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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, July 15, 2020, Vol. 21, No. 141

                           Headlines



I R E L A N D

DRUMCONDRA CREDIT: High Court Appoints Grant Thornton as Liquidator
DRYDEN XXVII-R 2017: S&P Lowers Rating on Cl. E Notes to 'BB-'
GOLDENTREE LOAN 4: S&P Assigns B- Rating on Class F Notes
HOLLAND PARK: S&P Lowers Rating on Class D Notes to 'BB-'
OCP EURO 2017-1: S&P Lowers Rating on Class E Notes to 'BB-'

TIKEHAU CLO V: S&P Lowers Rating on Class F Notes to 'B-'


I T A L Y

INTER MEDIA: S&P Affirms Then Withdraws B+ Bonds Issue Rating


N E T H E R L A N D S

DRYDEN 48 EURO 2016: S&P Lowers Rating on E-R Notes to 'B'
DRYDEN 51 EURO 2017: S&P Lowers Rating to 'BB-' on E Notes
DRYDEN 73 EURO 2019: S&P Affirms 'B-' Rating on Class F Notes
EURO-GALAXY III: S&P Lowers Rating on Cl. E-RR Notes to 'BB-'
OZLME BV: S&P Lowers Rating on Class E-R Notes  to 'BB-'

TENNET HOLDING: S&P Rates Sub. Hybrid Capital Securities BB+


R U S S I A

PEOPLE'S BANK: Bank of Russia Revokes Banking License


S P A I N

INTERNATIONAL PARK: S&P Affirms B- LT ICR, Outlook Negative


S W I T Z E R L A N D

LEKKERLAND SWITZERLAND: Enters Liquidation, 144 Jobs at Risk


U N I T E D   K I N G D O M

CARDINAL SHOPFITTING: Enters Administration, 135 Jobs Affected
EPIHIRO PLC: Moody's Withdraws B2 Rating on EUR1.623MM Cl. A Notes
LUNAR FUNDING I: S&P Cuts Rating on Series 6 Notes to B+
MARCUS WORTHINGTON: Retail Park Bought Out of Administration
PINNACLE BIDCO: S&P Lowers ICR to CCC+ Due to COVID-19 Impact

TOWER BRIDGE 2020-1: Moody's Assigns (P)Ba2 Rating on Cl. E Notes
VIRGIN ATLANTIC: Reaches GBP1.2-Bil. Rescue Package Deal

                           - - - - -


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I R E L A N D
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DRUMCONDRA CREDIT: High Court Appoints Grant Thornton as Liquidator
-------------------------------------------------------------------
Charlie Weston at Independent.ie reports that Central Bank has got
the High Court to agree to the appointment of a liquidator to
Drumcondra Credit Union in Dublin.

Regulators insisted the action was taken in the best interests of
members and the broader public, Independent.ie notes.

According to Independent.ie, it is understood the credit union has
struggled for a while to build up its capital level to satisfy
regulatory rules.

A sharp depreciation in the value of its buildings meant its
balance sheet took at hit, Independent.ie states.

The Central Bank stressed that the move to have liquidators
appointed was not related to the exceptional circumstances of
Covid-19, Independent.ie relays.

Stephen Tennant--stephen.tennant@ie.gt.com--and Nicholas
O'Dwyer--Nicholas.ODwyer@ie.gt.com--of Grant Thornton have been
appointed as joint provisional liquidator, Independent.ie
discloses.

"The Central Bank has been engaging with Drumcondra Credit Union to
address its long standing challenges connected with its financial
viability," Independent.ie quotes the regulator as saying in a
statement.


DRYDEN XXVII-R 2017: S&P Lowers Rating on Cl. E Notes to 'BB-'
---------------------------------------------------------------
S&P Global Ratings lowered its credit rating to 'BB- (sf)' from 'BB
(sf)' on Dryden XXVII-R Euro CLO 2017's class E notes and removed
it from CreditWatch negative. At the same time, S&P has affirmed
its ratings on all other classes of notes.

S&P said, "On April 27, 2020, we placed on CreditWatch negative our
rating on the class E notes following a number of negative rating
actions on corporates with loans held in Dryden XXVII-R driven by
coronavirus-related concerns and the current economic dislocation.

"The rating actions follow the application of our relevant criteria
and reflect the deterioration of the portfolio's credit quality.

"Since our previous full review of the transaction, our estimate of
the total collateral balance (performing assets, principal cash,
and expected recovery on defaulted assets) held by the CLO has
slightly decreased, mainly as a result of some trading losses and
defaults."

This has resulted in a small decrease in credit enhancement for all
rated notes.

  Table 1

  Credit Analysis Results
  
  Class   Current amount     Credit enhancement (%)
          (mil. EUR)        as of July 2020    at closing (%)
                      (Based on May trustee report)
  A-1         251               42.70             42.92
  A-2        15.8               42.70             42.92
  B-1        36.8               30.83             31.10
  B-2        18.5               30.83             31.10
  C          39                 22.46             22.76
  D          29.3               16.17             16.50
  E          27.3               10.31             10.66
  F          14                  7.31              7.67
  Sub        46.9                 N/A               N/A

  N/A--Not applicable.

Since S&P's previous review, its scenario default rates (SDRs) have
remained relatively unchanged, though it notes the following
factors from the most recent portfolio:

-- Increase in 'CCC' rated assets to approximately EUR46 million.

-- Assets on CreditWatch negative totaling 7.2%.

-- A fall in the portfolio weighted-average life (WAL) to 5.03
years. As per the May trustee report, the WAL test is currently in
breach of its trigger level.

  Table 2

  Transaction Key Metrics
                         As of July 2020  At S&P's previous review

  SPWARF                        3,060.21         N/A
  Default rate dispersion (%)     690.33         N/A
  Weighted-average life (years)     5.03         5.7
  Obligor diversity measure        101.46      102.9
  Industry diversity measure        19.7        18.1
  Regional diversity measure         1.3         1.4
  Total collateral amount
    excluding cash (mil. EUR)        N/A         N/A
  Defaulted assets (mil. EUR)        N/A         N/A
  Number of performing obligors   465.88       467.8
  'AAA' WARR (%)                    1.52           0

  SPWARF--S&P Global Ratings' weighted-average rating factor.
  WARR--Weighted-average recovery rate.
  N/A--Not applicable.

S&P said, "Our credit and cash flow analysis shows that the class
A-1, A-2, B-1, B-2, C, D, and F notes are still able withstand the
stresses we apply at the currently assigned ratings, based on their
available credit enhancement levels. We have therefore affirmed our
ratings on these classes of notes. Further, our credit and cash
flow analysis indicates that the available credit enhancement for
the class B-1, B-2, C, and D notes could withstand stresses
commensurate with higher rating levels than their current rating
levels. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, in our view the ratings are commensurate at their
current levels.

"For the class E notes, on a standalone basis the results of our
credit and cash flow analysis indicate a lower rating for this
class of notes.

"The collateral portfolio's credit quality has deteriorated since
our last rating action, specifically in terms of 'CCC' rated asset
exposures and the proportion of assets on CreditWatch negative. At
the same time, our cash flow analysis highlights a general decline
in excess spread cash flows attributable to the class E notes,
which in our view is driven by the fall in WAL and losses incurred
from defaults. These factors have resulted in lower break-even
default rates (BDRs), which represent the gross levels of defaults
that the transaction may withstand at each rating level. The fall
in BDRs under our analysis indicates that the next passing level
for the class E notes is one notch lower from its current rating
level, at 'BB- (sf)'. We have therefore lowered our rating on the
class E notes to 'BB- (sf)' from 'BB (sf)'.

"The class F notes' current BDR cushion is -1.69%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including our long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with our criteria." S&P's
analysis further reflects several factors, including:

-- The class F notes' available credit enhancement is in the same
range as that of other CLOs S&P has rated and that have recently
been issued in Europe.

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 29.09% (for a portfolio with a WAL of 5.03 years)
versus 15.5% if it was to consider a long-term sustainable default
rate of 3.1% for 5.03 years.

-- Whether the tranche is vulnerable to nonpayment in the near
future.

-- If there is a one-in-two chance for this note to default.

-- If S&P envisions this tranche to default in the next 12-18
months.

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

S&P said, "The transaction's documented counterparty replacement
and remedy mechanisms adequately mitigate its exposure to
counterparty risk under our current counterparty criteria. We have
also considered the differences in volatility buffer posting
requirements, which may arise in the event that the issuer enters
into derivative transactions using its current documentation
compared against our updated counterparty criteria requirements, as
per our 2019 publication. According to the trustee report available
to S&P Global Ratings, currently the issuer is not entered into any
hedge transactions.

"Following the application of our structured finance sovereign risk
criteria, we consider the transaction's exposure to country risk to
be limited at current rating levels, as the exposure to individual
sovereigns does not exceed the diversification thresholds outlined
in our criteria.

"Dryden XXVII-R is a cash flow CLO transaction backed by a
portfolio of leveraged loans and managed by PGIM. In our view, the
portfolio is granular in nature, and well-diversified across
obligors, industries, and asset characteristics when compared to
other CLO transactions we have rated recently. Hence we have not
performed any additional scenario analysis.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for the classes
of notes.

"S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. We are using this assumption in assessing
the economic and credit implications associated with the pandemic.
As the situation evolves, we will update our assumptions and
estimates accordingly.

"We will continue to review the ratings in light of these
macroeconomic events. We will take further rating actions,
including CreditWatch placements, as we deem appropriate."

GOLDENTREE LOAN 4: S&P Assigns B- Rating on Class F Notes
---------------------------------------------------------
S&P Global Ratings assigned credit ratings to GoldenTree Loan
Management EUR CLO 4 DAC's class A to F European cash flow CLO
notes. The issuer has also issued unrated subordinated notes.

The ratings 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.

-- The transaction's legal structure, which S&P considers
bankruptcy remote.

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

  Portfolio Benchmarks
                                                 Current
  S&P weighted-average rating factor            2,762.65
  Default rate dispersion                         529.12
  Weighted-average life (years)                     5.28
  Obligor diversity measure                       104.91
  Industry diversity measure                       18.58
  Regional diversity measure                        1.37
  
  Transaction Key Metrics
                                                 Current
  Portfolio weighted-average rating
    derived from our CDO evaluator                   'B'
  'CCC' category rated assets (%)                   2.50
  Covenanted 'AAA' weighted-average recovery (%)   37.55
  Covenanted weighted-average spread (%)            3.40
  Covenanted weighted-average coupon (%)            3.50

Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs.  Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately one year after closing.

