Issuer Default Rating (IDR) to 'B' from 'B+'. The
Outlook is Stable. Concurrently, Fitch has downgraded the senior
secured debt issued by Nidda Healthcare Holding GmbH, a direct
subsidiary of Nidda BondCo GmbH, comprising term loans, senior
secured notes and revolving credit facility to 'B+'RR3/58%' (from
'BB-'/RR3/67%). Fitch has also downgraded the senior unsecured
notes issued by Nidda BondCo GmbH to 'CCC+/RR6/0% (from 'B-
'/RR6/0%). The ratings have been removed from Rating Watch
Negative (RWN), where they were placed on October 29.

The downgrade follows Nidda Bondco's debt-funded acquisition of
an additional 28% of outstanding shares in Stada Arzneimittel AG
(Stada), bringing its control to around 94% and leading to the
delisting of Stada from the German stock exchange.Nidda Bondco's
rating remains underpinned by growing, profitable, defensive, and
cash generative operations. The Stable Outlook considers a steady
deleveraging profile over the rating horizon to 2021. The 'B'
rating also offers sufficient rating headroom for the group to
implement its restructuring efforts and ambitious growth
strategy, including bolt-on acquisitions.

KEY RATING DRIVERS

Diverging Business and Financial Profiles: Nidda Bondco's 'B' IDR
balances a solid 'BB' category business risk profile with large
scale, a broad product portfolio and a pan-European footprint,
with a post-buyout weak 'B' rating category financial leverage.
The aggressive financial risk profile is the main rating
constraint. However the group's intrinsically strong earnings,
cash flows and margin should allow it to gradually de-risk its
initially aggressively leveraged balance sheet and align its
leverage profile with the 'B' rating.

Aggressive Leverage, Deleveraging Potential: High opening
financial leverage and the pace of de-leveraging remain the
critical factors for the rating. Fitch assumes funds from
operations (FFO) adjusted net leverage will peak at around 9.0x
following the acquisition of the 28% of additional minority
shares, reducing to 7.0x in its revised rating case.
Consequently, Fitch expects a strong deleveraging profile
resulting from Stada's defensive, profitable, growing, and cash
generative operation (Fitch estimates annual free cash flow (FCF)
margins between 5%-9%). However, these leverage levels are more
commensurate with a 'B' rating profile, considering the defensive
business risk profile.

Highly Cash Generative Operations: The IDR is supported by Nidda
Bondco's healthy cash generation and solid profit-to-cash
conversion. Fitch estimates average FCF margins of 7% over the
next four years, with sizeable annual FCF sustainably well in
excess of EUR100 million, which Fitch projects will be reinvested
in operations or used for de-leveraging. Since the buyout by Bain
Capital and Cinven in September 2017, the group has made good
progress in delivering the identified synergies and streamlining
operations, completing just under 50% of near-term cost synergies
as of June 2018. Fitch also notes good organic growth of around
5% in Fitch's case projections, based on a more focused product
and marketing approach.

Instrument Ratings Downgrade: Following the IDR downgrade Fitch
has also downgraded the senior secured and senior instrument
ratings by one notch to 'B+'/'RR3'/58% and 'CCC+'/'RR6'/0%,
respectively. The lower estimated recovery of the senior secured
debt from 'RR3'/67% previously reflects its expectations of
incremental senior secured debt ranking pari passu with the
existing facilities.

Positive Market Fundamentals: Fitch continues to factor into the
ratings that the positive fundamentals for the European generics
market will continue as governments and healthcare providers seek
to optimise healthcare cost structures, which are under pressure
from growing and ageing populations, increasing prevalence of
chronic diseases as well as expensive new innovative treatments
coming to market and affecting budgets. Given limited overall
generic penetration in Europe versus the US, Fitch sees continued
structural growth opportunities, also in view of the increasing
introduction of biosimilars.

European Consolidation Opportunities: Europe continues be a much
more fragmented market of generic players than the US,
characterised by a small to mid-sized sector, often with a
national focus offering further consolidation opportunities
(involving private equity investors). In this context its
forecasts for Nidda Bondco's rating reflect EUR100 million of
bolt-on acquisitions per year, mainly related to individual drugs
or intellectual property rights. Fitch would consider any larger
acquisition targets as event risk.

DERIVATION SUMMARY

Fitch rates Nidda Bondco according to its global rating navigator
framework for pharmaceutical companies. Under this framework, the
group's generic and consumer business benefits from satisfactory
diversification by product and geography, with a good exposure to
mature, developed and emerging markets. Compared with more global
players in the industry such as Teva Pharmaceutical Industries
Ltd. (BB/Negative), Mylan N. (BBB-/Stable) and diversified
players such as Novartis AG (AA/Negative) and Pfizer Inc.
(A+/Negative), Nidda Bondco's business risk profile is impacted
by the company's European focus. High financial leverage is a key
rating constraint, compared with international peers, and this is
reflected in the 'B' rating.

Compared with high-yield issuers in the sector such as Theramex
HQ UK Limited (B/Stable), Nidda Bondco benefits from a larger
scale (10x) and greater diversification by product and geography.
This gives the group a commercial risk profile of 'BB'. However,
its aggressive financial risk, with FFO adjusted net leverage
likely to remain materially above 6.0x in 2018-2019 assuming a
temporary sharp increase in leverage as a result of the take
private process, is more in line with low 'B' rated peers'. By
contrast, the much smaller Theramex is less aggressively
leveraged at 4x-5x but is exposed to higher product concentration
risks and limited scale, leading to its 'B' IDR.

KEY ASSUMPTIONS

  -- 1.5% sales growth in 2018, thereafter organic sales growth
of 4-5%;

  -- EBITDA margin improving from 18.7% in 2017 to 24.3% in 2021
supported by top line growth and sustained cost savings;

  -- capex averaging 3.5% of sales;

  -- preferred dividend of EUR3.82/share continues to be paid out
to minority shareholders remaining post delisting (approximately
6% of outstanding shares);

  -- acquisition of  minority shareholders completed at
EUR81.7/share;

  -- de-listing is funded through drawdown of remaining undrawn
portion of the acquisition debt in combination with potential for
new debt;

  -- Stada's legacy debt assumed to be rolled over at maturity at
the current cost of Nidda Bondco's senior secured acqusition
debt.

Recovery Assumptions are based on the announced transaction
outcome and are subject to change depending on the final
financing terms:

  -- Going concern approach;

  -- Distressed enterprise value-to-EBITDA multiple of 7.0x;

  -- Post-recovery EBITDA discounted 30% from Fitch estimated
2018 EBITDA of EUR535 million less cost of financial lease
service estimated at EUR2 million;

  -- Administrative cost of 10%;

  -- Senior secured debt includes fully drawn committed term loan
B of EUR641 million, term loan C of EUR1.059 million, senior
secured notes of EUR735 million, Stada's legacy debt of around
EUR546 million, incremental debt estimated at around EUR700
million, and EUR400 million revolving credit facility (RCF);

  -- Subordinated EUR340 million secured notes.

RATING SENSITIVITIES

Developments That May, Individually or Collectively, Lead to
Positive Rating Action

Positive rating action is not envisaged in the near term given
the significant financial risks post-acquisition constraining the
IDR at 'B'. Over time positive ration action could be considered
based on:

  - sustained strong profitability (EBITDA margin excess of 25%)
and FCF margin consistently above 5%;

  - reduction in FFO adjusted gross leverage to below 7.0x, or
towards 6.0x on FFO adjusted net leverage basis;

  - Maintenance of FFO fixed charge cover close to 3.0x.

Developments That May, Individually or Collectively, Lead to
Negative Rating Action

  - Inability to grow the business and realise cost savings in
line with the group's strategic initiatives, resulting in
pressure on profitability and FCF margin turning negative;

  - Failure to de-leverage to below 8.5x on FFO adjusted gross
basis, or towards 7.5x FFO adjusted net leverage;

  - FFO fixed charge cover weakening below 2.0x.

LIQUIDITY AND DEBT STRUCTURE

Comfortable Liquidity: Its liquidity assessment is not impacted
by the proposed additional debt raised to finance the additional
share purchase and delisting of the company and Fitch continues
to view the group's liquidity as comfortable.

For 2017, the reported year-end cash balance at the consolidated
level, including the restricted group, stood at EUR475 million,
from which Fitch deducts Fitch-defined restricted cash of EUR100
million required in daily operations and a further EUR2.7 million
held in China. Based on its projected strong FCF generation of
well in excess of EUR100 million, Fitch expects a steady build-up
of cash reserves in excess of EUR500 million in 2021, which could
help absorb bolt-on acquisitions of up to EUR100 million per
year. In addition, the group benefits from a currently undrawn
committed revolving credit facility of EUR400 million.

