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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, June 3, 2020, Vol. 21, No. 111

                           Headlines



F R A N C E

TECHNICOLOR SA: Bank Debt Trades at 55% Discount
TECHNICOLOR SA: Moody's Cuts CFR to Caa3, On Review for Downgrade


G E R M A N Y

DEUTSCHE LUFTHANSA: Supervisory Board Backs EUR9BB Gov't Bailout


G R E E C E

PIRAEUS BANK: Reports EUR232-Mil. First Quarter Net Loss


I R E L A N D

ABH FINANCIAL: S&P Rates New Unsec. Loan Participation Notes 'BB-'
DARTRY PARK: Fitch Affirms B Rating on Class E Debt
FAIR OAKS II: Fitch Gives BB-sf Rating on Class E Notes
FAIR OAKS II: S&P Assigns BB Rating on Class E Notes
HENLEY CLO II: Fitch Gives B-(EXP) Rating on Class F Notes

NEWHAVEN CLO: Fitch Cuts Rating on Class F-R Debt to B-sf
OZLME IV: Fitch Maintains B- Rating on F Debt on Watch Negative
ST. PAUL'S IX: Fitch Alters Outlook on Class F Debt to Watch Neg.
TIKEHAU CLO II: Fitch Keeps B- Rating on F Debt on Watch Negative


L U X E M B O U R G

INDIVIOR FINANCE: Bank Debt Trades at 16% Discount
KANTAR GLOBAL: Moody's Alters Outlook on B2 CFR to Negative


N E T H E R L A N D S

AXALTA COATING SYSTEMS: Moody's Rates New Senior Unsecured Notes B1
TMF SAPPHIRE: Bank Debt Trades at 28% Discount


P O R T U G A L

LUSITANO MORTGAGES 5: Fitch Affirms CC Rating on Class D Debt


R U S S I A

CHELYABISNK PIPE: Fitch Affirms BB- LongTerm IDR, Outlook Stable
NEFTSERVICEHOLDING LLC: Moody's Affirms B1 CFR, Outlook Stable


S P A I N

CAJA GRANADA 1: Fitch Affirms C Rating on Class D Debt
IMAGINA MEDIA: Bank Debt Trades at 39% Discount


U N I T E D   K I N G D O M

AWAZE LTD: Bank Debt Trades at 33% Discount
CIEP EPOCH: Bank Debt Trades at 88% Discount
DIVERSITY FUNDING 1: S&P Cuts Rating on Class E Notes to 'D'
INTERGEN NV: Moody's Cuts Secured Rating to B1, Outlook Negative
LONDON CAPITAL: Report on Collapse Delayed Due to Covid Crisis

MONSOON ACCESSORIZE: Seeks Rent Waivers with Landlords
PARKDEAN RESORTS: May Run Out of Money if Lockdown Remains
TED BAKER: Mulls GBP95MM Cash Call to Survive Coronavirus Crisis
TUNSTALL GROUP: Bank Debt Trades at 19% Discount

                           - - - - -


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F R A N C E
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TECHNICOLOR SA: Bank Debt Trades at 55% Discount
------------------------------------------------
Participations in a syndicated loan under which Technicolor SA is a
borrower were trading in the secondary market around 45
cents-on-the-dollar during the week ended Fri., May 29, 2020,
according to Bloomberg's Evaluated Pricing service data.  The bank
debt traded around 52 cents-on-the-dollar for the week ended May
22, 2020.

The EUR450.0 million facility is a term loan.  The loan is
scheduled to mature on December 23, 2023.   As of May 29, 2020 the
amount is fully drawn and outstanding.

The Company's country of domicile is France.


TECHNICOLOR SA: Moody's Cuts CFR to Caa3, On Review for Downgrade
-----------------------------------------------------------------
Moody's Investors Service has downgraded Technicolor S.A.'s
corporate family rating to Caa3 from Caa2, probability of default
rating to Caa3-PD from Caa2-PD and ratings on the senior secured
bank credit facilities maturing 2023 to Caa3 from Caa2. The ratings
remain under review for further downgrade.

RATINGS RATIONALE

The rating action reflects the rising likelihood of a debt
restructuring, following Technicolor's press release on May 26,
2020[1], when the company announced its intention to cancel the
proposed EUR300 million rights issue as a result of prolonged
uncertainty in global market conditions and the impact of the
coronavirus outbreak on the group's business. Instead of raising
the required liquidity through a capital increase, the group stated
that it has received indicative offers from a third-party investor
and from one of the existing lenders of the group for a EUR400
million financing. This new financing however requires the consents
from current creditors. Concurrently, the company announced that it
intends to implement a sustainable capital structure, including by
way of a debt to equity swap. Additionally, Technicolor intends to
request the opening of conciliation proceedings in France in order
to facilitate discussions with its creditors under the aegis of a
court-appointed conciliator.

The rapid and widening spread of the coronavirus outbreak,
deteriorating global economic outlook and asset price declines are
creating a severe and extensive credit shock across many sectors,
regions and markets. The combined credit effects of these
developments are unprecedented. Moody's regards the coronavirus
outbreak as a social risk under its ESG framework, given the
substantial implications for public health and safety. Its action
reflects the pandemic's impact on Technicolor's operating
performance and in particular on capital market conditions as
prolonged uncertainties prevented the execution of the proposed
EUR300 million rights issue.

The company was already weakly positioned in its previous rating
category considering its highly leveraged capital structure per end
of the last fiscal year and a weak liquidity profile. Furthermore,
the downgrade reflects the increasing risk of a capital
restructuring, which follows prolonged challenges pre the outbreak
of covid-19 in most of Technicolor's markets, evidenced by the
company's weak operating performance and in particular by strongly
negative free cash flow generation leading to a tight liquidity and
weakening credit metrics.

In its review, Moody's will consider the i) the outcome of
negotiations with its potentially new investors and its current
lenders, ii) details of the intended restructuring of Technicolor's
capital, iii) in particular a weakening of the position of current
debtholders, including the execution of a debt to equity swap as
well as iv) the development of recovery expectations on
Technicolor's debt instruments.

LIQUIDITY

Pre closing of the proposed new financing, Technicolor's short-term
liquidity is weak. The group entered Q1 2020 with internal cash
sources of around EUR65million, an undrawn EUR250 million revolving
credit facility (matures in December 2021) and a $125 million
credit line provided by Wells Fargo (matures in September 2021).
Additionally, the group contracted a $110 million facility in March
2020 (matures on July 31, 2020) as a bridge for the capital
increase.

ESG CONSIDERATIONS

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety. Technicolor's operating performance, especially in the
Production Service business, is expected to be impacted by the
pandemic and the company was not able to execute the proposed
rights issue due to existing market conditions.

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

The ratings on Technicolor could be further downgraded should the
group default on its debt obligations or pursue a formal
reorganization of its debt, or if recovery expectations on
Technicolor's debt instruments were to weaken.

An upgrade of Technicolor's ratings appears unlikely before its
indebtedness is reduced to a more sustainable level.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

COMPANY PROFILE

Technicolor S.A., headquartered in Paris, France, is a leading
provider of solutions and services for the Media & Entertainment
industries, deploying and monetizing next-generation video and
audio technologies and experiences. The group operates in two
business segments: Entertainment Services and Connected Home.
Technicolor generated revenues of around EUR3.8 billion and EBITDA
(company-adjusted) of EUR324 million in 2019.




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

DEUTSCHE LUFTHANSA: Supervisory Board Backs EUR9BB Gov't Bailout
----------------------------------------------------------------
William Wilkes at Bloomberg News reports that Deutsche Lufthansa
AG's supervisory board backed a EUR9 billion (US$10 billion)
bailout by the German government, paving the way for the airline to
receive the lifeline should investors approve it.

With cash reserves dwindling, the board voted in favor of the plan
and called an extraordinary shareholder meeting for June 25,
Bloomberg relates.  Its approval was unexpectedly delayed last week
after members balked at European Union demands for slot disposals,
a matter resolved in a deal sealed late on May 29, Bloomberg
notes.

Investors now face a choice between a capital hike that will dilute
their holdings, or tipping Europe's biggest airline toward
insolvency, Bloomberg discloses.  According to Bloomberg, people
familiar with the matter have said Lufthansa's management has told
German officials and labor representatives that it will run out of
cash on June 15.

Daniel Roeska, a transportation analyst at Sanford C. Bernstein,
said in an email that it would be foolhardy for investors to vote
down the package and that he expects them to fall into line behind
the board, Bloomberg relays.

With Lufthansa fighting for survival after the coronavirus crisis
grounded global fleets, Germany offered a package of loans and
equity investment, Bloomberg recounts.  But when the EU demanded it
give up slots, the supervisory board held off on accepting the
lifeline, throwing the rescue into turmoil after weeks of talks,
Bloomberg notes.

According to Bloomberg, under the compromise deal reached on May
29, Lufthansa will reduce its presence in Frankfurt and Munich by
four aircraft apiece and surrender enough slots for 12 daily return
flights.

The EU still has to approve other aspects of a deal that will make
Germany the carrier's biggest shareholder, thrusting the state back
into the heart of company privatized with fanfare over two decades
ago, Bloomberg states.

Like airlines the world over, Lufthansa has been struggling for
survival after the Covid-19 pandemic punctured a decades-long
aviation boom, Bloomberg notes.  The company expects its fleet to
be 100 aircraft smaller post-crisis, implying the loss of 10,000
jobs, Bloomberg says.




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G R E E C E
===========

PIRAEUS BANK: Reports EUR232-Mil. First Quarter Net Loss
--------------------------------------------------------
George Georgiopoulos at Reuters reports that Piraeus Bank, Greece's
largest lender by assets, on June 1 posted a first-quarter loss
after "frontloading" loan impairment provisions to take into
account the impact of the coronavirus crisis.

Piraeus Bank, which is 26.2% owned by the country's HFSF bank
rescue fund, reported a net loss of EUR232 million (US$258.08
million) compared with a net profit of EUR14 million in the same
period a year earlier, Reuters relates.

The coronavirus pandemic struck just as Greece's banks were making
headway in their bid to sell, write off or restructure billions of
euros of bad debt accumulated during the last financial crisis,
Reuters notes.

According to Reuters, Piraeus said the
worse-than-previously-expected macroeconomic outlook led to
incremental impairments of EUR324 million, reflecting the impact of
the COVID-19 pandemic.

Taking into account its effect on trading, the total impact
amounted to EUR370 million, including a EUR46 million hit on the
bank's trading results, Reuters discloses.

Piraeus Bank said the frontloading of bad-debt provisions for
subsequent quarters would allow the bank to execute its 2020
budget, Reuters relays.

Piraeus, as cited by Reuters, said loans under payment moratoria,
provided to eligible clients with no non-performing loans, amounted
to EUR4 billion.




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I R E L A N D
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ABH FINANCIAL: S&P Rates New Unsec. Loan Participation Notes 'BB-'
------------------------------------------------------------------
S&P Global Ratings assigned its 'BB-' long-term issue rating to the
proposed euro-denominated senior unsecured loan participation notes
(LPNs) to be issued by ABH Financial Ltd. via its financial
vehicle, Alfa Holding Issuance PLC. The rating is subject to its
analysis of the notes' final documentation.

S&P rates the proposed LPNs 'BB-', at the same level as its
long-term issuer credit rating on ABH Financial Ltd. because the
notes meet certain conditions regarding issuance by special-purpose
vehicles (SPVs) set out in its group rating methodology.

Specifically, S&P rates LPNs issued by an SPV at the same level as
it would rate equivalent-ranking debt of the underlying borrower
(the sponsor) and treat the contractual obligations of the SPV as
financial obligations of the sponsor if the following conditions
are met:

-- All of the SPV's debt obligations are backed by
equivalent-ranking obligations with equivalent payment terms issued
by the sponsor;

-- The SPV is a strategic financing entity for the sponsor set up
solely to raise debt on behalf of the sponsor's group; and

-- S&P believes the sponsor is willing and able to support the SPV
to ensure full and timely payment of interest and principal on the
debt issued by the SPV when it is due, including payment of any of
the SPV's expenses.

The purpose of the proposed LPN is to finance a loan to ABH
Financial Ltd. The maturity of the proposed issue is expected to be
three years. The final terms will be defined at the time of
placement.


DARTRY PARK: Fitch Affirms B Rating on Class E Debt
---------------------------------------------------
Fitch Ratings has affirmed all tranches of Dartry Park.

Dartry Park CLO DAC

  - Class A-1A-R XS1639242855; LT AAAsf; Affirmed

  - Class A-1B-R XS1639243408; LT AAAsf; Affirmed

  - Class A-2A-R XS1639244125; LT AA+sf; Affirmed  

  - Class A-2B-R XS1639244802; LT AA+sf; Affirmed  

  - Class B-R XS1639245445; LT A+sf; Affirmed  

  - Class C-R XS1639246179; LT BBB+sf; Affirmed  

  - Class D XS1191098257; LT BB+sf; Affirmed  

  - Class E XS1191098414 LT Bsf; Affirmed

TRANSACTION SUMMARY

Dartry Park CLO Limited is a cash flow collateralised loan
obligation. Net proceeds from the notes were used to purchase a
EUR400 million portfolio of mainly euro-denominated leveraged loans
and bonds. The underlying portfolio of assets is managed by
Blackstone/GSO Debt Funds Management Europe Limited.

KEY RATING DRIVERS

Transaction Deleveraging

The affirmation reflects deleveraging of the transaction since it
exited its reinvestment period in April 2019. The class A-1-R notes
have paid-down, bringing credit enhancement up to 41.2% from
39.25%. As of 16 April 2020, the portfolio exhibited a weighted
average life of 4.15 years against a current WAL test of 4.28
years. In addition, performance has been satisfactory and the
transaction is passing all the par value and coverage tests,
collateral quality tests and portfolio profile tests (except CCC
concentration failing by 1% as per Fitch's calculation, including
non-rated assets).

'B'/'B-' Category Portfolio Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch weighted average rating factor (WARF)
of the current portfolio is 34.88.

High Recovery Expectations

Nearly 99% of the portfolio comprises senior secured obligations.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
Fitch's weighted average recovery rate of the current portfolio is
65.1%.

