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

                          E U R O P E

          Wednesday, October 20, 2021, Vol. 22, No. 204

                           Headlines



C Z E C H   R E P U B L I C

BOHEMIA ENERGY: Customers Told to Stop Paying Deposits


D E N M A R K

GREAT DANE: Files for Bankruptcy, Suffers DKK50.6MM 2020 Loss


G E R M A N Y

FRANKFURT-HAHN GMBH: Files for Insolvency in Bad Kreuznach Court
SC GERMANY 2021-1: Moody's Assigns (P)B2 Rating to Class F Notes


I R E L A N D

DECOBAKE: Judge Rules in Favor of Liquidator in Fee Dispute
DILOSK RMBS 2: DBRS Hikes Class F Notes Rating to B
FINANCE IRELAND 2: DBRS Hikes Class F Notes Rating to BB(high)
GLENBEIGH 2021-2: DBRS Finalizes BB(low) Rating on Class F Notes
SOUND POINT VI: Moody's Assigns B3 Rating to EUR12.75MM F Notes



I T A L Y

BELVEDERE SPV: DBRS Lowers Class A Notes Rating to BB(low)
EMERALD ITALY 2019: DBRS Confirms B(low) Rating on Class D Notes
RED & BLACK AUTO: DBRS Gives Prov. BB(high) Rating on Cl. D Notes


P O R T U G A L

TAGUS 1: DBRS Finalizes B Rating on Class E Notes
TAGUS 2: DBRS Finalizes B(low) Rating on Class E Notes


S P A I N

ALHAMBRA SME 2019-1: DBRS Confirms B(low) Rating on Class C Notes
CAJAMAR 1: DBRS Confirms BB(low) Rating on Class B Notes
SANTANDER CONSUMER 2021-1: DBRS Finalizes BB Rating on E Notes
SIENA NPL 2018: DBRS Confirms BB(high) Rating on Class A Notes


U N I T E D   K I N G D O M

CASTELL PLC 2020-1: DBRS Confirms BB(low) Rating on Class F Notes
JMC MECHANICAL: Enters Liquidation, Up to 140 Jobs Affected
NMCN: Owes Suppliers More Than GBP60 Million in Unpaid Bills
STRATTON MORTGAGE 2019-1: DBRS Confirms B(high) Rating on E Notes
TAURUS 2019-2: DBRS Confirms BB(low) Rating on Class E Notes

TAURUS 2021-4: DBRS Finalizes B(high) Rating on Class F Notes
TRINIDAD MORTGAGE 2018-1: DBRS Hikes Class F Notes Rating to BB

                           - - - - -


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C Z E C H   R E P U B L I C
===========================

BOHEMIA ENERGY: Customers Told to Stop Paying Deposits
------------------------------------------------------
Ian Willoughby at Radio Prague International reports that experts
have recommended that customers of the bankrupt company Bohemia
Energy stop paying deposits for their power supply until they hear
from other, larger distributors, such as CEZ, E.ON, PRE, Prazska
plynarenska and innogy.

Bohemia Energy, which had around one million customers, went bust
suddenly on Oct. 13. Other energy providers will now start serving
these customers, Radio Prague International relates.

Energy prices in the Czech Republic are now at an unprecedented
level, Radio Prague International discloses.




=============
D E N M A R K
=============

GREAT DANE: Files for Bankruptcy, Suffers DKK50.6MM 2020 Loss
-------------------------------------------------------------
David Nikel at Forbes reports that after just two years of
operations, the Aalborg-based regional carrier Great Dane Airlines
has filed for bankruptcy.

Scandinavia may be in the process of opening back up to travel
following the lifting of many pandemic travel restrictions, but its
airlines continue to struggle, Forbes notes.

Unlike some high-profile failures such as the pre-restructured
Norwegian, Great Dane did not suffer from expanding too quickly,
Forbes states.  According to Forbes, it simply launched at the
worst possible time, just months prior to the global pandemic that
shut off demand for international air travel almost overnight.

Like every European airline, Great Dane planes were grounded for
much of 2020 due to strict international travel restrictions
throughout the continent, Forbes discloses.  Denmark's TV2 Nord
reported that Great Dane suffered a DKK50.6 million loss in 2020,
more than twice that of its launch year, Forbes relates.

Last year, the airline let 32 employees go in an attempt to stave
off financial problems, but the ongoing lack of revenue ultimately
proved too much, Forbes recounts.

According to Forbes, a total of 78 full-time employees were sent
home on Oct. 11 following the announcement, which also left 118
passengers stranded at Billund Airport.

The airline launched in the summer of 2019 with direct scheduled
flights to Dublin, Edinburgh and Nice.  Its fleet of two 118-seater
Embraer 195 aircraft were also utilized on charter routes in
partnership with tour operator Bravo Tours.




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

FRANKFURT-HAHN GMBH: Files for Insolvency in Bad Kreuznach Court
----------------------------------------------------------------
Jens Albes and Christian Schultz at DPA report that Frankfurt-Hahn
GmbH, the company which operates an airport some 100 kilometres
west of Frankfurt, has filed for insolvency.

According to DPA, operations manager Christoph Goetzmann said Hahn
Airport is 82.5%-owned by the Chinese conglomerate HNA, DPA
discloses.  The company acquired the shares from the state of
Rhineland-Palatinate -- where the airport is located -- in 2017 for
around EUR15 million (US$17.5 million), DPA recounts.  The
remaining 17.5% is held by the state of Hesse.

Most recently, the arrest of the top management of the financially
troubled HNA Group caused a stir, DPA notes.

At the time, the airport company emphasized that this would have no
effect on Frankfurt-Hahn, DPA relays.  However, even before the
coronavirus pandemic hit, passenger traffic had declined from highs
of around 4 million a year, DPA states.

In its report for 2020, the airport management acknowledged it
would not be making a profit, but predicted that it could go into
the black by 2024, DPA discloses.

Earlier this year, the European Court of Justice (ECJ) threw out an
application from Lufthansa targeting the state aid that
Frankfurt-Hahn had received, DPA recounts.  The legal action turned
on subsidies paid since 1997 and contracts with Ryanair on airport
fees, according to DPA.

The Oct. 19 insolvency application was filed with the district
court in the town of Bad Kreuznach, with the court appointing
Frankfurt lawyer Jan Markus Plathner as provisional insolvency
administrator, DPA relates.


SC GERMANY 2021-1: Moody's Assigns (P)B2 Rating to Class F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to Notes to be issued by SC Germany S.A., Compartment
Consumer 2021-1:

EUR [ ] M Class A Floating Rate Notes due November 2035, Assigned
(P)Aaa (sf)

EUR [ ] M Class B Floating Rate Notes due November 2035, Assigned
(P)Aa1 (sf)

EUR [ ] M Class C Floating Rate Notes due November 2035, Assigned
(P)Aa3 (sf)

EUR [ ] M Class D Floating Rate Notes due November 2035, Assigned
(P)Baa3 (sf)

EUR [ ] M Class E Floating Rate Notes due November 2035, Assigned
(P)Ba3 (sf)

EUR [ ] M Class F Floating Rate Notes due November 2035, Assigned
(P)B2 (sf)

Moody's has not assigned a rating to the EUR [ ] M Class G Fixed
Rate Notes due November 2035 and the EUR [ ] M Liquidity Reserve
Loan due November 2035.

RATINGS RATIONALE

The Notes are backed by a 12-month revolving pool of German
consumer loans originated by Santander Consumer Bank AG (A2/P-1
Deposits, A1(cr)/P-1(cr)) ("SCB Germany").

The provisional portfolio consists of 67,919 loans granted to
obligors in Germany, for a total of approximately EUR1.1 billion as
of the August 31, 2021 pool cut-off date. The average loan balance
is EUR16,195, the weighted average interest rate is 5.6%, and
weighted average seasoning is 6 months. The portfolio, as of its
pool cut-off date, did not include any loans in arrears. The
liquidity reserve will be funded to 0.5% of the total rated Notes
balance at closing and the total credit enhancement for the Class A
Notes will be 21.0%.

The ratings are primarily based on the credit quality of the
portfolio, the structural features of the transaction and its legal
integrity.

According to Moody's, the transaction benefits from several credit
strengths such as the granularity of the portfolio, the
securitisation experience of SCB Germany and significant excess
spread. However, Moody's notes that the transaction features a
number of credit weaknesses, such as a complex structure including,
pro-rata payments on Class A to E Notes from the first payment
date. These characteristics, amongst others, were considered in
Moody's analysis and ratings.

Moody's determined the portfolio lifetime expected defaults of
4.0%, expected recoveries of 15% and Aaa portfolio credit
enhancement ("PCE") of 15% related to borrower receivables. The
expected defaults and recoveries capture Moody's expectations of
performance considering the current economic outlook, while the PCE
captures the loss Moody's expect 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.

Portfolio expected defaults of 4.0% are lower than the EMEA
Consumer Loan ABS average and are based on Moody's assessment of
the lifetime expectation for the pool taking into account: (i)
historical performance data that the originator provided for a
portfolio that is representative of the securitised portfolio, (ii)
the fact that the transaction is revolving for 12 months and that
there are portfolio concentration limits during that period; (iii)
benchmark transactions in the German consumer ABS market and (iv)
other qualitative considerations.

Portfolio expected recoveries of 15% are in line with the EMEA
Consumer 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.

PCE of 15% is lower than the EMEA Consumer Loan ABS average and is
based on Moody's assessment of the pool which is mainly driven by:
(i) evaluation of the underlying portfolio, complemented by the
historical performance information as provided by the originator;
and (ii) the relative ranking to originator peers in the EMEA
Consumer loan market. The PCE level of 15% results in an implied
coefficient of variation ("CoV") of 41.1%.

The principal methodology used in these ratings was "Moody's
Approach to Rating Consumer Loan-Backed ABS" published in September
2021.

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

Factors that would lead to a downgrade of the ratings include: (i)
increased counterparty risk leading to potential operational risk
of (a) servicing or cash management interruptions and (b) the risk
of increased swap linkage due to a downgrade of the swap
counterparty ratings; and (ii) economic conditions being worse than
forecast resulting in higher arrears and losses.

Factors that may cause an upgrade of the ratings of the notes
include significantly better than expected performance of the pool
together with an increase in credit enhancement of Notes.




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

DECOBAKE: Judge Rules in Favor of Liquidator in Fee Dispute
-----------------------------------------------------------
Samantha McCaughren at Independent.ie reports that a long-running
and high-profile dispute between Paul Coyle, the founder of
cake-toppings company Decobake, and the provisional liquidator,
Declan de Lacy of PKF O'Connor Leddy & Holmes, ended with judgement
in favour of Mr. de Lacy.

The Court of Appeal ruled that Mr. Coyle's objections, which
centred on the fees of almost EUR80,000 paid to Mr. de Lacy, were
"fundamentally misconceived at a number of levels" and that the
High Court was "entitled to approve the respondent's remuneration",
Independent.ie relates.

Decobake was put into liquidation in 2017 at the request of Dublin
City Council over its failure to pay rates over a five-year period
amounting to EUR101,894, Independent.ie recounts.  The Council had
obtained judgements against the company, but when the Sheriff
attempted to enforce them he was "met with physical force",
Independent.ie discloses.

The city council then asked the High Court to appoint Mr. de Lacy
as liquidator, Independent.ie notes.