SUMMARY OF FINANCIAL STATEMENT ADJUSTMENTS

  - for 2017 Fitch has created pro-forma results using Stada's
annual audited results in combination with the stub year accounts
of Nidda German Topco GmbH, it being the entity preparing the
consolidated annual accounts under the IDR perimeter, to reflect
Stada's acquisition economics including debt and equity
contributions;

  -- operating leases are capitalised using a multiple of 8.0x;

  -- receivables factoring added back to financial debt and trade
receivables in accordance with Fitch's treatment of receivables
securitisation;

  -- EUR100 million carved out as minimum cash required for
operations in addition to EUR2.7 million held in China reported
by Stada treated as restricted cash;

  -- Shareholder loan of EUR1 billion to Nidda German Topco GmbH
treated as equity;

  -- EUR1.433 billion of acquisition debt reported by Nidda
German Topco GmbH comprising EUR345 million of TLB, EUR13 million
of RCF, EUR735 million of senior secured notes and EUR340 million
of senior unsecured notes added to Stada's corporate debt;

  -- EUR232 million of cash adjustment made to Stada's reported
cash to align it with that of Nidda German Topco GmbH.


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G R E E C E
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GLOBAL SHIP: S&P Affirms 'B' Long-Term ICR, Outlook Stable
----------------------------------------------------------
S&P Global Ratings affirmed its 'B' long-term issuer credit
rating on Marshall Islands-registered container shipping company
Global Ship Lease Inc. (GSL) and removed all of its ratings on
the company from CreditWatch, where we placed them with negative
implications on Nov. 2, 2018. The outlook is stable.

S&P said, "At the same time, we affirmed our 'B' rating on the
$360 million senior secured bonds issued by GSL. The recovery
rating is '3', indicating our expectation of meaningful (50%-70%)
recovery (rounded estimate: 55%) in the event of default.

"We also affirmed our 'BB' rating on GSL's $54.8 million senior
secured term loan facility ($44.8 million outstanding as of Sept.
30, 2018). The recovery rating is '1+', indicating our
expectation of full recovery in the event of default."

The affirmation follows GSL's completion of its stock-for-stock
merger with Poseidon Containers Holdings LLC and K&T Marine LLC
(Poseidon) and our expectation that the combined group will
achieve and maintain rating-commensurate credit measures,
including adjusted FFO to debt of around 12% (which compares with
our rating-guideline of above 6%).

S&P said, "The stable outlook reflects our view that GSL will
achieve stable operating performance and maintain our adjusted
FFO to debt around 12% over the next 12 months. We also expect
GSL to obtain improved charter rates for Poseidon vessels that
are due for re-employment in the next 12 months. This should
mitigate earnings decline on GSL vessels, which will be re-
employed at market charter rates that are lower than in their
existing contracts. Furthermore, the rating hinges on our
assumption that GSL's counterparties will fulfil their
commitments under the charter agreements, and that any additional
vessels that the company may acquire in the future will be
employed at a cash-accretive charter rate.

"We could lower the ratings if adjusted FFO to debt falls to 6%
or below. This could occur if, for example, the industry demand-
and-supply conditions deteriorated because of a slowdown in
global trade, resulting in significant drop in utilization and
charter rates for containerships.

"We could also lower the rating if CMA CGM's credit profile
appears to weaken unexpectedly, increasing the risk of delayed
payments or nonpayment under the charter agreements. Given that
the rates embedded in several agreements with CMA CGM are
markedly higher than the current and forecast market rates, GSL's
earnings and credit ratios could come under pressure if the group
were forced to re-employ its vessels at market rates.

"We consider an upgrade unlikely in the next 12 months, given
that GSL is now under private equity ownership and we have a
limited track record of Kelso's financial policy. Any ratings
upside would depend on our view of conservative financial policy
regarding leverage and shareholder returns."


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


CARLYLE GLOBAL 2014-2: Fitch Assigns B-sf Rating to Cl. E-R Debt
----------------------------------------------------------------
Fitch Ratings has assigned Carlyle Global Market Strategies Euro
CLO 2014-2 Designated Activity Company final ratings as follows:

EUR4 million Class X: 'AAAsf'; Outlook Stable

EUR239.4 million Class A-1-R: 'AAAsf'; Outlook Stable

EUR10.4 million Class A-2A-R: 'AAsf'; Outlook Stable

EUR26.4 million Class A-2B-R: 'AAsf'; Outlook Stable

EUR13.8 million Class B-1-R: 'Asf'; Outlook Stable

EUR10 million Class B-2-R: 'Asf'; Outlook Stable

EUR19.5 million Class C-R: 'BBBsf'; Outlook Stable

EUR29 million Class D-R: 'BBsf'; Outlook Stable

EUR11.7 million Class E-R: 'B-sf'; Outlook Stable

EUR39.1 million subordinated notes: not rated

The transaction is a cash flow collateralised loan obligation
(CLO) of mainly European senior secured obligations. Net proceeds
from the issuance of the notes are used to redeem existing notes,
except the subordinated notes which are not re-offered, and whose
maturity is extended to 2031, in line with refinancing notes. The
portfolio, which consists of the existing portfolio that is
further modified by sales and purchases managed by CELF Advisors
LLP, have a target par of EUR389.3 million. The CLO features a
4.5-year reinvestment period and an 8.5-year weighted average
life (WAL).

The transaction's collateral balance, including cash, currently
is above the target par. There is no effective date rating event
language in the refinancing offering circular. However, Fitch has
received a written confirmation from the asset manager that the
aggregate collateral balance including cash is at or above target
par and all portfolio profile tests, collateral quality tests and
overcollateralisation tests are satisfied on the closing date.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality

Fitch calculates the average credit quality of obligors in the
'B'/'B-' category. The weighted average rating factor (WARF) of
the current portfolio is 33.4.

High Recovery Expectations

At least 96% of the portfolio comprises senior secured
obligations. Recovery prospects for these assets are typically
more favourable than for second-lien, unsecured and mezzanine
assets. The weighted average recovery rating (WARR) of the
identified portfolio is 67.2%.

Diversified Asset Portfolio

The transaction has two Fitch test matrices corresponding to the
top 10 obligors limit at 18% and 20%. The transaction also
includes various concentration limits, including the maximum
exposure to the three largest Fitch-defined industries in the
portfolio at 40%. These covenants ensure that the asset portfolio
will not be exposed to excessive concentration.

Portfolio Management

The transaction features a 4.5-year reinvestment period and
includes reinvestment criteria similar to other European
transactions. Fitch's analysis is based on a stressed-case
portfolio with the aim of testing the robustness of the
transaction structure against its covenants and portfolio
guidelines.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls, and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest
coverage tests.

Different Waterfall Structure

The transaction has a slightly different waterfall structure than
the market standard waterfall. In the interest waterfall, the
deferred interest is being paid after the coverage tests. Fitch
has tested the impact of this feature and found the impact on the
notes to be negligible.

RATING SENSITIVITIES

A 25% default multiplier applied to the portfolio's mean default
rate, and with this increase added to all rating default levels,
would lead to a downgrade of up to two notches for the rated
notes. A 25% reduction in recovery rates would lead to a
downgrade of up to five notches for the rated notes.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

The majority of the underlying assets have ratings or credit
opinions from Fitch and/or other Nationally Recognised
Statistical Rating Organisations and/or European Securities and
Markets Authority-registered rating agencies. Fitch has relied on
the practices of the relevant groups within Fitch and/or other
rating agencies to assess the asset portfolio information.

Overall, Fitch's assessment of the asset pool information relied
upon for the agency's rating analysis according to its applicable
rating methodologies indicates that it is adequately reliable.


DILOSK RMBS NO.2: Moody's Assigns Caa3 Rating to Class F Notes
--------------------------------------------------------------
Moody's Investors Service has assigned definitive long-term
credit ratings to the following Notes issued by Dilosk RMBS No.2
Designated Activity Company:

EUR 180,457,000 Class A Residential Mortgage Backed Floating Rate
Notes due December 2057, Definitive Rating Assigned Aaa (sf)

EUR 18,618,000 Class B Residential Mortgage Backed Floating Rate
Notes due December 2057, Definitive Rating Assigned Aa1 (sf)

EUR 14,322,000 Class C Residential Mortgage Backed Floating Rate
Notes due December 2057, Definitive Rating Assigned A1 (sf)

EUR 17,186,000 Class D Residential Mortgage Backed Floating Rate
Notes due December 2057, Definitive Rating Assigned Baa3 (sf)

EUR 25,779,000 Class E Residential Mortgage Backed Floating Rate
Notes due December 2057, Definitive Rating Assigned B3 (sf)

EUR 8,593,000 Class F Residential Mortgage Backed Floating Rate
Notes due December 2057, Definitive Rating Assigned Caa3 (sf)

Moody's has not rated EUR 21,486,000 Class Z1 Residential
Mortgage Backed Fixed Rate Notes due December 2057,
EUR 12,890,000 Class Z2 Fixed Rate Notes due December 2057,
EUR 2,000,000 Class R Notes due December 2057 and EUR 100,000
Class X Notes due December 2057.