S&P said, "We consider the portfolio to be well-diversified,
primarily comprising broadly syndicated speculative-grade
senior-secured term loans and senior-secured bonds. Therefore, we
have conducted our credit and cash flow analysis by applying our
criteria for corporate cash flow CDOs.

"In our cash flow analysis, we used the EUR375 million target par
amount, the covenanted weighted-average spread (3.40%), the
reference weighted-average coupon (3.50%), and the target minimum
weighted-average recovery rates as indicated by the collateral
manager. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

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

"Until the end of the reinvestment period on July 20, 2021, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

"We consider the transaction's legal structure and framework to be
bankruptcy remote, in line with our legal criteria.

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

"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.

Based on S&P's review of these factors, and considering the
portfolio concentration, it believes 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 A to F notes
to five of the 10 hypothetical scenarios we looked at in our recent
publication.

"As our rating 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 F notes at 'B-'."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds. The transaction is managed by GoldenTree
Loan Management II LP.

  Ratings List

  Class  Rating   Amount     Interest rate   Credit
                                           enhancement
                 (mil. EUR)      (%)         (%)
  -----  ------  ----------  ------------- -----------
  A      AAA (sf)  221.00     3mE + 1.55     41.07
  B-1    AA (sf)    26.50     3mE + 2.30     31.33
  B-2    AA (sf)    10.00     2.60           31.33
  C      A (sf)     25.00     3mE + 2.80     24.67
  D      BBB (sf)   25.00     3mE + 4.10     18.00
  E      BB (sf)    18.70     3mE + 5.50     13.01
  F      B- (sf)     9.70     3mE + 6.75     10.43
  Sub    NR         37.80     N/A            N/A

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


HOLLAND PARK: S&P Lowers Rating on Class D Notes to 'BB-'
---------------------------------------------------------
S&P Global Ratings lowered its credit rating on Holland Park CLO
DAC's class D notes and removed it from CreditWatch negative. At
the same time, S&P affirmed the credit ratings on classes X, A-1,
A-2, B-1, B-2, C, and E.

On April 27, 2020, S&P placed on CreditWatch negative its ratings
on 18 classes from 14 reinvesting European cash flow CLO
transactions following a number of negative rating actions on
corporates with loans held in European CLO transactions driven by
coronavirus-related concerns and the current economic dislocation.

The rating actions follow the deterioration of the credit quality
of the portfolio.

Since S&P's previous review of the transaction, S&P's estimate of
the total collateral balance (performing assets, principal cash,
and expected recovery on defaulted assets) held by the CLO has
slightly decreased, mainly due to par loss.

As a result, the credit enhancement increased for all rated notes.

  Table 1
  Credit Analysis Results
  Class   Current amount   Credit enhancement (%)
          (mil. EUR)        as of July 2020    at closing (%)
  X           1.5                 N/A               N/A
  A-1       250.0               37.51             37.81
  A-2        40.0               27.51             27.86
  B-1        10.0               20.76             21.14
  B-2        17.0               20.76             21.14
  C          24.3               14.69             15.10
  D          22.7                9.02              9.45
  E           9.5                6.64              6.97
  Subordinated  54.3              N/A               N/A

  N/A--Not applicable.

Since closing, S&P's scenario default rates (SDRs) were negatively
affected by:

-- An increase in 'CCC' rated assets to approximately
    EUR38 million.

-- An increase in assets with ratings placed on CreditWatch
    negative to 4%.

-- An increase in the weighted-average life of the transaction
    to approximately 4.6 years.

  Table 2
  Transaction Key Metrics
                         As of July 2020  At S&P's previous review
  SPWARF                       2866.7            2638.19
  Default rate dispersion (%)  765.33             684.93
  Weighted-average life (years)  4.68               4.45
  Obligor diversity measure    129.94              94.35
  Industry diversity measure    17.61              16.60
  Regional diversity measure     1.33               1.39
  Total collateral amount
    excluding cash (mil. EUR)  415.47             402.00
  Defaulted assets (mil. EUR)    6.89               0.00
  Number of performing obligors   173                123
  'AAA' WARR (%)                37.79              39.23

  SPWARF--S&P Global Ratings' weighted-average rating factor.
  WARR--Weighted-average recovery rate.
  N/A--Not applicable.

On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class D notes. S&P has therefore
lowered its rating on the class D notes to 'BB- (sf)' from 'BB
(sf)' and removed the rating from CreditWatch negative.

S&P said, "Our credit and cash flow analysis shows that the class
X, A-1, and E notes can still withstand the stresses we apply at
the currently assigned ratings. We have therefore affirmed our
ratings on these classes of notes.

"Our analysis shows that class A-2, B-1, B-2, and C benefit from a
level of credit enhancement that we may consider commensurate with
higher ratings. However, until the end of the reinvestment period
in May 2024, the collateral manager can substitute assets in the
portfolio so long as the S&P Global Ratings CDO Monitor test is
maintained or improved with regard to the initial ratings on the
notes. As a result, until the end of the reinvestment period, the
CLO could, through asset substitution, improve the transaction's
current risk profile, as long as the initial ratings are
maintained. We have therefore capped our ratings on class A-2, B-1,
B-2, and C at their closing levels and affirmed the ratings on the
notes.

"Counterparty, operational, and legal risks are adequately
mitigated in line with our criteria. For CLOs where the documented
downgrade provisions reflect 2013 counterparty rating framework, we
have also analyzed the CLOs in accordance with our current
counterparty criteria."

Holland Park CLO DAC is a cash flow CLO transaction backed by a
portfolio of leveraged loans and managed by Blackstone/GSO Debt
Funds Management Europe Ltd. S&P said, "In our view, the portfolio
is granular in nature, and well-diversified across obligors,
industries, and asset characteristics when compared to other CLO
transactions we have rated recently. Hence we have not performed
any additional scenario analysis."

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
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile 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, we review the likelihood of near-term
changes to the portfolio's credit profile by evaluating the
transaction's specific risk factors. For this transaction, we took
into account 'CCC' and 'B-' rated assets, assets with ratings on
CreditWatch negative, assets with a negative rating outlook, and
assets that operate in what we view as a higher-risk corporate
sector.

"Following the application of our structured finance sovereign risk
criteria, we consider 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.

"Our analysis contemplated the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for all classes
of notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

S&P said, "We will continue to review the ratings in light of these
macroeconomic events. We will take further rating actions,
including CreditWatch placements, as we deem appropriate."


OCP EURO 2017-1: S&P Lowers Rating on Class E Notes to 'BB-'
------------------------------------------------------------
S&P Global Ratings lowered and removed from CreditWatch negative
its credit rating on OCP Euro CLO 2017-1 DAC's class E notes. At
the same time, S&P has affirmed its ratings on all other classes of
notes.

S&P said, "On April 27, 2020, we placed on CreditWatch negative our
ratings on the class E notes following a number of negative rating
actions on corporates with loans held in OCP 2017-1 driven by
coronavirus-related concerns and the current economic dislocation.

"The rating actions follow the application of our relevant criteria
and reflect the deterioration of the portfolio's credit quality.

"Since our previous full review of the transaction at closing, our
estimate of the total collateral balance (performing assets,
principal cash, and expected recovery on defaulted assets) held by
the CLO has slightly decreased, due to a par lost caused by a
negative cash balance." As a result, available credit enhancement
has decreased for all rated notes.

  Table 1
  Credit Analysis Results
  Class   Current amount     Credit enhancement (%)
          (mil. EUR)        as of July 2020    at closing (%)
  X          1.25                 N/A              N/A
  A        218.70               37.29             37.51
  B         34.70               27.34             27.60
  C         20.50               21.46             21.74
  D         22.60               14.98             15.29
  E         19.20                9.48              9.80
  F          7.68                7.27              7.51
  Sub        38.25                N/A               N/A

  N/A--Not applicable.

S&P said, "In our view, the credit quality of the portfolio has
deteriorated since our last review, for example, due to the
increase in 'CCC' rated assets to about EUR12.60 million from EUR0
million at closing. Additionally, we placed on CreditWatch negative
our ratings on more than 4.4% of the pool, up from 0% previously,
and assets with negative outlooks also increased, reaching almost
50%."

  Table 2
  Transaction Key Metrics
                        As of July 2020   At S&P's previous review

                         (based on June
                      2020 trustee report)  (closing Dec 2020)

  SPWARF                           2664.25         2536.07
  Default rate dispersion (%)       723.59          634.70
  Weighted-average life (years)       5.02            5.05
  Obligor diversity measure          95.16           85.02
  Industry diversity measure         20.22           18.79
  Regional diversity measure          1.43            1.46
  Total collateral amount
    excluding cash (mil. EUR)        353.45         350.00
  Defaulted assets (mil. EUR)           N/A            N/A
  Number of performing obligors         122           108
  'AAA' WARR (%)                      37.37         38.06

  SPWARF--S&P Global Ratings' weighted-average rating factor.    
  WARR--Weighted-average recovery rate.
  N/A--Not applicable.

S&P said, "Following the application of our criteria, for the class
B, C, and D notes, our credit and cash flow analysis indicates that
the available credit enhancement could withstand stresses
commensurate with higher rating levels than those we have assigned.
However, as the CLO is still in its reinvestment phase, during
which the transaction's credit risk profile could deteriorate, we
have capped our assigned ratings on the notes. Classes X, A, and F
are still able withstand the stresses we apply at the currently
assigned ratings, based on their available credit enhancement
levels. We have therefore affirmed our ratings on these classes of
notes."

On a standalone basis, the results of the cash flow analysis
indicated a lower rating than currently assigned for the class E
notes. The collateral portfolio's credit quality has deteriorated
since our previous review, specifically in terms of 'CCC' rated
asset exposures and the proportion of assets on CreditWatch
negative. S&P said, "At the same time, our cash flow analysis
highlights a general decline in excess spread cash flows
attributable to the class E notes. These factors have resulted in
lower break-even default rates (BDRs), which represent the gross
levels of defaults that the transaction may withstand at each
rating level. The fall in BDRs under our analysis indicates that
the next passing level for the class E notes is one notch lower
from its current rating level, at 'BB- (sf)'. We have therefore
lowered our rating on the class E notes to 'BB- (sf)' from 'BB
(sf)'."

In S&P's view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions it has
rated recently. Hence S&P has not performed any additional scenario
analysis.

Counterparty, operational, and legal risks are adequately mitigated
in line with its criteria.

S&P said, "Following the application of our structured finance
sovereign risk criteria, we consider 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."