Portfolio Composition

The portfolio is well diversified across obligors, countries and
industries. Exposure to the top-10 obligors is 15.29% and no
obligor represents more than 1.8% of the portfolio balance. The
largest industry is business services at 19.31% of the portfolio
balance, followed by healthcare at 15.71% and computer and
electronics at 9.95%.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transaction was modelled using the current portfolio
based on both stable and rising interest-rate scenarios and the
front-, mid-, and back-loaded default timing scenarios, as outlined
in Fitch's criteria. Fitch also tested the current portfolio with a
coronavirus sensitivity analysis to estimate the resilience of the
notes' ratings. The coronavirus sensitivity analysis was only based
on the stable interest-rate scenario including all default timing
scenarios.

When conducting cash flow analysis, Fitch's model first projects
the portfolio's scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life, assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, such scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans not assumed to default (or to be
voluntarily terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation, and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

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

A reduction of the mean Rating Default Rate (RDR) at all rating
levels by 25% and an increase in the Rating Recovery Rate (RRR) by
25% at all rating levels will result in upgrades of no more than
three notches across the structure.

Upgrades, except for the class A-1-R notes, which are already at
the highest 'AAAsf' rating, may occur in case of a better-than
expected portfolio credit quality and deal performance, leading to
higher credit enhancement and excess spread available to cover for
losses on the remaining portfolio. If the assets prepayment speed
is higher than expected and outweigh the negative pressure of the
portfolio migration, this may increase credit enhancement and
potentially add upgrade pressure to the 'AA+sf' rated notes.
Upgrades, however, are not expected in the near term in light of
the pandemic.

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

An increase of the mean RDR at all rating levels by 25% and a
decrease of the RRR by 25% at all rating levels will result in
downgrades of two to five notches across the structure, except for
the class A-1-R notes whose rating would be unaffected in such a
scenario.

Downgrades may occur if the build-up of the notes' credit
enhancement following amortisation does not compensate for a larger
loss expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to the coronavirus disruption become apparent
for other vulnerable sectors, loan ratings in those sectors would
also come under pressure. Fitch will update the sensitivity
scenarios in line with the views of its leveraged finance team.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the target portfolio to
envisage the coronavirus baseline scenario. It notched down the
ratings for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario shows the resilience of the
current ratings with cushions. This supports the affirmation these
tranches.

In addition to the baseline scenario, Fitch has defined a downside
scenario for the current coronavirus crisis, whereby all ratings in
the 'B' category would be downgraded by one notch and recoveries
would be lowered by 15%. For typical European CLOs this scenario
results in a category rating change for all ratings.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


FAIR OAKS II: Fitch Gives BB-sf Rating on Class E Notes
-------------------------------------------------------
Fitch Ratings has assigned Fair Oaks Loan Funding II Designated
Activity Company final ratings.

Fair Oaks Loan Funding II DAC

  - Class A; LT AAAsf New Rating

  - Class B-1; LT AAsf New Rating

  - Class B-2; LT AAsf New Rating

  - Class C; LT Asf New Rating

  - Class D; LT BBB-sf New Rating

  - Class E; LT BB-sf New Rating

  - Class M; LT NRsf New Rating

- Subordinated notes; LT NRsf New Rating

  - Class X; LT AAAsf New Rating

  - Class Z; LT NRsf New Rating

TRANSACTION SUMMARY

Fair Oaks Loan Funding II Designated Activity Company is a
securitisation of mainly senior secured obligations (at least 90%)
with a component of corporate rescue loans, senior unsecured,
mezzanine, second-lien loans and high-yield bonds. Net proceeds
from the note issuance are used to fund a portfolio with a target
par of EUR250 million. The portfolio is managed by Fair Oaks
Capital Limited. The collateralised loan obligation envisages a
one-year reinvestment period and a 6.5-year weighted average life.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors to in the
'B'/'B-' range. The Fitch-weighted average rating factor of the
identified portfolio is 33.6.

High Recovery Expectations

At least 90% of the portfolio comprises senior secured obligations.
Recovery prospects for these assets are typically more favourable
than for second-lien, unsecured and mezzanine assets. The
Fitch-weighted average recovery rating of the identified portfolio
is 67.3%.

Diversified Asset Portfolio

The transaction includes several Fitch test matrices corresponding
to the two top-10 obligor concentration limits of 15% and 27.5%,
and fixed-rate obligations limits of 0% and 10%. The transaction
also includes limits on maximum industry exposure based on Fitch's
industry definitions. The maximum exposure to the three-largest
(Fitch-defined) industries in the portfolio is covenanted at 40%.
These covenants ensure that the asset portfolio will not be exposed
to excessive concentration.

Portfolio Management

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

Cash-flow Analysis

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

Class E Delayed Issue: In this transaction, at closing, the class E
was issued with zero outstanding principal as a share of the
original balance (pool factor) and subscribed by the issuer for a
zero net cash price. The class E notes are deemed not to be
outstanding unless for the purpose of the calculation of the class
E par value ratio and class E par value test during the whole life
of the deal.

The tranche can be sold at the option of the subordinated
noteholders at any time during the reinvestment period only. Once
sold the tranche will then be deemed to have a 100% pool factor and
will pay a maximum spread of 7.5%. In Fitch's view, the sale of the
tranche would reduce available excess spread to cure the junior
overcollateralisation test by the class E interest amount. As a
result, Fitch has modelled the deal assuming the tranche is issued
on the issue date to reflect the maximum stress the transaction
could withstand.

RATING SENSITIVITIES

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

A 25% default multiplier applied to the portfolio's mean default
rate, and with this subtracted from all rating default levels, and
a 25% increase of the recovery rate at all rating recovery levels,
would lead to an upgrade of up to five notches for the rated notes,
except for the class A as the notes' ratings are at the highest
level on Fitch's scale and cannot be upgraded.

The transaction features a reinvestment period and the portfolio is
actively managed. At closing, Fitch used a standardised stress
portfolio (Fitch's Stressed Portfolio) that is customised to the
specific portfolio limits for the transaction as specified in the
transaction documents. Even if the actual portfolio shows lower
defaults and smaller losses (at all rating levels) than Fitch's
Stressed Portfolio assumed at closing, an upgrade of the notes
during the reinvestment period is unlikely, as the portfolio's
credit quality may still deteriorate, not only through natural
credit migration, but also through reinvestments.

After the end of the reinvestment period, upgrades may occur in
case of a better-than-initially expected portfolio credit quality
and deal performance, leading to higher credit enhancement for the
notes and excess spread available to cover for losses in the
remaining portfolio.

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

A 125% default multiplier applied to the portfolio's mean default
rate, and with the increase added to all rating default levels, and
a 25% decrease of the recovery rate at all rating recovery levels,
would lead to a downgrade of up to six notches for the rated
notes.

Downgrades may occur if the build-up of credit enhancement
following amortisation does not compensate for a larger loss
expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to COVID-19 become apparent for other
vulnerable sectors, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the views of its Leveraged Finance team.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the target portfolio to
envisage the coronavirus baseline scenario. The agency has notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience of the
notes' ratings, with substantial cushion.

In addition to the baseline scenario, Fitch has defined a downside
scenario for the current crisis, where by all ratings in the 'B'
category would be downgraded by one notch and recoveries would be
lowered by a haircut factor of 15%. This scenario results in
downgrades of up to five notches for the rated notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Most of the underlying assets have ratings or credit opinions from
Fitch and/or other Nationally Recognised Statistical Rating
Organisations and/or European Securities and Markets
Authority-registered rating agencies.

Fitch has relied on the practices of the relevant groups within
Fitch and/or other rating agencies to assess the asset portfolio
information.

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


FAIR OAKS II: S&P Assigns BB Rating on Class E Notes
----------------------------------------------------
S&P Global Ratings assigned its credit ratings to Fair Oaks Loan
Funding II DAC's class X, A, B-1, B-2, C, D, and E notes. The
issuer also issued unrated subordinated notes.

Under the transaction documents, the rated notes pay quarterly
interest unless there is a frequency switch event. Following this,
the notes will switch to semiannual payment.

The class E notes is a delayed draw tranche. It was unfunded at
closing and has a maximum notional amount of EUR9.70 million and
maximum spread of three/six-month EURIBOR plus 7.50%. The class E
notes can only be issued once and only during the reinvestment
period for the full amount of EUR9.70 million. The issuer will use
the full proceeds received from the issuance of the class E notes
to redeem the subordinated notes. In the transaction documents the
class E par value test will be assumed to be always outstanding. At
issuance, the class E notes' spread can be lowered subject to
rating agency confirmation.

The portfolio's reinvestment period ends approximately one year
after closing, and the portfolio's maximum average maturity date
will be approximately 6.5 years after closing.

The ratings assigned to the notes reflect S&P's assessment of:

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

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

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

  Portfolio Benchmarks
                                                        Current
  S&P Global Ratings weighted-average rating factor    2,771.99
  Default rate dispersion                                556.11
  Weighted-average life (years)                            5.57
  Obligor diversity measure                               79.46
  Industry diversity measure                              17.83
  Regional diversity measure                               1.48
  
  Transaction Key Metrics
                                                        Current
  Total par amount (mil. EUR)                               250
  Defaulted assets (mil. EUR)                                 0
  Number of performing obligors                              99
  Portfolio weighted-average rating derived
   from S&P's CDO evaluator                                 'B'
  'CCC' category rated assets (%)                          3.51
  Covenanted 'AAA' weighted-average recovery (%)          36.25
  Covenanted weighted-average spread (%)                   3.50
  Reference weighted-average coupon (%)                    3.75

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted-average rating of
'B'. We consider that the portfolio primarily comprises broadly
syndicated speculative-grade senior secured term loans and senior
secured bonds. Therefore, we conducted our credit and cash flow
analysis by applying our criteria for corporate cash flow
collateralized debt obligations.

"In our cash flow analysis, we used the EUR250 million par amount,
the covenanted weighted-average spread of 3.50%, the reference
weighted-average coupon of 3.75%, and the covenanted
weighted-average recovery rates for all rating levels. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category. Our credit and cash
flow analysis indicates that the available credit enhancement for
the class B-1 to E notes could withstand stresses commensurate with
higher rating levels than those we have assigned. However, as the
CLO is in its reinvestment phase starting from closing, during
which the transaction's credit risk profile could deteriorate, we
have capped our ratings assigned to the notes."

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

Following the application of S&P's structured finance sovereign
risk criteria, it considers the transaction's exposure to country
risk to be limited at the assigned ratings, as the exposure to
individual sovereigns does not exceed the diversification
thresholds outlined in our criteria.

The transaction's legal structure is bankruptcy remote, in line
with S&P's legal criteria.

S&P said, "In light of the rapidly shifting credit dynamics within
CLO portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
corporate loan issuers, we are making qualitative adjustments to
our analysis when rating CLO tranches to reflect the likelihood
that changes to the credit profile of the underlying assets may
affect a portfolio's credit quality in the near term. This is
consistent with paragraph 15 of our criteria for analyzing CLOs."
To do this, S&P reviews the likelihood of near-term changes to the
portfolio's credit profile by evaluating the transaction's specific
risk factors, including, but not limited to, the percentage of the
underlying portfolio that comes from obligors that:

-- Are rated in the 'CCC' range;
-- Are currently on CreditWatch with negative implications;
-- Are rated with a negative outlook; or
-- Sit within a static portfolio CLO transaction.

S&P said, "Based on our review of these factors, and considering
the portfolio concentration, we believe that the minimum cushion
between this CLO's break-even default rates (BDRs) and scenario
default rates (SDRs) should be 1.0% (from a possible range of
1.0%-5.0%)."

As noted, the purpose of this analysis is to take a forward-looking
approach for potential near-term changes to the underlying
portfolio's credit profile.

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

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class X to E notes
to five of the 10 hypothetical scenarios we looked at in our recent
publication. The results shown in the chart below are based on
actual weighted-average spread, coupon, and recoveries.

"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have floored the class E notes at 'B-' in scenario 3."

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak. S&P said,
"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. We believe the measures adopted to contain
COVID-19 have pushed the global economy into recession. As the
situation evolves, we will update our assumptions and estimates
accordingly."

Fair Oaks Loan Funding II is a European cash flow CLO
securitization of a revolving pool, comprising euro-denominated
senior secured loans and bonds issued mainly by speculative-grade
borrowers. Fair Oaks Capital Ltd. will manage the transaction.

  Ratings List

  Class   Rating    Amount    Subordination (%) Interest rate*
                  (mil. EUR)     
  X       AAA (sf)    1.00     N/A  Three/six-month EURIBOR
                                          plus 0.70%
  A       AAA (sf)  142.80    42.88      Three/six-month EURIBOR
                                          plus 1.90%
  B-1     AA (sf)    18.40    31.52      Three/six-month EURIBOR
                                          plus 2.79%
  B-2     AA (sf)    10.00    31.52      3.15%
  C       A (sf)     17.40    24.56      Three/six-month EURIBOR
                                          plus 3.35%
  D       BBB (sf)   14.60    18.72      Three/six-month EURIBOR
                                          plus 5.45%
  E§      BB (sf)    9.70     14.84      Three/six-month EURIBOR
                                          plus 7.50%
  Z       NR         2.00      N/A       N/A
  M       NR         1.00      N/A       N/A
  Sub. notes   NR    47.00     N/A       N/A

*The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.
§The class E notes is a delayed draw tranche. It was unfunded at
closing and has a maximum notional amount of EUR9.70 million.

EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A--Not applicable.


HENLEY CLO II: Fitch Gives B-(EXP) Rating on Class F Notes
----------------------------------------------------------
Fitch Ratings has assigned Henley CLO II Designated Activity
Company expected ratings.

The assignment of final ratings is contingent on the receipt of
final documents conforming to information already received.