DILOSK RMBS 2: DBRS Hikes Class F Notes Rating to B
---------------------------------------------------
DBRS Ratings Limited took the following rating actions on the bonds
issued by Dilosk RMBS No. 2 DAC (the Issuer):

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

The rating on the Class A notes addresses the timely payment of
interest and the ultimate payment of principal on or before the
legal final maturity date in December 2057. The ratings on the
Class B, Class C, Class D, Class E, and Class F notes address the
ultimate payment of interest and principal on or before the legal
final maturity date while junior and the timely payment of interest
while the senior-most class outstanding.

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;

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

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

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

The transaction is a securitization of Irish residential mortgage
loans originated by Pepper Finance Corporation (Ireland) DAC
(formerly, GE Capital Woodchester Home Loans Limited) and Leeds
Building Society.

PORTFOLIO PERFORMANCE

As of June 2021, loans two to three months in arrears represented
1.2% of the outstanding portfolio balance, the 90+-day delinquency
ratio was 8.4%, and the cumulative default ratio was 9.6%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and updated its base case PD and LGD
assumptions to 19.1% and 20.6%, respectively.

CREDIT ENHANCEMENT

As of the June 2021 payment date, credit enhancement to the Class
A, Class B, Class C, Class D, Class E, and Class F notes was 45.6%,
38.3%, 32.7%, 25.9%, 15.8%, and 12.4%, respectively, compared with
42.6%, 35.5%, 30.1%, 23.6%, 13.9%, and 10.7% 12 months prior,
respectively. In each case, credit enhancement is provided by
subordination of junior classes and amounts standing to the credit
of the general reserve fund above the first target level.

The transaction benefits from a general reserve fund of EUR 8.6
million. Amounts standing to the credit of the general reserve fund
up to the first target level of EUR 2.2 million are available to
cover senior fees and Class A interest while amounts above the
first target level and up to the second target level of EUR 6.4
million are available to cover senior fees, interest, and principal
(via the principal deficiency ledgers) on the rated notes.

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

DBRS Morningstar analysed the transaction structure in Intex
DealMaker.

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

Notes: All figures are in euros unless otherwise noted.


FINANCE IRELAND 2: DBRS Hikes Class F Notes Rating to BB(high)
--------------------------------------------------------------
DBRS Ratings GmbH took the following rating actions on the notes
issued by Finance Ireland RMBS No. 2 DAC (the Issuer):

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

The rating on the Class A notes addresses the timely payment of
interest and the ultimate payment of principal by the legal final
maturity date in September 2060. The ratings on the Class B, Class
C, and Class D notes address the timely payment of interest once
most senior and the ultimate repayment of principal by the legal
final maturity date. The ratings on the Class E and F notes address
the ultimate payment of interest and principal by the legal final
maturity date.

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

-- Portfolio performance, in terms of delinquencies, defaults, and
losses, as of the September 2021 payment date;

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

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

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

The transaction is a static securitization of Irish first-lien
residential mortgages originated by Finance Ireland Credit
Solutions DAC and Pepper Finance Corporation (Ireland) DAC
(Pepper). Pepper also acts as the servicer of the mortgage
portfolio. The transaction closed in September 2020 with an initial
portfolio balance of EUR 295.2 million, consisting of mortgages
originated in 2016 and later, with 91.2% of the portfolio balance
relating to mortgages originated in 2019 and 2020.

PORTFOLIO PERFORMANCE

As of the September 2021 payment date, loans one to two months and
two to three months in arrears represented 0.2% and 0.1% of the
outstanding portfolio balance, respectively, while loans more than
three months in arrears represented 0.1%. There have not been any
repossessions or realized losses to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and updated its base case PD and LGD
assumptions to 1.9% and 11.8%, respectively.

CREDIT ENHANCEMENT

The subordination of the respective junior obligations and the
general reserve fund provide credit enhancement to the rated notes.
As of the September 2021 payment date, credit enhancement to the
Class A notes increased to 18.7% from 17.3% at the time of the
initial rating 12 months ago; credit enhancement to the Class B
notes increased to 12.2% from 11.3%; credit enhancement to the
Class C notes increased to 8.7% from 8.0%; credit enhancement to
the Class D notes increased to 5.8% from 5.3%; credit enhancement
to the Class E notes increased to 3.6% from 3.3%; and credit
enhancement to the Class F notes increased to 2.6% from 2.3%.

The transaction benefits from a general reserve fund and a
liquidity reserve fund providing credit support and liquidity
support, respectively. The reserves were funded at closing using
proceeds from the Class X notes issuance and together are equal to
1.0% of the initial rated notes balance. As of the September 2021
payment date, the liquidity reserve fund was at its target balance
of EUR 2.29 million, equal to 1.0% of the outstanding Class A notes
balance, while the general reserve fund was at its target balance
of EUR 0.44 million, equal to 1.0% of the outstanding rated notes
balance minus the general reserve fund target balance.

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

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

DBRS Morningstar analysed the transaction structure in Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an immediate economic contraction, leading in
some cases to increases in unemployment rates and income reductions
for many borrowers. DBRS Morningstar anticipates that delinquencies
may continue to increase in the coming months for many RMBS
transactions. The ratings are based on additional analysis to
expected performance as a result of the global efforts to contain
the spread of the coronavirus. For this transaction, DBRS
Morningstar increased the expected default rate for self-employed
borrowers, assumed a moderate decline in residential property
prices, and conducted additional sensitivity analysis to determine
that the transaction benefits from sufficient liquidity support to
withstand high levels of payment holidays or payment moratoriums in
the portfolio.

Notes: All figures are in euros unless otherwise noted.


GLENBEIGH 2021-2: DBRS Finalizes BB(low) Rating on Class F Notes
----------------------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following classes of notes issued by Glenbeigh 2 Issuer 2021-2
Designated Activity Company (Glenbeigh 2021-2 or the Issuer):

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

The final rating on the Class A Notes addresses the timely payment
of interest and the ultimate repayment of principal on or before
the final maturity date. The final rating on the Class B Notes
addresses the timely payment of interest once most senior and the
ultimate repayment of principal on or before the final maturity
date. The final ratings on the Class C, Class D, Class E, and Class
F notes address the ultimate payment of interest and repayment of
principal by the final maturity date. DBRS Morningstar does not
rate the Class Z Notes, Class S Instruments (Class S1 and Class S2,
together Class S), Class Y Instrument, or the VRR loan (Citibank,
N.A., London Branch retains at least 5% of each class of notes and
the Instruments in the form of the VRR loan) also issued in this
transaction. Compared with the provisional capital structure, the
closing pool and respectively the notes have been downsized. As a
result of the final transaction size being smaller than initially
assumed, the finalized rating on the Class F Notes differs compared
with the provisional rating due to the fixed costs being now a
relatively larger proportion of the total costs.

The proceeds from the issuance of the collateralized notes were
used to purchase a buy-to-let (BTL) residential mortgage portfolio
originated by Permanent TSB Plc (PTSB; the originator or the
original seller). The portfolio was purchased by Citibank, N.A.,
London Branch (the sponsor) on 13 November 2020, and the beneficial
interest was immediately transferred to Glenbeigh 2 Seller DAC (the
interim seller). On the closing date, the beneficial interests were
sold to the Issuer via multiple interim sellers.

The issuance structure under Glenbeigh 2021-2 offers subordination
and liquidity support for regular payments on the notes, through
separate revenue and principal priority of payments. The structure
features an amortizing liquidity reserve fund (LRF) of 2.5% of the
Class A outstanding balance (including the equivalent VRR loan
proportion); it was funded at closing of the transaction, and will
provide liquidity support to the Class A Notes and the Class S
Instruments. Additional credit support could be provided by the
general reserve fund (GRF); it will be equal to 2.5% of the Class A
closing balance (including the equivalent VRR loan proportion)
minus the LRF.

Typical to Irish RMBS, the transaction also features a provisioning
mechanism in the transaction, linked to the arrears' status of a
loan in addition to provisioning based on losses. The degree of
provisioning grows the longer a loan is in arrears. Additionally,
recoveries form part of principal funds, thus helping in faster
repayment of Class A, which would otherwise be used in payment of
interest on junior notes.

As of May 31, 2021, the portfolio consisted of 1,589 loans with an
aggregate outstanding balance of EUR 589.4 million. Most of these
loans were securitized in the Fastnet transactions, which were
rated by DBRS Morningstar. All of the mortgage loans in the final
portfolio are classified as BTL loans and are secured by a
first-ranking mortgage right. About 17.2% of the loans have been
restructured in the past, of which about 4.1% of the loans in the
portfolio were restructured in the past three years. For most of
these recent restructures, the borrower has agreed to an increase
in the monthly payment (i.e., positive restructures).

There are 0.2% of the loans in the final pool in more than 90 days
past due (DPD) delinquency, about 1.1% of the loans are currently
in 30 to 90 DPD delinquency, with a total of 5.5% of the loans
being in arrears. About 32.1% of the portfolio has been given to
borrowers flagged as self-employed. About 84.6% of the portfolio
consists of interest-only (IO) loans, with 14.5% being part and
part loans, and the remaining being annuities. None of the loans
were or have been granted payment holidays as a response to the
Coronavirus Disease (COVID-19) pandemic.

The representations and warranties given by the original seller
(PTSB), in the event of a breach, are time limited and monetarily
capped. These limitations are mitigated because of the seasoning of
the portfolio and the restructured nature of some loans (which
would have required a detailed loan file scrutiny and a refresh of
the borrower's financial status). Furthermore, the day-to-day
servicing and the legal title of the mortgage loans have been
transferred to Pepper Finance Corporation (Ireland) DAC from PTSB
on March 26, 2021.

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

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

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

-- The credit quality of the mortgage loan portfolio and the
ability of the parties to perform servicing and collection
activities.

-- DBRS Morningstar estimated stress-level probability of default
(PD), loss given default (LGD), and expected losses (EL) on the
mortgage portfolio. The PD, LGD, and EL are used as inputs into the
cash flow engine. The mortgage portfolio was analysed in accordance
with DBRS Morningstar's "Master European Residential
Mortgage-Backed Securities Rating Methodology and Jurisdictional
Addenda."

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay the noteholders according to the terms and
conditions of the notes. The transaction cash flows were analysed
using Intex DealMaker.

-- The Republic of Ireland's sovereign rating of A (high)/R-1
(middle) with Positive/Stable trends as of the date of this press
release.

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

-- The relevant counterparties, as rated by DBRS Morningstar, are
appropriately in line with DBRS Morningstar's legal criteria to
mitigate the risk of counterparty default or insolvency.

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

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an immediate economic contraction, leading to
increases in unemployment rates and income reductions for
borrowers. DBRS Morningstar anticipates that delinquencies may
continue to increase in the coming months for many RMBS
transactions. The ratings are based on additional analysis to
expected performance as a result of the global efforts to contain
the spread of the coronavirus. For this transaction, DBRS
Morningstar conducted additional analysis to determine the
transaction benefits from sufficient liquidity support in case of
high level of payment moratoria in the portfolio.

Notes: All figures are in euros unless otherwise noted.


SOUND POINT VI: Moody's Assigns B3 Rating to EUR12.75MM F Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to the notes issued by Sound Point
Euro CLO VI Funding DAC (the "Issuer"):

EUR259,250,000 Class A Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

EUR34,000,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR10,600,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

EUR26,550,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

EUR31,900,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

EUR21,250,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Ba3 (sf)

EUR12,750,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in Moody's methodology.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 85% ramped as of the closing date and
to comprise predominantly of corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the approximate six month ramp-up period in compliance with
the portfolio guidelines.