OCP 2017-1 is a cash flow CLO transaction backed by a portfolio of
leveraged loans and managed by Onex Credit Partners Europe LLP and
Onex Credit Partners LLC. S&P said, "In our view, the portfolio is
granular in nature, and well-diversified across obligors,
industries, and asset characteristics when compared to other CLO
transactions we have rated recently. We have therefore not
performed any additional scenario analyses."

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
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile 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, we typically review the likelihood of
near-term changes to the portfolio's credit profile by evaluating
the transaction's specific risk factors. For this transaction, we
took into account 'CCC' and 'B-' rated assets and assets with
ratings on CreditWatch negative.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for all classes
of notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

S&P said, "We will continue to review the ratings on our
transactions in light of these macroeconomic. We will take further
rating actions, including CreditWatch placements, as we deem
appropriate."

TIKEHAU CLO V: S&P Lowers Rating on Class F Notes to 'B-'
---------------------------------------------------------
S&P Global Ratings lowered its credit rating to 'B- (sf)' from 'B
(sf)' on Tikehau CLO V B.V.'s class F notes and removed it from
CreditWatch negative. At the same time, S&P has affirmed its
ratings on all other classes of notes.

On April 27, 2020, S&P placed on CreditWatch negative its rating on
the class F notes following a number of negative rating actions on
corporates with loans held in European CLOs driven by
coronavirus-related concerns and the current economic dislocation.

The rating actions follow the application of its relevant criteria
and reflect the deterioration of the portfolio's credit quality.

Since closing, S&P's estimate of the total collateral balance
(performing assets, principal cash, and expected recovery on
defaulted assets) held by the CLO has slightly decreased, resulting
in a small decrease in credit enhancement for all rated notes.

  Table 1

  Credit Analysis Results
  Class   Current amount   Credit enhancement (%)
          (mil. EUR)        as of July 2020    at closing (%)
  X           2.2                 99.50            99.50
  A         272.8                 37.94            38.00
  B-1        36.8                 28.43            28.50
  B-2         5.0                 28.43            28.50
  C-1        19.3                 22.42            22.50
  C-2         7.1                 22.42            22.50
  D-1        24.8                 15.41            15.50
  D-2         6.0                 15.41            15.50
  E          25.3                  9.66             9.75
  F          12.1                  6.91             7.00
  Sub        46.9                   N/A              N/A

  N/A--Not applicable.

S&P said, "Since our previous review, our scenario default rates
(SDRs) have increased due to credit deterioration in the portfolio
with 'CCC' rated assets increasing to about EUR55 million from none
at closing. Additionally, we placed on CreditWatch negative our
ratings on 9.9% of the pool, up from 0% previously."

  Table 2
  
  Transaction Key Metrics
                                     As of July 2020   At closing
  SPWARF                                   2,815         2,532
  Default rate dispersion (%)              636.5           N/A
  Weighted-average life (years)              5.3           5.7
  Obligor diversity measure                110.7         113.1
  Industry diversity measure                22.1          22.6
  Regional diversity measure                 1.3           1.3
  Total collateral amount including
    cash (mil. EUR)                        439.5         440.0
  Defaulted assets (mil. EUR)                N/A           N/A
  Number of performing obligors              133           127
  'AAA' WARR (%)                            37.3          37.9

  SPWARF--S&P Global Ratings' weighted-average rating factor.
  WARR--Weighted-average recovery rate.
  N/A--Not applicable.

S&P said, "Our credit and cash flow analysis shows that the class
X, A, B-1, B-2, C-1, C-2, D-1, D-2, and E notes are still able
withstand the stresses we apply at the currently assigned ratings,
based on their available credit enhancement levels. We have
therefore affirmed our ratings on these classes of notes. Further,
our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1, B-2, C-1, C-2, D-1, and D-2
notes could withstand stresses commensurate with higher rating
levels than their current rating levels. However, as the CLO is
still in its reinvestment phase, during which the transaction's
credit risk profile could deteriorate, in our view the ratings are
commensurate at their current levels.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class F notes is commensurate with a
lower rating level. The collateral portfolio's credit quality has
deteriorated since closing, specifically in terms of 'CCC' rated
asset exposures and the proportion of assets on CreditWatch
negative. As a result, there was an increase in the SDRs, which
represent the level of defaults that is likely to affect the
portfolio in a given rating stress scenario. A decline in
recoveries across all rating levels and a lower collateral balance
has also resulted in lower break-even default rates (BDRs), which
represent the gross levels of defaults that the transaction may
withstand at each rating level.

The class F notes' BDR cushion at the 'B-' rating level is -2.15%.
Based on the portfolio's actual characteristics and additional
overlaying factors, including our long-term corporate default rates
and the class F notes' credit enhancement, this class is able to
sustain a steady-state scenario, in accordance with our criteria.
S&P's analysis further reflects several factors, including:

-- The class F notes' available credit enhancement is in the same
range as that of other CLOs S&P has rated and that have recently
been issued in Europe.

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 28.12% (for a portfolio with a WAL of 5.3 years)
versus 16.4% if we were to consider a long-term sustainable default
rate of 3.1% for 5.03 years.

-- Whether the tranche is vulnerable to nonpayment in the near
future.

-- If there is a one-in-two chance for this note to default.

-- If S&P envisions this tranche to default in the next 12-18
months.

S&P said, "Following this analysis, we consider that the available
credit enhancement for the class F notes is commensurate with a 'B-
(sf)' rating. We have therefore lowered our rating on the class F
notes to 'B- (sf)' from 'B (sf)'.

"The transaction's documented counterparty replacement and remedy
mechanisms adequately mitigate its exposure to counterparty risk
under our current counterparty criteria. We have also considered
the differences in volatility buffer posting requirements, which
may arise in the event that the issuer enters into derivative
transactions using its current documentation compared against our
updated counterparty criteria requirements, as per our 2019
publication. According to the trustee report available to S&P
Global Ratings, currently the issuer is not entered into any hedge
transactions.

"Following the application of our structured finance sovereign risk
criteria, we consider the transaction's exposure to country risk to
be limited at current rating levels, as the exposure to individual
sovereigns does not exceed the diversification thresholds outlined
in our criteria."

Tikehau CLO V is a cash flow CLO transaction backed by a portfolio
of leveraged loans and managed by Tikehau Capital Europe. In S&P's
view, the portfolio is granular in nature, and well-diversified
across obligors, industries, and asset characteristics when
compared to other CLO transactions we have rated recently. Hence
S&P has not performed any additional scenario analysis.

Following S&P's analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, it believes that the ratings are
commensurate with the available credit enhancement for the classes
of notes.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

S&P said, "We will continue to review the ratings in light of these
macroeconomic events. We will take further rating actions,
including CreditWatch placements, as we deem appropriate."



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

INTER MEDIA: S&P Affirms Then Withdraws B+ Bonds Issue Rating
-------------------------------------------------------------
S&P Global Ratings affirmed its 'B+' issue rating on the bonds
issued by Inter Media and Communication SpA (MediaCo) following
implementation of its revised framework, and removed the rating
from CreditWatch with negative implications.

MediaCo is the main financing vehicle for Italian football club
TeamCo.

MediaCo services its bond issuances through media and sponsorship
contract receivables. TeamCo depends on distributions from MediaCo
to fund part of its operations.

S&P said, "We have revised our approach to analyzing risks arising
from the interdependent relationship between MediaCo and its parent
TeamCo, correcting a previous misapplication of our criteria.

"We view MediaCo as intrinsically intertwined with TeamCo. If the
first team, managed and paid by TeamCo, is not competitive,
MediaCo's cash flow generation may suffer. In turn, if MediaCo does
not collect on its receivables or if it is prevented from
upstreaming cash, TeamCo may not have sufficient resources to
service its operating costs and operations. To allow us to consider
such unique credit characteristics, we rate the debt issued by
MediaCo using our "Principles Of Credit Ratings" methodology. Our
revised approach borrows from our corporate and project finance
rating frameworks. The rating outcome reflects the weaker of the
two possible assessments.

"Our corporate-based approach allows us to assess MediaCo as a
subsidiary of TeamCo.

"Our corporate methodology and assumptions recognize the link
between MediaCo and TeamCo through the analysis of these entities
on a consolidated basis. The framework allows us also to consider
the likelihood that a credit stress scenario for the group may
impair MediaCo's creditworthiness. Owing to the legal and
structural protections in place, we consider MediaCo's credit
quality not constrained by that of the group and as such MediaCo's
bonds can be rated up to a category higher.

"Our project-finance based approach allows us to assess the
structural seniority of MediaCo's lenders to TeamCo's expenses with
respect to broadcasting and sponsorship revenue."

MediaCo has priority access to the majority of TeamCo's revenue and
is only responsible for marginal operating costs. This, combined
with limited principal amortizations ahead of the December 2022
maturity, leads to healthy debt service coverage ratios (DSCR). S&P
said, "In order to assess and quantify the substantial refinancing
risk to which MediaCo's bonds are exposed, our analysis looks
beyond their maturity and simulates debt refinancing via an
amortizing instrument. Therefore, forecast DSCR ratios post 2022
are a better indicator of creditworthiness, in our view.
Considerations regarding the importance of TeamCo's continued
operations for ongoing cash flows at MediaCo also remain at the
core to our project-finance assessment. Our parent-linkage
assessment captures these aspects and constrains our
project-finance based rating outcome."

The issuer has requested S&P withdraw the rating.

S&P said, "After affirming our 'B+' issue rating and recovery
rating of '4' (45%), we are withdrawing the issue rating and
recovery rating on the bonds. At the time of the withdrawal, the
outlook on our ratings was negative, reflecting our view that a
permanent operational or financial disruption to the Italian
football industry could weaken the bonds' credit standing." This
could occur, for example, in the event of a significant repricing
of key contracts, or if any key stakeholders take steps that
demonstrate an elevated risk to TeamCo's business model.




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

DRYDEN 48 EURO 2016: S&P Lowers Rating on E-R Notes to 'B'
----------------------------------------------------------
S&P Global Ratings lowered and removed from CreditWatch negative
its credit ratings on Dryden 48 Euro CLO 2016 B.V.'s class D-R and
E-R notes. At the same time, S&P affirmed its ratings on all other
classes of notes.

On April 27, 2020, we placed on CreditWatch negative our ratings on
the class D-R and E-R notes following a number of negative rating
actions on corporates with loans held in Dryden 48 driven by
coronavirus-related concerns and the current economic dislocation.

The rating actions follow the application of our relevant criteria
and reflect the deterioration of the portfolio's credit quality.