The subject transaction is a static cash securitisation of
residential mortgage loans, extended to obligors located in
Ireland, originated by Leeds Building Society (A3/P-2 and
A1(cr)/P-1(cr)) and Pepper Finance Corporation (Ireland) DAC
(formerly GE Capital Woodchester Home Loans Limited) (NR).
Between April 2017 and June 2017, the sellers Dilosk Funding No.
4 DAC and Dilosk Funding No. 5 DAC respectively, (both set up as
a Special Purpose Vehicle and wholly owned subsidiaries of Dilosk
DAC) purchased the loans originated by GE Capital Woodchester
Home Loans Limited (approx. EUR 130M within the pool) from
Windmill Funding DAC and Pepper Finance Corporation (Ireland)
DAC. In November 2018, Dilosk Funding No. 5 DAC is purchasing the
loans originated by Leeds Building Society (approx. EUR 155M
within the pool), from Leeds Building Society. The portfolio sold
to the issuer consists of 1,791 mortgage accounts extended to
1,727 primary borrowers, with the total pool balance of around
EUR 286 million as of the cut-off date (September 30, 2018).

RATINGS RATIONALE

The ratings take into account the credit quality of the
underlying mortgage loan pool, from which Moody's determined the
MILAN Credit Enhancement and the portfolio expected loss, as well
as the transaction structure and legal considerations. The
expected portfolio loss of 12.0% and the MILAN CE of 30.0%, serve
as input parameters for Moody's cash flow model and tranching
model, which is based on a probabilistic lognormal distribution.

The key drivers for the portfolio's expected loss of 12.0%, which
is higher than the Irish residential mortgage-backed securities
sector average, are as follows: (i) the collateral performance of
the loans to date, as provided by the sponsor; (ii) restructured
loans accounting for 42.4% of the portfolio; (iii) seasoning of
the pool with a WA seasoning of 11 years; (iv) the current
macroeconomic environment in Ireland; (v) the stable outlook that
Moody's has on Irish RMBS; and (vi) benchmarking with other
comparable Irish RMBS transactions.

The key drivers for the MILAN CE number of 30.0%, which is higher
than the Irish RMBS sector, are as follows: (i) the WA Current
LTV at around 55.7%; (ii) the restructured loans accounting for
42.4% of the portfolio; (iii) the well-seasoned portfolio of
around 11 years; and (iv) benchmarking with other Irish RMBS
transactions.

Transaction structure: The transaction benefits from an
amortising Liquidity Reserve Fund and a General Reserve Fund,
both funded at closing via a subordinated Note. The Liquidity
Reserve Fund required amount is equal to 1.5% of the outstanding
balance of Class A and will be available to cover senior expenses
and interest on Class A Notes and Class X Notes. The General
Reserve Fund is equal to 3% of the Class A, B, C, D, E and Z1
Notes at closing, minus the Liquidity Reserve Fund Required
Amount, and will be used to cover interest shortfalls and to cure
PDLs on the rated Notes and the interest on Class X Notes. The
transaction benefits from the equivalent of approx. 12 months of
liquidity coverage provided by the Liquidity Reserve Fund and the
General Reserve Fund. Principal is also available to provide
liquidity support to the Notes, subject to PDL condition.

Operational risk analysis: Pepper Finance Corporation (Ireland)
DAC acts as the servicer of the portfolio during the life of the
transaction. Dilosk DAC acts as master servicer, performing an
oversight function and is involved in the decision process
relating to actions to deal with individual arrears cases. In
addition, CSC Capital Markets (Ireland) Limited (unrated) acts as
back-up servicer facilitator. Citibank, N.A., London Branch
(A1(cr)/P-1(cr)) was appointed as independent cash manager at
closing. To ensure payment continuity over the transaction's
lifetime, the transaction documents incorporate estimation
language according to which the cash manager, will prepare the
payment report based on estimates if the servicer report is not
available.

Interest Rate Risk Analysis: The portfolio comprises 46.5%
floating rate loans linked to standard variable rate, and 53.5%
loans linked to ECB Base Rate, whereas, the rated Notes pay 3-
month Euribor plus a spread. There is no swap in the transaction
to hedge the fixed-floating rate risk and the basis risk. Moody's
has taken those risks into consideration in deriving the
portfolio yield.

In Moody's opinion, the structure allows for timely payment of
interest and ultimate payment of principal by the legal final
maturity with respect to the Class A to E Notes. Other non-credit
risks have not been addressed, but may have significant effect on
yield to investors.

Principal methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
September 2017.

The Credit Rating for Dilosk RMBS No.2 Designated Activity
Company was assigned in accordance with Moody's existing
methodology entitled "Moody's Approach to Rating RMBS Using the
MILAN Framework" dated September 11, 2017. Please note that on
November 14, 2018, Moody's released a Request for Comment, in
which it has requested market feedback on potential revisions to
its methodology for RMBS. If the revised methodology is
implemented as proposed, the Credit Ratings on Dilosk RMBS No.2
Designated Activity Company are not expected to be affected.
Please refer to Moody's Request for Comment, titled " Proposed
Update to Moody's Approach to Rating RMBS Using the MILAN
Framework" for further details regarding the implications of the
proposed methodology revisions on certain Credit Ratings.

The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less
relevant or typically remain unchanged during the surveillance
stage. Please see "Moody's Approach to Rating RMBS Using the
MILAN Framework" for further information on Moody's analysis at
the initial rating assignment and the on-going surveillance in
RMBS.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE
RATINGS:

Factors that may lead to an upgrade of the ratings include,
significantly better than expected performance of the pool and
increase in the credit enhancement of the Notes.

Factors that may cause a downgrade of the ratings include,
significantly different realized losses compared with its
expectations at close, due to either a change in economic
conditions from its central scenario forecast or idiosyncratic
performance. For instance, should economic conditions be worse
than forecast, the higher defaults and loss severities resulting
from a greater unemployment, worsening household affordability
and a weaker housing market could result in downgrade of the
ratings. A deterioration in the Notes available credit
enhancement could result in a downgrade of the ratings.
Additionally, counterparty risk could cause a downgrade of the
ratings due to a weakening of the credit profile of transaction
counterparties. Finally, unforeseen regulatory changes or
significant changes in the legal environment may also result in
changes of the ratings.


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


BANCA CARIGE: Fitch Affirms CCC+ LT Issuer Default Rating
---------------------------------------------------------
Fitch Ratings has affirmed Banca Carige S.p.A. - Cassa di
Risparmio di Genova e Imperia's 'CCC+' Long-Term Issuer Default
Rating and removed it from Rating Watch Negative. Carige's
Viability Rating was downgraded, in line with Fitch's criteria,
to 'c' from 'ccc+'. The rating action follows the announcement of
a planned recapitalisation of Carige by the voluntary arm of the
Deposit Guarantee Scheme (DGS), which, in Fitch's view, reduces
the downside risk for the bank's senior creditors, which had
driven the RWN.

KEY RATING DRIVERS

IDRS, VR AND SENIOR DEBT

The affirmation of the Long-Term IDR above the VR and removal of
the RWN means that risks for senior creditors have somewhat
diminished, despite Carige's credit profile remaining highly
vulnerable, as the planned underwriting by DGS of up to EUR320
million newly issued subordinated debt will allow the bank to
restore compliance with prudential capital requirements, reducing
the risk of regulatory intervention.

DGS' management board has agreed on the transaction, but it still
needs to be approved by the assembly consisting of major
participating banks, and its base case expectation is that it
will be granted. As a part of this transaction, at least EUR80
million Tier 2 debt will be offered to non-retail shareholders
and other institutional investors.

The transaction serves as a bridge to a subsequent EUR400 million
rights issue planned for end-1Q19/early 2Q19. However, if Carige
is not able to raise new equity by that time, Tier 2 debt raised
from DGS and private shareholders will be converted into equity.
DGS will, therefore, become a shareholder in Carige. In such a
scenario, DGS, in accordance to its by-laws, will be restricted
from exercising controlling rights on Carige.

The downgrade of the VR to 'c' means that, under Fitch's
criteria, the upcoming transaction is viewed as an extraordinary
provision of support that is necessary to restore the bank's
viability since it is in breach of its total capital requirement
(Pillar 1 + Pillar 2R) and need to ensure compliance by end-2018,
as requested by the ECB. The reported total capital ratio of
10.9% at end-9M18 was 35bp below its 11.25% total capital
requirement. The Tier 2 issuance will enable Carige to meet its
total capital requirement and its overall capital requirement,
which additionally includes the capital conservation buffer,
although with still relatively thin buffers over the latter.
Assuming that Carige raises EUR400 million of new equity either
as a conversion of Tier 2 debt attracted from DGS and private
investors or a new rights issue, the bank estimates its common
equity Tier 1 to be 13.5% and total capital ratio to be 13.6% .