Sound Point CLO C-MOA, LLC, acting through its Second Management
Series ("Sound Point") will manage the CLO. It will direct the
selection, acquisition and disposition of collateral on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk
obligations.

In addition to the seven classes of notes rated by Moody's, the
Issuer issued EUR32,900,000 Subordinated Notes due 2034 which are
not rated.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Methodology underlying the rating action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

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

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

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2020.

Moody's used the following base-case modeling assumptions:

Par Amount: EUR425,000,000

Diversity Score(*): 43

Weighted Average Rating Factor (WARF): 2,945

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.75%

Weighted Average Recovery Rate (WARR): 43%

Weighted Average Life (WAL): 9.0 years




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

BELVEDERE SPV: DBRS Lowers Class A Notes Rating to BB(low)
----------------------------------------------------------
DBRS Ratings GmbH downgraded its rating on the Class A notes issued
by Belvedere SPV S.r.l. (the Issuer) to BB (low) (sf) from BB (sf)
and maintained a Negative trend.

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

At issuance, the Notes were backed by a EUR 2.5 billion portfolio
by gross book value (GBV) consisting of unsecured and secured
nonperforming loans sold by Gemini SPV S.r.l., Sirius SPV S.r.l.,
Antares SPV S.r.l., SPV Project 1702 S.r.l., and Adige SPV S.r.l.
(collectively, the Sellers) to Belvedere SPV S.r.l.

The receivables are serviced by Prelios Credit Servicing S.p.A.
(Prelios) and Bayview Italia S.r.l. (Bayview), which act as the
special servicers. Prelios also operates as the master servicer in
the transaction. A backup servicer, Securitization Services S.p.A.,
was appointed and will act as the servicer in case the special
servicers' appointments are terminated.

RATING RATIONALE

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

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

-- Bayview's updated business plan, received in May 2021 as of
December 2020, and the comparison with Bayview's initial collection
expectations, as well as the absence of Prelios' updated business
plan.

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

-- Transaction liquidating structure: the order of priority
entails a fully sequential amortization of the notes – i.e., the
Class B notes will begin to amortize following the full repayment
of the Class A notes and the Class J notes will amortize following
the repayment of the Class B notes.

-- Performance ratios and Underperformance Events: First Level and
Second Level Underperformance Events may occur if the Cumulative
Collection Ratio (CCR) and the PV Cumulative Profitability Ratio
(PVCPR) are both lower than 90% and 75%, respectively. These events
have not occurred on the June 2021 interest payment date, with the
actual figures being a 25.1% CCR and a 103.8% PVCPR for Prelios and
a 53.2% CCR and a 95.7% PVCPR for Bayview, according to the latest
information from the special servicers.

-- Liquidity support: the transaction benefits from an amortizing
cash reserve providing liquidity to the structure covering against
potential interest shortfall on the Class A notes and senior fees.
The cash reserve target amount is equal to 4.0% of the Class A
notes principal outstanding and is currently fully funded. However,
DBRS Morningstar notes that, in the absence of a trigger notice,
the amortizing mechanism for the reserve defined as the Class J
Notes Early Amortization Amount creates a leakage of funds towards
the junior notes.

TRANSACTION AND PERFORMANCE

According to the latest payment report from June 2021, the
outstanding principal amounts of the Class A, Class B, and Class J
notes were equal to EUR 262.1 million, EUR 70.0 million, and EUR
95.0 million, respectively. The balance of the Class A notes has
amortized by approximately 18.1% since issuance. The current
aggregated transaction balance is EUR 427.1 million.

As of May 2021, the transaction was performing below the Servicers'
initial expectations. The actual cumulative gross collections
equaled EUR 110.0 million whereas the Servicer's initial business
plan estimated cumulative gross collections of EUR 257.3 million
for the same period. Therefore, as of May 2021, the transaction was
underperforming by EUR 147.3 million (-57.3%) compared with initial
expectations. By special servicer, the performance split would be
as follows: Prelios is underperforming by EUR 87.5 million (-73.7%)
compared with its initial expectations and Bayview is
underperforming by EUR 59.8 million (-43.2%) compared with its
initial expectations.

Bayview's underperformance started in the first half of 2020 as
opposed to Prelios' underperformance, which has been evident since
the closing of the transaction. According to Prelios, its
underperformance is mainly attributable to a relevant delay in the
onboarding operations and to a lower-than-expected credit quality,
which particularly affects the unsecured exposures.

At issuance, DBRS Morningstar estimated cumulative gross
collections for the same period of EUR 157.5 million at the BBB
(low) (sf) stressed scenario. Therefore, as of May 2021 the
transaction was performing below DBRS Morningstar's stressed
expectations.

In May 2021, Bayview provided DBRS Morningstar with a revised
business plan. In this updated business plan, Bayview assumed lower
recoveries compared with initial expectations. The total cumulative
gross collections from the updated business plan account for EUR
271.3 million, which is 11.1% lower compared with the EUR 305.1
million expected in the initial business plan. The updated business
plan from Prelios has not yet been released by the monitoring agent
as it does not have the required approvals. Consequently, DBRS
Morningstar has not been able to incorporate Prelios' most
up-to-date view of the transaction's expected performance in its
analysis.

The special servicers' total expected collections are now
accounting for EUR 499.8 million. The updated DBRS Morningstar BB
(low) (sf) rating stress assumes a haircut of 16.0% to the special
servicers' latest business plans, considering total expected
collections.

The final maturity date of the transaction is in December 2038.

DBRS Morningstar analyzed the transaction structure using Intex
Dealmaker.

The coronavirus and the resulting isolation measures have caused an
immediate economic contraction, leading in some cases increases in
unemployment rates and income reductions for many borrowers. DBRS
Morningstar anticipates that negative effects may continue in the
coming months for many nonperforming loan (NPL) transactions. In
particular, the deterioration of macroeconomic conditions could
negatively affect recoveries from NPLs and the related real estate
collaterals. The rating is based on additional analysis to expected
performance as a result of the global efforts to contain the spread
of the coronavirus. For this transaction, DBRS Morningstar
incorporated its expectation of a moderate medium-term decline in
residential property prices, albeit partial credit to house price
increases from 2023 onwards is given in non-investment-grade
scenarios.

Notes: All figures are in euros unless otherwise noted.


EMERALD ITALY 2019: DBRS Confirms B(low) Rating on Class D Notes
----------------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the following classes of
Commercial Mortgage-Backed Floating Rate Notes due September 2030
issued by Emerald Italy 2019 SRL as follows:

-- Class A at A (low) (sf)
-- Class B at BBB (low) (sf)
-- Class C at B (high) (sf)
-- Class D at B (low) (sf)

DBRS Morningstar maintains the Negative trend on the ratings. DBRS
Morningstar also removed the interest in arrears designation for
the Class C and Class D notes following repayment of deferred
interest.

The ratings confirmation reflects the portfolio's relatively stable
performance over the last 12 months and the recent borrower's
efforts to remedy some of the loan breaches through the repayment
of the deferred interest and the deleveraging of the transaction.
The Negative trend on all tranches reflects remaining uncertainties
around the public health crisis and retail environment, which could
result in potential disruptions in the rent collection process.

The transaction is a securitization of 100% of an Italian
commercial real estate loan advanced by J.P. Morgan Chase Bank,
N.A., Milan Branch and arranged by J.P. Morgan Securities PLC. The
securitized loan comprises a EUR 99.1 million term facility (EUR
100.4 million at inception) and a EUR 2.4 million capital
expenditure (capex) facility (EUR 5.4 million at inception). The
loan is secured against a portfolio of two retail malls and one
shopping center located in the Lombardy region of northern Italy.
The borrower is Investire Societa Di Gestione Del Risparmio S.P.A.,
acting on behalf of an Italian real estate alternative closed-end
fund (fondo comune di investimento immobiliare alternative di tipo
chiuso riservato) named Everest, which is ultimately owned by
Kildare Partners (the sponsor).

As a result of the tenant rent disruption caused by the Coronavirus
Disease (COVID-19) pandemic, the borrower has suffered cash flow
deterioration and, as a result, has been unable to comply with a
number of its obligations, including interest payment and financial
covenants. The loan was transferred into special servicing on June
19, 2020, with the event of default still continuing.

With the borrower expecting to continue to breach certain
provisions of the Facility Agreement during at least part of 2021
and potentially part of 2022, the borrower has requested to enter
into the Standstill Agreement until the Initial Termination Date on
September 15, 2022. DBRS Morningstar understands that the
Standstill Agreement will be shortly put to noteholder vote.
Together with the Standstill Agreement, the borrower has provided a
cash flow forecast, a capex investment plan, and a payment schedule
throughout to Q3 2022.

On the September 2021 loan payment date, the borrower fully met its
debt service obligations and the commitments outlined in the
payment schedule. Namely, the borrower paid EUR 1.5 million in
interest this quarter, including EUR 491,000 to pay off the unpaid
interest, as well as EUR 3.0 million to amortize the capex loan
principal.

As a result, the loan-to-value (LTV) ratio currently stands at
61.4% (net of the funds deposited on the capex account), or 62.9%
including the capex facility. DBRS Morningstar notes that the LTV
value is still based on the EUR 161.4 million initial valuation
provided by Cushman & Wakefield plc (C&W) in March 2019, as the
valuation update has differed on the basis of volatile market
conditions.

As of June 2021, the total portfolio vacancy rate stood at 14.4%
compared with the 17.9% rate at a time of last surveillance and
8.5% at issuance. Meanwhile, the weighted-average unexpired lease
term (WAULT) remains at 3.1 years, unchanged since issuance.
Although the incentives granted to the tenants to compensate for
the negative impact on turnover and footfall have influenced the
rent collection process, DBRS Morningstar notes that there is no
significant deviation in the portfolio's performance since the last
surveillance.

In its underwriting, DBRS Morningstar assumed a vacancy of 20.0%,
which resulted in a DBRS Morningstar net cash flow (NCF) of EUR 8.6
million and a 35.1% haircut to the estimated rental value of EUR
13.3 million. DBRS Morningstar applied a capitalization rate of
9.0% to the underwritten NCF and arrived at a DBRS
Morningstar-stressed value of EUR 95.7 million, which represents a
40.1% haircut to the EUR 161.4 million market value provided by
C&W.

The first loan maturity is on 15 September 2022, with a one-year
extension option provided that the loan is fully hedged and there
are no continuing events of default. The legal final maturity of
the notes is in September 2030, seven years after the latest
possible loan maturity on 15 September 2023. In DBRS Morningstar's
view, such tail period provides the special servicer with
sufficient time to work on a recovery of the collateral value and
mitigates the refinancing risk of the transaction.

The transaction benefits from a liquidity facility of EUR
5,007,474.05 (EUR 5,290,000.00 committed at closing) to cover any
potential interest payment shortfalls on the Class A and Class B
notes, including the corresponding retention tranches. The
liquidity facility was drawn once on 23 December 2020 in the amount
of EUR 396,054.16 and repaid on 24 March 2021. According to DBRS
Morningstar's analysis, the commitment amount at closing was
equivalent to approximately 23 months of coverage based on the
hedging term or approximately 10 months of coverage and the 5%
Euribor cap. DBRS Morningstar does not rate the liquidity provider,
but maintains public ratings on JPMorgan Chase Bank, N.A. at AA/R-1
(middle) with Stable trends.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an immediate economic contraction, leading in
some cases to increases in unemployment rates and income reductions
for many tenants and borrowers. DBRS Morningstar anticipates that
vacancy rate increases and cash flow reductions may arise for many
commercial mortgage-backed security (CMBS) borrowers, some
meaningfully. In addition, commercial real estate values will be
negatively affected, at least in the short term, affecting
refinancing prospects for maturing loans and expected recoveries
for defaulted loans.