Henley CLO II DAC

  - Class A; LT AAA(EXP)sf Expected Rating   

  - Class B; LT AA(EXP)sf Expected Rating   

  - Class C; LT A(EXP)sf Expected Rating   

  - Class D; LT BBB-(EXP)sf Expected Rating   

  - Class E; LT BB-(EXP)sf Expected Rating   

  - Class F; LT B-(EXP)sf Expected Rating   

  - Sub-Notes; LT NR(EXP)sf Expected Rating   

TRANSACTION SUMMARY

Henley CLO II Designated Activity Company is a securitisation of
mainly senior secured obligations (at least 90%) with a component
of corporate rescue loans, senior unsecured, mezzanine, second-lien
loans and high-yield bonds. Net proceeds from the expected note
issue will be used to fund a portfolio with a target par of EUR200
million. The portfolio is managed by Napier Park Global Capital
Ltd. The collateralised loan obligation envisages a three-year
reinvestment period and a seven-year weighted average life.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B'/'B-'
range. The Fitch weighted-average rating factor (WARF) of the
identified portfolio is 34.96.

High Recovery Expectations

At least 90% of the portfolio comprises senior secured obligations.
Recovery prospects for these assets are typically more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted-average recovery rating of the identified portfolio is
64.85%.

Diversified Asset Portfolio

The covenanted maximum exposure of the 10-largest obligors for
assigning the expected ratings is 25% of the portfolio balance. The
transaction also includes limits on maximum industry exposure based
on Fitch's industry definitions. The maximum exposure to the
three-largest (Fitch-defined) industries in the portfolio is
covenanted at 40%. These covenants ensure that the asset portfolio
will not be exposed to excessive concentration.

Portfolio Management

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

Cash-flow Analysis

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

RATING SENSITIVITIES

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

  - A 125% default multiplier applied to the portfolio's mean
default rate, and with this subtracted from all rating default
levels, and a 25% increase of the recovery rate at all rating
recovery levels, would lead to an upgrade of up to five notches for
the rated notes, except for the class A notes as their ratings are
at the highest level on Fitch's scale and cannot be upgraded.

The transaction features a reinvestment period and the portfolio is
actively managed. At closing, Fitch will use a standardised stress
portfolio (Fitch's stressed portfolio) that is customised to the
specific portfolio limits for the transaction as specified in the
transaction documents. Even if the actual portfolio shows lower
defaults and smaller losses (at all rating levels) than Fitch's
stressed portfolio assumed at closing, an upgrade of the notes
during the reinvestment period is unlikely, as the portfolio credit
quality may still deteriorate, not only through natural credit
migration, but also through reinvestments.

After the end of the reinvestment period, upgrades may occur in
case of a better-than-initially expected portfolio credit quality
and deal performance, leading to higher credit enhancement for the
notes and excess spread available to cover for losses on the
remaining portfolio.

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

A 125% default multiplier applied to the portfolio's mean default
rate, and with the increase added to all rating default levels, and
a 25% decrease of the recovery rate at all rating recovery levels,
would lead to a downgrade of up to six notches for the rated
notes.

Downgrades may occur if the build-up of credit enhancement
following amortisation does not compensate for larger loss
expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to COVID-19 become apparent for other
vulnerable sectors, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the views of its Leveraged Finance team.

Coronavirus Baseline Scenario Impact: Fitch carried out a
sensitivity analysis on the target portfolio to envisage the
coronavirus baseline scenario. The agency notched down the ratings
for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario shows resilience of the
assigned ratings, with substantial cushion across rating
scenarios.

In addition to the baseline scenario, Fitch has defined a downside
scenario for the current crisis, whereby all ratings in the 'Bsf'
category would be downgraded by one notch and recoveries would be
lower by a haircut factor of 15%. This scenario results in a
downgrade for the rated notes of up to six notches.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Most of the underlying assets have ratings or credit opinions from
Fitch and/or other Nationally Recognised Statistical Rating
Organisations and/or European Securities and Markets
Authority-registered rating agencies.

Fitch has relied on the practices of the relevant groups within
Fitch and/or other rating agencies to assess the asset portfolio
information.

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

NEWHAVEN CLO: Fitch Cuts Rating on Class F-R Debt to B-sf
---------------------------------------------------------
Fitch Ratings has taken rating actions on Newhaven CLO DAC.

Newhaven CLO DAC

  - Class A-1-R XS1560854728; LT AAAsf; Affirmed

  - Class A-2-R XS1560855535; LT AAAsf; Affirmed

  - Class B-R XS1560856343; LT AAsf; Affirmed

  - Class C-R XS1560857408; LT Asf; Affirmed

  - Class D-R XS1560858398; LT BBBsf; Rating Watch On

  - Class E-R XS1560858984; LT BB-sf; Downgrade

  - Class F-R XS1560859446 LT B-sf; Rating Watch Maintained

TRANSACTION SUMMARY

Newhaven CLO DAC is a cash flow collateralised loan obligation. Net
proceeds from the notes were used to purchase a EUR350 million
portfolio of mainly euro-denominated leveraged loans and bonds. The
underlying portfolio of assets is managed by Bain Capital Credit,
Ltd.

KEY RATING DRIVERS

Portfolio Performance Deteriorates

The downgrade reflects the deterioration in the portfolio as a
result of the negative rating migration of the underlying assets in
light of the coronavirus pandemic. In addition, as per the trustee
report dated April 30, 2020, the aggregate collateral balance is
below par by 32bp. The trustee-reported Fitch weighted average
rating factor of 35.21 is in breach of its test, and the
Fitch-calculated WARF of the portfolio increased to 37.48 on May
23, 2020.

'B'/'B-' Category Portfolio Credit Quality

Fitch assesses the average credit quality of obligors to be in the
'B'/'B-' category. The Fitch-calculated 'CCC' and below category
assets (including non-rated assets) represented 16.40% of the
portfolio on May 23, 2020, which is over the 7.5% limit.

High Recovery Expectations: 98.20% of the portfolio comprises
senior secured obligations. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The trustee-reported Fitch weighted average
recovery rate of 60.80 is in breach of its test, while the
Fitch-calculated WARR of the portfolio was 64.08% on May 23, 2020.

Portfolio Composition

The portfolio is well diversified across obligors, countries and
industries. Exposure to the top 10 obligors is 14.27% and no
obligor represents more than 1.71% of the portfolio balance. The
largest industry is business services at 13.89% of the portfolio
balance, followed by healthcare at 11.30% and chemicals at 9.66%.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transaction was modelled using the current portfolio
based on both the stable and rising interest rate scenario and the
front, mid, and back-loaded default timing scenarios, as outlined
in Fitch's criteria.

Fitch also tested the current portfolio with a coronavirus
sensitivity analysis to estimate the resilience of the notes'
ratings. The coronavirus sensitivity analysis was only based on the
stable interest rate scenario including all default timing
scenarios.

When conducting cash flow analysis, Fitch's model first projects
the portfolio's scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life, assuming no
defaults (and no voluntary terminations, when applicable).

In each rating stress scenario, such scheduled amortisation
proceeds and prepayments are then reduced by a scale factor
equivalent to the overall percentage of loans not assumed to
default (or to be voluntary terminated, when applicable). This
adjustment avoids running out of performing collateral due to
amortisation, and ensures all of the defaults projected to occur in
each rating stress are realised in a manner consistent with Fitch's
published default timing curve.

Deviation from Model-Implied Ratings

The model-implied ratings for the class D, E and F notes are one
notch below the current rating. Fitch has deviated from the
model-implied ratings on these classes as they were driven by the
back-loaded default timing scenario only. Nevertheless, Fitch has
downgraded the class E notes by one notch to the lowest rating in
the respective rating category. These ratings are in line with the
majority of Fitch-rated EMEA CLOs. The Outlook on the class C notes
has been revised to Negative, the class D notes have been placed on
Rating Watch Negative and the class E and F notes have been
maintained on RWN as there are shortfalls even at the updated
rating and in the coronavirus sensitivity scenario as described
below.

RATING SENSITIVITIES

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

At closing, Fitch uses a standardised stress portfolio (Fitch's
Stress Portfolio) customised to the specific portfolio limits for
the transaction as specified in the transaction documents. Even if
the actual portfolio shows lower defaults and losses at all rating
levels than Fitch's Stress Portfolio assumed at closing, an upgrade
of the notes during the reinvestment period is unlikely. This is
because the portfolio credit quality may still deteriorate, not
only by natural credit migration, but also because of reinvestment.
After the end of the reinvestment period, upgrades may occur in the
event of better than expected portfolio credit quality and deal
performance, leading to higher credit enhancement to the notes and
more excess spread available to cover for losses on the remaining
portfolio.

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

Downgrades may occur if the build-up of the notes' credit
enhancement following amortisation does not compensate for a higher
loss expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to the coronavirus disruption become apparent
for other vulnerable sectors, loan ratings in those sectors would
al so come under pressure. Fitch will update the sensitivity
scenarios in line with the views of Fitch's leveraged finance
team.

Coronavirus Baseline Scenario Impact:

Fitch carried out a sensitivity analysis on the target portfolio to
envisage the coronavirus baseline scenario. It notched down the
ratings for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario shows the resilience of the
current ratings with cushions, except for the class C, D, E and F
notes, which show sizeable shortfalls.

In addition to the base scenario, Fitch has defined a downside
scenario for the current coronavirus crisis, whereby all ratings in
the 'B' category would be downgraded by one notch and recoveries
would be lowered by 15%. For typical European CLOs this scenario
results in a rating category change for all ratings.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

OZLME IV: Fitch Maintains B- Rating on F Debt on Watch Negative
---------------------------------------------------------------
Fitch Ratings has maintained two tranches of OZLME IV Designated
Activity Company on Rating Watch Negative, while affirming the
rest.

OZLME IV DAC

  - Class A-1 XS1829320784; LT AAAsf; Affirmed

  - Class A-2 XS1829321592; LT AAAsf; Affirmed

  - Class B XS1829321089; LT AAsf; Affirmed

  - Class C-1 XS1829321915; LT Asf; Affirmed

  - Class C-2 XS1834897040; LT Asf; Affirmed

  - Class D XS1829322137; LT BBB-sf; Affirmed

  - Class E XS1829322301; LT BBsf; Rating Watch Maintained

  - Class F XS1829323705; LT B-sf; Rating Watch Maintained

TRANSACTION SUMMARY

OZLME IV DAC is a securitisation of mainly senior secured
obligations (96.3%) with a component of senior unsecured, mezzanine
and second-lien loans. The transaction is still within its
reinvestment period and is actively managed by the collateral
manager.

KEY RATING DRIVERS

Portfolio Performance Deterioration

The RWN on the two tranches reflects the deterioration of the
portfolio as a result of negative rating migration of the
underlying assets in light of the coronavirus pandemic. As per
Fitch's calculation, the weighted average rating factor (WARF) of
the portfolio has increased to 35.17, from 33.97 in the trustee
report dated April 15, 2020. Assets with a Fitch-derived rating in
the 'CCC' category or below (including unrated assets) represent
8.92%, according to Fitch's calculation, which is above the 7.5%
limit. The transaction is slightly below par; although as per last
trustee report it was passing all relevant tests.

The RWN on classes E and F reflects Fitch's view that these
sub-investment-grade tranches may be exposed to the negative impact
of the pandemic in the near term as these tranches show some
shortfalls under its coronavirus baseline scenario sensitivity
analysis.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience of the
current ratings of the class A through D with cushions. This
supports the affirmation with a Stable Outlook for these tranches.

'B'/'B-' Category Portfolio Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch WARF of the current portfolio is
35.17.

High Recovery Expectations

Senior secured obligations comprise 90% of the portfolios. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The
Fitch-weighted average recovery rate of the current portfolio is
64.9%.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top-10 obligors' exposure is 14.26% and no obligor
represent more than 1.74% of the portfolio balance. The largest
industry is healthcare at 13.67% of the portfolio balance, followed
by business services at 13.62% and computer and electronics at
6.7%.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transaction was modelled using the current portfolio
based on both the stable and rising interest-rate scenarios and the
front-, mid- and back-loaded default timing scenarios as outlined
in Fitch's criteria. In addition, Fitch tested the portfolio with a
coronavirus sensitivity analysis to estimate the resilience of the
notes' ratings. The analysis for the portfolio with a coronavirus
sensitivity analysis was only based on the stable interest-rate
scenario including all default timing scenarios.

When conducting its cash flow analysis, Fitch's model first
projects the portfolio scheduled amortisation proceeds and any
prepayments for each reporting period of the transaction life
assuming no defaults (and no voluntary terminations, when
applicable). In each rating stress scenario, such scheduled
amortisation proceeds and prepayments are then reduced by a scale
factor equivalent to the overall percentage of loans that are not
assumed to default (or to be voluntarily terminated, when
applicable). This adjustment avoids running out of performing
collateral due to amortisation and ensures all of the defaults
projected to occur in each rating stress are realised in a manner
consistent with Fitch's published default timing curve.

RATING SENSITIVITIES

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

The transactions feature a reinvestment period and the portfolio is
actively managed. At closing, Fitch uses a standardised stress
portfolio (Fitch's Stressed Portfolio) that is customised to the
specific portfolio limits for the transaction as specified in the
transaction documents. Even if the actual portfolio shows lower
defaults and smaller losses (at all rating levels) than Fitch's
Stressed Portfolio assumed at closing, an upgrade of the notes
during the reinvestment period is unlikely, given the portfolio
credit quality may still deteriorate, not only by natural credit
migration, but also by reinvestments. After the end of the
reinvestment period, upgrades may occur in case of a
better-than-initially expected portfolio credit quality and deal
performance, leading to higher credit enhancement for the notes and
excess spread available to cover for losses on the remaining
portfolio.

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

Downgrades may occur if the build-up of credit enhancement for the
notes following amortisation does not compensate for a
larger-than-initially assumed loss expectation due to an
unexpectedly high level of default and portfolio deterioration. As
the disruptions to supply and demand due to the coronavirus for
other sectors become apparent, loan ratings in such sectors would
also come under pressure. Fitch will resolve the rating watch
status over the coming months as and when it observes rating
actions on the underlying loans.

Coronavirus Baseline Scenario Impact:

Fitch carried out a sensitivity analysis on the target portfolio to
envisage the coronavirus baseline scenario. It notched down the
ratings for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario shows the resilience of the
current ratings with cushions, except for the class E and F, which
show sizeable shortfalls.