Since S&P's previous full review of the transaction, its estimate
of the total collateral balance (performing assets, principal cash,
and expected recovery on defaulted assets) held by the CLO has
slightly increased, mainly due to par built. As a result, available
credit enhancement has increased for all rated notes.

  Table 1

  Credit Analysis Results
  
  Class  Current amount       Credit enhancement (%)
          (mil. EUR)      as of July 2020    at closing (%)
                          (Based on May trustee report)
  X-R         1.00               N/A              N/A
  A-1-R     220.00             38.39            37.89
  A-2-R      28.00             38.39            37.89
  B-1-R      25.00             28.45            27.87
  B-2-R      15.00             28.45            27.87
  C-1-R      16.00             20.75            20.11
  C-2-R      15.00             20.75            20.11
  D-R        22.00             15.28            14.60
  E-R        23.00              9.57             8.84
  F-R        10.00              7.08             6.33
  Sub        43.00               N/A              N/A

  N/A--Not applicable.

S&P said, "Since our previous review, our scenario default rates
(SDRs) were negatively affected due to the increase in 'CCC' rated
assets to about EUR55 million from EUR7 million. Additionally, we
placed on CreditWatch negative our ratings on more than 8% of the
pool, up from 0% previously, and assets with negative outlooks also
increased, reaching almost 50%."

  Table 2

  Transaction Key Metrics
                         As of July 2020  At S&P's previous review

                     (based on May trustee report)
  SPWARF                         3,102.13        2,638.1
  Default rate dispersion (%)      751.21          600.94
  Weighted-average life (years)      5.11            4.94
  Obligor diversity measure         96.71           96.35
  Industry diversity measure        19.72           17.99
  Regional diversity measure         1.24            1.43
  Total collateral amount
    excluding cash (mil. EUR)      398.86          398.14
  Defaulted assets (mil. EUR)       0.815           1.753
  Number of performing obligors       156             152
  'AAA' WARR (%)                     33.70          35.67

SPWARF--S&P Global Ratings' weighted-average rating factor.
WARR—Weighted-average recovery rate.

S&P said, "Following the application of our criteria, for class
B-1-R and B-2-R, our credit and cash flow analysis indicates that
the available credit enhancement could withstand stresses
commensurate with higher rating levels than those we have assigned.
However, as the CLO is still in its reinvestment phase, during
which the transaction's credit risk profile could deteriorate, we
have capped our assigned ratings on the notes. Class X-R and F-R
are still able withstand the stresses we apply at the currently
assigned ratings, based on their available credit enhancement
levels. We have therefore affirmed our ratings on these classes of
notes.

"We note that there was a minimal cushion failure for class A-1-R,
A-2-R, C-1-R, and C-2-R at the assigned rating levels. However,
based on our qualitative consideration of the cushion level and the
notes' seniority, we view the ratings on these notes to be
commensurate at their current levels. We have therefore affirmed
our ratings on these classes of notes."

On a standalone basis, the results of the cash flow analysis
indicated a lower rating than currently assigned for the class D-R
and E-R notes. S&P said, "The collateral portfolio's credit quality
has deteriorated since our previous review, specifically in terms
of 'CCC' rated asset exposures and the proportion of assets on
CreditWatch negative. As a result, there was a significant increase
in the SDRs, which represent the level of defaults that is likely
to affect the portfolio in a given rating stress scenario. Coupled
with a decline in recoveries of around 2% across all rating levels,
these factors have resulted in lower break-even default rates
(BDRs), which represent the gross levels of defaults that the
transaction may withstand at each rating level. The fall in BDRs
under our analysis indicates that the next passing level for the
class D-R notes is one notch lower from its current rating level,
at 'BBB- (sf)', and the next passing level for the class E-R notes
is two notches lower from its current rating level, at 'B (sf)'. We
have therefore lowered our rating on the class D-R notes to 'BBB-
(sf)' from 'BBB (sf)' and on the class E-R notes to 'B (sf)' from
'BB- (sf)'."

The class F notes' current BDR cushion is -5.59%. S&P said, "Based
on the portfolio's actual characteristics and additional overlaying
factors, including our long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with our criteria." S&P's
analysis further reflects several factors, including:

-- The class F notes' available credit enhancement is in the same
range as that of other CLOs S&P has rated and that have recently
been issued in Europe.

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 30.14% (for a portfolio with a WAL of 5.11 years)
versus 15.8% if it was to consider a long-term sustainable default
rate of 3.1% for 5.11 years.

-- Whether the tranche is vulnerable to nonpayment in the near
future.

-- If there is a one-in-two chance for this note to default.

-- If S&P envisions this tranche to default in the next 12-18
months.

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

S&P said, "In our view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently. Hence we have not performed any additional scenario
analysis.

"Counterparty, operational, and legal risks are adequately
mitigated in line with our criteria.

"Following the application of our structured finance sovereign risk
criteria, we consider 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.

"Dryden 48 is a cash flow CLO transaction backed by a portfolio of
leveraged loans and managed by PGIM Ltd. In our view, the portfolio
is granular in nature, and well-diversified across obligors,
industries, and asset characteristics when compared to other CLO
transactions we have rated recently. We have therefore not
performed any additional scenario analyses.

"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
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile 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, we typically review the likelihood of
near-term changes to the portfolio's credit profile by evaluating
the transaction's specific risk factors. For this transaction, we
took into account 'CCC' and 'B-' rated assets and assets with
ratings on CreditWatch negative.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for all classes
of notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

S&P said, "We will continue to review the ratings on our
transactions in light of these macroeconomic events. We will take
further rating actions, including CreditWatch placements, as we
deem appropriate."


DRYDEN 51 EURO 2017: S&P Lowers Rating to 'BB-' on E Notes
----------------------------------------------------------
S&P Global Ratings lowered and removed from CreditWatch negative
its credit rating on Dryden 51 Euro CLO 2017 B.V.'s class E notes.
At the same time, S&P has affirmed its ratings on all other classes
of notes.

On April 27, 2020, S&P placed on CreditWatch negative its ratings
on the class E notes following a number of negative rating actions
on corporates with loans held in Dryden 51 driven by
coronavirus-related concerns and the current economic dislocation.

The rating actions follow the application of S&P's relevant
criteria and reflect the deterioration of the portfolio's credit
quality.

Since S&P's previous full review of the transaction, our estimate
of the total collateral balance (performing assets, principal cash,
and expected recovery on defaulted assets) held by the CLO has
slightly increased, mainly due to par built. As a result, available
credit enhancement has increased for all rated notes.

  Table 1

  Credit Analysis Results
  Class   Current amount     Credit enhancement (%)
          (mil. EUR)        as of July 2020    at closing (%)
                      (Based on May trustee report)
  A-1       205.50               40.85            40.73
  A-2       31.579               40.85            40.73
  B-1       31.500               27.73            27.59
  B-2       21.053               27.73            27.59
  C         27.000               21.00            20.84
  D         20.000               16.01            15.84
  E         22.000               10.52            10.34
  F         12.500                7.40             7.22
  Sub       42.250                 N/A              N/A

  N/A--Not applicable.

S&P said, "In our view, the credit quality of the portfolio has
deteriorated since our last review, for example, due to the
increase in 'CCC' rated assets to about EUR54 million.
Additionally, we placed on CreditWatch negative our ratings on more
than 9% of the pool, up from 0% previously, and assets with
negative outlooks also increased, reaching almost 50%."

  Table 2

  Transaction Key Metrics
                         As of July 2020  At S&P's previous review
                           (based on May trustee report)
  SPWARF                         3,097.96         N/A
  Default rate dispersion (%)      731.65         N/A
  Weighted-average life (years)      5.09        6.07
  Obligor diversity measure         99.86       70.79
  Industry diversity measure        18.57       20.67
  Regional diversity measure         1.32        1.43
  Total collateral amount
   excluding cash (mil. EUR)       400.51      400.00
  Defaulted assets (mil. EUR)        2.22           0
  Number of performing obligors       161         101
  'AAA' WARR (%)                    34.10       33.78

SPWARF -- S&P Global Ratings' weighted-average rating factor.   
WARR -- Weighted-average recovery rate. The previous review
    has N/A because S&P's 2017 review was based on its
    previous CLO criteria.
N/A -- Not applicable.

S&P said, "Following the application of our criteria, for class
B-1, B-2, C, and D, our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses
commensurate with higher rating levels than those we have assigned.
However, as the CLO is still in its reinvestment phase, during
which the transaction's credit risk profile could deteriorate, we
have capped our assigned ratings on the notes. Class A-1 and A-2
are still able withstand the stresses we apply at the currently
assigned ratings, based on their available credit enhancement
levels. We have therefore affirmed our ratings on these classes of
notes."

On a standalone basis, the results of the cash flow analysis
indicated a lower rating than currently assigned for the class E
notes. S&P said, "The collateral portfolio's credit quality has
deteriorated since our previous review, specifically in terms of
'CCC' rated asset exposures and the proportion of assets on
CreditWatch negative. At the same time, our cash flow analysis
highlights a general decline in excess spread cash flows
attributable to the class E notes, which in our view is driven by
the fall in weighted-average life (WAL). These factors have
resulted in lower break-even default rates (BDRs), which represent
the gross levels of defaults that the transaction may withstand at
each rating level. The fall in BDRs under our analysis indicates
that the next passing level for the class E notes is one notch
lower from its current rating level, at 'BB- (sf)'. We have
therefore lowered our rating on the class E notes to 'BB- (sf)'
from 'BB (sf)'."

The class F notes' current BDR cushion is -2.72%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including S&P's long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with our criteria. S&P's
analysis further reflects several factors, including:

-- The class F notes' available credit enhancement is in the same
range as that of other CLOs we have rated and that have recently
been issued in Europe.

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 27.31% (for a portfolio with a WAL of 5.09 years)
versus 15.78% if it was to consider a long-term sustainable default
rate of 3.1% for 5.09 years.

-- Whether the tranche is vulnerable to nonpayment in the near
future.

-- If there is a one-in-two chance for this note to default.

-- If S&P's envision this tranche to default in the next 12-18
months.

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

In S&P's view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions it has
rated recently. Hence it has not performed any additional scenario
analysis.

S&P said, "Counterparty, operational, and legal risks are
adequately mitigated in line with our criteria. We have also
considered the differences in volatility buffer posting
requirements, which may arise in the event that the issuer enters
into derivative transactions using its current documentation
compared against our updated counterparty criteria requirements, as
per our 2019 publication. According to the trustee report available
to S&P Global Ratings, currently the issuer is not entered into any
hedge transactions.