Carige's VR continues to reflect its weak asset quality, with
reported gross impaired loans representing a high 27.5% of gross
loans at end-9M18 (26.0% on a pro-forma basis when including the
EUR366 million unlikely-to-pay loans sold on November 9, 2018).
At end-3Q18, reported non-performing loans (NPLs) coverage
increased to 53.7% from 47.7% at end-2017. However, unreserved
NPLs still amounted to over 150% of Fitch Core Capital. The VR
also reflects the bank's loss-making performance on both pre-
impairment and net basis (EUR189 million net loss for 9M18), and
funding and liquidity that could be unstable absent the DGS'
extraordinary support mechanism.

Carige's senior unsecured debt is affirmed at 'CCC+'/'RR4',
reflecting its assessment that average recoveries are a plausible
outcome for senior bondholders in the event of a default, albeit
this is sensitive to small changes in assumptions. There could
also be a scenario when senior creditors avoid loss in case of a
regulatory intervention, for example because assets and
liabilities are transferred to another bank.

SUPPORT RATING AND SUPPORT RATING FLOOR

The Support Rating and Support Rating Floor reflect Fitch's view
that although external support is possible it cannot be relied
upon. Senior creditors can no longer expect to receive full
extraordinary support from the sovereign in the event that the
bank becomes non-viable. The EU's Bank Recovery and Resolution
Directive and the Single Resolution Mechanism for eurozone banks
provide a framework for the resolution of banks that requires
senior creditors to participate in losses, if necessary, instead
of, or ahead of, a bank receiving sovereign support.

SUBORDINATED DEBT

Fitch is withdrawing the 'CCC-(EXP)' expected long-term rating on
the subordinated Tier 2 issuance because the bank is no longer
proceeding with that issuance.

RATING SENSITIVITIES

IDRS, VR AND SENIOR DEBT

Fitch's base case is that the envisaged transactions with the DGS
will go ahead. In early-December 2018, after the Tier 2 capital
has been raised, Fitch expects to re-rate Carige's VR to the same
level as its Long-Term IDR, subsequent to its downgrade to 'f'.
At that point, the ratings will likely reflect the bank's still
thin buffers in relation to its regulatory capital requirements,
weak asset quality, its unprofitable business model and
franchise, which could result in further losses and capital
erosion and vulnerable funding and liquidity.

In the longer term, Fitch expects the ratings to be sensitive to
the bank's ability to return to profitable performance and
completion of its asset-quality clean-up. The ratings would be
downgraded if the bank continues to generate losses eroding its
capital or if its funding and liquidity become unstable.

Carige's senior unsecured debt ratings are sensitive to its view
of recovery prospects, which could depend on the proportion of
preferred creditors, asset values and potential resolution
scenarios.

SUPPORT RATING AND SUPPORT RATING FLOOR

An upgrade of the Support Rating and any upward revision of the
Support Rating Floor would be contingent on a positive change in
the sovereign's propensity to support Carige. While not
impossible, this is highly unlikely, in Fitch's view.

SUBORDINATED DEBT

Not applicable.

The rating actions are as follows:

Long-Term IDR: affirmed at 'CCC+', off RWN

Short-Term IDR: affirmed at 'C'

Viability Rating: downgraded to 'c', off RWN

Support Rating: affirmed at '5'

Support Rating Floor: affirmed at 'No Floor'

Senior unsecured notes (including EMTN): long-term rating
affirmed at 'CCC+'/'RR4', Off RWN, short-term rating affirmed at
'C'

Subordinated debt: 'CCC- (EXP)' Tier 2 long-term rating withdrawn



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


EDML 2018-2: DBRS Assigns Provisional BB Rating to Class E Notes
----------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to the notes to
be issued by EDML 2018-2 B.V (the Issuer) as follows:

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

The Class F notes are not rated.

The Issuer is a bankruptcy-remote special-purpose vehicle (SPV)
incorporated in the Netherlands. The notes proceeds will be used
to fund the purchase of Dutch residential mortgage loans
originated by Elan Woninghypotheken B.V. (Elan) and secured over
residential properties located in the Netherlands. Elan started
originating Dutch residential mortgage loans in June 2015 under
the umbrella license of Quion. The portfolio consists of Dutch
residential mortgage loans without National Hypotheek Garantie
(NHG), originated under the Hypotrust mortgage label through a
mortgage product designed with unique underwriting criteria (Elan
mortgage). Quion will be the Servicer in the transaction and has
conducted the mortgage underwriting to the product underwriting
standards. Goldman Sachs provided the warehouse financing as the
Elan lender.

As of 31 August 2018, the provisional funded mortgage portfolio
consisted of 1,848 loan parts (equivalent to 893 loans) with an
aggregated current balance of EUR 252.1 million. Approximately
90.5% of the provisional funded portfolio was originated in 2018,
and hence the weighted-average seasoning of the portfolio is
short at 0.4 years. DBRS was also provided with a separate
unfunded mortgage portfolio that consists of additional loans for
which prospective borrowers have received a binding offer from
the seller but have not yet accepted it. The aggregated current
balance of the unfunded portfolio is equal to EUR 99.9 million
and consists of 651 loan parts (equivalent to 283 loans). The
Issuer will use part of the proceeds from the notes to purchase
new mortgage loans (from the unfunded portfolio) before the first
interest payment date of the notes. The total amount of unfunded
loans that can be purchased is EUR 84,914,891 (which is the
balance of the pre-funded account). At closing, the Issuer will
deposit these proceeds from the issuance of the notes in the pre-
funded account. DBRS received detailed information on each of the
loans that will form part of the unfunded portfolio.

Credit enhancement for the Class A notes is calculated at 9.1%
and is provided by the subordination of the Class B notes to the
Class F notes and the reserve fund. Credit enhancement for the
Class B notes is calculated at 6.85% and is provided by the
subordination of the Class C notes to the Class F notes and the
reserve fund. Credit enhancement for the Class C notes is
calculated at 4.85% and is provided by the subordination of the
Class D notes to the Class F notes and the reserve fund. Credit
enhancement for the Class D notes is calculated at 3.35% and is
provided by the subordination of the Class E notes to the Class F
notes and the reserve fund. Credit enhancement for the Class E
notes is calculated at 2.35% and is provided by the subordination
of the Class F notes only and the reserve fund.

The transaction benefits from a reserve fund that is available to
support the Class A to Class E notes. The reserve fund will be
fully funded at closing at 0.35% of the initial balance of the
Class A to F notes. The reserve fund can be used to pay senior
costs and interest on the rated notes and will not amortize.
Liquidity for the Class A and the Class B notes will be further
supported by the drawings under the cash advance facility
agreement. Once the Class A and the Class B are redeemed in full,
the cash advance facility will no longer be available.

99.8% of the funded portfolio is fixed rate mortgage loans with
different reset intervals, ranging from 12 months to 30 years.
Most of the loans reset after 10, 15, 20 or 30 years. On the
contrary, the notes pay a floating rate interest rate indexed to
3m Euribor plus a margin. To mitigate the interest rate risk that
arises due to this mismatch, the Issuer will enter into a senior
swap agreement with ING Bank N.V. (the swap counterparty). The
Issuer will pay the swap counterparty an amount equal to the swap
notional amount multiplied by the swap rate which will be 1.182%
at closing plus the prepayment penalties received by the Issuer.
The swap counterparty will pay the Issuer the swap notional
amount multiplied by the greater of (i) 3m Euribor and (ii) the
swap floor.
Once the loan reaches the reset period, the borrowers will be
offered a mortgage rate that takes into account the seller
interest rate policy. The interest rate policy considers the
Issuer's weighted average cost of capital, operating costs and
reasonable estimate of its cost of credit. According to the
transaction documents, the interest rate offered to the borrower
at the time of reset will be equal to the Mortgage Receivable
Swap Rate (MRSR) for the fixed rate mortgage loan at the time of
reset plus 0.9% per annum subject to the compliance of the terms
and conditions of the mortgage loans, the applicable laws and
regulations and the Dutch Code of Conduct. Goldman Sachs
International will submit the MRSR to the seller. DBRS has taken
this assumption in its cash flow analysis.

The structure includes a PDL comprising six sub-ledgers (Class A
PDL to Class F PDL) that provisions for realized losses as well
as the use of any principal receipts applied to meet any
shortfall in payment of senior fees and interest on the most
senior class of notes outstanding. The losses will be allocated
starting from Class F PDL and then to sub-ledgers of each class
of notes in reverse sequential order.

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

The provisional rating assigned to the Class A notes addresses
the timely payment of interest and ultimate payment of principal
on or before the final maturity date. The provisional ratings
assigned to the Class B to Class E notes address the ultimate
payment of interest and principal while junior but timely payment
of interest when it is the senior-most tranche. DBRS based its
ratings primarily on the following:

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

   -- The credit quality of the mortgage loan portfolio and the
ability of the servicer to perform collection activities. DBRS
calculated the probability of default (PD), loss given default
(LGD) and expected loss (EL) for the mortgage loan portfolio.