In addition to the baseline scenario, Fitch has defined a downside
scenario for the current coronavirus crisis, whereby all ratings in
the 'B' category would be downgraded by one notch and recoveries
would be lowered by 15%. For typical European CLOs this scenario
results in a category rating change for all ratings.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognised statistical rating organisations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.

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


ST. PAUL'S IX: Fitch Alters Outlook on Class F Debt to Watch Neg.
-----------------------------------------------------------------
Fitch Ratings has revised the Outlook on four sub-investment grade
tranches from two European collateralised loan obligations to
Negative. The remaining tranches have been affirmed with Stable
Outlooks.

St. Paul's CLO IX DAC

  - Class A XS1808334632; LT AAAsf; Affirmed

  - Class B XS1808333238; LT AAsf; Affirmed

  - Class C XS1808333584; LT Asf; Affirmed

  - Class D XS1808333824; LT BBBsf; Affirmed

  - Class E XS1808334392; LT BB-sf; Revision Outlook

  - Class F XS1808334475; LT B-sf; Revision Outlook

St. Paul's CLO IV DAC

  - Class A-1-RRR XS1852563672; LT AAAsf; Affirmed

  - Class A-2A-RRR XS1852564217; LT AAsf; Affirmed

  - Class A-2B-RRR XS1852564720; LT AAsf; Affirmed

  - Class B-RRR XS1852565537; LT Asf; Affirmed

  - Class C-RRR XS1852566188 LT BBBsf; Affirmed

  - Class D-RRR XS1852567079; LT BBsf; Revision Outlook

  - Class E-RRR XS1852566857; LT B-sf; Revision Outlook

TRANSACTION SUMMARY

St. Paul's CLO IV DAC and St. Paul's CLO IX DAC are cash flow CLOs
mostly comprising senior secured obligations. Both transactions are
within their reinvestment period and are actively managed by their
collateral managers.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

Fitch has revised the Outlook on four tranches to Negative as a
result of a sensitivity analysis it ran in light of the coronavirus
pandemic. The agency notched down the ratings for all assets with
corporate issuers with a Negative Outlook regardless of the
sectors. The model-implied ratings for the affected tranches under
the coronavirus sensitivity test are below the current ratings. In
Fitch's view, tranches with Negative Outlooks have a slightly
higher resilience than tranches placed on Rating Watch Negative.

The affirmations of the investment-grade ratings reflect that the
respective tranches' ratings can withstand the coronavirus baseline
sensitivity analysis with cushion. This supports the Stable
Outlooks on these ratings.

Asset Credit Quality

'B' Category Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors to be in the 'B' category. The Fitch
weighted average rating factor of the current portfolios range
between 35.6 and 35.7. After applying the coronavirus stress, the
Fitch WARF would increase to between 37.6 and 38.0.

Asset Security

High Recovery Expectations: At least 90% of the portfolios comprise
senior secured obligations. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. Fitch recovery rate ranges between 65.9 and 66.3

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligors' range between 16.5% and 20.7%, and
no obligor represents more than 2.5% of the portfolio balance.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transactions, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transactions were modelled using the current portfolio
and the current portfolio with a coronavirus sensitivity analysis
applied. Fitch analysis was based on the stable interest rate
scenario but include the front-, mid- and back-loaded default
timing scenarios as outlined in Fitch's criteria.

When conducting cash flow analysis, Fitch's model first projects
the portfolio scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, such scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans that are not assumed to default (or to
be voluntary terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

Portfolio Performance; Surveillance

Both transactions are in their reinvestment period and the
portfolios are actively managed by the collateral manager. As of
the last investor report, the Fitch WARF test was failing for St
Paul IV, while the Fitch 'CCC' test was failing for St Paul IX. All
other tests were still passing. Both transactions held defaulted
assets as of their last investor report, but St Paul IX is above
target par even assuming that defaulted assets would be considered
at recovery value. Exposure to assets with a Fitch-derived rating
of 'CCC+' and below range between 12.2% and 13.5% and would
increase to between 15.3% and 18.8% after applying the coronavirus
stress.

RATING SENSITIVITIES

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

At closing, Fitch uses a standardised stress portfolio (Fitch's
Stress Portfolio) that is customised to the specific portfolio
limits for the transaction as specified in the transaction
documents. Even if the actual portfolio shows lower defaults and
losses (at all rating levels) than the Fitch's Stressed Portfolio
assumed at closing, an upgrade of the notes during the reinvestment
period is unlikely, given the portfolio credit quality may still
deteriorate, not only by natural credit migration, but also by
reinvestments. After the end of the reinvestment period, upgrades
may occur in case of a better-than-expected portfolio credit
quality and deal performance, leading to higher notes' credit
enhancement and excess spread available to cover for losses on the
remaining portfolio.

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

Downgrades may occur if the build-up of the notes' CE following
amortisation does not compensate for a higher loss expectation than
initially assumed due to unexpected high level of default and
portfolio deterioration. As the disruptions to supply and demand
due to the coronavirus for other vulnerable sectors become
apparent, loan ratings in such sectors would also come under
pressure.

In addition to the base scenario, Fitch has defined a downside
scenario for the current crisis, where by all ratings in the 'B'
category would be downgraded by one notch and recoveries would be
lower by a haircut factor of 15%. For typical European CLOs this
scenario results in a rating category change for all ratings.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Most of the underlying assets or risk-presenting entities have
ratings or credit opinions from Fitch and/or other nationally
recognised statistical rating organisations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

TIKEHAU CLO II: Fitch Keeps B- Rating on F Debt on Watch Negative
-----------------------------------------------------------------
Fitch Ratings has maintained two tranches of Tikehau CLO II B.V. on
Rating Watch Negative and affirmed the others.

Tikehau CLO II B.V.

  - Class A-R XS2011003139; LT AAAsf; Affirmed

  - Class B XS1505669678; LT AAsf; Affirmed

  - Class C-R XS2011004616; LT Asf; Affirmed

  - Class D-R XS2011005266; LT BBBsf; Affirmed

  - Class E XS1505671062; LT BBsf; Rating Watch Maintained

  - Class F XS1505671732; LT B-sf; Rating Watch Maintained

TRANSACTION SUMMARY

This is a cash flow CLO mostly comprising senior secured
obligations. The transaction is still within its reinvestment
period and is actively managed by the collateral manager.

KEY RATING DRIVERS

Portfolio Performance Deteriorates

The RWN on the two tranches reflect the deterioration of the
portfolio as a result of the negative rating migration of the
underlying assets in light of the coronavirus pandemic. The
transaction is below target par. The Fitch-calculated weighted
average rating factor of the portfolio increased to 34.32 at 22 May
2020 compared with the trustee-reported WARF of 33.9. The
transaction includes 1.32 % of defaulted assets.

The 'CCC' or below category assets (including non-rated assets)
represent, according to Fitch's calculation, 5.45%, which is below
the 7.5% limit. All other tests, including the
overcollateralisation and interest coverage tests, pass.

Asset Quality

'B'/'B-' Portfolio Credit Quality: Fitch considers the average
credit quality of obligors to be in the 'B'/'B-' range.

Asset Security

High Recovery Expectations: Senior secured obligations comprise at
least 90% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted average recovery rate (WARR)
of the current portfolio is 64.87%.

Portfolio Composition

The top 10 obligors' concentration is 15.08% and no obligor
represents more than 1.79% of the portfolio balance. The largest
industry is business services at 12.93% of the portfolio balance,
followed by computer and electronics at 10.59% and healthcare at
9.54%.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transaction was modelled using the current portfolio
based on both the stable and rising interest rate scenario and the
front-, mid- and back-loaded default timing scenario as outlined in
Fitch's criteria. In addition, Fitch also tested the current
portfolio with a coronavirus sensitivity analysis to estimate the
resilience of the notes' ratings. The analysis for the portfolio
with a coronavirus sensitivity analysis was only based on the
stable interest rate scenario including all default timing
scenarios.

The model-implied rating for class E is one notch below the current
ratings. Fitch deviated from the model-implied rating on this class
given these were driven by the rising interest rate scenario only.
Nevertheless, the rating is unchanged. The ratings are in line with
the majority of Fitch-rated EMEA CLOs. The class E notes have been
maintained on RWN as the rating shows shortfalls even at the
current rating and in the coronavirus sensitivity scenario as
described below.

When conducting cash flow analysis, Fitch's model first projects
the portfolio scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, such scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans that are not assumed to default (or to
be voluntary terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

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

At closing, Fitch uses a standardised stress portfolio (Fitch's
Stress Portfolio) that is customised to the specific portfolio
limits for the transaction as specified in the transaction
documents. Even if the actual portfolio shows lower defaults and
losses (at all rating levels) than Fitch's Stressed Portfolio
assumed at closing, an upgrade of the notes during the reinvestment
period is unlikely, given the portfolio credit quality may still
deteriorate, not only by natural credit migration, but also by
reinvestments. After the end of the reinvestment period, upgrades
may occur in case of a better-than-expected portfolio credit
quality and deal performance, leading to higher notes' CE and
excess spread available to cover for losses on the remaining
portfolio. For more information on Fitch's Stressed portfolio and
initial model-implied rating sensitivities for the transaction, see
the new issue report.

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

Downgrades may occur if the build-up of the notes' CE following
amortisation does not compensate for a higher loss expectation than
initially assumed due to unexpected high level of default and
portfolio deterioration. As the disruptions to supply and demand
due to the COVID-19 disruption become apparent for other vulnerable
sectors, loan ratings in those sectors would also come under
pressure. Fitch will update the sensitivity scenarios in line with
the view of Fitch's Leveraged Finance team.

Coronavirus Baseline Scenario Impact: Fitch carried out a
sensitivity analysis on the target portfolio to determine the
coronavirus baseline scenario. The agency notched down the ratings
for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario demonstrates the resilience of
the current ratings with cushions except for the class E and F
notes, which show sizeable shortfalls.

In addition to the base scenario, Fitch has defined a downside
scenario for the current crisis, where by all ratings in the 'B'
category would be downgraded by one notch and recoveries would be
15% lower. For typical European CLOs, this scenario results in a
rating category change for all ratings.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.



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

INDIVIOR FINANCE: Bank Debt Trades at 16% Discount
--------------------------------------------------
Participations in a syndicated loan under which Indivior Finance
Sarl is a borrower were trading in the secondary market around 84
cents-on-the-dollar during the week ended Fri., May 29, 2020,
according to Bloomberg's Evaluated Pricing service data.  

The $415.0 million facility is a term loan.  The loan is scheduled
to mature on December 18, 2022.   As of May 29, 2020, $265.0
million of the loan remains outstanding.

The Company's country of domicile is Luxembourg.


KANTAR GLOBAL: Moody's Alters Outlook on B2 CFR to Negative
-----------------------------------------------------------
Moody's Investors Service has changed the ratings outlook to
negative from stable for Kantar Global Holdings S.a r.l.,
previously Summer Lux Consolidator S.C.A., the top-entity of the
ring-fenced group that controls Kantar (a global market leading
data, research, consulting and analytics business), after the
near-full completion of Bain Capital's acquisition of a 60% stake
in the business in December 2019 (balance of 40% is held by WPP plc
whose debt is rated Baa2, negative). The outlook has also been
changed to negative for all of Kantar's rated subsidiaries.

At the same time, Moody's has affirmed the B2 corporate family
rating and B2-PD probability of default rating at Kantar Group
Holdings. The agency has also affirmed the B1 ratings for the
USD400 million Senior Secured Revolving Credit Facility (RCF; due
2026) and for the EUR725 million and USD280 million Senior Secured
Term Loans B issued by Kantar's subsidiaries Summer Bidco B LLC and
Summer Holdco B S.a r.l. , the B1 rating for the EUR1.0 billion
Senior Secured Notes due 2026 issued by Summer Holdco B S.a r.l.
and the Caa1 rating for the EUR 428 million Senior Unsecured notes
issued by Summer Holdco A S.a r.l. Moody's also assigns B1 ratings
to new tranches of USD70 million and EUR70 million issued by Summer
Bidco B LLC and Summer Holdco B S.a r.l

The change in ratings outlook to negative reflects the significant
pressures from the global outbreak of coronavirus on Kantar's
revenue and profitability.

"Moody's expects the Moody's adjusted gross leverage for Kantar to
peak at over 8.0x in 2020 currently assuming a 18%-23% decline in
revenues and a USD180-240 million decline in Moody's adjusted
EBITDA versus its previous forecasts for 2020", says Gunjan Dixit,
a Moody's Vice President -- Senior Credit Officer and lead analyst
for Kantar.

"While 2021 will likely see some recovery in the business, the
negative outlook captures the risk of weaker than currently
anticipated 2020 as well as a slower recovery in 2021 particularly
in the Insights division" adds Ms. Dixit.

RATINGS RATIONALE

In 2019, Kantar performance was largely in line with Moody's
expectations with reported revenue of approximately USD 3.9 billion
(versus the Moody's forecast of USD4.1 billion) and Moody's
adjusted EBITDA of USD535 million. The slight deviation in revenue
performance was driven by negative FX effects while constant
currency revenue grew by approximately 1%, in line with Moody's
assumptions.

Revenue weakness in 2020 will primarily be driven by the
significant pressure in Kantar's Insights businesses, which
accounted for around 50% of the revenues in 2019. The agency
expects declines in these activities to be substantive, of up to
50% of the revenue in 2020. Insights (Brand Tracking and Other
Domains) is strongly correlated with the underlying weakening
economic activity, as clients reduce market research budgets when
the economy weakens, particularly in those industries which are
also affected by the current mobility restrictions (such as travel,
retail and auto), to which the company has some exposure. More
positively, Kantar has sizeable exposure the Consumer Packaged
Goods and Food and Beverage industry amongst its Designated Clients
(at 46% of the $1.5 billion of group's Constant Currency Gross
Margin from Designated Clients in 2019), which has in the past been
the key driver for the strain on its revenue, but is proving to be
somewhat resilient in the coronavirus driven economic upheaval.