Notes: All figures are in euros unless otherwise noted.


RED & BLACK AUTO: DBRS Gives Prov. BB(high) Rating on Cl. D Notes
-----------------------------------------------------------------
DBRS Ratings GmbH assigned provisional ratings to the following
classes of notes (the Rated Notes) to be issued by Red & Black Auto
Italy S.r.l. (the Issuer):

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

DBRS Morningstar did not assign ratings to the Class J Notes
(together with the Rated Notes, the Notes) to be issued in this
transaction.

The rating on the Class A Notes addresses the timely payment of
interest and the ultimate repayment of principal by the final
maturity date. The ratings on the Class B Notes, Class C Notes, and
Class D Notes address the ultimate payment of interest and the
ultimate repayment of principal by the final maturity date while
junior to other outstanding classes of notes, but the timely
payment of interest when they are the senior-most tranche, in
accordance with the Issuer's default definition provided in the
transaction documents.

These ratings are provisional and based on the information and data
available to this date. These ratings will be finalized upon review
of the final version of the transaction documents and of the
relevant opinions.

The Rated Notes are backed by a pool of approximately EUR 1 billion
of fixed-rate receivables related to Italian auto loans granted by
Fiditalia S.p.A. (Fiditalia or the Seller) to individuals residing
in Italy. The proceeds of the Class J Notes will fund the cash
reserve.

DBRS Morningstar based its ratings on the following analytical
considerations:

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

-- Credit enhancement levels that are sufficient to support DBRS
Morningstar's projected expected net losses under various stress
scenarios.

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

-- Fiditalia's capabilities with respect to originations,
underwriting, servicing, and financial strength.

-- The appointment of a backup sub-servicer upon closing.

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

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

-- The sovereign rating on the Republic of Italy, currently rated
BBB (high) with a Negative trend by DBRS Morningstar.

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

TRANSACTION STRUCTURE

The transaction has a mixed sequential/pro rata amortization
structure. Initially, all collections from the receivables will pay
down the Class A Notes (in accordance with the relevant priority of
payments). Once the Class A Notes support ratio percentage reaches
12%, principal on the Rated Notes will be allocated on a pro rata
basis, unless specified performance triggers are breached as
outlined in the transaction documents.

The transaction benefits from liquidity support provided by a cash
reserve, funded to an amount equal to 0.5% of the initial principal
amount of the Rated Notes. The reserve is available to cover the
payment of senior expenses, swap payments, and nonsubordinated
interest on the Rated Notes prior to being restored to its target
amount equal to 0.5% of the outstanding principal balance of the
Rated Notes, subject to a floor of 0.25% of their initial principal
amount.

COUNTERPARTIES

The Bank of New York Mellon SA/NV, Milan branch (BNYM) is the
account bank for the transaction. DBRS Morningstar has a private
rating on BNYM, which meets DBRS Morningstar's criteria to act in
such capacity. The transaction documents are expected to contain
downgrade provisions consistent with DBRS Morningstar's criteria
with respect to BNYM's role as account bank.

The transaction is exposed to interest rate risk due to the
mismatch between the fixed-rate assets and the floating-rate
liabilities. The risk is mitigated by four different interest rate
swap agreements for each of the Rated Notes. DZ BANK AG Deutsche
Zentral-Genossenschaftsbank, Frankfurt am Main (DZ Bank) is the
swap counterparty for the transaction. DBRS Morningstar has a
Long-Term Senior Debt rating of AA (low) and a Long Term Critical
Obligations Rating of AA on DZ Bank. The hedging documents are
expected to include downgrade provisions consistent with DBRS
Morningstar's criteria.

DBRS Morningstar analysed the transaction structure in Intex
DealMaker.

CORONAVIRUS DISEASE (COVID-19) CONSIDERATIONS

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an immediate economic contraction, leading in
some cases to increases in unemployment rates and income reductions
for many borrowers. DBRS Morningstar anticipates that delinquencies
may continue to increase in the coming months for many asset-backed
securities (ABS) transactions. The ratings are based on additional
analysis to expected performance as a result of the global efforts
to contain the spread of the coronavirus. For this transaction,
DBRS Morningstar applied a moderate haircut to its expected
recovery rate.

Notes: All figures are in euros unless otherwise noted.




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

TAGUS 1: DBRS Finalizes B Rating on Class E Notes
-------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following classes of notes issued by Tagus – Sociedade de
Titularizacao de Creditos, S.A., Viriato Finance No. 1 (the
Issuer):

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

DBRS Morningstar does not rate the Class F, Class R, or Class X
notes also issued in the transaction.

The rating of the Class A notes addresses the timely payment of
scheduled interest and the ultimate repayment of principal by the
legal final maturity date. The ratings of the Class B, Class C,
Class D, and Class E notes address the ultimate payment of interest
while junior to other outstanding classes of notes but the timely
payment of scheduled interest when they are the senior-most
tranche, and the ultimate repayment of principal by the legal final
maturity date.

The transaction is a securitization of Portuguese unsecured
consumer loan receivables originated by WiZink Bank S.A.U.,
Portuguese Branch (the originator and servicer).

The ratings are based on a review of the following analytical
considerations:

-- The transaction's capital structure, including form and
sufficiency of available credit enhancement to support the
projected expected net losses under various stress scenarios.

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

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

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

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

-- The credit quality and historical and projected performance of
the originator's portfolio.

-- DBRS Morningstar's sovereign rating of the Republic of Portugal
at BBB (high) with a Stable trend.

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

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

TRANSACTION STRUCTURE

The transaction represents the issuance of Class A, Class B, Class
C, Class D, Class E, and Class F notes backed by a pool of
fixed-rate, unsecured and amortizing personal loans granted without
a specific purpose to individuals domiciled in Portugal and
serviced by the originator. The Class R and Class X notes are not
collateralized by the loan receivables.

The transaction features a 12-month revolving period during which
time the Issuer will purchase new receivables that the originator
may offer, provided that certain conditions set out in the
transaction documents are satisfied.

The transaction benefits from a cash reserve equal to 1% of the
Class A, Class B, and Class C notes' outstanding balance funded by
the proceeds from the Class R notes issuance proceeds at closing.
The reserve is available to the Issuer only when the interest and
principal collections are not sufficient to cover the shortfalls in
senior expenses, swap payments, interest on the Class A notes, and
if not subordinated, interest payments on the Class B and Class C
notes.

COUNTERPARTIES

Elavon Financial Services D.A.C. (Elavon) is the account bank.
Based on DBRS Morningstar's private rating on Elavon and the
downgrade provisions outlined in the transaction documents, DBRS
Morningstar considers the risk arising from the exposure to the
account bank to be commensurate with the ratings assigned.

BNP Paribas, S.A. is the swap counterparty for the transaction.
DBRS Morningstar's rating on BNP Paribas meets the criteria to act
in such capacity at closing. The transaction documents contain
downgrade provisions consistent with DBRS Morningstar's criteria.

PORTFOLIO ASSUMPTIONS, COVID-19 CONSIDERATIONS, AND KEY DRIVERS

While the originator has a long operating history of consumer loan
lending in Portugal, the performance to date considered meaningful
for detailed vintage analysis is relatively short due to the
several operational and underwriting changes. DBRS Morningstar
elected to set its asset assumptions of lifetime expected gross
default and recovery to 8.22% and 20%, respectively, reflecting the
short meaningful historical data and limited consumer loan
portfolios in Portugal for benchmarking.

DBRS Morningstar analysed the transaction structure in Intex
DealMaker.

The coronavirus and the resulting isolation measures have caused an
immediate economic contraction, leading in some cases to increases
in unemployment rates and income reductions for many borrowers.
DBRS Morningstar anticipates that delinquencies may continue to
increase in the coming months for many asset-backed security (ABS)
transactions. The ratings are based on additional analysis to
expected performance as a result of the global efforts to contain
the spread of the coronavirus. For this transaction, DBRS
Morningstar assumed a moderate decline in the expected recovery
rate.

Notes: All figures are in euros unless otherwise noted.


TAGUS 2: DBRS Finalizes B(low) Rating on Class E Notes
------------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following classes of notes issued by TAGUS - Sociedade de
Titularizacao de Creditos, S.A. (Ulisses Finance No.2) (the Issuer
or Ulisses Finance No.2), a limited liability company incorporated
under the laws of Portugal:

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

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

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

The underlying receivables consist of fully amortizing auto loan
contracts granted for the purpose of acquiring used vehicles (99.6%
of the initial portfolio). There are neither balloon loans nor auto
lease contracts contained within the portfolio and, therefore, the
Issuer is not directly exposed to residual value risk.

The transaction includes a one-year revolving period during which
time the originator may offer additional receivables that the
Issuer may purchase, provided that eligibility criteria and
concentration limits set out in the transaction documents are
satisfied. The revolving period may end earlier than scheduled if
certain events occur, such as a breach of performance triggers, an
insolvency of the seller, or default of the servicer.

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

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

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

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

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

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

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

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

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

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

TRANSACTION STRUCTURE

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

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

The structure incorporates a cash reserve available to cover senior
expenses and interest shortfalls on the Class A Notes, Class B
Notes, and Class C Notes. However, after these notes have been
redeemed the target cash reserve amount is equal to zero.

There is an interest rate mismatch as 94.9% of the initial
portfolio represents fixed-rate loans whilst floating-rate
asset-backed notes have been issued. There is also a degree of
basis risk as floating-rate loans are indexed to three-month
Euribor while the Rated Notes are indexed to one-month Euribor. The
Issuer has entered into an interest rate cap agreement with
Deutsche Bank AG in order to hedge the exposure to fixed-rate
loans. Floating-rate loans are repriced on a quarterly basis and
represent a relatively small proportion of the portfolio.

COUNTERPARTIES

Deutsche Bank AG has been appointed as the Issuer's account bank
and cap counterparty for the transaction. DBRS Morningstar's public
Long-Term Issuer rating of Deutsche Bank AG is at A (low) with a
Stable trend, which meets the criteria to act in these capacities.
The transaction documents contain downgrade provisions relating to
the account bank and cap counterparty consistent with DBRS
Morningstar's legal and derivative criteria, respectively. The
Issuer's accounts include the payment account, cash reserve
account, and collateral account. Under the cap agreement, the
Issuer has paid at closing a premium to the cap counterparty and
will receive, on each payment date, the positive difference between
one-month Euribor and 1.5%.

DBRS Morningstar analysed the transaction structure in Intex
Dealmaker.

CORONAVIRUS DISEASE (COVID-19) CONSIDERATIONS

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an immediate economic contraction, leading in
some cases to increases in unemployment rates and income reductions
for many borrowers. DBRS Morningstar anticipates that delinquencies
may continue to increase in the coming months for many asset-backed
securities (ABS) transactions. The ratings are based on additional
analysis to expected performance as a result of the global efforts
to contain the spread of the coronavirus. For this transaction,
DBRS Morningstar applied a moderate haircut to its expected
recovery rate.

Notes: All figures are in euros unless otherwise noted.




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

ALHAMBRA SME 2019-1: DBRS Confirms B(low) Rating on Class C Notes
-----------------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the notes issued by
Alhambra SME Funding 2019-1 DAC (the Issuer) as follows:

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at B (low) (sf)

The rating on the Class A Notes addresses the timely payment of
interest and the ultimate payment of principal on or before the
legal final maturity date. The ratings on the Class B and Class C
Notes address the ultimate payment of interest and principal on or
before the legal final maturity date.