   -- The ability of the transaction to withstand stressed cash
flow assumptions and repays the rated notes according to the
terms of the transaction documents. The transaction cash flows
were analyzed using PD and LGD outputs determined according to
DBRS's "European RMBS Insight Methodology and Dutch Addendum".
Transaction cash flows were analyzed using INTEX DealMaker.

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

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

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

Notes: All figures are in euros unless otherwise noted.



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


HEFESTO STC: DBRS Assigns Provisional CCC Rating to Class B Notes
-----------------------------------------------------------------
DBRS Ratings Limited assigned the following provisional ratings
to the notes issued by Hefesto STC, S.A. (Guincho) (the Issuer):

-- EUR 84,000,000 Class A notes at BBB (low) (sf)
-- EUR 14,000,000 Class B notes at CCC (sf)

The ratings can be finalized upon the receipt of an execution
version of the governing transaction documents. To the extent
that the final documents differ from the documents that were
provided at the time of this rating, DBRS may assign different
final ratings to the notes.

The notes are backed by a EUR 481 million portfolio by gross book
value (GBV) consisting of unsecured and secured non-performing
loans originated by Banco Santander Totta, S.A. (the Originator).
Most loans in the portfolio defaulted between 2014 and 2017 and
are in various stages of resolution. The secured loans disbursed
to individuals are serviced by Whitestar Asset Solutions S.A.,
the secured loans disbursed to corporates are serviced by HG PT,
Unipessoal, Lda and the unsecured loans are serviced by Proteus
Asset Management, Unipessoal, Lda (together, the Special
Servicers).

Approximately 51.4% of the pool by GBV is secured. 73.2% (by GBV)
of the pool benefits from a first-ranking lien. The secured loans
included in the portfolio are backed by properties distributed
across Portugal, with concentrations in the judicial districts of
Lisbon, Porto and Setubal.

Interest on the Class B notes, which represent mezzanine debt,
may be repaid prior to the principal of the Class A notes unless
certain performance-related triggers are breached.

The ratings are based on DBRS's analysis of the projected
recoveries of the underlying collateral, the historical
performance and expertise of the Special Servicers, the
availability of liquidity to fund interest shortfalls and
special-purpose vehicle expenses, the cap agreement and the
transaction's legal and structural features. DBRS's BBB (low)
(sf) and CCC (sf) rating stresses assume a haircut of
approximately 30.0% and 2.8%, respectively, to the Special
Servicers' business plan for the portfolio.

Notes: All figures are in euros unless otherwise noted.


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


ADVEO: Board Opts to Seek for Voluntary Credit Protection
---------------------------------------------------------
Macarena Munoz at Bloomberg News reports that Adveo's board has
asked for voluntary credit protection, the company said in a
regulatory filing on Nov. 13.

The office supplies company has been in talks with investors to
find alternatives to the refinancing, Bloomberg relates.

Creditors have informed the company of early maturity of
outstanding amounts, leading to liquidation, Bloomberg discloses.

According to Bloomberg, seeking creditor protection will help the
company protect the rights and interests of its workers,
creditors and shareholders and enable management of Adveo to
continue.

Madrid-based Adveo has a market capitalization of EUR10.4
million, Bloomberg states.


AGROFRUIT EXPORT: Bankruptcy Administrator Launches Liquidation
---------------------------------------------------------------
EFE reports that Agrofruit Export SA, of Tortosa, which had
managed to become the largest exporter of citrus fruits in
Catalonia, has gone into liquidation, as ruled by the commercial
court number 1 of Tarragona.

According to EFE, the new bankruptcy administrator has launched
the liquidation phase, and an Employment Regulation File (ERE)
has also come into force on Nov. 12 for the fifty discontinuous
permanent workers who were waiting to start the campaign.  This
follows the company's inability to face the last bankruptcy,
activated by the Commercial Court on Oct. 1, EFE notes.

In 2015, the company announced the end of the first bankruptcy,
filed in 2013, when the firm accumulated more than EUR50 million
in debt and a negative net worth of some EUR30 million more, EFE
relates.

It announced an agreement with the creditors, who after two years
have not received the expected payments, which should have been
made effective as of last March, EFE discloses.



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


VOLVO CAR: S&P Alters Outlook to Positive & Affirms 'BB+' ICR
-------------------------------------------------------------
S&P Global Ratings revised its outlook on Sweden-based automotive
manufacturer Volvo Car AB to positive from stable. At the same
time, S&P affirmed its 'BB+' long-term issuer credit ratings on
the company.

S&P said, "The outlook revision reflects our view that Volvo is
in a good position to improve its credit metrics over 2019-2021,
including meaningful improvement in free operating cash flow to
debt. This is mainly the result of declining investments from
2018, to about Swedish krona (SEK)12 billion-SEK14 billion
adjusted, from SEK18.4 billion in 2017, in combination with
successful product launches over the past two years, which should
support revenue and EBITDA in coming years. This stands against
our assumption of a general weakening of industrial conditions
compared with the relatively favorable period 2016-2018, and more
stringent emission rules that could lead to price pressure on
electrified cars beyond 2019. All in all, we believe this will
lead to a lower EBITDA margin in 2019 and 2020 of around 8.5%-
9.5%.

"We expect adjusted capital expenditure (capex) to also decline,
since Volvo completed its manufacturing plant in the U.S. during
2018. We believe strong profitability, coupled with lower
investments, could lead to more healthy free operating cash flow
(FOCF) of around SEK3 billion-SEK4 billion in 2019, or around 40%
or more of adjusted debt going forward. Adjusted debt is low: We
forecast around SEK5 billion-SEK6 billion at year-end 2018 or, on
a reported basis, positive net cash. This implies that the
adjusted debt-to-EBITDA ratio will remain well below 1x over our
2019-2020 rating horizon. We therefore believe that Volvo's
credit metrics offer comfortable headroom at the current rating
level. As a car manufacturer, however, Volvo is likely to
continue to spend high amounts on research and development and
capex over the cycle to remain competitive.

"Volvo has made good progress strengthening its competitive
position, and business profile, through successful model launches
and has, in our view, positioned itself as a premium car
manufacturer. We believe Volvo is therefore less exposed to the
execution risk that we previously built into the rating. We base
this on Volvo's successful product launches of the XC60, XC40,
and S60/V60 over 2017-2018, which have all been well perceived by
customers, as judged from the strong volume growth (in total
14.3% in the first nine months of 2018, to 472,553 cars). We
expect total unit sales of around 600,000-650,000 in 2018, up
from 571,577 in 2017, and growing market shares. In its
portfolio, Volvo holds and produces cars across SUV/crossover
(XC), estate/hatchback (V), and sedan (S) body types, and Volvo
has a more diversified product portfolio than in the past, which
also should support the stability of its cash flow generation.
Its product portfolio is smaller than many peers', however.
Following the critical product launches over the past two years,
Volvo is in our view less exposed to risks related to investments
in new models and expansion of production, and operational delays
or challenges. Our forecasts and leverage metrics are therefore
now less vulnerable to execution risks than in the past. In
addition, Volvo has opened a manufacturing plant in the U.S. in
September 2018, removing the related setup execution risks, and
importantly diversifying the geographic manufacturing footprint.

"We expect softer industry conditions ahead, notably in Volvo's
most important market, China (about 20% of volume sold in 2018).
Furthermore, the full impact of the trade tariffs between China
and the U.S., and the more stringent environmental legislation
that will come into play in the EU from 2020 risk dragging down
profitability for car producers. We believe that Volvo will be
able to weather these risks relatively well, but we have somewhat
reduced our EBITDA margin expectations for 2019-2020 to about
8.5%-9.5% (from about 9.5% previously). We assume global auto
sales growth by about 1%-2% in 2019 and 2020. Permanently weak
retail sales in China is a key risk, but is not our base-case
assumption at this stage, and will also depend on reduced tax
incentives from the government, which is difficult to predict.

"We expect Volvo will withstand these potential pressures better
than mass car producers. However, given our lower growth
assumptions, in our base case we assume Volvo will not reach its
target of 800,000 cars during the next few years, and for 2019 we
assume for our base case volumes around 650,000-700,00 cars. We
understand that Volvo intends to meet more stringent emission
standards with increased sales of electrified cars. It plans to
increase significantly the sales of electrified cars by 2021
(i.e. we expect a large increase from the 4% in 2017). In our
opinion this could lead to a softening of profitability ratios
should consumers need to be incentivized to switch to electrified
vehicles. To date, we have not observed such trends, however.
Like all car manufacturers, Volvo needs to comply with the 2020
CO2 target, which management is confident to meet. The industry
target includes 95g/km. Volvo's two platforms, SPA and CMA, are
prepared for and can be used for electrified alternatives, for
all the key models and according to management they can meet the
target. We therefore consider Volvo to be well placed to comply
with the more stringent emission rules, which is an advantage
compared with some peers that have been hit harder by the decline
of diesel in European markets.