"Following the application of our structured finance sovereign risk
criteria, we consider 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."

Dryden 51 is a cash flow CLO transaction backed by a portfolio of
leveraged loans and managed by PGIM Ltd. S&P said, "In our view,
the portfolio is granular in nature, and well-diversified across
obligors, industries, and asset characteristics when compared to
other CLO transactions we have rated recently. We have therefore
not performed any additional scenario analyses."

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
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile 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, we typically review the likelihood of
near-term changes to the portfolio's credit profile by evaluating
the transaction's specific risk factors. For this transaction, we
took into account 'CCC' and 'B-' rated assets and assets with
ratings on CreditWatch negative.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for all classes
of notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

S&P will continue to review the ratings on its transactions in
light of these macroeconomic events. S&P will take further rating
actions, including CreditWatch placements, as it deems
appropriate.


DRYDEN 73 EURO 2019: S&P Affirms 'B-' Rating on Class F Notes
-------------------------------------------------------------
S&P Global Ratings affirmed and removed from CreditWatch negative
its credit rating on Dryden 73 Euro CLO 2019 B.V.'s class E notes.
At the same time, S&P has affirmed its ratings on all other classes
of notes.

On April 27, 2020, S&P placed on CreditWatch negative its ratings
on the class E notes following a number of negative rating actions
on corporates with loans held in Dryden 73 driven by
coronavirus-related concerns and the current economic dislocation.

The rating actions follow the application of S&P's relevant
criteria and reflect the deterioration of the portfolio's credit
quality.

Since S&P's previous full review of the transaction at closing, its
estimate of the total collateral balance (performing assets,
principal cash, and expected recovery on defaulted assets) held by
the CLO has slightly increased, mainly due to par built. As a
result, available credit enhancement has increased for all rated
notes.

  Table 1

  Credit Analysis Results
  Class   Current amount        Credit enhancement (%)
          (mil. EUR)        as of July 2020   at closing (%)
                            (Based on May trustee report)
  A-1      228.00                40.90           40.00
  A-2       12.00                40.90           40.00
  B-1       24.00                29.57           28.50
  B-2       22.00                29.57           28.50
  C-1        8.50                22.55           21.38
  C-2       20.00                22.55           21.38
  D         23.50                16.76           15.50
  E         24.00                10.85            9.50
  F         11.00                 8.14            6.75
  Sub       39.38                  N/A             N/A

  N/A--Not applicable.

S&P said, "In our view, the credit quality of the portfolio has
deteriorated since our last review, for example, due to the
increase in 'CCC' rated assets to about EUR46 million from EUR0
million. Additionally, we placed on CreditWatch negative our
ratings on more than 9% of the pool, up from 0% previously, and
assets with negative outlooks also increased, reaching almost
50%."

  Table 2

  Transaction Key Metrics
                         As of July 2020  At S&P's previous review
                         (based on May       (closing in
                          trustee report)     December 2019)


  SPWARF                         3041.19       2800.93
  Default rate dispersion (%)     714.08        512.36
  Weighted-average life (years)     5.43          5.86
  Obligor diversity measure        87.65         91.44
  Industry diversity measure       18.09         19.62
  Regional diversity measure        1.28          1.32
  Total collateral amount
    excluding cash (mil. EUR)     401.08        400.00
  Defaulted assets (mil. EUR)        N/A           N/A
  Number of performing obligors      132          125
  'AAA' WARR (%)                   34.60        34.98

  SPWARF--S&P Global Ratings' weighted-average rating factor.
  WARR--Weighted-average recovery rate.
  N/A--Not applicable.

S&P said, "Following the application of our criteria, for the class
B-1, B-2, C-1, C-2, and D notes, our credit and cash flow analysis
indicates that the available credit enhancement could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes.
Class A-1 and A-2 are still able withstand the stresses we apply at
the currently assigned ratings, based on their available credit
enhancement levels. We have therefore affirmed our ratings on these
classes of notes.

"Based on our credit and cash flow analysis, the class E notes can
withstand stresses commensurate at its current rating level, with a
break-even default (BDR) rate cushion of 1.31%. This compares to a
BDR cushion of 0.40% when we placed the note on CreditWatch
negative. In our view, the improvement has been driven by a
build-up of par in both the underlying assets and a positive cash
balance. Therefore, we have affirmed the rating and removed it from
CreditWatch negative."

The class F notes' current BDR cushion is -2.30%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including S&P's long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with S&P's criteria. S&P's
analysis further reflects several factors, including:

-- The class F notes' available credit enhancement is in the same
range as that of other CLOs S&P has rated and that have recently
been issued in Europe.

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 28.30% (for a portfolio with a weighted-average
life of 5.43 years) versus 16.83% if it was to consider a long-term
sustainable default rate of 3.1% for 5.43 years.

-- Whether the tranche is vulnerable to nonpayment in the near
future.

-- If there is a one-in-two chance for this note to default.

-- If S&P's envision this tranche to default in the next 12-18
months.

-- Following this analysis, S&P's consider that the available
credit enhancement for the class F notes is commensurate with its
current 'B- (sf)' rating.

S&P said, "In our view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently. Hence we have not performed any additional scenario
analysis."

Counterparty, operational, and legal risks are adequately mitigated
in line with its criteria.

S&P said, "Following the application of our structured finance
sovereign risk criteria, we consider 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.

"Dryden 73 is a cash flow CLO transaction backed by a portfolio of
leveraged loans and managed by PGIM Ltd. In our view, the portfolio
is granular in nature, and well-diversified across obligors,
industries, and asset characteristics when compared to other CLO
transactions we have rated recently. We have therefore not
performed any additional scenario analyses.

"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
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile 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, we typically review the likelihood of
near-term changes to the portfolio's credit profile by evaluating
the transaction's specific risk factors. For this transaction, we
took into account 'CCC' and 'B-' rated assets and assets with
ratings on CreditWatch negative.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for all classes
of notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

S&P said, "We will continue to review the ratings on our
transactions in light of these macroeconomic events. We will take
further rating actions, including CreditWatch placements, as we
deem appropriate."


EURO-GALAXY III: S&P Lowers Rating on Cl. E-RR Notes to 'BB-'
-------------------------------------------------------------
S&P Global Ratings lowered its credit rating on Euro-Galaxy III CLO
B.V.'s class E-RR notes and removed it from CreditWatch negative.
At the same time, S&P affirmed the credit ratings on classes AR-RR,
A-RR, B-1RR, B-2RR, C-RR, D-RR, and E-RR.

On April 27, 2020, S&P placed on CreditWatch negative our ratings
on 18 classes from 14 reinvesting European cash flow CLO
transactions following a number of negative rating actions on
corporates with loans held in European CLO transactions driven by
coronavirus-related concerns and the current economic dislocation.

The rating actions follow the deterioration of the credit quality
of the portfolio.

Since S&P's previous review of the transaction, our estimate of the
total collateral balance (performing assets, principal cash, and
expected recovery on defaulted assets) held by the CLO has slightly
increased, mainly due to par built.

As a result, the credit enhancement increased for all rated notes.

  Table 1
  Credit Analysis Results
  Class   Current amount     Credit enhancement (%)
          (mil. EUR)        as of July 2020    at closing (%)
  AR-RR        67.0               40.43            40.41
  A-RR        153.0               40.43            40.41
  B-1RR         9.5               27.43            27.41
  B-2RR        38.5               27.43            27.41
  C-RR         23.3               21.12            21.09
  D-RR         20.0               15.71            15.68
  E-RR         23.5                9.34             9.31
  F-RR          8.4                7.07             7.04
  Subordinated 38.5                N/A              N/A

  N/A--Not applicable.

Since S&P's previous review, its scenario default rates (SDRs) were
negatively affected by:

An increase in 'CCC' rated assets to approximately EUR41 million.
An increase in assets with ratings placed on CreditWatch negative
to 6.5%.

  Table 2
  
  Transaction Key Metrics
                                     As of July 2020   At closing
  SPWARF                                   2944           2632
  Default rate dispersion (%)               753            697
  Weighted-average life (years)            4.75           4.96
  Obligor diversity measure                 130            121
  Industry diversity measure                 24             20
  Regional diversity measure                1.5            1.6
  Total collateral amount excluding
    cash (mil. EUR)                      368.07         374.50
  Defaulted assets (mil. EUR)              2.00           2.00
  Number of performing obligors             172            164
  'AAA' WARR (%)                          37.55          38.81

  SPWARF--S&P Global Ratings' weighted-average rating factor.
  WARR--Weighted-average recovery rate.
  N/A--Not applicable.

S&P said, "On a standalone basis, the results of the cash flow
analysis indicated a lower rating on the class E-RR notes. We have
therefore lowered our rating on the class E-RR notes to 'BB- (sf)'
from 'BB (sf)' and removed the rating from CreditWatch negative.

"Our credit and cash flow analysis shows that the class A-RR and
AR-RR notes can still withstand the stresses we apply at the
currently assigned ratings. We have therefore affirmed our ratings
on these classes of notes.

"Our analysis shows that class B-1RR, B-2RR, C-RR, and D-RR benefit
from a level of credit enhancement that we may consider
commensurate with higher ratings. However, until the end of the
reinvestment period in January 2021, the collateral manager can
substitute assets in the portfolio so long as the S&P Global
Ratings CDO Monitor test is maintained or improved with regard to
the initial ratings on the notes. As a result, until the end of the
reinvestment period, the CLO could, through asset substitution,
improve the transaction's current risk profile, as long as the
initial ratings are maintained. We have therefore capped our
ratings on class B-1RR, B-2RR, C-RR, and D-RR at their closing
levels and affirmed the ratings on the notes.

"Our credit and cash flow analysis on the class F-RR notes
indicates a rating level lower than the current rating. However we
have applied our criteria for assigning 'CCC' ratings. The credit
enhancement for class F is 7.07%, in line with the market. By using
our long-term speculative-grade default rate of 3.1%, expected
defaults would come at 14.72%, which is below the 'B' break-even
default rate. Therefore, we believe that class F can withstand a
steady-state, and in application of our criteria, we have affirmed
our 'B- (sf)' rating on the class F-RR notes.

"Counterparty, operational, and legal risks are adequately
mitigated in line with our criteria. For CLOs where the documented
downgrade provisions reflect 2013 counterparty rating framework, we
have also analyzed the CLOs in accordance with our current
counterparty criteria."

Euro-Galaxy III CLO B.V. is a cash flow CLO transaction backed by a
portfolio of leveraged loans and managed by PineBridge Investments
Europe. S&P said, "In our view, the portfolio is granular in
nature, and well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently. Hence we have not performed any additional scenario
analysis."