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

-- Portfolio performance, in terms of delinquencies, defaults, and
losses, as of August 18, 2021.

-- Lifetime Portfolio Default Rates (PD), recovery rates, 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; and

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

The transaction is a securitization collateralized by a portfolio
of loans granted to Spanish small and medium-size enterprises
(SMEs) and middle-market (MM) corporations. The loans were
originated by Be-Spoke Capital (Ireland) Limited (BCI) and first
warehoused at Be-Spoke Loan Funding DAC, which then sold the
portfolio to the Issuer. Be-Spoke Capital (London) Limited (BCL)
acts as the Servicer to the Issuer. The portfolio is static and the
loans were interest only until at least August 2021 (inclusive)
with some loans starting to amortize afterwards. The transaction
closed on November 21, 2019 and the legal final maturity date is on
November 30, 2028.

PORTFOLIO PERFORMANCE

As of August 18, 2021, five loans had defaulted since closing,
raising the cumulative defaulted balance to EUR 35.8 million or
13.0% of the initial portfolio balance, up from 10.4% at the last
annual review. As of August 18, 2021, the portfolio average credit
quality measured by the DBRS Morningstar Risk Score stood at 34.1%
(excluding the defaulted loans) compared with 27.5% at last annual
review. The portfolio currently has nine borrowers with a credit
estimate equivalent to a CCC (high) rating or below (excluding
defaulted loans), representing 25.6% of the outstanding portfolio
balance, up from 14.8% at last annual review. Despite the negative
performance of the portfolio, the CE to the rated notes increased
compared with one year ago, mainly because of:

(1) The efficiency of the principal deficiency ledger (PDL)
mechanisms in trapping excess spread. To date, DBRS Morningstar
estimates the transaction has trapped EUR 17.9 million via the PDL
mechanisms, which the Issuer used to pay down the Class A Notes,
helping to deleverage the transaction.

(2) Two loans prepaid over the past year, totaling EUR 10.5 million
or 3.8% of the initial portfolio balance. In addition to the
outstanding principal balance being prepaid, the transaction
collected an extra EUR 1.2 million as per the loan make-whole
clauses, which the Issuer also used to pay down the principal on
the Class A Notes.

The portfolio exhibits high borrower concentration, with the top 10
borrowers representing 44.3% of the outstanding portfolio balance
(excluding defaulted loans). The portfolio also exhibits a high
geographic concentration, with the largest exposures in Madrid and
Catalonia representing 27.4% and 24.9% of the outstanding portfolio
balance, respectively (excluding defaulted loans).

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the
performing pool of receivables. The DBRS Morningstar Risk Score
increased to 34.1% from 27.5% at last annual review while the
weighted-average life decreased to 1.7 years from 2.6 years at last
annual review. DBRS Morningstar maintained its recovery rate
assumptions at 12.2%, 14.2%, and 19.4% at the AAA (sf), A (low)
(sf), and B (low) (sf) rating levels, respectively.

CREDIT ENHANCEMENT

The CE consists of overcollateralization and is calculated based on
the outstanding portfolio balance (excluding defaulted loans).
Given that part of the Class Z2 Notes are not collateralized
because the Issuer used part of their issuance proceeds to cover
upfront costs at closing, DBRS Morningstar considered the
performing portfolio balance instead of the outstanding balance on
the junior notes for its calculation of the CE. As of the August
2021 payment date, the CE increased as follows compared with last
annual review:

-- CE to the Class A Notes increased to 57.0% from 51.5%
-- CE to the Class B Notes increased to 49.5% from 44.5%
-- CE to the Class C Notes increased to 21.6% from 18.7%

The increase in the CE was driven by the early repayment in the
portfolio, which led to the amortization of the Class A Notes.

The transaction benefits from a PDL mechanism, whereby a PDL
allocated to each class of notes records the outstanding balance of
the loan at the time of default in the junior order of priority and
interest is diverted from the interest waterfall to the principal
waterfall to amortize the notes in sequential order of seniority.
As of the August 2021 payment date, the Class Z1 and Class Z2 Notes
PDLs were at EUR 9.3 million and EUR 8.3 million, respectively,
while all other PDLs remain clear. DBRS Morningstar does not rate
the Class Z1 and Class Z2 Notes.

The transaction benefits from a liquidity reserve, which is funded
with excess spread in the interest waterfall up to a target amount
of EUR 4.0 million. The liquidity reserve is available to cover
senior expenses and interests on the Class A to Class D Notes as
well as to cure all the PDLs. As of the August 2021 payment date,
the reserve remained below its target balance at EUR 0. The reserve
was funded at its target amount after the first three payment
dates, but depleted due to the defaults on the portfolio since the
July 2020 payment date and has remained unfunded since.

BNP Paribas Securities Services, Spanish branch (BNPSS Spain) acts
as the account bank for the transaction. Based on DBRS
Morningstar's private rating on BNPSS Spain, the downgrade
provisions outlined in the transaction documents, and other
mitigating factors inherent in the transaction structure, DBRS
Morningstar considers the risk arising from the exposure to the
account bank to be consistent with the rating assigned to the Class
A Notes, as described in DBRS Morningstar's "Legal Criteria for
European Structured Finance Transactions" methodology.

DBRS Morningstar analyzed the transaction structure with its
proprietary cash flow engine.

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

Notes: All figures are in euros unless otherwise noted.


CAJAMAR 1: DBRS Confirms BB(low) Rating on Class B Notes
--------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the bonds issued by IM
BCC Cajamar 1 FT (the Issuer), as follows:

-- Class A Notes at AAA (sf)
-- Class B Notes at BB (low) (sf)

The confirmations 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 August 2021 payment date;

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

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

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

The rating of the Class A Notes addresses the timely payment of
interest and the ultimate payment of principal on or the final
maturity date in March 2058. The rating of the Class B Notes
addresses the ultimate payment of interest and principal on or
before the final maturity date.

The Issuer is a securitization of residential mortgage loans
secured by first-lien and a small portion of second-lien mortgages
on properties in Spain originated and serviced by Cajamar Caja
Rural, Sociedad Cooperativa de Credito (Cajamar).

PORTFOLIO PERFORMANCE

As of August 2021, loans two to three months in arrears represented
0.3% of the outstanding portfolio balance, down from 0.4% in August
2020. The 90+ days delinquency ratio decreased to 0.2% from 0.4% in
the same period. The cumulative default ratio was 0.5% and the
cumulative loss ratio was 0.4%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and updated its base case PD and LGD
assumptions to 5.5% and 24.4%, respectively.

CREDIT ENHANCEMENT

The Class A Notes are supported by the subordination of the Class B
Notes and the reserve fund. As of the August 2021 payment date,
credit enhancement for the Class A Notes as a percentage of the
non-defaulted mortgage loans increased to 34.6%, up from 30.6% in
August 2020. The Class B Notes' credit enhancement remains at 0.0%.
Once the Class A Notes are paid in full, the reserve fund will
provide credit support to the Class B Notes.

The transaction benefits from a nonamortizing reserve fund sized at
3% of the initial balance of the Class A Notes and Class B Notes.
It is currently at its target balance of EUR 22.5 million. The
reserve fund provides liquidity and credit support to the Class A
Notes until the Class A Notes are paid in full and thereafter it
will be available to support the Class B Notes.

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

DBRS Morningstar analysed the transaction structure in Intex
DealMaker.

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

For this transaction, DBRS Morningstar increased the expected
default rate for self-employed borrowers and conducted additional
sensitivity analysis to determine that the transaction benefits
from sufficient liquidity support to withstand potential high
levels of payment holidays in the portfolio. As of the August 2021
payment date, 0.0% of the portfolio was under payment moratorium.

Notes: All figures are in euros unless otherwise noted.


SANTANDER CONSUMER 2021-1: DBRS Finalizes BB Rating on E Notes
--------------------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the series
of notes issued by Santander Consumer Spain Auto 2021-1 FT (the
Issuer) as follows:

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

The rating on the Series A Notes addresses the timely payment of
interest and the ultimate repayment of principal by the legal final
maturity date in June 2035. The ratings on the Series B Notes,
Series C Notes, Series D Notes, and Series E Notes address the
ultimate payment of interest and the ultimate repayment of
principal by the legal final maturity date.

The transaction represents the issuance of Series A Notes, Series B
Notes, Series C Notes, Series D Notes, and Series E Notes (the
Rated Notes) backed by a portfolio of approximately EUR 575 million
of fixed-rate receivables related to auto loans granted by
Santander Consumer Finance S.A. (SCF; the originator) to private
individuals and corporates residing in Spain for the acquisition of
new or used vehicles. The originator will also service the
portfolio. The Series F Notes will be issued to fund the cash
reserve.

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

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

-- Credit enhancement levels that are sufficient to support DBRS
Morningstar's projected expected net losses under various stress
scenarios.

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

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

-- The other parties' capabilities and financial strength with
regard to their respective roles.

-- DBRS Morningstar's operational risk review of SCF, which DBRS
Morningstar deems to be an acceptable originator and servicer.

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

-- DBRS Morningstar's current sovereign rating of the Kingdom of
Spain at "A" with a Stable trend.

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

The transaction allocates payments on a combined interest and
principal priority of payments basis and benefits from an
amortizing EUR 5.8 million cash reserve (corresponding to 1.0% of
the Rated Notes) funded through the subscription proceeds of the
Series F Notes. The cash reserve covers senior costs and interest
on the Rated Notes. The cash reserve is part of the available
funds.

The transaction benefits from a 15-months revolving period. The
repayment of the notes will start on the first amortization payment
date in March 2023 on a pro rata basis unless certain events such
as breach of performance triggers, insolvency of the servicer, or
termination of the servicer occur. Under these circumstances, the
principal repayment of the notes will become fully sequential, and
the switch is not reversible. Interest and principal payments on
the notes are made quarterly on the 22nd of March, June, September,
and December. The Series A Notes, Series B Notes, and Series C
Notes pay interest indexed to three-month Euribor and the Series D
Notes, Series E Notes and Series F Notes pay fixed interest rate,
whereas the total portfolio pays a fixed interest rate. The
interest rate risk arising from the mismatch between the Issuer's
liabilities and the portfolio is hedged through a cap collateral
agreement with an eligible counterparty.

At inception, the weighted-average portfolio yield is about 6.2%,
well exceeding the senior cost and interest payable by the Issuer;
hence, the transaction benefits from a considerable excess of
interest collections that the Issuer can apply to offset losses
occurring in the current and previous periods. However, excess that
is not used in a period will be released toward junior payments in
the waterfall.

SCF acts as the account bank for the transaction. Based on DBRS
Morningstar's private rating on SCF, the downgrade provisions
outlined in the transaction documents, and structural mitigants
inherent in the transaction structure, DBRS Morningstar considers
the risk arising from the exposure to SCF to be consistent with the
rating assigned to the Rated Notes, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

SCF acts in several roles critical for the transaction, including
originator, servicer, and account bank, and the interruption of
critical services might affect the Issuer's capacity to timely
fulfil its obligations. DBRS Morningstar believes that SCF's
experience and financial strength, coupled with certain downgrade
provisions envisaged for some critical roles, mitigate the risk of
serious disruption, but addressed the risk in its analysis and
factored in additional stresses commensurate with the residual
risk.

DBRS Morningstar analysed the transaction structure in Intex
DealMaker, considering the default rates at which the Rated Notes
did not return all specified cash flows.