In addition, Moody's expects a decline in some of the Specialist
businesses, such as Consulting activities and Public, respectively
affected by the weakening economic environment and by the social
restrictions which are leading to some delays and re-phasing in the
delivery of public projects.

The agency does not expect a material negative impact from the
coronavirus related disruptions on Kantar's Data businesses as
these revenues are largely syndicated and backed by multi-year
contracts.

Moody's currently expects the company's EBITDA (Moody's adjusted)
to be lower by around USD180-240 million versus its previous
forecast of USD610 million for 2020. EBITDA impact is mitigated by
cost savings including hiring freezes, adoption of furlough
schemes, lower bonus payments and T&E expenses, cuts in executive
pay and the adoption of 4 days working weeks in certain markets.
The meaningful drop expected in EBITDA signals that Kantar's gross
leverage (as adjusted by Moody's) will come under strain in 2020.
Moody's now expects an adjusted gross debt/ EBITDA of over 8.0x in
2020 (compared to 6.0x at the end of 2019). Additionally, the
generation of cost savings through the transformational program,
which constitutes a significant driver of EBITDA growth, carries
meaningful execution risks.

Moody's considers Kantar's liquidity as sufficient. The company had
cash and cash equivalents of USD700 million at the end of March
2020 (net of the USD275 million of the remaining proceeds due to be
paid to WPP for Kantar's disposal transaction), after having drawn
the available RCF of USD388 million (net of an ancillary carve out
of USD12 million) as a precautionary measure. Moody's expects cash
flow generation to be negative in 2020 but the cash on company's
balance sheet will be sufficient to cover its cash needs. Moody's
expects the company to return to positive cash flow generation in
2021. The RCF is constrained by a net leverage covenant (of 7.2x
Net Senior Secured Leverage to be tested when the drawings under
the RCF net of cash exceed 40%) which in the company's current
expectation is unlikely to be tested in 2020 considering its
healthy cash position.

The group's senior secured Term Loans B and RCF, issued by Summer
Bidco B LLC and Summer Holdco B S.a r.l., are secured by share
pledges, intercompany receivables and bank accounts, and guaranteed
by operating subsidiaries accounting for 80% of the Consolidated
EBITDA as defined in (and subject to the guarantor coverage
adjustments specified in) the Senior Facilities Agreement. The
Senior Secured Notes issued by Summer Holdco B S.a r.l. benefit
from largely the same security and guarantees as the Term Loan B
and RCF. Moody's has ranked the company's bank debt and the senior
secured notes, highest in the priority of claims, together with the
company's trade claims, followed by the senior unsecured notes.
This results in a B1 rating for the group's secured debt, one notch
higher than the corporate family rating. The unsecured notes issued
by Summer Holdco A S.a r.l. are rated Caa1.

ESG CONSIDERATIONS

The rapid and widening spread of the coronavirus outbreak in 2020,
deteriorating global economic outlook, falling oil prices, and
asset price declines are creating a severe and extensive credit
shock across many sectors, regions and markets. The market research
sector has been one of the sectors adversely affected by the shock
given its sensitivity to consumer demand and sentiment. The
combined credit effects of these developments are unprecedented.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety. Its action reflects the impact on Kantar of the breadth
and severity of the shock, and the broad deterioration in credit
quality it has triggered.

From a corporate governance perspective, Moody's factors in the
potential risk (heightened after the acquisition by Bain Capital)
usually associated with private equity ownership, which might lead
to a more aggressive financial policy, and the uncertainty in the
future leadership of the company, following the unexpected
resignation and departure of the CEO Eric Salama in February 2020.
Moody's understands that the search for a new CEO is ongoing.

RATING OUTLOOK

The negative outlook reflects the risk of (1) a steeper than
currently expected fall in revenues and EBITDA in 2020 and (2) a
slower than currently anticipated recovery in the business in
2021.

Stabilization of outlook will require some recovery in the
company's business from second half of 2020 such that 2021 sees the
business trends normalizing in a way that the company's gross
leverage (Moody's adjusted) begins to trend towards the 6.5x.

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

Positive pressure on the ratings is unlikely over the next 12-18
months. It could develop over time, if (1) Kantar demonstrates
sustained moderate revenue and EBITDA growth; (2) its gross
debt/EBITDA (Moody's-adjusted) decreases sustainably and is
maintained well below 5.5x; and (3) the company's Moody's adjusted
free cash flow (FCF)/ Debt ratio improves towards 10%.

Downward ratings pressure would materialize if (1) Kantar's
revenues and EBITDA come under further pressure beyond 2020 (2) its
gross leverage (Moody's-adjusted gross debt/EBITDA) is no longer
expected to reduce below 6.5x during 2021; and/ or (3) its free
cash flow (FCF)/ debt (Moody's-adjusted) declines materially beyond
2020. There would also be downward rating pressure if the company's
liquidity were to significantly deteriorate.

LIST OF AFFECTED RATINGS

Assignments:

Issuer: Summer Bidco B LLC

Senior Secured Bank Credit Facility, Assigned B1

Affirmations:

Issuer: Kantar Global Holdings S.a r.l.

Probability of Default Rating, Affirmed B2-PD

Corporate Family Rating, Affirmed B2

Issuer: Summer Bidco B LLC

Senior Secured Bank Credit Facility, Affirmed B1

Issuer: Summer Holdco A S.a r.l.

Senior Unsecured Regular Bond/Debenture, Affirmed Caa1

Issuer: Summer Holdco B S.a r.l.

Senior Secured Regular Bond/Debenture, Affirmed B1

Outlook Actions:

Issuer: Kantar Global Holdings S.a r.l.

Outlook, Changed To Negative From Stable

Issuer: Summer Bidco B LLC

Outlook, Changed To Negative From Stable

Issuer: Summer Holdco A S.a r.l.

Outlook, Changed To Negative From Stable

Issuer: Summer Holdco B S.a r.l.

Outlook, Changed To Negative From Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

COMPANY PROFILE

Kantar Global Holdings S.a r.l., previously Summer Lux Consolidator
S.C.A., is the top-most entity of the restricted group that owns
Kantar. Kantar is a global data, research, consulting and analytics
business which offers a complete view of consumer behaviour in over
100 countries. In its fiscal year ended December 31, 2019, Kantar
reported revenue of USD3.9 billion and EBITDA of USD535 million.




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

AXALTA COATING SYSTEMS: Moody's Rates New Senior Unsecured Notes B1
-------------------------------------------------------------------
Moody's Investors Service assigned a B1 rating to Axalta Coating
Systems, LLC and Axalta Coating Systems Dutch Holding B B.V.'s
proposed senior unsecured notes. Proceeds from the new notes are to
be used for general corporate purposes. All other ratings remain
unchanged.

"The debt issuance will bolster the company's liquidity position
during a challenging and uncertain operating environment," said Ben
Nelson, Moody's Vice President -- Senior Credit Officer and lead
analyst for Axalta Coating Systems Ltd.

Assignments:

Issuer: Axalta Coating Systems, LLC

Senior Unsecured Regular Bond/Debenture, Assigned B1 (LGD5)

RATINGS RATIONALE

Moody's expects a substantial reduction in earnings in the second
quarter of 2020. Axalta faces a challenging environment driven by
substantial end market weakness following the global outbreaks of
coronavirus and implementation of public health measures that
triggered an unprecedented slowdown in economic activity. Moody's
believes that a sharp decline in miles driven -- a key indicator of
accident rates and therefore demand for automotive refinish
products -- will undercut demand for the company's refinish
business, which represented 39% of sales in 2019. A significant
reduction in new automotive builds that resulted from OEM shut
downs in April and May will hurt the company's light vehicle
segment (27% of 2019 sales) as well. Moody's expects that adjusted
financial leverage will rise above 6.0x and free cash flow
generation will be substantially diminished. However, an expected
recovery in miles driven and auto build rates will result in less
significant year-over-year weakness in the third quarter and place
the company on a better trajectory in the coming quarters. The
concern about temporarily weak credit metrics is lessened by
expectations for improved business conditions in the second half of
2020 and a substantial liquidity position, including balance sheet
cash in excess of $1 billion on a pro forma basis for the proposed
debt issuance and an undrawn $400 million revolving credit
facility.

The Ba3 CFR is principally constrained by expectations for weak
credit metrics for the rating category and uncertainty related to
the pace of recovery in key end markets. Moody's is unlikely to
take a negative rating action on Axalta if it temporarily exceeds
the triggers for a downgrade during these unusual economic
conditions, providing the company maintains very strong liquidity
and management takes actions to return credit metrics to levels
that support the rating once the economic recovery is firmly in
place. The rating is supported by Axalta's very good liquidity
position and excellent market position as a coatings producer that
generates cash through economic cycles. The rating also takes into
consideration recent financial policy statements related to lower
leverage targets and pursuit of investment-grade ratings -- a
longer-term objective in the current environment, but an important
indicator of management's intent.

The SGL-1 Speculative Grade Liquidity rating reflects the company's
very good liquidity position. Given a substantial cash balance,
Moody's does not expect the company to draw on the revolver despite
an expectation for some cash consumption in the very near term. The
credit agreement governing the revolver includes a maximum first
lien leverage ratio test set at 5.5x that is only tested if
revolver borrowings exceed 30% of capacity at the end of the fiscal
quarter. The SGL rating incorporates a scenario where the company's
revolving credit facility might not be available fully due to
covenant-related restrictions. The SGL rating could be lowered if
Moody's expects available liquidity (cash and covenant-adjusted
access to revolving credit) to fall below $750 million while credit
metrics remain outside boundaries appropriate for the Ba3 CFR.

The B1 rating assigned to the proposed notes, one notch below the
Ba3 CFR, reflects contractual subordination to the company's $400
million first lien senior secured revolving credit facility and
$2.1 billion first lien senior secured term loans.

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

The stable outlook takes into consideration that credit metrics may
move outside the rating category for at least the next few quarters
and assumes that the company maintains a very good liquidity
position. Moody's could downgrade the rating with expectations for
adjusted financial leverage sustained above 4.5x, retained cash
flow-to-debt sustained below 10%, further deterioration in end
markets, significant erosion in the company's liquidity position,
or adoption of more aggressive financial policies. However, Moody's
is not likely to downgrade the ratings if Axalta temporarily
exceeds these thresholds for a short period during unusual economic
conditions provided that the company maintains a very good
liquidity position and management takes actions to return credit
metrics to levels that support the rating once the economic
recovery is firmly in place. Moody's could upgrade the rating with
expectations for adjusted financial leverage below 3.5x, retained
cash flow-to-debt sustained above 15%, and free cash flow-to-debt
sustained above 10%.

Environmental, social and governance factors are important factors
influencing Axalta's credit quality. Coatings companies generally
have less ESG-related risk compared to rated peers in the chemical
industry. With respect to Axalta, Moody's focus is placed on
governance-related risks considering recent management turnover and
an ongoing strategic review, meaningful event risks though tempered
by management's recent adoption of more conservative leverage
targets and stated intent to achieve investment-grade ratings.

The principal methodology used in these ratings was Chemical
Industry published in March 2019.

Axalta Coating Systems Ltd. is one of the world's leading coatings
companies. Axalta was formed as a leveraged buyout of DuPont's
Performance Coatings business by an affiliate of Carlyle Group in
2013, became a public company through an initial public offering in
2014, and Carlyle exited by selling its remaining shares in 2016.
The company operates two business segments: (i) Performance
Coatings, which accounts for over 60% of sales; and (ii)
Transportation Coatings, which accounts for under 40% of sales.
Headquartered in Philadelphia, Pa., Axalta generated $4.5 billion
of revenue in 2019.


TMF SAPPHIRE: Bank Debt Trades at 28% Discount
----------------------------------------------
Participations in a syndicated loan under which TMF Sapphire Bidco
BV is a borrower were trading in the secondary market around 72
cents-on-the-dollar during the week ended Fri., May 29, 2020,
according to Bloomberg's Evaluated Pricing service data.  

The EUR200.0 million facility is a TERM loan.  The loan is
scheduled to mature on June 8, 2026.   As of May 29, 2020 the
amount is fully drawn and outstanding.

The Company's country of domicile is Netherlands.





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

LUSITANO MORTGAGES 5: Fitch Affirms CC Rating on Class D Debt
-------------------------------------------------------------
Fitch Ratings has maintained four tranches of three Lusitano
Mortgages transactions on Rating Watch Negative and affirmed nine
tranches.

Lusitano Mortgages No.5 plc

  - Class A XS0268642161; LT BBsf; Affirmed

  - Class B XS0268642831; LT BBsf; Affirmed

  - Class C XS0268643649; LT Bsf; Rating Watch Maintained

  - Class D XS0268644886; LT CCsf; Affirmed

Lusitano Mortgages No.6 Limited

  - Class A XS0312981649; LT Asf; Affirmed

  - Class B XS0312982290; LT BBB-sf; Rating Watch Maintained

  - Class C XS0312982530; LT Bsf; Rating Watch Maintained

  - Class D XS0312982704; LT CCCsf; Affirmed

  - Class E XS0312983009; LT CCsf; Affirmed

Lusitano Mortgages No.4 Plc

  - Class A XS0230694233; LT BBsf; Affirmed

  - Class B XS0230694589; LT BBsf; Affirmed

  - Class C XS0230695552; LT BBsf; Rating Watch Maintained

  - Class D XS0230696360; LT CCCsf; Affirmed

TRANSACTION SUMMARY

Lusitano Mortgages No.4 plc (L4), Lusitano Mortgages No.5 plc (L5)
and Lusitano Mortgages No.6 Limited (L6) are Portuguese RMBS
transactions that comprise residential mortgages originated and
serviced by Novo Banco, S.A, formerly Banco Espirito Santo, S.A.

KEY RATING DRIVERS

COVID-19 Stresses

Fitch has maintained four tranches of the Lusitano Mortgages
transactions on RWN, reflecting the high probability of downgrade
due to insufficient credit enhancement unable to compensate for the
additional projected losses on the portfolios as a result of the
coronavirus health crisis and containment measures.