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
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile 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, we review the likelihood of near-term
changes to the portfolio's credit profile by evaluating the
transaction's specific risk factors. For this transaction, we took
into account 'CCC' and 'B-' rated assets, assets with ratings on
CreditWatch negative, assets with a negative rating outlook, and
assets that operate in what we view as a higher-risk corporate
sector.

"Following the application of our structured finance sovereign risk
criteria, we consider 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.

"Our analysis contemplated the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for all classes
of notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

S&P said, "We will continue to review the ratings in light of these
macroeconomic events. We will take further rating actions,
including CreditWatch placements, as we deem appropriate."

OZLME BV: S&P Lowers Rating on Class E-R Notes  to 'BB-'
---------------------------------------------------------
S&P Global Ratings lowered its credit rating to 'BB- (sf)' from 'BB
(sf)' on OZLME B.V.'s class E-R notes and removed it from
CreditWatch negative. At the same time, S&P has affirmed its
ratings on all other classes of notes.

On April 27, 2020, S&P placed on CreditWatch negative its rating on
the class E-R notes following a number of negative rating actions
on corporates with loans held in European CLOs driven by
coronavirus-related concerns and the current economic dislocation.

S&P said, "The rating actions follow the application of our
relevant criteria and our assessment of the transaction's
performance using data from the May 2020 trustee report. We have
also taken into account the latest portfolio and transaction
information provided by the manager in our analysis.

"Since our previous full review of the transaction, our estimate of
the total collateral balance (performing assets, principal cash,
and expected recovery on defaulted assets) held by the CLO has
decreased, mainly as a result of some trading losses and
defaults."

This has resulted in a decrease in credit enhancement for all rated
notes.

  Table 1

  Credit Analysis Results
  Class   Current amount             Credit enhancement (%)
           (mil. EUR)    as of July 2020  at previous review
  A-R       230.00             42.31            42.92
  B-R       63.00              26.50            27.3
  C-R       24.00              20.48            21.3
  D-R       17.00              16.22            17.1
  E-R       25.00               9.95            10.9
  F         12.00               6.94             7.9
  Sub       42.00               N/A              N/A

  N/A--Not applicable.

Since S&P's previous review, its scenario default rates (SDRs) have
increased due to credit deterioration in the portfolio, with 'CCC'
rated assets increasing to about EUR50 million from EUR3 million.
Additionally, S&P placed on CreditWatch negative our ratings on
11.7% of the pool, up from 0% previously.

  Table 2

  Transaction Key Metrics
                       As of July 2020   At S&P's previous review
  SPWARF                           2871         N/A
  Default rate dispersion (%)    828.25         N/A
  Weighted-average life (years)     4.9         5.1
  Obligor diversity measure       128.8       122.9
  Industry diversity measure       23.9        21.1
  Regional diversity measure        1.4         1.6
  Total collateral amount
     including cash (mil. EUR)    399.5       402.9
  Defaulted assets (mil. EUR)       1.4         N/A
  Number of performing obligors     182         171
  'AAA' WARR (%)                   37.7        38.9

  SPWARF--S&P Global Ratings' weighted-average rating factor.   
  WARR--Weighted-average recovery rate.
  N/A--Not applicable.

S&P said, "Our credit and cash flow analysis shows that the class
A-R, B-R, C-R, and D-R notes are still able withstand the stresses
we apply at the currently assigned ratings, based on their
available credit enhancement levels. We have therefore affirmed our
ratings on these classes of notes. Further, our credit and cash
flow analysis indicates that the available credit enhancement for
the class B-R, C-R, and D-R notes could withstand stresses
commensurate with higher rating levels than their current rating
levels. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, in our view the ratings are commensurate at their
current levels.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class E-R notes is commensurate with a
lower rating level. The collateral portfolio's credit quality has
deteriorated since our last rating action, specifically in terms of
'CCC' rated asset exposures and the proportion of assets on
CreditWatch negative. As a result, there was an increase in the
SDRs, which represent the level of defaults that is likely to
affect the portfolio in a given rating stress scenario. A decline
in recoveries across all rating levels and a lower collateral
balance has also resulted in lower break-even default rates (BDRs),
which represent the gross levels of defaults that the transaction
may withstand at each rating level. We have therefore lowered our
rating on the class E-R notes to 'BB- (sf)' from 'BB (sf)'."

The class F notes' current BDR cushion is -1.59%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including S&P's long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with our criteria. S&P's
analysis further reflects several factors, including:

-- The class F notes' available credit enhancement is in the same
range as that of other CLOs we have rated and that have recently
been issued in Europe.

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 27.43% (for a portfolio with a weighted-average
life of 4.9 years) versus 15.2% if it was to consider a long-term
sustainable default rate of 3.1% for 4.9 years.

-- Whether the tranche is vulnerable to nonpayment in the near
future.

-- If there is a one-in-two chance for this note to default.

-- If S&P's envision this tranche to default in the next 12-18
months.

Following this analysis, S&P considers that the available credit
enhancement for the class F notes is commensurate with its current
'B- (sf)' rating. Hence S&P has affirmed the rating on this class
of notes.

S&P said, "The transaction's documented counterparty replacement
and remedy mechanisms adequately mitigate its exposure to
counterparty risk under our current counterparty criteria. We have
also considered the differences in volatility buffer posting
requirements, which may arise in the event that the issuer enters
into derivative transactions using its current documentation
compared against our updated counterparty criteria requirements, as
per our 2019 publication. According to the trustee report available
to S&P Global Ratings, currently the issuer is not entered into any
hedge transactions.

"Following the application of our structured finance sovereign risk
criteria, we consider the transaction's exposure to country risk to
be limited at current rating levels, as the exposure to individual
sovereigns does not exceed the diversification thresholds outlined
in our criteria.

"OZLME is a cash flow CLO transaction backed by a portfolio of
leveraged loans and managed by Sculptor Europe Loan Management
(previously known as Och-Ziff Europe Loan Management). In our view,
the portfolio is granular in nature, and well-diversified across
obligors, industries, and asset characteristics when compared to
other CLO transactions we have rated recently. Hence we have not
performed any additional scenario analysis.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for the classes
of notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

S&P said, "We will continue to review the ratings in light of these
macroeconomic events. We will take further rating actions,
including CreditWatch placements, as we deem appropriate."

TENNET HOLDING: S&P Rates Sub. Hybrid Capital Securities BB+
------------------------------------------------------------
S&P Global Ratings assigned its 'BB+' long-term issue rating to the
proposed perpetual, optionally deferrable, and subordinated hybrid
capital securities to be issued by TenneT Holding B.V.
(A-/Stable/A-2). The transaction remains subject to market
conditions. S&P expects TenneT to issue a benchmark size hybrid,
and it anticipates that the total amount of outstanding hybrids
will represent less than 15% of its total capitalization.

S&P said, "We consider the proposed securities will have
intermediate equity content until the first reset date, which we
understand will fall no earlier than five and a quarter years from
issuance. During this period, the securities meet our criteria in
terms of ability to absorb losses or conserve cash if and when
needed.

"We derive our 'BB+' issue rating on the proposed securities by
notching down from our 'bbb' stand-alone credit profile on TenneT
(SACP) and not from TenneT's 'A-' long-term issuer credit rating.
This is mainly because we do not think that the Dutch government
will support this instrument in case of financial stress, since the
hybrid is intended to support TenneT's financial profile, which
will be affected in the coming years by its substantial capex, both
on its German and Dutch operations."

As per our methodology, the two-notch differential reflects:

-- A one-notch deduction for subordination because the rating on
TenneT is above 'BBB-'; and
-- An additional one-notch deduction to reflect payment
flexibility--the deferral of interest is optional.

The number of downward notches applied to the proposed securities
reflects our view that the issuer is relatively unlikely to defer
interest. Should S&P's view change, it may deduct additional
notches to derive the issue rating.

S&P said, "Furthermore, to capture our view of the intermediate
equity content of the proposed securities, we allocate 50% of the
related payments on these securities as a fixed charge and 50% as
equivalent to a common dividend, in line with our hybrid capital
criteria. The 50% treatment of principal and accrued interest also
applies to our adjustment of debt.

"TenneT can redeem the securities for cash on any date in the three
months immediately prior to the first reset date (which we
understand will be no earlier than five years after issuance), then
on every interest payment date. Although the proposed securities
are long dated, they can be called at any time for events that we
deem external or remote (change in tax, accounting, rating, or a
change of control event). In our view, the statement of intent
mitigates the issuer's ability to repurchase the notes on the open
market. In addition, TenneT has the ability to call the instrument
any time prior to the first call date at a make-whole premium
("make-whole call") and in case of a clean-up (25% or less
outstanding). TenneT stated its intention not to redeem the
instrument during this make-whole period, and we do not consider
that this type of make-whole clause creates an expectation that the
issue will be redeemed during the make-whole period. Accordingly,
we do not view it as a call feature in our hybrid analysis, even if
it is referred to as a make-whole call clause in the hybrid
documentation.

"We understand that the interest to be paid on the proposed
securities will increase by 25 basis points (bps) no earlier than
10 years after issuance, then by an additional 75 bps at the second
step-up, 20 years after the first reset date. We view any step-up
above 25 bps as presenting an economic incentive to redeem the
instrument, and therefore treat the date of the second step-up as
the instrument's effective maturity. Finally, the green label of
the instrument does not affect the issue rating or the equity
content.

"Key factors in our assessment of the instrument's deferability
In our view, TenneT's option to defer payment on the proposed
securities is discretionary. This means that the issuer may elect
not to pay accrued interest on an interest payment date because
doing so is not an event of default. However, any outstanding
deferred interest payment will have to be settled in cash if TenneT
declares or pays an equity dividend or interest on equally ranking
securities, and if the issuer redeems or repurchases shares or
equally ranking securities. We see this as a negative factor. That
said, this condition remains acceptable under our methodology,
because once the issuer has settled the deferred amount, it can
still choose to defer on the next interest payment date."

Key factors in S&P's assessment of the instrument's subordination

The proposed securities (and coupons) are intended to constitute
TenneT's direct, unsecured, and subordinated obligations, ranking
senior to the company's common shares. They will rank pari passu
with the existing hybrids issued in 2017.