"The positive outlook reflects our expectation that Volvo is
likely to materially improve its cash flow after investment in
2019. It also reflects our expectations of continued gradual
volume growth given its positioning as a premium manufacturer and
supported by recent model introductions, increasing sales of
electrified vehicles, and an EBITDA margin maintained around
8.5%-9.5%.

"We could raise the rating if Volvo improves its adjusted FOCF to
around SEK3 billion-SEK4 billion in 2019 and reaches adjusted
FOCF to debt sustainably well above 25%. This assumes that Volvo
continues to deliver volume growth at least in line with the
general market, and is reducing emissions to comply with upcoming
emission rules. Rating upside also depends on our GCP on Geely
Holdings remaining at 'bbb-' or higher.

"We could revise the outlook to stable if we revised down our GCP
on Geely. Key triggers for Geely include a lower market share and
cost competitiveness and eroding profitability, with an EBITDA
margin below 6%. A ratio of debt to EBITDA consistently above
1.5x would also be a negative factor. For Volvo, downside factors
include lower profitability due to a material impact from
potentially prolonged weaknesses in the industry, or other
operational setbacks, implying an EBITDA margin consistently
below 8%. Other downside factors would be negative FOCF, and
leverage metrics weaker than FFO-to-adjusted debt of 60%, or
adjusted debt to EBITDA of 1.5x, on a sustained basis."


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


UKRNAFTA: Mulls Sale of Natural Gas Assets to Repay Tax Debts
-------------------------------------------------------------
According to Concorde Capital, the nv.ua new site reported on
Nov. 19, citing Ukrnafta's CEO Mark Rollins, that Ukraine's
leading crude oil producer is discussing with the government a
possibility to sell some of its natural gas producing assets to
accumulate funds needed to repay its huge tax obligations.

"Potentially, the deal could look like this: we will sell some of
our gas-producing assets to Naftogaz, and the raised money will
go for repayment of tax debt," Concorde Capital quotes Mr.
Rollins as saying.  He also said that an option to agree on long-
term debt restructuring, initiated by Ukrnafta in 2016, also
could be considered, Concorde Capital notes.  Mr. Rollins said
Ukrnafta's total debt to tax authorities is less than UAH11
billion at the moment, Concorde Capital relates.

The company's UAH11 billion debt to tax authorities emerged
mostly in 2015, putting the company on the verge of bankruptcy,
Concorde Capital states.



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


DRL HOLDINGS: Moody's Assigns B3 CFR, Outlook Stable
----------------------------------------------------
Moody's Investors Service has assigned a first-time B3 corporate
family rating and a Probability of Default Rating of B3-PD to DRL
Holdings PLC. Dreams is controlled by funds managed and advised
by Sun Capital Partners LLC and was formed in connection with the
proposed EUR169 million special dividend to its shareholders.
Concurrently, Moody's has assigned a B3 instrument rating to the
senior secured term note of EUR175 million being raised by DRL.
The outlook on all ratings is stable.

"The B3 CFR reflects the Group's small scale and geographical
concentration in the UK, together with the discretionary nature
of its products offering, partially mitigated by the strong
market position in its product categories " says Ernesto Bisagno,
a Moody's Vice President -- Senior Credit Officer and lead
analyst for Dreams. "The rating also factors in the aggressive
financial policy, following the shareholders decision to lever up
the balance sheet, in spite of the weakened trading environment",
adds Mr. Bisagno.

RATINGS RATIONALE

The Group is adequately positioned in the B3 rating category
reflecting (1) highly leveraged capital structure with Moody's
expected adjusted gross debt to EBITDA of 4.5x post closing of
the transaction; (2) small scale and modest geographical
diversity with reliance on the UK; (3) exposure to economic
volatility and untested resilience in an economic downturn; (4)
exposure to foreign currency fluctuations; (5) aggressive
financial policy.

The rating also factors in the Group's (1) strong market position
in the UK bed and mattress market and well recognized brand; (2);
good management execution with positive earnings growth over
2014-17 (3) positive free cash flow generation under Moody's base
case; (4) amortized structure supporting deleveraging.

Moody's expects revenues to grow in the low-single-digit range
over the next 12-18 months, driven by a combination of new store
openings, marginally positive organic sales, and increased
contribution from online operations. The rating agency
anticipates relatively stable margins although factors in some
modest pressure due to a weaker product mix.

Moody's assumes favourable working capital dynamics to continue
as well as moderate capex. Based on that, the rating agency
forecasts positive free cash flow of GBP 10 million -- 20 million
each year which is lower than historical due to higher interest
expenses related to the bond issuance. Moody's adjusted gross
debt to EBITDA is expected to remain between 4.5x-5.0x over the
next 12-18 months.

However, there is downside risk and actual sales could be lower
than expected. This is because the trading environment weakened
and consumer confidence continued to drop in 2018 due to the
Brexit uncertainty. Whilst Moody's base case remains that the UK
and EU will eventually reach an agreement to preserve many -- but
not all -- of their current trading arrangements, the prospect of
the UK leaving the EU without any agreement -- a no-deal
scenario -- has risen in recent months.

Because of the group's small size and the high operating
leverage, even a modest decline in sales could have a material
impact on profits and in turn on leverage.

LIQUIDITY

Liquidity is sufficient and is underpinned by (1) expected modest
positive free cash flow generation of GBP 10 million -- 20
million each year; (2) GBP 22.6 million cash overfunding after
transaction; (3) absence of material short term maturities
besides the amortization schedule; (4) GBP 9.3 million super
senior Revolving Credit Facility.

Moody's expects significant cash flow seasonality through the
year. EBITDA over January-March is the highest and working
capital at its lowest driven by deposits received from customers
which traditionally buy the most in the first quarter; cash flow
over October-December is the weakest due to a combination of
build-up of inventories and lower seasonal sales.

The SSRCF will be subject to the company maintaining a minimum
EBITDA of GBP 26 million, tested only if the facility is drawn.
Although limitations on drawings are not particularly
restrictive, SSRCF size is modest in the context of the amortized
structure of the notes and the cash flow seasonality.

STRUCTURAL CONSIDERATIONS

The B3-PD for the senior notes is in line with the CFR and
reflects a 50% recovery rate. The capital structure includes the
EUR175 million senior secured notes guaranteed by at least 85% of
Group EBITDA; and the GBP 9.3 million SSRCF.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook reflects Moody's expectations that Moody's
adjusted leverage would remain below 5.0x.

WHAT COULD CHANGE THE RATING UP/DOWN

Positive pressure on the rating in the short term is unlikely but
could materialize as a combination of (1) company's ability to
generate stable earnings in a weakened trading environment; (2)
stronger free cash flow used for debt repayment and (3) adjusted
gross debt/EBITDA to trend below 4.0x on a sustainable basis.
Conversely, negative pressure on the rating could materialize if
(1) free cash flow generation turns negative on a sustainable
basis; (2) operating performance would start deteriorating; and
(3) liquidity weakens.

The principal methodology used in these ratings was Retail
Industry published in May 2018.

Issuer: DRL Holdings PLC

Assignments:

LT Corporate Family Rating, Assigned B3

Probability of Default Rating, Assigned B3-PD

Backed Senior Secured Regular Bond/Debenture, Assigned B3(LGD3)

Outlook Actions:

Outlook, Assigned Stable


JOHNSTON PRESS: PPF Expected to Lodge GBP305MM Pensions Claim
-------------------------------------------------------------
Josephine Cumbo at The Financial Times reports that the Pension
Protection Fund is expected to lodge a claim of GBP305 million
with Johnston Press's administrators amid concern that its
pension scheme was not treated appropriately when the newspaper
group went into administration.

The expected action by the PPF, which compensates members of
pension schemes of failed companies, came as the Pensions
Regulator began to probe the Nov. 16 deal to rescue Johnston
Press, the FT notes.

When a company enters administration, the PPF seeks to cover the
cost of taking on its pension scheme, the FT states.  According
to the FT, it is seeking to recover GBP305 million against the
assets of Johnston Press, a figure calculated to be the cost of
securing the members' benefits with an insurer.  At the reduced
level of payments to scheme members that the PPF pays, the
scheme's funding shortfall is about GBP109 million, the FT
discloses.

Johnston Press, owner of The Scotsman and various other newspaper
titles, announced on Nov. 16 that it had been acquired by a newly
incorporated company set up by its lenders, which allowed its
operations to continue as normal, the FT recounts.

The deal had been struck through a pre-pack administration, an
insolvency procedure that has been controversial in the past
because it enables a business to be sold without its liabilities,
such as pension debt, the FT relays.  The pension scheme is
expected to be transferred to the PPF, the FT says.

In a rare public statement on an individual deal, the PPF, as
cited by the FT, said on Nov. 19 it had "concerns" surrounding
the circumstances of Johnston's pre-pack administration.