The affirmation and Stable Outlooks on the senior classes of the
three transactions reflect their resilience to higher projected
losses as CE ratios are able to mitigate the additional risks.
Moreover, Fitch views most junior notes' ratings as commensurate
with their associated default risk and expected performance under
the agency´s negative asset performance outlook.

Payment Interruption Risk

For L4 and L5, Fitch views PiR in the event of servicer disruption
as insufficiently mitigated, and the maximum achievable rating of
the notes remains capped at 'BBsf'. This assessment reflects the
volatility of the transactions' excess spread, which results in
uncertainty about the balance of their cash reserves given its
junior position in the waterfall. For L6, Fitch views PiR as
sufficiently mitigated by a liquidity facility.

Restructured Loans

All three portfolios contain a small number of loans that did not
comply with the asset eligibility criteria by maturing within three
years of the legal final maturity of the notes or even after for L4
and L6. This is the result of maturity extensions that Novo Banco
was obliged to grant as a result of Portuguese consumer
legislation. Similarly, the portfolios contain loans for which the
margin was reduced. Fitch's interpretation of the transaction
documents is that those loans might need to be substituted by the
originator and replaced with eligible loans. Fitch has been
informed by the originator that those loans will not be
repurchased, which is why they have been fully considered in its
rating analysis.

Taking the affected loans into consideration, Fitch considers that
the transaction will have enough funds, considering current
available liquidity sources and cash reserves, to cure the
potential principal shortfalls at maturity created by those loans
with extended maturities. Therefore, Fitch does not expect any
change to the allocation of transaction cash flows nor any interest
or principal loss to the security.

High Seasoning and Performance Outlook

The rating actions reflect Fitch's expectation of temporary
economic downturns due to the COVID-19 health crisis, partly
contained by the prevailing low interest rate environment and the
large seasoning of the securitised portfolios of more than 14
years. Three-month plus arrears (excluding defaults) as percentage
of the outstanding portfolio balance stood between 0.5% (L4 and L5)
and 0.6% (L6) as of March 2020 and February 2020, respectively, and
the balances of gross cumulative defaults relative to initial
portfolio balances between 7.3% (L4) and 11.5% (L6). In Fitch's
view both performance ratios could deteriorate in the following
months as the impact of the coronavirus crisis materialises.

ESG Considerations

L4 has an ESG Relevance Score of 5 for "Transaction & Collateral
Structure" due to PiR, which has a negative impact on the credit
profile, and is highly relevant to the rating, resulting in a
change to the rating of at least a one-notch downgrade.

L5 has an ESG Relevance Score of 5 for "Transaction & Collateral
Structure" due to PiR, which has a negative impact on the credit
profile, and is highly relevant to the rating, resulting in a
change to the rating of at least a one-notch downgrade.

RATING SENSITIVITIES

Developments that may, individually or collectively, lead to
positive rating action include:

  - CE ratios increasing as the transactions deleverage, able to
fully compensate the credit losses and cash flow stresses
commensurate with higher rating scenarios, all else being equal.

  - For L4 and L5's senior classes, a continued stable performance
that would allow the available cash reserves to build-up for L5 and
remain at the floor for L4, adding sufficient liquidity to mitigate
PiR for ratings above 'BBsf'.

  - For L6's class A notes a build-up of the cash reserve through
stable performance and positive excess spread.

Developments that may, individually or collectively, lead to
negative rating action include:

  - A worsening of the Portuguese macroeconomic environment,
especially employment conditions, or an abrupt shift of interest
rates that could jeopardise the underlying borrowers'
affordability.

  - A longer-than-expected coronavirus crisis will deteriorate
macroeconomic fundamentals and the mortgage market in Portugal
beyond Fitch's current base case. To approximate this scenario,
Fitch has conducted a rating sensitivity by increasing default
rates by 30% and haircutting recovery expectations by 30%, which
would result in a default on some of the transaction's junior notes
and downgrades of between one and two notches for the senior and
mezzanine notes' ratings.

Fitch tested the resilience of the ratings to a take-up rate in
payment holidays and found no rating vulnerability if the take-up
rate stays below 25% during a 12-month period. According to the
servicer, demands for payment holidays had not exceeded 10% of the
portfolios as of end April.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pools and the transactions. There were no findings that affected
the rating analysis. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring. Fitch did not undertake a review of the information
provided about the underlying asset pools ahead of the
transactions' initial closing. The subsequent performance of the
transactions over the years is consistent with the agency's
expectations given the operating environment and Fitch is therefore
satisfied that the asset pool information relied upon for its
initial rating analysis was adequately reliable. Overall, Fitch's
assessment of the information relied upon for the agency's rating
analysis according to its applicable rating methodologies indicates
that it is adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

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

L4 has an ESG Relevance Score of 5 for "Transaction & Collateral
Structure" due to payment interruption risk, which has a negative
impact on the credit profile, and is highly relevant to the rating,
resulting in a change to the rating of at least a one-notch
downgrade.

L5 has an ESG Relevance Score of 5 for "Transaction & Collateral
Structure" due to payment interruption risk, which has a negative
impact on the credit profile, and is highly relevant to the rating,
resulting in a change to the rating of at least a one-notch
downgrade.




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

CHELYABISNK PIPE: Fitch Affirms BB- LongTerm IDR, Outlook Stable
----------------------------------------------------------------
Fitch Ratings has affirmed PJSC Chelyabinsk Pipe Plant's Long-Term
Issuer Default Rating at 'BB-', with Stable Outlook.

The rating affirmation reflects its opinion that Chelpipe's
financial headroom is sufficient to overcome the unprecedented
pressure on the Russian oil and gas sector over the last decade,
due to a combination of the COVID-19 outbreak and record-low oil
and gas prices.

Fitch believes that headroom within its funds from operations gross
leverage (end-2019: 2.9x against its 4x negative sensitivity),
cost-cutting initiatives and capex flexibility will help to keep
the financial profile commensurate with the current rating.

ChelPipe's IDR reflects a solid operational profile with a high
share of value-added products (steel pipes), an established
customer base, and a top-three incumbent position domestically
across major seamless pipes for oil and gas and industrial use. It
also benefits from long-term contracts with cost pass-through
pricing mechanism covering the majority of revenues and hence
providing support to prices but not volumes. The IDR also takes
into account ChelPipe's exposure to the Russian economy and to the
domestic oil and gas sector, in particular.

KEY RATING DRIVERS

Unparalleled COVID-19 Pandemic: Fitch forecasts the pandemic will
shrink global GDP by 4.6% in 2020. In Russia GDP is forecast to
contract 5% in 2020, followed by a 3% recovery in 2021. While the
overall investment component of GDP is expected to decline 15%,
Fitch expects oil and gas companies' capex to shrink 15%-30% as a
result of a recent OPEC+ deal limiting Russia's 2020 oil output by
8%-10% yoy in response to the pandemic. These factors create
pronounced but varied (by segment) pressure on ChelPipe's post-1Q20
performance.

Over 30% Decline in EBITDA: Fitch conservatively expects Chelpipe
to face a 30%-35% decline in 2020 revenue and EBITDA as total pipe
sales volumes shrink to 1.4mt in 2020 from 2.1mt in 2019. It
assumes a contraction of over 60% in large diameter pipes (LDP)
volumes, exceeding the 15% decline estimated for oil country
tubular goods and resilient industrial pipes. It sees moderate
price risk as existing purchase-and-supply contract arrangements
should help protect ChelPipe's gross profit per tonne. However,
contract arrangements or cost initiatives will only partly offset
falling volumes and intensified price competition.

LDP Drive Volumes, not EBITDA: Despite LDP's 46% share in 2019
sales volumes, its contribution to EBITDA was assessed by ChelPipe
at around 15%. The persistent overcapacity in Russian LDP market
already resulted in limited earnings generation from this segment,
meaning a substantial LDP volume reduction for 2020 would only
result in a limited reduction of overall EBITDA. This contrasts
with OCTG and industrial pipes, which accounted for over 70% of
2019 EBITDA.

Oil Sector Pressure Not Uniform: Increasing well complexity and
rising horizontal drilling share (53% in 2019, up from 30% in 2015)
mean less pressure on seamless OCTG producers such as ChelPipe
compared with lower value-added welded pipe producers. Fitch views
2020 horizontal drilling dynamics as neutral-to-moderately negative
while overall drilling activities may fall by up to 30% in 2020.
Fitch expects that less-competitive imported OCTG (8% of 2019
consumption) in Russia will be forced out of the market, leaving
less pressure for incumbent players.

Industrial Pipes Demand Reacts with Lag: Fitch has revised its
assumptions of industrial seamless pipes shipments to 525kt-550kt
in 2020-2021 before gradual recovery towards 650kt in 2023, down
from the 650kt-700kt range assumed previously. Although Fitch
expects investment activities to shrink in Russia, most projects
using seamless pipes, particularly those in late stage, will likely
be finalised while early-stage projects may be postponed.
Industrial pipes contributed over 35% of ChelPipe's EBITDA and are
the company's largest non-oil and gas exposure.

Full Recovery Beyond 2021: Fitch expects total pipe volumes to
recover to 1.55mt in 2021, or nearly 10% higher than in 2020, due
primarily to LDP and industrial seamless pipe growth while OCTG is
assumed to decline another 5%. Sales volumes will continue to
recover further to 1.7mt in 2022 and 1.9mt in 2023 as all segments
see increasing shipments. As a result, Fitch expects EBITDA of
RUB25 billion in 2021 and almost RUB30 billion 2022, versus the
average 2018-2019 EBITDA of RUB30 billion.

Neutral-to-Negative FCF: ChelPipe has demonstrated its ability to
keep its capex under control and generate positive free cash flow
(FCF) during distress as evidenced in 2016-2017 after the global
oil slump and at present. As ChelPipe shifts to FCF-focused
dividend and considers intensifying capex, Fitch expects FCF to be
moderately positive in 2020, neutral in 2021 before turning
negative in 2022-2023. This should not compromise ChelPipe's credit
profile as post-2020 EBITDA recovery will more than offset FCF
outflow and result in FFO gross leverage trending towards 3.5x in
2022 and 3x in 2023 from the 4.2x peak in 2020 despite intensifying
capex.

Capex Increasing but Flexible: Initiatives on top of ChelPipe's
maintenance capex (well below RUB5 billion) include
value-over-volume projects such as expanding its finishing centre,
launch of stainless pipes production, Rimera oilfield services
expansion and others. Given the projects are numerous and mostly of
moderate scale, Fitch believes that in case of distress ChelPipe
can postpone some projects, especially those for which the market
is not readily available, and cut back its investment activities,
as demonstrated in the past.

New Dividend Policy Adopted: ChelPipe's announcement of FCF-focused
dividend policy in February 2020 will see the company distributing
at least 100% of its pre-dividend FCF if its net debt / EBITDA is
below 2.5x, and 75% of pre-dividend FCF if net debt / EBITDA
exceeds 2.5x, corresponding to FFO gross leverage of around
3.5x-3.6x. For 2020 and 2021, however, ChelPipe declared RUB7.5
billion dividends, which is included in its assumptions.

Established Regional Pipe Producer: ChelPipe's two Urals-based
steel pipe plants retain the overall top-three market position in
Russia, with roughly a 20%-25% share each in LDP and OCTG, which
are mainly used in the oil and gas industry. Its market share in
the non-oil and gas pipe sectors, such as machinery, energy and
petrochemical seamless steel pipes, is stronger and is assessed by
ChelPipe at over 40%. Its competitive advantage is its relative
proximity to Siberian and Far Eastern oil and gas fields and more
than 75% integration into scrap-fed billet production. However,
ChelPipe lags competitors in premium pipe connections.

Longer-Term Pipe Risks Materialised: Russian LDP players are
suffering from a lack of Gazprom's expansionary projects, which is
only partly offset by the maintenance needs for the Russian gas
pipeline system despite it being the second-largest globally.
Additional factors dis-incentivizing Gazprom's appetite for further
expansions in the medium-term include rising access to liquefied
natural gas, surging renewables and falling energy use per capita.
These factors complicate Russian LDP overcapacity. ChelPipe's LDP
contribution to EBITDA in 2019 was subdued at 15% (RUB5 billion),
and Fitch expects further EBITDA impact to be more limited than LDP
volume pressure.

DERIVATION SUMMARY

ChelPipe's IDR reflects a solid operational profile with a high
share of value-added products (steel pipes), a solid top-three
domestic position across oil & gas and industrial seamless pipes,
partial backward integration into scrap and billets, and an
established long-term customer base. ChelPipe's constraints
incorporate a weak presence outside Russia, high exposure to the
domestic oil and gas sector (typical for steel pipe players but not
for steel players), and lack of exposure to margin-boosting premium
pipe solutions.

ChelPipe lacks the scale, cost leadership and sales diversification
of its Russian steel peers PAO Severstal (BBB/Stable), PJSC
Novolipetsk Steel (NLMK, BBB/Stable) and OJSC Magnitogorsk Iron &
Steel Works (BBB/Stable) but ranks above them in value-added
products (pipes). ChelPipe's partial vertical integration into
billets and scrap compares well with MMK's but not with more
integrated NLMK's and Severstal's. ChelPipe has higher exposure to
the Russian oil and gas sector and higher leverage than peers.

KEY ASSUMPTIONS

Fitch's Key Assumptions Within its Rating Case for the Issuer

  - LDP shipments to dip to 350kt in 2020, rising to 500kt in 2021
and averaging at 650kt p.a. in 2022-2023

  - Non-LDP shipments at 1,050kt p.a. in 2020-2021 and averaging at
1,150kt p.a. in 2022-2023

  - EBITDA down to RUB22 billion in 2020 on lower sales volumes,
rising to RUB25 billion in 2022 and averaging at RUB31 billion in
2022-2023

  - Capex at 6% of sales in 2020, up to 7% in 2021 and 9%-10% in
2022-2023

  - Dividends of RUB7.5 billion in 2020-2021, and in line with new
dividend policy thereafter

RATING SENSITIVITIES

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

  - FFO gross leverage consistently at or below 3.0x (2019: 2.9x)
or 2.5x on a net basis

  - Positive FCF generation through the cycle

  - FFO interest coverage above 4.5x for a sustained period

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

  - EBITDAR margin sustained materially below 16% (2019: 17%)

  - FFO gross leverage sustained above 4.0x or 3.5x on a net basis

  - Tightening liquidity and/or FFO interest coverage falling below
2x (2019: 3.3x) for a sustained period

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Sound Liquidity: ChelPipe had RUB21.1 billion in cash balances,
which almost covered RUB21.8 billion in debt maturities as of
end-2019. Liquidity has been bolstered by a USD300 million note
placement completed in September 2019 (equivalent to around RUB19.2
billion), which partly refinanced its short-term debt. The
placement also extended and smoothed out the company's debt
maturity profile. Moreover, liquidity is supported by RUB24 billion
in undrawn committed credit lines and forecast neutral-to-positive
FCF generation over the next 12 months.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).