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

PEOPLE'S BANK: Bank of Russia Revokes Banking License
-----------------------------------------------------
The Bank of Russia, by virtue of its Order No. OD-1082, dated July
14, 2020, revoked the banking license of Kyzyl-based Joint-stock
Company The People's Bank of Tuva (Reg. No. 1309; hereinafter, Bank
NBT).  The credit institution ranked 416th by assets in the Russian
banking system.  The Bank of Russia made this decision in
accordance with Clause 6, Part 1, Article 20 of the Federal Law "On
Banks and Banking Activities", based on the facts that Bank NBT:

   -- Breached the required current liquidity ratio and effected
customer payments with delays.

   -- Violated federal banking laws and Bank of Russia regulations,
including by understating the amount of required loss provisions to
be formed and by overstating the value of its assets, due to which
the regulator repeatedly applied supervisory measures against it
over the last 12 months.

The Bank had a small loan portfolio where bad debt made 40%.  A
considerable portion (over 80%) of Bank NBT's assets was real
estate, including property not used in its core activity.  

Bank NBT was loss-making for more than five years, which evidenced
that the credit institution had an inefficient business model.

As a result of Bank NBT's operations, grounds arose for
implementing measures aimed at preventing its bankruptcy, which
created a real threat to the interests of its creditors and
depositors.

The Bank of Russia appointed a provisional administration to Bank
NBT for the period until the appointment of a receiver or a
liquidator.  In accordance with federal laws, the powers of the
credit institution's executive bodies were suspended.

Information for depositors: Bank NBT is a participant in the
deposit insurance system; therefore depositors will be compensated
for their deposits in the amount of 100% of the balance of funds,
but no more than a total of RUR1.4 million per depositor (including
interest accrued).  Deposits are to be repaid by the State
Corporation Deposit Insurance Agency (hereinafter, the Agency).
Depositors may obtain detailed information regarding the repayment
procedure 24/7 at the Agency's hotline (8 800 200-08-05) and on its
website (https://www.asv.org.ru/) in the Deposit Insurance /
Insurance Events section.




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

INTERNATIONAL PARK: S&P Affirms B- LT ICR, Outlook Negative
-----------------------------------------------------------
S&P Global Ratings affirmed its 'B-' long-term issuer credit and
issue ratings on International Park Holdings B.V. (PortAventura)
and removed them from CreditWatch, where they were placed with
negative implications on March 31, 2020.

PortAventura has reopened for the high summer season, but S&P
anticipates that the path to full recovery may take several years.


News of PortAventura's reopening on July 8 has been a positive
development. S&P said, "However, we expect the path to recovery
from COVID-19-related effects could take several years as
attendance gradually returns to 2019 levels (about five million
visits). Consensus among health experts is that the pandemic may
now be at, or near, its peak in some regions but will remain a
threat until a vaccine or effective treatment is widely available,
which may not occur until second-half 2021. We are using this
assumption in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly. As a single
integrated resort and leisure destination, we view PortAventura as
particularly exposed to an isolated outbreak at the park or its
accommodation, but also more broadly to international tourism
demand and consumer sentiment in the face of an economic
downturn."

S&P said, "We forecast credit metrics will peak in 2020, due to
pandemic-related disruption but improve in 2021, with positive cash
flow generation as expansionary capex remains on hold.   We believe
summer visits to the resort will be affected by lingering fears of
the virus, which will limit travel and consumer discretionary
spending. We expect revenue could decline by 70% in 2020, compared
with EUR241.5 million in 2019, assuming utilization is down 25%-30%
compared with above 50% last summer. This equates to about 12,000
visitors per day in peak season 2020, versus 20,000-25,000 per day
in peak season 2019. On the accommodation side, management
estimates that the group currently has about 50,000 room nights
booked for the next seven months, which is about 50% down on 2019
levels. Breakeven occupancy is estimated at about 20%-25% for
accommodation. We understand that the group will only open four of
its six hotels for the 2020 peak season, reflecting the anticipated
lower attendance this year. To preserve cash flow, management
implemented cost-saving measures and suspended discretionary capex.
We forecast EBITDA will be marginally negative and FOCF could be
negative by up to EUR50 million in 2020. We currently forecast
PortAventura will gradually recover into 2021, capitalizing on its
sound positioning as a leading European family destination resort.
However, we expect earnings will be down more than 20% in 2021
compared with 2019. Under our base case, leverage will remain very
high at about 9x in 2021, compared with 5.9x in 2019, although we
expect management will continue to protect cash flow by limiting
expansionary capex. We forecast FOCF will improve to about EUR20
million in 2021. However, this relies heavily on a bounce back in
demand, underpinned by partial recovery in travel and no further
material restrictions directly linked to COVID-19 such as mandatory
closures or capacity constraints. We do not model any material
reduction in food, beverage, and merchandise sales per capita for
2020 attendance. We note that typically food, beverage, and
merchandise is 30%-40% of park revenue and is a high margin
category. The group has been working on new initiatives such as
mobile ordering applications to allow guests to continue to access
and purchase these goods. Furthermore, we do not model any material
working capital outflows for full-year 2020. Season passes or prior
bookings have been largely credited or rebooked rather than subject
to a cash refund."

PortAventura has enhanced its liquidity position with new financing
and obtained a covenant holiday from lenders.  Efficient
cost-saving measures limited the average monthly cash burn before
debt service to about EUR3.5 million during the temporary closure.
At April 30, 2020, PortAventura had EUR100 million of available
liquidity, including a EUR50 million drawing under its revolving
credit facility (RCF) and EUR40 million of new debt financing,
comprising:

-- EUR35 million of financing facilities that benefit from a 70%
guarantee from the Spanish government.

-- A EUR5 million bilateral bank credit line.

S&P said, "We believe these facilities strengthened PortAventura's
liquidity position, which remains adequate. In addition, the group
obtained a covenant holiday with respect to its existing springing
covenant of five quarters from third-quarter 2020 until
fourth-quarter 2021. The leverage covenant is replaced by a minimum
liquidity covenant of not less than EUR20 million, tested monthly.
Under our base case, we forecast that PortAventura will have
sufficient liquidity headroom during the period. In our current
modeling, a seasonal low in liquidity will be reached in
second-quarter 2021, after the 2020 summer period, before the
commencement of the 2021 peak season. We estimate liquidity will be
above EUR40 million at this point."

Environmental, social, and governance (ESG) credit factors for this
credit rating change:

-- Health and safety

The negative outlook reflects uncertainty about the recovery path
from the COVID-19 pandemic and the potential effects it could have
on PortAventura's financial performance, capital structure, and
liquidity in 2020 and beyond.

S&P's current base-case forecast is for the group to achieve
slightly negative EBITDA and negative EUR50 million FOCF in 2020.
Then improving to about 9x adjusted leverage in full-year 2021 and
positive EUR20 million FOCF, with the group maintaining adequate
liquidity well above EUR20 million during the two years.

S&P could lower the rating if the effects of COVID-19 led the
group's credit metrics to weaken beyond its base case.

A downgrade could occur from one or a combination of the
following:

-- The magnitude and length of disruption caused by COVID-19
exceeds S&P's current base case, resulting in a heightened risk of
liquidity stress, or material deterioration in the group's
financial positon and performance.

-- There was greater uncertainty regarding the group's ability to
generate positive FOCF in 2021 or leverage was maintained for a
prolonged period well above full-year 2019 levels, indicating
inability to restore the balance sheet post full-year 2020's
COVID-19 disruption. This could result in S&P's view that the
capital structure is unsustainable or reliant on favorable
macroeconomic conditions to meet its financial commitments.

-- If S&P considered heightened risk of a specific default event,
such as the likelihood of interest forbearance, broader debt
restructuring, or debt purchases below par.

-- S&P could revise the outlook to stable once it has more
certainty regarding the effects of the COVID-19 pandemic on
PortAventura's operating performance, liquidity, and cash flows.

An affirmation could be considered if:

-- A stable macroeconomic and operating environment underpinned
greater certainty of favorable business conditions, capacity,
profitability, and higher confidence in achieving forecast credit
metrics and returning to 2019 levels;

-- There was no liquidity pressure, and S&P viewed liquidity as
adequate;

-- There was no risk of default events occurring, including but
not limited to a purchase of the group's debt below par, a debt
restructuring, or interest forbearance; and

-- The group had a track record of consistent and meaningful FOCF.



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

LEKKERLAND SWITZERLAND: Enters Liquidation, 144 Jobs at Risk
------------------------------------------------------------
Swissinfo.ch reports that Lekkerland Switzerland, a company that
supplies Swiss motorway service stations and convenience stores,
has gone into liquidation after failing to find new investors.

Some 144 jobs at Lekkerland Switzerland are now at risk of
disappearing by the end of the year, Swissinfo.ch states.

The company on July 6 said it was concentrating on finding new
suppliers for the 2,700 stores that it currently services,
Swissinfo.ch discloses.

According to Swissinfo.ch, it is also making social arrangement for
its employees, including trying to find them new positions
elsewhere.

A spokeswoman told the AWP news agency that an investor had pulled
out of a financing deal at the last minute, meaning the company
could no longer hope to survive beyond the end of this year,
Swissinfo.ch relates.

Lekkerland, Swissinfo.ch says, will gradually wind down its supply
services in Switzerland in the coming months.  There was no mention
in the statement on the enterprise's website of coronavirus playing
a role in the demise of the firm, Swissinfo.ch notes.




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

CARDINAL SHOPFITTING: Enters Administration, 135 Jobs Affected
--------------------------------------------------------------
Jo Winrow at The Telegraph & Argus reports that Bradford
shopfitters Cardinal has gone into administration with the loss of
135 jobs.

Howard Smith and Dave Costley-Wood from KPMG's restructuring
practice were appointed Joint Administrators of Cardinal
Shopfitting and Systems Limited on July 13, Telegraph & Argus
relates.

According to Telegraph & Argus, the company has been unable to
continue trading given a collapse in its order book, following the
impact of Covid-19 and the uncertainty in the retail sector
post-lockdown.

Cardinal Shopfitting and Systems Limited is an interiors
manufacturer mainly supplying the retail sector, with clients
including major high street chains, alongside a residential
property offering.



EPIHIRO PLC: Moody's Withdraws B2 Rating on EUR1.623MM Cl. A Notes
------------------------------------------------------------------
Moody's Investors Service has withdrawn the rating on the following
notes issued by EPIHIRO PLC:

EUR1,623M Class A Notes, withdrawn (sf); previously on Jun 6, 2019
Confirmed at B2 (sf)

RATINGS RATIONALE

Moody's has decided to withdraw the rating for its own business
reasons.