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

Notes: All figures are in euros unless otherwise noted.


SIENA NPL 2018: DBRS Confirms BB(high) Rating on Class A Notes
--------------------------------------------------------------
DBRS Ratings GmbH changed the trend on the Class A notes issued by
Siena NPL 2018 S.r.l. (the Issuer) to Stable from Negative and
confirmed the rating at BB (high) (sf).

The transaction represents the issuance of Class A, Class B, and
Class J notes as well as a Class X detachable coupon (collectively,
the Notes). The rating on the Class A notes addresses the timely
payment of interest and the ultimate payment of principal on or
before its final maturity date. DBRS Morningstar does not rate the
Class B notes, the Class J notes, or the Class X detachable
coupon.

At issuance, the Notes were backed by a EUR 24.1 billion portfolio
by gross book value consisting of a mixed pool of Italian
nonperforming residential, commercial, and unsecured loans
originated by Banca Monte dei Paschi di Siena S.p.A., MPS Capital
Services Banca per le Imprese S.p.A., and Monte dei Paschi di Siena
Leasing.

The receivables are serviced by Gardant S.p.A. (Gardant former
Credito Fondiario S.p.a.), Italfondiario S.p.A., Juliet S.p.A., and
Prelios S.p.A. (collectively, the special servicers). Gardant also
operates as the master servicer in the transaction.

RATING RATIONALE

The trend change and rating confirmation follow a review of the
transaction and is based on the following analytical
considerations:

-- Transaction performance: assessment of portfolio recoveries as
of June 30, 2021, focusing on: (1) a comparison between actual
collections and the servicers' business plan forecast from August
2020 (the Business Plan); (2) the collection performance observed
over the past months, including the period following the outbreak
of the Coronavirus Disease (COVID-19); and (3) a comparison between
the current performance and DBRS Morningstar's initial
expectations.

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

-- Transaction liquidating structure: the order of priority
entails a fully sequential amortization of the Notes (i.e., the
Class B notes will begin to amortize following the full repayment
of the Class A notes and the Class J notes will amortize following
the repayment of the Class B notes).

-- Performance ratios and underperformance events: as per the most
recent July 2021 payment report, all servicers, with the exception
of Gardant, have breached their special servicer subordination fee
event and 10% of their fees above the base fee are subordinated in
the priority of payments whereas the mezzanine notes trigger has
not occurred.

-- Liquidity support: the transaction benefits from an amortizing
cash reserve providing liquidity to the structure and covering
potential interest shortfall on the Class A notes. The cash reserve
target amount is equal to 3.5% of the Class A notes principal
outstanding and is currently fully funded.

TRANSACTION AND PERFORMANCE

According to the latest payment report from July 2021, the
outstanding principal amounts of the Class A, Class B, and Class J
notes were equal to EUR 1,630.3 million, EUR 874.5 million, and EUR
565.0 million, respectively. The balance of the Class A notes has
amortized by approximately 44.1% since issuance. The current
aggregated transaction balance is EUR 3,069.7 million.

As of June 2021, the transaction was performing below the
servicers' Business Plan expectations. The actual cumulative gross
collections from the transfer date (20 December 2017) equaled EUR
2,123.4 million whereas the servicers' business plan estimated
cumulative gross collections of EUR 2,435.2 million for the same
period. Therefore, as of June 2021, the transaction was
underperforming by EUR 311.9 million (-12.8%) compared with the
Business Plan expectations.

At issuance, DBRS Morningstar estimated cumulative gross
collections for the same period of EUR 1,150.8 million at the BBB
(sf) stressed scenario. Therefore, as of June 2021, the transaction
was performing above DBRS Morningstar's stressed expectations.

The Business Plan assumes total cumulative gross collections from
the transfer date amounting to EUR 6,247.8 million. Excluding
actual collections, the special servicers' expected future
collections from July 2021 now account for EUR 3,812.5 million. The
updated DBRS Morningstar BB (high) (sf) rating stress assumes a
haircut of 23.28% to the special servicers' Business Plan,
considering future expected collections.

The final maturity date of the transaction is in January 2047.

DBRS Morningstar analysed the transaction structure using Intex
DealMaker.

The coronavirus and the resulting isolation measures have caused an
immediate economic contraction, leading in some cases increases in
unemployment rates and income reductions for many borrowers. DBRS
Morningstar anticipates that negative effects may continue in the
coming months for many nonperforming loan (NPL) transactions. In
particular, the deterioration of macroeconomic conditions could
negatively affect recoveries from NPLs and the related real estate
collaterals. The rating is based on additional analysis to expected
performance as a result of the global efforts to contain the spread
of the coronavirus. For this transaction, DBRS Morningstar
incorporated its expectation of a moderate medium-term decline in
residential property prices, albeit partial credit to house price
increases from 2023 onwards is given in non-investment-grade
scenarios.

Notes: All figures are in euros unless otherwise noted.




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

CASTELL PLC 2020-1: DBRS Confirms BB(low) Rating on Class F Notes
-----------------------------------------------------------------
DBRS Ratings Limited took the following rating actions on the notes
issued by Castell 2020-1 plc (the Issuer):

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

The ratings on the Class A, Class B, Class C, Class D, Class E,
Class F, and Class X notes address the timely payment of interest
and the ultimate payment of principal on or before the legal final
maturity date in March 2053.

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;

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

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

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

The Issuer is a bankruptcy-remote special-purpose vehicle
incorporated in the United Kingdom. The issuer used the notes to
fund the purchase of UK second-lien mortgage loans originated by
Optimum Credit Limited, a specialist mortgage provider based in
Cardiff, Wales.

PORTFOLIO PERFORMANCE

As of July 2021, loans that were two to three months in arrears
represented 0.4% of the outstanding portfolio balance, the 90+-day
delinquency ratio was 1.1%, and the cumulative loss ratio was
0.0%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and updated its base case PD and LGD
assumptions to 7.3% and 38.2%, respectively.

CREDIT ENHANCEMENT

As of the July 2021 payment date, credit enhancement to the Class
A, Class B, Class C, Class D, Class E, and Class F notes was 30.8%,
23.5%, 17.7%, 10.4%, 6.5%, and 4.0% compared with 27.0%, 21.0%,
16.3%, 10.3%, 7.0%, and 5.0% at the time of DBRS Morningstar's
initial ratings, respectively. The credit enhancement to the Class
E and F notes decreased due to an increase in
undercollateralization resulting from the top-up of the liquidity
reserve fund in the transaction. The upgrade on the Class X Notes
was prompted by fast paydown, resulting from the significant level
of excess spread in the transaction.

The transaction benefits from a liquidity reserve fund of GBP 2.7
million, available to cover senior fees and interest on the Class A
and B notes.

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

Natixis S.A., London Branch acts as the swap counterparty for the
transaction. DBRS Morningstar's private rating on Natixis S.A.,
London Branch is above the First Rating Threshold as described in
DBRS Morningstar's "Derivative Criteria for European Structured
Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading in some cases
to increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
continue to increase in the coming months for many structured
finance transactions. The ratings are based on additional analysis
to expected performance as a result of the global efforts to
contain the spread of the coronavirus. For this transaction, DBRS
Morningstar incorporated an increase in PD for certain borrower
characteristics and assessed a potential reduction in portfolio
prepayment rates.

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


JMC MECHANICAL: Enters Liquidation, Up to 140 Jobs Affected
-----------------------------------------------------------
Margaret Canning at Belfast Telegraph reports that up to 140 jobs
have been lost at a Housing Executive contractor near Portadown as
it faces liquidation amid the pressure of rising costs in the
building trade.

JMC Mechanical and Construction carried out a mix of private and
public sector work from its headquarters in Waringstown, and is
thought to have employed up to 140 people, Belfast Telegraph
discloses.

The firm, which has now ceased trading, also had premises in Drumbo
in Lisburn and Bleary, Belfast Telegraph notes.  It was run by
Bernadette McCully (61) and James McCully (54), Belfast Telegraph
states.  


NMCN: Owes Suppliers More Than GBP60 Million in Unpaid Bills
------------------------------------------------------------
Grant Prior at Construction Enquirer reports that angry suppliers
have been left in the lurch for more than GBP60 million in unpaid
bills following the fall into administration of nmcn.

One groundworks specialist owed nearly GBP50,000 told the Enquirer:
"We have been strung along for months and now we will get nothing.

"The administrator has told us we are unlikely to get anything and
that will hit hundreds of firms owed more than GBP60 million."

Nmcn went into administration earlier this month when a refinancing
deal with investor Svella fell through, the Enquirer recounts.

Within days, Svella acquired nmcn's telecoms division while
Galliford Try snapped-up the water business and Keltbray the
infrastructure operation, the Enquirer relates.

According to the Enquirer, the subcontractor added: "It looks like
the nmcn management have not suffered but we certainly have.

"I know lots of suppliers like me who were told that everything
would be fine and to ignore stories about the company being in
trouble."


STRATTON MORTGAGE 2019-1: DBRS Confirms B(high) Rating on E Notes
-----------------------------------------------------------------
DBRS Ratings Limited confirmed its ratings of the notes issued by
Stratton Mortgage Funding 2019-1 plc (the Issuer) as follows:

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

The rating of the Class A Notes addresses the timely payment of
interest and the ultimate payment of principal on or before the
legal final maturity date in May 2051. The rating of the Class B
Notes addresses the ultimate payment of interest and principal on
or before the legal final maturity date while junior and the timely
payment of interest while the senior-most class outstanding. The
ratings of the Class C, Class D, and Class E notes address the
ultimate payment of interest and principal on or before the legal
final maturity date.

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

-- Portfolio performance, in terms of delinquencies, defaults, and
losses, as of the August 2021 payment date;

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

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

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

The Issuer is a securitization of first-lien owner-occupied and
buy-to-let residential mortgages granted to borrowers in the UK.
The seller, Ertow Holdings IV DAC, sold loans originated by various
mortgage lenders to the Issuer. The portfolio is serviced by
Homeloan Management Limited.

PORTFOLIO PERFORMANCE

As of the August 2021 payment date, loans two to three months in
arrears represented 0.1% of the outstanding portfolio balance, down
from 0.6% in August 2020. Loans more than three months in arrears
represented 9.8% of the outstanding portfolio balance, up from
11.5% in August 2020. Cumulative principal losses were 0.0%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and updated its base case PD and LGD
assumptions to 12.2% and 23.1%, respectively, including
coronavirus-related adjustments.

CREDIT ENHANCEMENT

As of the August 2021 payment date, credit enhancement to the Class
A, Class B, Class C, Class D, and Class E notes was 28.4%, 24.8%,
20.3%, 15.7%, and 10.9%, respectively, up from 23.5%, 20.5%, 16.8%,
13.0%, and 9.0% at the initial rating, respectively. Credit
enhancement consists of subordination of the junior notes and the
reserve fund. The reserve fund provides credit enhancement to the
Class A notes at all times. Once the Class A notes have been
redeemed, the reserve fund will provide credit enhancement to all
classes of notes.

The reserve fund is funded to its target level of GBP 8.2 million
and is split into (1) an amortizing liquidity reserve fund
component funded to GBP 6.7 million, equivalent to 2.0% of the
original Class A and Class B notes balance, and (2) a general
reserve component funded to GBP 1.5 million, equivalent to 2.0% of
the original collateralized notes balance minus the liquidity
reserve component. The liquidity reserve fund covers senior fees,
Class A interest, principal losses via the Class A principal
deficiency ledger (PDL), and Class B interest (conditionally). The
general reserve covers senior fees, interest shortfall, and
principal losses via the PDLs on the rated notes, subject to
liquidity availability conditions.