NEFTSERVICEHOLDING LLC: Moody's Affirms B1 CFR, Outlook Stable
--------------------------------------------------------------
Moody's Investors Service has affirmed the B1 corporate family
rating and B1-PD probability of default rating of
Neftserviceholding LLC, a Russian independent oilfield services
company. The outlook remains stable.

RATINGS RATIONALE

The affirmation of the ratings reflects Moody's expectation that
the company will have sufficient operational resilience and
financial buffer to withstand the market downturn in 2020-21
without a deterioration in its credit quality. Despite the
difficult industry conditions, NSH should demonstrate healthy
operating and financial performance over the next 12-18 months
thanks to its strong relationship with key customers and good
visibility and reliability of contracted revenue. Its credit
metrics should also remain commensurate with the B1 rating in
2020-21.

The spreading pandemic has depressed global oil demand and led to a
sharp decline in oil prices. Moody's as a result has lowered its
average oil price assumptions for 2020 and 2021 to $35/bbl and
$45/bbl respectively. Exceptionally weak short-term prices will
persist until enough production curtailments can ease the strain on
storage facilities already operating at or close to full capacity.
Oil production will decline in 2020-21 because of both the agreed
OPEC+ deal and a significant cut in investments. While Moody's
expects economic activity to recover into 2021, oil demand may
return only gradually. As a result, the global oilfield services
and drilling sector will shrink dramatically in 2020 and is not
likely to fully recover in 2021 as oil and gas producers slash
capital spending, curtail drilling activity and preserve cash flow.
Substantial cuts in Russia's oil production starting in May 2020
and continuing for two years under the OPEC+ deal will lower
domestic demand for OFS services.

However, NSH is somewhat insulated from the current turbulence
thanks to its relatively long-term contracts, which are already
backed partly by large advances, and strong backlog of orders for
2020-21, with low cancellations to date. The company also benefits
from the growing demand from Gazprom Neft PJSC (Baa2 stable) and
good relationship with its long-standing customer Lukoil, PJSC
(Baa2 stable). Therefore, Moody's expects the company's revenue to
grow by a single-digit in percentage terms a year in 2020-21, with
its EBITDA margin remaining stable at around 15% or slightly
improving, thanks to significant cost optimisation efforts and
growing scale.

The rating action also takes into account the company's solid
credit metrics for its rating. Moody's expects NSH's adjusted
debt/EBITDA ratio to increase to around 1.7x-1.9x in 2020-21 from
1.5x in 2019 because of a sizeable increase in leasing in 2020. At
the same time, the company's interest coverage, measured as
adjusted EBITDA/interest expense, should remain sound at around
6.0x-8.0x in 2020-21, compared with 8.1x in 2019.

NSH's large expansion capital spending of RUB6 billion on new rigs
in 2020 represents a concern amid the market downturn. However, the
company has already contracted those rigs to particular projects
with its customers. In addition, more than half of this capital
spending is financed by advances under the long-term contracts with
the customers, while the rest will be covered by operating cash
flow and leasing.

NSH's credit quality also factors in (1) the company's high-quality
modern fleet, which provides it with a competitive advantage over
larger peers and allows for greater efficiency; (2) its
diversification into a range of services at different stages of
field development; (3) its historically conservative financial
policy and prudent approach to development strategy; and (4) its
comfortable debt repayment profile.

At the same time, the rating takes into account (1) NSH's small
scale of operations compared with that of its global peers and its
niche market position in the highly competitive OFS segments; (2)
its limited customer diversification; (3) the high bargaining power
of oil companies in Russia; and (4) the company's exposure to
Russia's less-developed political, regulatory and legal framework.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE (ESG) CONSIDERATIONS

The rapid and widening spread of the coronavirus outbreak,
deteriorating global economic outlook, falling oil prices, and
asset price declines are creating a severe and extensive credit
shock across many sectors, regions and markets. The combined credit
effects of these developments are unprecedented. The OFS sector has
been one of the sectors most significantly affected by the shock
given its sensitivity to oil prices and production. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.
Its action takes into account the impact on NSH of the coronavirus
outbreak.

Governance considerations include NSH's concentrated private
ownership structure, which creates a risk of rapid changes in the
company's strategy, financial policies and development plans.
However, the owner's track record of a fairly conservative and
supportive approach towards the company partly mitigates the risks
related to corporate governance and potential excessive shareholder
distributions.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook on NSH's rating reflects Moody's expectation
that the company will (1) deliver a solid operating and financial
performance in 2020-21, and (2) maintain conservative financial and
liquidity management policies, with adjusted debt/EBITDA remaining
below 3.0x on a sustainable basis.

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

Moody's could upgrade the rating if the company were to (1) grow
its business and improve customer diversification, focusing on
smooth organic expansion with a balanced capital spending
programme, (2) maintain its Moody's-adjusted gross debt/EBITDA
below 2.0x on a sustainable basis, (3) have good liquidity, and (4)
pursue its prudent financial policy. A rating upgrade would also
require sustainable improvements in operating conditions in the
Russian OFS sector.

Moody's could downgrade the rating if the company's operating
and/or financial performance were to deteriorate materially such as
(1) Moody's-adjusted gross debt/EBITDA were to rise above 3.0x on a
sustained basis due to weaker operating performance, more
aggressive debt-financed capital spending and shareholder
distributions, or the loss of a major customer, and (2) liquidity
were to deteriorate.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Global Oilfield
Services Industry Rating Methodology published in May 2017.

NSH is a Russian independent OFS company, which provides a range of
services, including drilling, well-servicing and workover,
geophysics and other non-core services. In 2019, NSH generated
RUB13.6 billion ($210 million) of revenue and RUB2.1 billion ($32
million) of adjusted EBITDA. The company was established in 2003 as
a spinoff from Lukoil, PJSC (Lukoil, Baa2 stable) and is ultimately
controlled by PFIG Overseas Holdings Limited.




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

CAJA GRANADA 1: Fitch Affirms C Rating on Class D Debt
------------------------------------------------------
Fitch Ratings has affirmed AyT Caja Granada Hipotecario 1, AyT Caja
Murcia Hipotecario I and AyT Caja Murcia Hipotecario II.

AyT Caja Granada Hipotecario 1, FTA

  - Class A ES0312212006; LT A+sf; Affirmed  

  - Class B ES0312212014; LT CCCsf; Affirmed

  - Class C ES0312212022; LT Csf; Affirmed

  - Class D ES0312212030 LT Csf; Affirmed

AyT Caja Murcia Hipotecario I, FTA

  - Class A ES0312282009; LT AA-sf; Affirmed

  - Class B ES0312282017; LT Asf; Affirmed

  - Class C ES0312282025;  LT BBB-sf; Affirmed

AyT Caja Murcia Hipotecario II, FTA

  - Class A ES0312272000; LT A+sf; Affirmed

  - Class B ES0312272018; LT BBB+sf; Affirmed  

  - Class C ES0312272026; LT BBB-sf; Affirmed

TRANSACTION SUMMARY

The transactions comprise residential mortgages serviced by Bankia
(BBB/Rating Watch Negative/F2).

KEY RATING DRIVERS

Resilience to COVID-19 performance stresses

The affirmations and Stable Outlooks on all notes reflect their
resilience to higher projected losses as credit enhancement (CE)
ratios are able to mitigate the additional risks as a result of the
coronavirus health crisis and the containment measures.

Spain has been under a state of alert since March 14, 2020, with
full lockdown measures running for nine weeks already. Fitch has
made assumptions about the spread of coronavirus and the economic
impact of the related containment measures. Fitch's baseline
scenario for Spain assumes a recession in 2020 driven by sharp
economic contractions, with a forecast GDP reduction to -9.6% in
2020 and a rapid spike in unemployment to 21.5% from pre-crisis
14.1%, followed by a recovery that begins in 2021 as the health
crisis subsides. However, if the crisis extends through 2021
because of the re-emergence of infections, a prolonged period of
economic contraction will take place linked to continued job losses
and depressed markets.

Commentary describing Fitch's credit views and analytical approach
as a consequence of coronavirus is available within the reports
"Global Economic Outlook: Crisis Update May 2020 - Coronavirus
Shock Broadens", "Coronavirus Baseline and Downside Scenarios --
Update" and "Global SF Rating Assumptions Updated to Reflect
Coronavirus Risk".

CE Trends

Fitch expects structural CE for Murcia I and II's senior notes to
remain stable or increase, subject to the evolution of the asset
performance during the COVID-19 crisis, as the prevailing pro-rata
amortisation is expected to switch back to sequential in the near
term when the outstanding portfolio balance represents less than
10% of their original amount (currently 11.1% and 13.8%,
respectively) or sooner if certain performance triggers are
breached. CE ratios for Granada's class A notes are expected to
continue increasing as the sequential amortisation is expected to
continue and the principal deficiency ledger has been partially
absorbed over the last year.

Expected Asset Performance Deterioration

Fitch expects a generalised weakening of Spanish borrowers' ability
to keep up with payments, linked to a spike in unemployment.
Arrears have been at around 1.0% for Murcia I and II and below 2.0%
for Granada since 2016, and gross cumulative defaults were below
0.4% for Murcia I and II and 7.8% for Granada. However, Fitch
expects these performance indicators to increase in the short to
medium term.

Rating Caps Due to Counterparty Risks

The 'A+sf' rating cap on Granada and Murcia II's senior notes
reflect account bank replacement triggers supporting ratings up to
the 'A' category.

Fitch considers Granada is exposed to an additional rating cap at
'A+' due to payment interruption risk. Fitch assesses the
availability of liquidity sources as insufficient to cover three
months of senior fees, net swap payments and stressed senior note
interest amounts in the event of a servicer disruption while an
alternative arrangement was implemented. Fitch considers PiR is
mitigated for Murcia I and II as the available liquidity is enough
to cover timely payments for at least three months.

Geographical Concentration

Granada's portfolio is highly exposed to the region of Andalusia,
while Murcia I and II are highly exposed to Murcia. Within Fitch's
credit analysis, and to address regional concentration risk, higher
rating multiples are applied to the base foreclosure frequency
assumption to the portion of the portfolios that exceeds 2.5x the
population within these regions. in line with Fitch´s European
RMBS rating criteria.

ESG Considerations

Granada has an ESG Relevance Score of 5 for "Transaction &
Collateral Structure" due to payment interruption risk, which has a
negative impact on the credit profile, and is highly relevant to
the rating, resulting in a change to the rating of at least a
one-notch downgrade.

Granada has an ESG Relevance Score of 5 for "Transaction Parties &
Operational Risk" due to modification of account bank replacement
triggers after transaction closing, which has a negative impact on
the credit profile, and is highly relevant to the rating, resulting
in a change to the rating of at least a one-notch downgrade.

Murcia I has an ESG Relevance Score of 4 for "Transaction Parties &
Operational Risk" due to modification of account bank replacement
triggers after transaction closing, which has a negative impact on
the credit profile, and is relevant to the ratings in conjunction
with other factors.

Murcia II has an ESG Relevance Score of 5 for "Transaction Parties
& Operational Risk" due to modification of account bank replacement
triggers after transaction closing, which has a negative impact on
the credit profile, and is highly relevant to the rating, resulting
in a change to the rating of at least a one-notch downgrade.

RATING SENSITIVITIES

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

For Murcia I class A notes, CE ratios increasing as the transaction
deleverages, able to fully compensate the credit losses and cash
flow stresses commensurate with higher rating scenarios, all else
being equal.

Murcia II's class A notes, currently capped at 'A+' due to
replacement triggers of the account bank, a change in the
replacement triggers could lead to positive rating action.

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

A longer-than-expected coronavirus crisis that deteriorates
macroeconomic fundamentals and the mortgage market in Spain beyond
Fitch's current base case. CE ratios cannot fully compensate the
credit losses and cash flow stresses associated with the current
ratings scenarios, all else being equal.

A downgrade of Spain's Long-Term Issuer Default Rating could
decrease the maximum achievable rating for Spanish structured
finance transactions below the current 'AAAsf' rating. This applies
to the senior notes rated 'AAAsf' in line with the agency's
Structured Finance and Covered Bonds Country Risk Rating Criteria.

Fitch tested the resilience of the ratings to a take-up rate in
payment holidays and found no rating vulnerability if the take-up
rate stays below 25% during a six-month period. According to
publicly available sources, granted public payment holidays have
not exceeded 10% of the portfolios as of end-April.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pools and the transactions. There were no findings that affected
the rating analysis. Fitch has not reviewed the results of any
third party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

Fitch did not undertake a review of the information provided about
the underlying asset pools ahead of the transactions' initial
closing. The subsequent performance of the transactions over the
years is consistent with the agency's expectations given the
operating environment and Fitch is therefore satisfied that the
asset pool information relied upon for its initial rating analysis
was adequately reliable.

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

Granada has an ESG Relevance Score of 5 for "Transaction &
Collateral Structure" due to payment interruption risk, which has a
negative impact on the credit profile, and is highly relevant to
the rating, resulting in a change to the rating of at least a
one-notch downgrade.

Granada has an ESG Relevance Score of 5 for "Transaction Parties &
Operational Risk" due to modification of account bank replacement
triggers after transaction closing, which has a negative impact on
the credit profile, and is highly relevant to the rating, resulting
in a change to the rating of at least a one-notch downgrade.