These are understood to include the timing of the administration,
48 hours before Johnston Press was due to make a scheduled
pension contribution, and how the group's assets were marketed
during a sale before the administration.

According to the FT, the Pensions Regulator said on Nov. 19 that
"our role at this stage is to assess the terms of the sale of the
business to ensure the pension scheme has been treated
appropriately.  We continue to work closely with the scheme
trustee and the PPF."


KYEN RESOURCES UK: Enters Administration Following Financial Woes
-----------------------------------------------------------------
Mark Burton and Jack Farchy at Bloomberg News, citing the U.K.'s
Companies House, report that metals trading house Kyen Resources
Pte's London-based arm has been placed in administration.

The start of insolvency proceedings at Kyen Resources U.K. Ltd.
comes as its Singapore-based parent scales back its business
because of a funding squeeze, Bloomberg discloses.  Several
senior traders have left Kyen Resources Pte in recent months,
including Matthew Hadfield, who had been hired to develop the
U.K. business, Bloomberg states.

According to Bloomberg, the parent company is also facing legal
action from other traders, including Concord Resources Ltd.,
which filed a commercial claim against Kyen last month.

Grant Thornton, which has been appointed the administrator, said
by e-mail Kyen's U.K. arm had been experiencing significant
liquidity and cash flow challenges, Bloomberg relates.  It said
all employees left the business either before or immediately
after Grant Thornton was appointed, Bloomberg notes.


MOORGATE FUNDING 2014-1: DBRS Confirms B Rating on Class E1 Notes
-----------------------------------------------------------------
DBRS Ratings Limited took the following rating actions on the
bonds issued by Moorgate Funding 2014-1 Plc (the Issuer):

-- Class A1 Notes confirmed at AAA (sf)
-- Class B1 Notes upgraded to AA (high) (sf) from AA (sf)
-- Class C1 Notes upgraded to A (sf) from A (low) (sf)
-- Class D1 Notes upgraded to BBB (sf) from BBB (low) (sf)
-- Class E1 Notes confirmed at B (sf)

The ratings on the Class A1 to E1 Notes (together, the Rated
Notes) address the timely payment of interest and ultimate
payment of principal on or before the legal final maturity date.

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

   -- Portfolio performance, in terms of delinquencies, defaults
and losses, as of the October 2018 payment date.

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

   -- Current available credit enhancement (CE) to the Rated
Notes to cover the expected losses at their respective rating
levels.

Moorgate Funding 2014-1 Plc is a securitization of first-ranking
U.K. non-conforming residential mortgages originated by Mortgages
PLC Group, Wave Lending Limited, Close Brothers Limited, Paragon
Mortgages Limited and Edeus Mortgages Creators Limited. The
mortgage portfolio is serviced by Mortgages PLC; with Home loan
Management Limited acting as the sub-servicer and backup
servicer.

PORTFOLIO PERFORMANCE

As of October 2018, loans that were two- to three-month in
arrears represented 1.2% of the outstanding portfolio balance, up
from 1.0% in October 2017 and the 90+ delinquency ratio was 3.1%,
down from 4.0%. The cumulative default ratio was 2.7% and the
cumulative loss ratio was 1.1%.

PORTFOLIO ASSUMPTIONS

DBRS conducted a loan-by-loan analysis of the remaining pool of
receivables and updated its base case PD and LGD assumptions to
17.0% and 27.3%, from 17.7% and 26.4%, respectively.

CREDIT ENHANCEMENT

As of the October 2018 payment date, the Class A1 Notes CE was
51.5%, up from 34.7% at the DBRS initial rating. The Class B1
Notes CE was 35.1%, up from 23.7% at the DBRS initial rating. The
Class C1 Notes CE was 22.0%, up from 14.9% at the DBRS initial
rating. The Class D1 Notes CE was 16.7%, up from 11.3% at the
DBRS initial rating. The Class E1 Notes CE was 8.8%, up from 6.0%
at the DBRS initial rating.

As of the October 2018 payment date, the Principal Reserve Fund
was at the target level of GBP 10.2 million. It was initially
funded at 1.0% of the initial balance of the Rated Notes and is
permitted to grow up to a size of 2.1%. The transaction also
includes a Class A1 Reserve Fund and a Class B1 Reserve Fund. The
Class A1 Reserve Fund provides liquidity support to the Class A1
Notes and was at its target level of GBP 2.5 million as of the
October 2018 payment date. The Class B1 Reserve Fund, which
provides liquidity support to the Class A1 and B1 Notes, was also
at its target level of GBP 1.5 million.

Citibank N.A., London branch acts as the account bank for the
transaction. The DBRS private rating of Citibank N.A., London
branch is consistent with the Minimum Institution Rating, given
the rating assigned to the Class A1 Notes, as described in DBRS's
"Legal Criteria for European Structured Finance Transactions"
methodology.

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


NIGHTINGALE SEC 2017-1: DBRS Confirms BB Rating on Tranche L
------------------------------------------------------------
DBRS Ratings Limited confirmed the provisional ratings of 12
tranches of an unexecuted, unfunded financial guarantee (the
senior guarantee) regarding a portfolio consisting of loans to
U.K-based small and medium-sized enterprises (SMEs) and income-
producing real estate (IPRE) (the Nightingale Securities 2017-1
Limited portfolio) originated by National Westminster Bank plc.
and its affiliates, as follows:

-- GBP 3,322,448,145 Tranche A at AAA (sf)
-- GBP 191,807,000 Tranche B at AA (high) (sf)
-- GBP 52,311,000 Tranche C at AA (sf)
-- GBP 60,794,000 Tranche D at AA (low) (sf)
-- GBP 133,369,000 Tranche E at A (high) (sf)
-- GBP 32,989,000 Tranche F at A (sf)
-- GBP 78,702,000 Tranche G at A (low) (sf)
-- GBP 210,186,000 Tranche H at BBB (high) (sf)
-- GBP 33,931,000 Tranche I at BBB (sf)
-- GBP 44,771,000 Tranche J at BBB (low) (sf)
-- GBP 139,967,000 Tranche K at BB (high) (sf)
-- GBP 21,207,000 Tranche L at BB (sf)

The ratings confirmed by DBRS are expected to remain provisional
until the moment the underlying agreements are executed. However,
it is important to note that National Westminster Bank plc. (the
Beneficiary) may have no intention of executing the senior
guarantee. DBRS will maintain and monitor the provisional ratings
throughout the life of the transaction or while it continues to
receive performance information.

Nightingale Securities 2017-1 Limited (the Issuer or SPV) is a
bankruptcy-remote limited liability company incorporated under
the laws of Jersey. The transaction is a synthetic balance sheet
securitization structured in the form of a financial guarantee.
The loans in the reference portfolio were originated in the U.K.
by the National Westminster Bank plc. and its affiliates over
their regular course of business.

As of June 2018, the guaranteed portfolio notional amount
totalled GBP 4,712.7 million. The transaction consists of a
junior financial guarantee relating to the credit risk
transferred via a funded credit-linked note (CLN) and a senior
unexecuted and unfunded financial guarantee, which defines the
rated tranches. Under the junior financial guarantee, the
Beneficiary has transferred the credit risk of the GBP 390.2
million (corresponding to the first 8.28% of the initial
portfolio notional amount). Similarly, under the unexecuted
senior financial guarantee agreement, the Beneficiary has
transferred the remaining credit risk of the same portfolio to
100.0% from 8.28%. The Beneficiary is also holding an additional
20% of each reference obligation as risk retention. The total
size of the portfolio including risk retention is GBP 5,890.9
million.

The ratings address the likelihood of a reduction to the
respective tranche notional amount resulting from credit events
within the reference portfolio within the ten-year credit
protection period. The portfolio credit events covered by the
guarantee are limited to failure to pay, bankruptcy and failure
to pay (restructuring).

The confirmations follow an annual review of the transaction.

Based on the investor report, as of June 2018, there were no
cumulative defaults, and the credit enhancement levels for each
tranche remain the same as at closing.

The transaction has one year of the replenishment period left,
during which National Westminster Bank plc. can add new reference
obligations or increase the notional amount of existing reference
obligations. Any new additions or increases of notional on
existing reference obligations need to comply with the
eligibility criteria and replenishment criteria. However, if the
replenishment criteria are in breach prior to replenishment, the
replenishment can be allowed if the covenants in breach are
maintained or improved. The replenishment period may end early if
either the default or loss balance exceeds certain limits.

DBRS divided the analysis of the portfolio into three key sub-
pools: SMEs, residential IPRE and commercial IPRE and applied the
relevant asset methodology for each. For the SME sub-pool, DBRS
applied the "Rating CLOs Backed by Loans to European SMEs"
methodology. The residential IPRE sub-pool analysis was conducted
in accordance with the "European RMBS Insight Methodology" and
it's U.K. Addendum. The asset analysis of the commercial IPRE
sub-pool was conducted in line with the "European CMBS Rating and
Surveillance Methodology" to determine expected stressed recovery
rates. Given the granularity of the commercial IPRE sub-
portfolio, DBRS relied on the historical performance data to
determine a base case probability of default (PD).