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

DBRS Morningstar analysed the transaction structure in Intex
DealMaker.

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

For this transaction, DBRS Morningstar incorporated an increase in
probability of default for self-employed borrowers, assessed a
potential reduction in portfolio prepayment rates, and conducted
additional sensitivity analysis to determine that the transaction
benefits from sufficient liquidity support to withstand potential
high levels of payment holidays in the portfolio.

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


TAURUS 2019-2: DBRS Confirms BB(low) Rating on Class E Notes
------------------------------------------------------------
DBRS Ratings Limited confirmed its ratings on the following classes
of Commercial Mortgage-Backed Floating Rate Notes due November 2029
issued by Taurus 2019-2 UK DAC (the Issuer):

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

All trends are Stable.

The rating confirmations follow the transaction's stable
performance in spite of the Coronavirus Disease (COVID-19)
pandemic, which has had no impact on rent collections based on the
latest servicer report for the August 2021 interest payment date
(IPD).

The transaction consists of the securitization of a 92.1% interest
in a GBP 418.1 million (63.9% loan-to-value or LTV at issuance)
floating-rate senior commercial real estate loan advanced by Bank
of America Merrill Lynch International DAC to borrowers sponsored
by Blackstone Group L.P. (Blackstone or the Sponsor). The
acquisition financing was also accompanied by a GBP 65.0 million
(73.9% LTV) mezzanine loan, coterminous with the senior facility.
The mezzanine loan is structurally and contractually subordinated
to the senior facility and is not part of the securitization
transaction.

There is no scheduled amortization before the completion of a
permitted change of control (CoC), at which time the borrower must
repay the aggregate outstanding principal amount of the senior loan
in quarterly instalments equal to 0.25% of the outstanding
principal amount as at the date of the permitted CoC.

The legal final maturity of the notes is in November 2029, five
years after the latest possible loan maturity. Considering the
three one-year extension options that are conditional upon the loan
being fully hedged, the latest loan maturity date is 17 November
2024. Given the security structure and jurisdiction of the
underlying loan, DBRS Morningstar believes that this provides
sufficient time to enforce the loan collateral, if necessary, and
repay the bondholders.

At closing, the senior loan was backed by 126 urban logistics and
industrial assets, well diversified throughout the UK with
strategic locations in and around major UK logistics hubs. Two
properties have been sold since issuance, thus reducing the senior
loan outstanding balance down to circa GBP 416.5 million as at the
August 2021 IPD. Furthermore, the CMBS notes have been paid down
pro rata by GBP 1.38 million, according to the latest available
servicer report.

Since issuance, the overall performance of the underlying portfolio
has been quite stable. Vacancy increased slightly to 9.78%, but was
still below the DBRS Morningstar underwritten vacancy of 11.6%. Net
rental income increased as well to GBP 37.8 million from GBP 33.9
million at issuance. Consequently, the senior loan debt yield (DY)
increased to 9.08%, compared to a cash trap level of 7.4%.

The LTV of the senior loan has reduced slightly to 61.33%,
following a revaluation of the underlying portfolio performed by
Cushman & Wakefield in September 2020 as well as the loan
repayments after the disposal of two assets. The new valuation of
the portfolio is GBP 695.4 million (excluding also the second asset
recently sold), which includes a portfolio premium of 7.5% based on
the assumption that the properties were sold as a single lot.
However, based on the Adjusted Portfolio Value, as per the Facility
Agreement, the value used for the LTV computation is GBP 679.2
million, with the portfolio premium capped at 5%.

DBRS Morningstar kept its net cash flow (NCF) assumption constant
at GBP 29.0 million as at underwriting. In addition, DBRS
Morningstar maintained its cap rate at 6.54% as at underwriting,
which translates to a DBRS Morningstar stressed value of GBP 443.7
million, representing a 34.67% haircut on the most updated market
value.

The loan structure does not include financial default covenants
prior to a permitted CoC, after which the default covenants are
based on the LTV and DY. The covenant on the LTV is such that the
LTV ratio must not exceed the sum of the LTV ratio on the permitted
CoC date and an additional 15.0%. Additionally, the new obligors
must ensure that after the CoC date, the DY is not less than the
higher of both 85.0% of the DY as of the CoC date or 6.75%.

The transaction benefits from a liquidity facility of GBP 8.0
million (or 3.6% of the total outstanding balance of the Class A
and Class B or the "Covered Notes"), provided by Bank of America
N.A., London Branch to fund expense shortfalls (including any
amounts owed to third-party creditors and service providers that
rank senior to the notes), property protection shortfalls, and
interest shortfalls (including with respect to deferred interest,
but excluding default interest and exit payment amounts) in
connection with interest due on the covered notes. As at the August
2021 IPD, the outstanding balance of the liquidity facility has
slightly decreased to GBP 7,969,727.44, proportionally with the
repayments on the covered notes.

According to DBRS Morningstar's analysis, the commitment amount
provides 12 months and 6 months of coverage on the covered notes
based on the cap rate of 1.75% and the Libor notes cap of 5.0%
after loan maturity, respectively.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading in some cases
to increases in unemployment rates and income reductions for many
tenants and borrowers. DBRS Morningstar anticipates that vacancy
rate increases and cash flow reductions may continue to arise for
many CMBS borrowers, some meaningfully. In addition, commercial
real estate values will be negatively affected, at least in the
short term, affecting refinancing prospects for maturing loans and
expected recoveries for defaulted loans.

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


TAURUS 2021-4: DBRS Finalizes B(high) Rating on Class F Notes
-------------------------------------------------------------
DBRS Ratings Limited finalized its provisional ratings on the notes
issued by Taurus 2021-4 UK DAC (the Issuer):

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

All trends are Stable.

Taurus 2021-4 UK DAC is a partial securitization (the Transaction)
of two senior commercial real estate (CRE) loans: the Fulham loan
(GBP 633.2 million) and the United VI loan (GBP 210.9 million)
(together, the Loans). The Loans were advanced by Bank of America
Europe DAC to entities owned and managed by the Blackstone Group
Inc. (Blackstone or the Sponsor). The Loans are secured separately
by two portfolios which, in aggregate, comprise 325
light-industrial and logistics assets in the UK.

Both loan portfolios are integrated into Blackstone's logistics
platform, Mileway, as part of its UK portfolio, which already
covers three other DBRS Morningstar-rated commercial
mortgage-backed security (CMBS) transactions: BAMS CMBS 2018-1 DAC,
Taurus 2019-2 UK DAC, and Scorpio (European Loan Conduit No.34)
DAC. For a complete view of the securitized Mileway platform in
Europe, please refer to the Mileway (Blackstone) public portfolio
on DBRS Viewpoint, DBRS Morningstar's free web-based CMBS
platform.

FULHAM

The Fulham loan relates to a term loan facility granted to 10
Fulham borrowers or Blackstone as ultimate beneficiary. The purpose
of the loan was for the Sponsor to refinance the existing Fulham
loan, which was previously securitized in Taurus 2020-2 UK DAC,
following Blackstone's acquisition of three portfolios of urban
logistic assets: Hansteen, Cara, and United (together, the Fulham
portfolio). The total commitment under the loan.
is GBP 633.2 million.

The Fulham portfolio is highly granular with 276 mostly urban
logistics and multi-let properties, 12 of which are classified as
land parcels. The portfolio offers a total of 15.5 million square
feet (sf) which, as of the cut-off date on 31 March 2021, was 90%
occupied by over 2,000 tenants. The largest 10 tenants represent
only 13.0% of the gross rental income (GRI) and the largest tenant,
XPO Supply Chain UK Limited, only accounts for 3.8%. No other
tenant contributes more than 1.5% in total GRI. The
weighted-average unexpired lease term (WAULT) and WA unexpired
lease to break (WAULB) are 3.6 years and 2.6 years, respectively.

The portfolio is geographically diversified across the UK; however,
there is some concentration in the North East and Yorkshire and the
Midlands, which represent 26% and 19% of the total market value
(MV), respectively. The remaining assets are located in the North
West (11% of MV), South East and London (17%), South West and Wales
(13%), and Scotland (14%). The majority of the properties are
located within 20 kilometers (km) of major metropolitan areas.

On June 21, 2021, Jones Lang Lasalle Incorporated (JLL) conducted
valuations on the properties and appraised their MV at GBP 934.4
million. JLL is of the opinion that the MV of the portfolio, as a
single lot is GBP 1,027.5 million, which equates to a premium of
10% above the aggregated individual property valuations; however,
for the purposes of the financing, the portfolio premium was capped
5%, giving a value of GBP 980.8 million. Based on this valuation,
the Fulham loan represents a loan-to-value (LTV) ratio of 65%. The
valuer's net operating income (NOI) is GBP 57.3 million, implying a
net initial yield (NIY) of 5.8% and a day-one debt yield (DY) of
9.0%. DBRS Morningstar's long-term stable net cash flow (NCF)
assumption for the Fulham portfolio is GBP 49.7 million and DBRS
Morningstar's value for the portfolio is GBP 712.2 million. DBRS
Morningstar notes that there is a potential stamp duty liability in
reference to certain properties in the Hansteen subportfolio, which
could arise when the legal titles are transferred. DBRS Morningstar
made a negative adjustment of GBP 4 million, matching that of the
potential liability, to conclude a DBRS Morningstar value of GBP
708.2 million, representing a haircut of 27.8% to the JLL value.
DBRS Morningstar notes that it did not attribute any value to the
12 undeveloped land parcels which JLL valued at GBP 29.0 million;
as such, the value haircut between DBRS Morningstar's stressed
value and the commercial buildings' MV is 25.6%.

The Sponsor has identified 44 properties as noncore assets, which
mostly include land parcels, office properties, and other
nonindustrial properties. Prior to the refinancing, seven assets
had already been disposed of or excluded from the collateral pool
due to agreed sales. It should also be noted that Listerhills
Science Park, which formed part of the Fulham property portfolio,
was sold between the signing date of the Fulham Loan and the date
of the first utilization request submitted in respect of the Fulham
Loan. The Sponsor can dispose of any assets under permitted
disposals by repaying a release price of 105% of the allocated loan
amount (ALA) up to the release price threshold, which equals 10% of
the portfolio valuation. Once the release price threshold is met,
the release price will be 110% of the ALA. The release price will
be reduced pro rata by prepayment of release premiums to a minimum
of 102.5% of the ALA. Following a change of control (COC), the
release price will be 115% of the ALA.

The loan is interest only (IO) and bears interest equal to the
floating rate of Sterling Overnight Index Average (Sonia) plus a
loan margin of 1.7%, which is subject in certain circumstances to a
downward adjustment following the application of any
reverse-sequential principal in respect of the rated notes in an
amount corresponding to any related reduction in the note WA cost
(WAC) and subject to a floor of not less than the percentage points
per annum (p.a.) that are sufficient to cover the Issuer's ability
to meet payments in respect of the Issuer's priority expenses. The
interest rate risk is to be fully hedged by a prepaid cap set at
the higher of 1.5% and the level required to ensure at lease 2,0
times (x) hedged interest coverage ratio (ICR) and is to be
provided by BNP Paribas, a hedge provider with a rating plus
relevant triggers that are commensurate with that of DBRS
Morningstar's rating criteria as at the cut-off date.