Murcia I has an ESG Relevance Score of 4 for "Transaction Parties &
Operational Risk" due to modification of account bank replacement
triggers after transaction closing, which has a negative impact on
the credit profile, and is relevant to the ratings in conjunction
with other factors.

Murcia II has an ESG Relevance Score of 5 for "Transaction Parties
& Operational Risk" due to modification of account bank replacement
triggers after transaction closing, which has a negative impact on
the credit profile, and is highly relevant to the rating, resulting
in a change to the rating of at least a one-notch downgrade.

Except for the matters discussed above, the highest level of ESG
credit relevance, if present, is a score of 3 - ESG issues are
credit neutral or have only a minimal credit impact on the
entities, either due to their nature or the way in which they are
being managed by the entity(ies).


IMAGINA MEDIA: Bank Debt Trades at 39% Discount
-----------------------------------------------
Participations in a syndicated loan under which Imagina Media
Audiovisual SA is a borrower were trading in the secondary market
around 61 cents-on-the-dollar during the week ended Fri., May 29,
2020, according to Bloomberg's Evaluated Pricing service data.  The
bank debt traded around 82 cents-on-the-dollar for the week ended
May 22, 2020.

The EUR180.0 million facility is a term loan.  The loan is
scheduled to mature on December 28, 2025.   As of May 29, 2020 the
amount is fully drawn and outstanding.

The Company's country of domicile is Spain.




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

AWAZE LTD: Bank Debt Trades at 33% Discount
-------------------------------------------
Participations in a syndicated loan under which Awaze Ltd is a
borrower were trading in the secondary market around 67
cents-on-the-dollar during the week ended Fri., May 29, 2020,
according to Bloomberg's Evaluated Pricing service data.  The bank
debt traded around 81 cents-on-the-dollar for the week ended May
22, 2020.

The EUR167.0 million facility is a term loan.  The loan is
scheduled to mature on May 9, 2026.   As of May 29, 2020 the amount
is fully drawn and outstanding.

The Company's country of domicile is Britain.


CIEP EPOCH: Bank Debt Trades at 88% Discount
--------------------------------------------
Participations in a syndicated loan under which CIEP Epoch Bidco
Ltd is a borrower were trading in the secondary market around 12
cents-on-the-dollar during the week ended Fri., May 29, 2020,
according to Bloomberg's Evaluated Pricing service data.  The bank
debt traded around 17 cents-on-the-dollar for the week ended May
22, 2020.

The GBP200.0 million facility is a term loan.  The loan is
scheduled to mature on December 18, 2024.   As of May 29, 2020 the
amount is fully drawn and outstanding.

The Company's country of domicile is Britain.


DIVERSITY FUNDING 1: S&P Cuts Rating on Class E Notes to 'D'
------------------------------------------------------------
S&P Global Ratings lowered to 'D (sf)' from 'CCC- (sf)' its credit
rating on Diversity Funding No. 1 Ltd.'s class E variable reference
rate notes. At the same time, S&P has affirmed its 'CCC+ (sf)' and
'D (sf)' ratings on the class D and class F notes, respectively.

The rating actions follow the application of its timeliness of
payments and imputed promises criteria.

Since the November 2018 payment date, the class D notes have failed
to pay their full amount of interest, while the class E notes have
failed to pay any interest. The class F notes have suffered
interest shortfalls since 2012.

According to the transaction documents, the class D, E, and F notes
are subject to an available funds cap. Any unpaid interest on the
notes does not accrue, and is extinguished. Under S&P's imputed
promises criteria, it would typically view a permanent interest
write-off as a breach of the rated promise, unless it is due to
margin compression following prepayments.

Since S&P's previous review on May 18, 2017, the loans portfolio
has experienced further losses. The total principal deficiency
ledger increased to GBP43.4 million from GBP27.4 million, and the
class E notes' sub-ledger increased to 67% from 17% of the class E
notes' notional amount. Out of the GBP45.4 million loans remaining
in the portfolio, GBP10.7 million are either in arrears or in
receivership.

The amount of performing loans (GBP34.7 million) has now fallen
below the aggregate notional amount of the class D and class E
notes (GBP65.0 million). S&P has therefore determined that the
failure to pay full and timely interest on the class E notes was a
result of credit deterioration, and not only margin compression.
S&P  has therefore lowered to 'D (sf)' from 'CCC- (sf)' its rating
on the class E notes.

S&P has affirmed its 'D (sf)' rating on the class F notes for the
same reason.

Although the remaining performing loans in the portfolio (GBP34.7
million) is greater than the size of the class D notes, their
weighted-average margin is lower than the margin payable on the
class D notes. S&P therefore views the interest shortfall on the
class D notes as resulting from prepayments.

S&P said, "We believe that the credit risk of the class D notes
remains commensurate with a 'CCC+ (sf)' rating. Since our May 2017
review, the notes amortized by GBP20.7 million. As a result, the
note-to-value ratio decreased to 28% from 42%. The weighted-average
interest coverage ratio, loan-to-value ratio, and debt service
coverage ratio of the loan portfolio have all improved since our
previous review. We have therefore affirmed our 'CCC+ (sf)' rating
on the class D notes."

Diversity Funding No. 1 is a true-sale commercial mortgage-backed
securities (CMBS) transaction backed by 103 U.K. loans secured by
156 properties with various maturity dates. The note legal final
maturity date is in February 2046.


INTERGEN NV: Moody's Cuts Secured Rating to B1, Outlook Negative
----------------------------------------------------------------
Moody's Investors Service has downgraded to B1 from Ba3 the senior
secured rating of InterGen N.V. and changed the outlook to negative
from stable.

RATINGS RATIONALE

RATIONALE FOR RATING AND OUTLOOK

Its action reflects Moody's expectation that dividends from OzGen
B.V., InterGen's 50%-owned Australian joint venture, will fall
sharply as hedges roll off and underlying weak electricity prices
are reflected in project cash flows, and that the profitability of
the company's UK assets will be reduced with the expiry of a key
contract in 2021.

InterGen's rating also reflects increasing refinancing risk at the
holding company and key projects. Moody's believes a 2021 debt
maturity at the Millmerran coal project of A$232 million (InterGen
proportional share GBP40 million) may need to be funded from
internal cash flow, which would further constrain distributions
from OzGen. In addition, refinancing risk will rise as the June
2023 maturity of most of InterGen's debt approaches, given weak
projected metrics at that time and lenders' growing focus on
ESG-related risks to coal and gas generators.

The negative outlook reflects significant uncertainty in Australian
power markets. Given current forward prices, Moody's believes
InterGen's ratio of funds from operations to debt could fall to the
mid-single digits, in percentage terms, in 2022 and 2023, which
would not be consistent with the B1 rating.

InterGen's ratings are supported by the company's very strong
liquidity over the next 18-24 months, with cash of GBP168 million
as of March 2020 and positive free cash flow, and Moody's
expectation that net leverage will decline over this period. In
addition, the rating reflects good short-term cash flow visibility
as a result of the Spalding tolling contract, which runs until
September 2021, and significant revenues from the UK's capacity
mechanism until September 2024. Moody's expects the company's
modern and efficient fleet of combined-cycle gas turbines in the UK
and supercritical coal-fired stations in Queensland, Australia to
remain profitable in both markets.

Despite lower electricity prices in Great Britain, gas generation
spreads have remained stable as gas and carbon prices have fallen
in line with electricity. However, output from the UK plants has
fallen in 2020 as a result of outages and coronavirus-related
reductions in electricity demand, and profitability is likely to be
lower than 2019.

The rapid and widening spread of the coronavirus outbreak,
deteriorating global economic outlook, falling oil prices, and
asset price declines are creating a severe and extensive credit
shock across many sectors, regions and markets. The combined credit
effects of these developments are unprecedented. Electricity
generation has been significantly affected by the shock given its
sensitivity to industrial demand. Moody's regards the coronavirus
outbreak as a social risk under its ESG framework, given the
substantial implications for public health and safety. Other ESG
considerations incorporated into Moody's rating are related to the
long-term viability of carbon-intensive generation.

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

The outlook could be stabilised if Moody's believes InterGen will
be able to maintain FFO/debt sustainably above 8% and debt/EBITDA,
based on consolidated and unencumbered assets, below 7x, and if
forthcoming debt maturities are refinanced in good time.

In the longer term, the rating could be upgraded if InterGen
maintains FFO/debt consistently above 12% with prudent liquidity,
or if there were a significant increase in revenue visibility as a
result of long-term offtake contracts with creditworthy
counterparties.

The rating could be downgraded if FFO/debt appears likely to fall
persistently below 8% or if debt/EBITDA rose above 7x. The rating
could also be downgraded if InterGen failed to secure liquidity
comfortably ahead of the 2023 debt maturity, or if there were
changes in the company's business profile that increased cash flow
volatility, without offsetting measures to strengthen the balance
sheet.

The principal methodology used in these ratings was Unregulated
Utilities and Unregulated Power Companies published in May 2017.

Since the last rating actions on this issuer, Moody's has updated
its approach to rating InterGen, and currently assigns and monitors
such ratings using the Unregulated Utilities and Unregulated Power
Companies methodology.

Headquartered in Edinburgh, United Kingdom, InterGen N.V. is a
holding company with a 3,269 MW portfolio in operations consisting
of four natural gas-fired power plants in the UK and two coal-fired
power plants in Queensland, Australia. InterGen N.V. is owned by
Sev.en Investment Management and China Huaneng Group Co., Ltd (A2
stable).


LONDON CAPITAL: Report on Collapse Delayed Due to Covid Crisis
--------------------------------------------------------------
According to The Telegraph's Michael O'Dwyer, a report on the
collapse of mini-bond firm London Capital & Finance (LCF) will be
delayed by nearly three months due to delays caused by the City
watchdog and difficulties created by the Covid crisis.

Dame Elizabeth Gloster announced that her investigation had been
held up by the length of time it took to receive documents from the
Financial Conduct Authority (FCA), which in turn delayed interviews
with employees at the regulator, The Telegraph discloses.

The former Court of Appeal judge said the inquiry was further
hampered by Covid as interviewing staff who were working at home
had created logistical and security issues, The Telegraph relates.


Dame Elizabeth is examining the approach taken by the watchdog to
regulating LCF, which collapsed into administration in January 2019
leaving 11,600 ordinary investors at risk of losing GBP237 million,
The Telegraph states.


MONSOON ACCESSORIZE: Seeks Rent Waivers with Landlords
------------------------------------------------------
Laura Onita at The Telegraph reports that ailing retailer Monsoon
Accessorize has warned landlords that they have a week to offer up
rent waivers or it will shut down stores.

According to The Telegraph, the chain issued the ultimatum in a
letter as it scrambles to survive the lockdown.  Monsoon, as cited
by The Telegraph, said it is trying to determine which -- if any --
of its 220 stores can be kept open.  

Monsoon's founder and current owner Peter Simon intends to buy the
business back after putting it in administration, but a source said
it will likely emerge with fewer stores, The Telegraph discloses.

The company has been working with advisors at FRP with the aim of
minimizing its creditors' losses, The Telegraph notes.

Landlords have until Monday next week to say if they will demand
payment after administrators are formally appointed, The Telegraph
states.


PARKDEAN RESORTS: May Run Out of Money if Lockdown Remains
----------------------------------------------------------
Oliver Gill at The Telegraph reports that Parkdean Resorts,
Britain's biggest holiday park operator, could run out of money
within weeks unless the lockdown is lifted, analysts have warned.

It is being squeezed by customers demanding refunds for holidays
cancelled because of coronavirus, experts at credit agency Moody's
said, with all of its 67 sites closed since March 23, The Telegraph
discloses.

According to The Telegraph, the chain -- which has been offering
customers up to GBP150 if they will take a travel voucher instead
of a cash refund in a battle to keep going -- is hoping to re-open
on July 6.

However, it will only be able to act if coronavirus restrictions
are eased, The Telegraph notes.

In a report on the industry, Moody's, as cited by The Telegraph,
said: "[Parkdean] may run out of cash this summer if the lockdown
is not lifted in the next few weeks and demand is slow to
recover."


TED BAKER: Mulls GBP95MM Cash Call to Survive Coronavirus Crisis
----------------------------------------------------------------
Alice Hancock at The Financial Times reports that Ted Baker, the
upmarket UK fashion chain, has said it plans to raise more than its
entire listed equity in a GBP95 million cash call to see it through
the coronavirus crisis, as it reported an GBP80 million loss for
last year.

According to the FT, the ailing retailer said on June 1 that it
would use the proceeds to cut debt and pursue a "digital first"
strategy that will see it invest in online sales.  It has also
extended its bank debt by GBP11.5 million, the FT discloses.

Despite seeing a 78% uptick in sales through its website since
lockdowns were announced at the end of March, the company, as cited
by the FT, said that it had been "significantly impacted" by the
crisis and that overall like-for-like sales from the beginning of
January until May were down 34%.

The coronavirus crisis hit at a crunch point for the struggling
retailer, after it issued its fourth profit warning in a year in
December and revealed a GBP25 million accounting error that it
later said was due to GBP58 million in overstated stock, the FT
notes.

Shares in Ted Baker, which operates 580 stores and concessions
worldwide, have plummeted almost 90% in the past year as it has
grappled with weakening consumer sentiment and multiple governance
issues, the FT recounts.

Ted Baker Chief Executive Officer Rachel Osborne said that without
the additional fundraising announced on June 1, the retailer would
have become insolvent by August, and warned that further waves of
the virus or more lockdowns could exhaust the extra cash reserves
by the end of 2022, the FT relays.


TUNSTALL GROUP: Bank Debt Trades at 19% Discount
------------------------------------------------
Participations in a syndicated loan under which Tunstall Group
Finance Ltd is a borrower were trading in the secondary market
around 81 cents-on-the-dollar during the week ended Fri., May 29,
2020, according to Bloomberg's Evaluated Pricing service data.  

The EUR240.0 million facility is a TERM loan.  The loan is
scheduled to mature on October 16, 2020.   As of May 29, 2020 the
amount is fully drawn and outstanding.

The Company's country of domicile is Britain.



                           *********


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 2020.  All rights reserved.  ISSN 1529-2754.

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