DBRS considered the eligibility and replenishment criteria to
determine a worst-case portfolio for the analysis of each of the
sub-pools. To determine the overall portfolio default and loss
assumptions, DBRS weighted its analysis of each sub-pool by its
respective contributions to the total portfolio.

As of June 2018, the GBP 4,712 million notional portfolios
consisted of loans to SMEs (55.1% by outstanding balance),
commercial IPRE (31.5%) and residential IPRE (13.4%). The
replenishment criteria allows between 54% and 60% for the SME
portfolio, 30% and 33% for the commercial IPRE portfolio and 7%
to 16% for the residential IPRE.

The eligibility criteria exclude, among other criteria,
obligations that are either subordinated or in arrears as well as
borrowers with an internal rating below a certain threshold. The
replenishment criteria include portfolio-level limits, which
include a maximum borrower group concentration of 0.3% applied
for lower-risk borrowers, with higher-risk borrowers being
subject to tighter caps. It also includes limits to the weighted-
average internal PD, loan-to-value and weighted-average life for
the overall portfolio as well as each sub-pool.

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


RESIDENTIAL MORTGAGE 31: DBRS Assigns Prov. C Rating to X1 Notes
----------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to the notes
expected to be issued by Residential Mortgage Securities 31 Plc
(RMS31; the issuer) as follows:

-- Class A Notes rated AAA (sf)
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BB (high) (sf)
-- Class F1 Notes rated B (sf)
-- Class X1 Notes rated C (sf)

(all the above notes together, the Rated Notes).

The ratings assigned to the Class A to F1 notes address the
timely payment of interest (while each class of notes is senior-
most outstanding) and ultimate payment of principal on or before
the legal final maturity date.

RMS31 is a transaction from Kensington Mortgage Company Limited
(KMC) that combines seasoned multiple owner-occupied and buy-to-
let (BTL) non-conforming (NCF) portfolios of UK mortgages.
Approximately 19% of the provisional mortgage portfolio comprises
loans that have never been securitized before and the remainder
was part of the Preferred Securities and Southern Pacific
Securities series of UK residential mortgage-backed (RMBS)
issuances. As of 31 July 2018, the aggregate outstanding balance
of the mortgage loans was GBP 327.6 million. In recent years,
these portfolios have seen an improvement in performance,
reducing the proportion of delinquent loans with or without
forbearance measures applied.

The loans were originated by Southern Pacific Mortgages Limited
(48% of the mortgage portfolio), Preferred Mortgages Limited
(35.5% of the mortgage portfolio), London Mortgage Company (13.2%
of the mortgage portfolio), Southern Pacific Personal Loans
Limited (3.2% of the mortgage portfolio), with Alliance &
Leicester and Amber Home loans Limited making up the remaining
loans in the mortgage portfolio. These assets will be serviced by
KMC.

The mortgage portfolio is 13.6 years seasoned on a weighted-
average basis. This is considered a positive for the mortgage
portfolio. Of the loans in the mortgage portfolio, 86.9% were
originated in 2003, 2004 and 2005. Since the beginning of 2012,
the performance history for the loans shows slightly less than
half of the provisional mortgage portfolio in the three months
plus arrears status on a cumulative basis; this arrears
proportion is, as of the cut-off date of the mortgage portfolio,
at a lower level of 19.6%. A further 19.1% of the loans in the
mortgage portfolio have been through or are currently under a
performance arrangement to pay an amount higher than the normal
monthly repayment amount in order to catch up with prior arrears.
Although the level of arrears (greater than or equal to one
month) is high at 29.1%, most of these loans in arrears show a
positive cash flow with a weighted-average pay rate in the last
24 months at 94.6%. DBRS expects most of these loans deep in
arrears to continue paying at the observed pay rates at the
prevailing low interest rates. This approach to assessing the
expected performance of these loans reflects in the base case
default estimates for the mortgage portfolio. The expected loss
estimates also account for 63.2% of interest-only (IO) repayment
loans, 44.5% of borrowers who are self-employed, 65.7% of
borrowers who self-certify income at origination, 6.5% of BTL
loans and 3.3% of second-lien loans in the provisional mortgage
portfolio.

The mortgage portfolio is expected to be purchased by the issuer
using the proceeds of the issuance of Class A, Class B, Class C,
Class D, Class E, Class F1, Class F2 and Class F3 (the
Collateralized Notes). The credit enhancement for the Rated Notes
is provided by subordination of the junior notes and a non-
amortizing reserve fund which is 3% of the aggregate current
balance of the mortgage portfolio at closing. The credit
enhancement for the Class A notes will be at 27.25%, Class B at
23.5%, Class C at 19.25%, Class D at 15.25%, Class E at 10% and
Class F1 at 7.25%.

The liquidity of the notes is supported by the reserve fund, and
principal receipts which can be used to support any interest
shortfalls for the most senior class of notes outstanding and
excess spread (if available). Additionally, a liquidity reserve
fund may get funded using principal receipts, if on an interest
payment date the reserve fund amount falls below 1.5% of the
Collateralized Notes outstanding. Such liquidity reserve, if
created, will support the payment of senior fees and any
shortfall in payment of interest on the Class A notes.

The basis risk exposure of the issuer is not hedged in the
transaction. 13.7% of the loans in the mortgage portfolio pay
interest linked to the Bank of England Base Rate (BBR) and most
of the remainder pays interest linked to 3 months GBPLibor
(86.2%). The interest rate on the notes is linked to 3 months
GBPLibor, which has a reset date different from that on the
loans. This gives rise to the basis risk which is not hedged.
DBRS has assumed a spread between the different indices to
simulate potential basis risk in the life of the notes.

DBRS has stressed the cash flows of the transactions to account
for product switches which can affect up to 5% of the mortgage
portfolio which could be offered a switch to paying a fixed rate
of interest.

The loan sale agreement will contain representations and
warranties given by Kayl PL S.a.r.l. (seller) in relation to the
mortgage portfolio. The representations and warranties provided
by the seller on the loans are relatively weaker as compared with
some UK RMBS transactions. The relative weakness of the
representations and warranties arise due 'awareness'
qualifications on the usual set of representations and warranties
provided in UK RMBS transactions as none of these loans were
originated by the legal title holder and/or seller. However,
these are comparable with those for securitized mortgage
portfolios which have been traded before the sale of the loans to
RMBS issuers. Upon breach of representations and warranties, Kayl
PL S.a.r.l. is required to repurchase or indemnify the issuer
against any loss. Kayl PL S.a.r.l. may have limited resources at
its disposal to fund such repurchase. Given the significant
seasoning of the loans in the mortgage portfolio, loans in breach
of any warranties would have been expected to be identified
during the earlier life of the loans. The mortgage portfolio has
always been serviced by Acenden, and will be serviced by KMC in
the transaction. Both Acenden and KMC are part of the North view
Group and while KMC will now be the named servicer, the servicing
team is expected to remain the same for the mortgage portfolio.
This largely mitigates the risk of any material loss to the
issuer on account of any breach of the market standard package of
representations and warranties which are common to UK RMBS
transactions.

The Class X1 Notes are primarily intended to amortize using
revenue funds. However, if excess spread is insufficient to fully
redeem the Class X1 notes when the Class F2 Notes are paid down,
principal funds will be used to amortize the Class X1 Notes in
priority to the Class F3 notes. In DBRS's cash flow analysis, the
Class F3 notes are rendered partially collateralized as principal
funds are diverted to amortize the Class X1 notes. Such an event
leads to a PDL debit; however, DBRS's analysis finds there is
insufficient excess spread to reduce the PDL balances and ensure
the Class F3 Notes are fully collateralized.

DBRS based its ratings primarily on the following analytical
considerations:

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

   -- The credit quality of the mortgage loan portfolio and the
ability of the servicer to perform collection activities. DBRS
calculated portfolio default rate (PD), loss given default (LGD)
and expected loss (EL) outputs on the mortgage loan portfolio.

   -- The ability of the transaction to withstand stressed cash
flow assumptions and repays the Rated Notes according to the
terms of the transaction documents. The transaction cash flows
were analyzed using PD and LGD outputs provided by the European
RMBS Insight Model and using Intex DealMaker.

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

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

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

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



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Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than US$3 per
share in public markets.  At first glance, this list may look
like the definitive compilation of stocks that are ideal to sell
short.  Don't be fooled.  Assets, for example, reported at
historical cost net of depreciation may understate the true value
of a firm's assets.  A company may establish reserves on its
balance sheet for liabilities that may never materialize.  The
prices at which equity securities trade in public market are
determined by more than a balance sheet solvency test.

Each Friday's edition of the TCR includes a review about a book
of interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/booksto order any title today.


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

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 2018.  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.


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