The Fulham loan has LTV and DY covenants for cash trap and
following a permitted COC (PCOC) for events of default (EODs). The
LTV cash trap covenant is set at 75%. The DY cash trap covenant is
triggered if the DY falls below 8.1% on or prior to the third
anniversary of the utilization date and if it falls below 9.4%
thereafter. Following a PCOC, the LTV financial covenant is
triggered if the LTV ratio is greater than the lower of (1) the sum
of (A) the LTV Ratio (expressed as a percentage) on the COC date
and (B) 15%; and (2) the sum of (A) [opening LTV ratio] and (B) 15%
or if the DY is less than the higher of (1) [7.65]% and (2) [the DY
as at the COC date multiplied by 0.85%]. The loan maturity date is
in August 2026.

The loan seller, Bank of America Europe DAC (BofA), has retained
the applicable regulatory requirement of a Vertical Risk Retention
(VRR) loan of no less than 5% of the securitized loan balance that
the loan seller has advanced to the Issuer at closing. There is an
81% LTV mezzanine facility that has attached at 65% LTV, but is
structurally and contractually subordinated to the senior
facility.

UNITED VI

The United VI loan relates to a term loan facility granted to 6
United VI borrowers or Blackstone as ultimate beneficiary. The
purpose of the loan was for the Sponsor to finance and refinance
(1) the acquisition of a portfolio of 49 mostly urban logistics
single-let and multi-let properties, (2) the indebtedness of
members of the Group, and (3) general corporate expenses. The loan
followed a pari passu-ranking A+B structure where Facility A of GBP
210.2 million and Facility B of zero, when aggregated, formed the
total commitments under the loan.

The portfolio of logistics assets offers a total of 2.9 million sf
which, as of the cut-off date, was 84% occupied by approximately
250 tenants. The largest 10 tenants represent 38.0% of the GRI and
the largest tenant, AAH Pharmaceuticals Limited (AAH), accounts for
5.3%. The WAULT and WAULB are 4.3 years and 3.6 years,
respectively.

The portfolio is geographically diversified across the UK; however,
there is significant concentration in the North west, which
represents 48% of the total MV. The remaining assets are located in
the North East (11% of MV), South East and London (18%), and the
Midlands (11%). The majority of the properties are located within
20 km of major metropolitan areas.

On 24 May 2021, Cushman & Wakefield plc (C&W) conducted valuations
on the properties and appraised their MV at GBP 304.1 million. The
MV of the portfolio, including a portfolio premium, is GBP 319.4
million. For the purposes of the financing, the MV of the United VI
portfolio is taken to be GBP 324,452,250, which includes the
anticipated cost price of the Magna Business Park property that
remains under construction. Based on this valuation, the United VI
loan represents a LTV ratio of 65%. The valuer's NOI is GBP 14.7
million, implying a NIY of 4.5% and a day-one DY of 7.0%. DBRS
Morningstar's long-term stable NCF assumption for the United VI
portfolio is GBP 13.1 million and DBRS Morningstar's value for the
portfolio is GBP 210.7 million, representing a haircut of 32.0% to
the C&W value.

Two properties have not yet been acquired by the relevant obligor:
Crosspark 52 and Magna 34 Business Park (Dev) units 1A – 3H (the
Magna Business Park Development). The Magna Business Park
Development is currently under construction and will be acquired by
the relevant obligor(s) once practical completion has been
achieved. The Senior Facility Agreement makes accommodation for
these delayed acquisitions through separate tranches where funds
are held in a prepayment account, although DBRS Morningstar notes
that there is no guarantee that the Magna Business Park Development
will ultimately be acquired by the relevant obligor(s), to which
end the funds will be used to prepay the loan. The Sponsor can
dispose of any assets under permitted disposals by repaying a
release price of 105% of the ALA up to the release price threshold,
which equals 10% of the portfolio valuation. Once the release price
threshold is met, the release price will be 110% of the ALA. The
release price will be reduced pro rata by prepayment of release
premiums to a minimum of 102.5% of ALA. Following a COC, the
release price will be 115% of the ALA.

The loan is IO and bears interest equal to Sonia plus a loan margin
of 1.9%, which is subject in certain circumstances to a downward
adjustment following the application of any reverse-sequential
principal in respect of the rated notes in an amount [corresponding
to any related reduction in the note WAC] and subject to a floor of
not less than the percentage points p.a. that are sufficient to
cover the Issuer's ability to meet payments in respect of the
Issuer's priority expenses as estimated by the arranger acting
reasonably and in good faith. The interest rate risk is fully
hedged by a prepaid cap set at the higher of 1.5% and the level
required to ensure at lease 2.0x hedged ICR and is provided by BNP
Paribas a hedge provider with a rating plus relevant triggers that
are commensurate with that of DBRS Morningstar's rating criteria as
at the cut-off date.

The United VI loan has LTV and DY covenants for cash trap and
following a PCOC for EODs. The LTV cash trap covenant is set at
75%. The DY cash trap covenant is triggered if the DY falls below
6.5% on or prior to the third anniversary of the utilization date
and if it falls below 7.5% thereafter. Following a PCOC, the LTV
financial covenant is triggered if the LTV ratio is greater than
the lower of (1) the sum of (A) the LTV ratio (expressed as a
percentage) on the COC date and (B) 15%; and (2) the sum of (A)
[opening LTV ratio] and (B) 15%, or if the DY is less than the
higher of (1) [5.95%; and (2) [the DY as at the COC date multiplied
by 0.85%]. The loan maturity date is in August 2026.

The loan seller, BofA, will retain an ongoing material economic
interest of the applicable regulatory requirement of a VRR loan of
no less than 5% of the securitized loan balance that the loan
seller will advance to the Issuer at closing. It is anticipated
there will be a 81% LTV mezzanine facility that will attach at 65%
LTV, but will be structurally and contractually subordinated to the
senior facility.

In aggregate, DBRS Morningstar's NCF and valuation for the Fulham
and United VI portfolios are GBP 62.9 million and GBP 918.8
million, respectively, implying a blended cap rate of 6.8%.

The Transaction is expected to repay in full by 15 August 2026. If
the Loans are not repaid by then, the Transaction will have five
years to allow the special servicer to work out the loan(s) by
August 2031 at the latest, which is the legal final maturity date.

The Transaction features a Class X interest diversion structure.
The diversion trigger is aligned with the financial covenants of
the Loans; once triggered, any interest and prepayment fees due
(or, where such Class X diversion trigger event relates to one loan
only, a portion thereof attributable to such loan) to the Class X
certificateholders will instead be paid directly into the Issuer's
transaction account and credited to the Class X diversion ledger.
The diverted amount will be released once the trigger is cured;
only following the expected note maturity or the delivery of a note
acceleration notice can such diverted funds be used to amortize the
notes and the Issuer loan.

On the closing date, the Issuer entered into a liquidity facility
agreement with Bank of America N.A in which Bank of America N.A
made available liquidity support of GBP 18 million. DBRS
Morningstar understands that the liquidity facility support will
cover 14.8 months of the interest payments to the Class A to C
notes. No liquidity withdrawal can be made to cover shortfalls in
funds available to the Issuer to pay any amounts in respect of
interest due on the Class D, Class E, and Class F notes. The Class
E and Class F notes are subjected to an available funds cap where
the shortfall is attributable to an increase in the WA margin of
the notes.

Based on a cap strike rate of 1.5% and a Sonia cap of 4.00% for the
two loans, DBRS Morningstar estimated that the liquidity facility
will cover 14.8 months of interest payments, assuming the Issuer
does not receive any revenue.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading in some cases
to increases in unemployment rates and income reductions for many
tenants and borrowers. DBRS Morningstar anticipates that vacancy
rate increases and cash flow reductions may arise for many CMBS
borrowers, some meaningfully. In addition, commercial real estate
values will be negatively affected, at least in the short term,
affecting refinancing prospects for maturing loans and expected
recoveries for defaulted loans.

Notes: All figures are in euros unless otherwise noted.


TRINIDAD MORTGAGE 2018-1: DBRS Hikes Class F Notes Rating to BB
---------------------------------------------------------------
DBRS Ratings Limited took the following rating actions on the notes
issued by Trinidad Mortgage Securities 2018-1 plc (the Issuer):

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

The rating of the Class A notes addresses the timely payment of
interest and the ultimate repayment of principal by the Legal Final
Maturity Date in January 2059. The ratings of the Class B and Class
C notes address the ultimate payment of interest and principal on
or before the legal final maturity date while junior and the timely
payment of interest while the senior-most class outstanding. The
ratings of the Class D, Class E, and Class F notes address the
ultimate payment of interest and repayment of principal by the
Legal Final Maturity Date.

The confirmation and upgrades 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 July 2021 payment date;

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

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

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

The Issuer is a securitization of first- and second-ranking
mortgages secured by residential and commercial properties located
in the United Kingdom. The asset portfolio comprises three distinct
subsets originated by multiple lenders and serviced by Mars Capital
Finance Limited.

The Magellan portfolio was originated by Magellan Homeloans Limited
and Mars Capital Finance Limited and consists of recently
originated credit repair mortgages and complex-prime and near-prime
mortgages. The Thrones 2013 portfolio consists of first- and
second-ranking nonconforming residential mortgages originated by
Heritable Bank between 2004 and 2008. The Camael portfolio was
originated by Cyprus Popular Bank Co Ltd and consists of first- and
second-ranking residential and commercial mortgages, both
buy-to-let and owner-occupied.

PORTFOLIO PERFORMANCE

As of the July 2021 payment date, 30- to 90-day arrears for the
total portfolio were 5.5%, down from 7.1% in July 2020. The 90+-day
delinquency ratio was 6.9%, down from 10.7% in July 2020. The
cumulative loss ratio was 0.1%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and updated its base case PD and LGD
assumptions to 22.6% and 13.2%, respectively, including
coronavirus-related adjustments.

CREDIT ENHANCEMENT

As of the July 2021 payment date, credit enhancement to the Class
A, Class B, Class C, Class D, Class E, and Class F notes was 65.1%,
47.8%, 34.2%, 24.3%, 18.1%, and 15.9%, respectively, up from 25.7%,
18.7%, 13.2%, 9.2%, 6.7%, and 5.8% at the initial rating,
respectively. Credit enhancement consists of subordination of the
junior notes and the general reserve fund (GRF). The increase in
credit enhancement prompted the rating upgrades on the notes.

The GRF is nonamortizing and is available to cover senior fees,
interest shortfall on the senior-most outstanding class of notes,
as well as the principal deficiency ledgers on the rated notes. It
is currently funded to its target level of GBP 11.2 million.

If the balance of the GRF falls to 2% of the outstanding Class A to
H notes, a liquidity reserve fund (LRF) will be funded to 4% of the
outstanding Class A notes and will be available to cover senior
fees and Class A interest only. The LRF balance is currently zero.

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

NatWest Markets Plc acts as the interest rate cap provider for the
transaction. DBRS Morningstar's public Long Term Critical
Obligations Rating of NatWest Markets Plc at 'A' is consistent with
the First Rating Threshold as described in DBRS Morningstar's
"Derivative Criteria for European Structured Finance Transactions"
methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker.

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

For this transaction, DBRS Morningstar increased the expected
default rate for certain borrower characteristics and loans backed
by commercial properties, applied an additional haircut to its
expected recovery rates for commercial properties, and conducted
additional sensitivity analysis to determine that the transaction
benefits from sufficient liquidity support to withstand potential
high levels of payment holidays in the portfolio.

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



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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 2021.  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
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Information contained herein is obtained from sources believed to
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or balance thereof are US$25 each.  For subscription information,
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