LUNAR FUNDING I: S&P Cuts Rating on Series 6 Notes to B+
--------------------------------------------------------
S&P Global Ratings lowered its rating on Lunar Funding I Ltd.'s
series 6 notes to 'B+' from 'BB' and kept it on CreditWatch
negative.

The rating action follows S&P's June 25, 2020, rating action on
Mitchells & Butlers Finance PLC's class C1 notes.

Under S&P's "Global Methodology For Rating Repackaged Securities"
criteria, it weak-link its rating on Lunar Funding I Ltd.'s series
6 notes to the lowest of:

-- S&P's rating on the fixed- and floating-rate asset-backed class
C1 notes issued by Mitchells & Butlers Finance PLC;

-- S&P's issuer credit rating (ICR) on NatWest Markets PLC as the
fee payer;

-- S&P's ICR on Deutsche Bank AG (London Branch) as custodian;

-- S&P's ICR on NatWest Markets as bank account provider; and

-- S&P's ICR on the Bank of New York Mellon (London Branch) as
custodian, which we derive from our ICR on the Bank of New York
Mellon as branch parent.

Therefore, following S&P's recent lowering of our rating on
Mitchells & Butlers Finance PLC's class C1 notes to 'B+ (sf)' from
'BB (sf)' it has lowered its rating on Lunar Funding I Ltd.'s
series 6 notes to 'B+' from 'BB'. The rating remains on CreditWatch
negative.

Mitchells & Butlers Finance PLC is backed by operating cash flows
from pub companies (pubcos) that are particularly hard hit by the
mandatory restrictions the U.K. government has imposed to contain
the COVID-19 pandemic. These restrictions prohibit dine-in business
and only permit take-away sales and deliveries. For the managed-pub
sector, it is likely that deliveries will not grow meaningfully
enough to offset the loss of revenue due to the cessation of
dine-in services. S&P said, "As a result, we expect a material
reduction in turnover across the pubcos that we rate. For strictly
wet-led (leased and tenanted) estates, the ability to generate
revenue from deliveries is generally very low, and we expect the
loss of revenue to be nearly total while the government's
restrictions are in place."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions, but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

Environmental, social, and governance (ESG) factors relevant to the
rating action:

-- Health and safety

MARCUS WORTHINGTON: Retail Park Bought Out of Administration
------------------------------------------------------------
Business Sale reports that Huddersfield's Gallagher Retail Park has
been acquired out of administration by FPG Ltd in a GBP10.6 million
deal.

The retail park's previous owner, Preston-based Marcus Worthington
Properties Ltd, went into administration last November, Business
Sale relates.

Property consultancy firm Avison Young sold the park on behalf of
administrators Deloitte, Business Sale states.

Avison Young's restructuring solutions team worked with Marcus
Worthington's joint administrators Adrian Berry and Michael Magnay
in handling the park's management while working towards a sale,
Business Sale discloses.

The retail park, located to the east of Huddersfield off the A629,
is a fully let purpose-built site.  It features businesses
including Aldi, McDonalds, M&S Food, Home Bargains and Pets at
Home.



PINNACLE BIDCO: S&P Lowers ICR to CCC+ Due to COVID-19 Impact
-------------------------------------------------------------
S&P Global Ratings lowered to 'CCC+' from 'B-' its long-term issuer
credit rating on U.K.-based value-segment gym operator Pinnacle
Bidco PLC (trading as PureGym); to 'B' from 'B+' the issue rating
on its GBP95 million super senior revolving credit facility (RCF);
and to 'CCC+' from 'B-' the rating on the GBP430 million bonds, due
2025. The recovery ratings remain '1' and '4', respectively. At the
same time, S&P removed all of the ratings on the company from
CreditWatch, where it placed them with negative implications on
April 8, 2020.

The downgrade reflects the uncertain macroeconomic environment that
PureGym faces over the next 12 months, and the risk that a
prolonged downturn could leave it burdened with an unsustainable
capital structure.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

With the easing of restrictions, PureGym sites have reopened in
Denmark, Switzerland, and Poland, and some of its sites in England
will open as soon as the government permits their reopening from
July 25, 2020. However, the lockdown impact of COVID-19 along with
the GBP380 million debt-financed acquisition of Fitness World
(completed in January 2020) will spike the group's leverage to 18x
in 2020 and cause it to remain above 8.0x in 2021, compared with
6.5x in 2019.

S&P said, "Our forecast for 2021 incorporates a meaningful
recovery, such that S&P Global Ratings-adjusted EBITDA is about 10%
below pro forma 2019. We believe there continues to be a high
degree of uncertainty against the backdrop of potential further
lockdowns and current macroeconomic weakness for the company to
achieve this recovery."

Social-distancing measures could influence customers' willingness
to return to gyms.  PureGym has reorganized its sites to comply
with government guidance for maintaining hygiene and protecting the
health of its customers and staff. While these are early days, so
far, PureGym has not registered any COVID-19 cases in its reopened
premises in Continental Europe. PureGym U.K.'s sites vary in size,
and the average is about 17,000 square feet and is sufficiently
large to incorporate social-distancing measures. These measures are
unlikely to place a constraint on its gym utilization profile,
except during the peak period. Moreover, PureGym has the capability
via its mobile app to flatten attendance during peak times and
direct customers toward less busy periods.

The data from reopened sites in Denmark and Switzerland indicate
that more than 90% of closing members have retained their
membership. However, the U.K. sites -- which represent about 60% of
PureGym's revenue -- have not opened yet, and the trends from these
sites will provide a better sense of the group's free operating
cash flow (FOCF) generation into the second half of 2020 and
beginning of 2021.

It is possible that membership attrition may continue, as consumers
could view gym memberships as discretionary spending in a
recession, or postpone returning to the gym due to continued fears
over safety. Furthermore, some customers may have moved to
alternatives such as home fitness and digital fitness offerings.
However, S&P does not expect this to be a substitution risk to
physical value gym attendance at this point.

PureGym's business is well positioned to benefit in an
earlier-than-anticipated economic recovery scenario.   PureGym is
one of the most efficient operators in the segment with a low cost
base and margins of about 45%. With average revenue per member per
month of about GBP18 (compared with traditional or premium gym
prices, averaging about GBP37), its business model benefits from a
large customer base at the fixed-cost level. Through its dynamic
pricing model, PureGym has demonstrated a track record of
maximizing each site's revenue by setting fees according to factors
such as a gym's membership level, its utilization profile, its
capacity, the demographic profile of its local catchment, and the
degree of local competition, among others.

The value-gym segment registered strong growth during the previous
financial crisis, as consumers moved downstream from higher-end
fitness clubs to more-affordable options. Value gyms offer a
flexible membership model, which allows customers to cancel
membership at a month's notice. Although this contributes to their
fast growth, it also results in cancellation rates of about 1%-2%
each month. During the height of the lockdown period, PureGym has
not witnessed material membership loss, in part due to the
memberships freeze that allowed members to hold their membership
free of charge while gyms were closed. S&P views the maintenance of
a customer membership base during this period as positive (even
noting members' usual ability to cancel at any time under PureGym's
flexible model).

Liquidity will be a focus over the next few quarters, when deferred
costs become payable.  The management successfully reduced its cash
burn rate to about GBP18 million during the 14 weeks of lockdown,
from March 23, 2020. The measures included: deferral of costs to
the second half of 2020; reducing capital expenditure (capex);
taking advantage of the government's mitigation support plan,
including the furlough scheme; business rate reduction; and other
revenue initiatives. Liquidity over the coming quarters will have
to be managed closely, as the leverage covenant under its GBP95
million RCF will be triggered if it is drawn beyond GBP37 million.
Given the management track record of handling liquidity, and
financial sponsors' commitment to the business, S&P believes the
group will maintain adequate liquidity over the next 12 months.

Landlords will provide necessary supports to the company in the
form of rent reduction and forbearance.  Typical lease length for
PureGym and Fitness World sites is about 15 years and 10 years,
respectively. Through the lockdown period, the company was able to
reduce unmitigated cash rental costs of about GBP2 million a week
by about 75%. The reduction was achieved through government funding
received in Denmark and rent reduction/forbearance discussions with
landlords in the U.K.

Environmental, social, and governance (ESG) credit factors for this
credit rating change:

-- Health and safety

S&P said, "The developing outlook indicates that we could upgrade
or downgrade in the next 12 months. Further action will depend on
the development of the group's sites' reopening; economic
conditions; consumer behavior; the risk of another wave of the
pandemic and further lockdowns; potential sponsor support; and the
company's ability to reduce its leverage and improve FOCF.

"We could lower the rating if the group's credit metrics
deteriorated further beyond our base-case forecast, resulting in
increased stress on the capital structure or liquidity position in
the next 12 months. This could occur, for example, from prolonged
lockdown of the group's U.K. facilities or a more adverse
recessionary and consumer environment than expected, resulting in a
slower or muted recovery. This could increase the likelihood of
specific default events over time, such as debt restructuring, debt
purchase below par, or material liquidity shortfall, while cash
support from the financial sponsor seems unlikely.

"We could consider an upgrade when, in our view, the capital
structure is sustainable and not reliant on favorable business and
economic conditions for the group to meet its financial
commitments, as well as there being no risk of a default event
occurring."

In S&P's view, in demonstrating the above, it would consider:

-- A sustained period and track record of revenue recovery,
including the group's key U.K. business following any reopenings;

-- Improvement in credit metrics, such as the group's ability to
generate and sustain positive free cash flow, and a clear path to
reducing adjusted leverage to materially below 7.5x; and

-- Maintenance of adequate liquidity and progressing from a
cash-burn profile to self-sustaining cash generation.

TOWER BRIDGE 2020-1: Moody's Assigns (P)Ba2 Rating on Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional credit ratings
to the following Classes of Notes to be issued by Tower Bridge
Funding 2020-1 plc:

GBP[]M Class A Mortgage Backed Floating Rate Notes due September
2063, Assigned (P)Aaa (sf)

GBP[]M Class B Mortgage Backed Floating Rate Notes due September
2063, Assigned (P)Aa1 (sf)

GBP[]M Class C Mortgage Backed Floating Rate Notes due September
2063, Assigned (P)A2 (sf)

GBP[]M Class D Mortgage Backed Floating Rate Notes due September
2063, Assigned (P)Baa2 (sf)

GBP[]M Class E Mortgage Backed Floating Rate Notes due September
2063, Assigned (P)Ba2 (sf)

Moody's has not assigned ratings to the GBP []M Class X Floating
Rate Notes due September 2063, the GBP []M Class Z1 Notes due
September 2063, or the GBP []M Class Z2 Notes due September 2063.

This transaction represents the fifth securitisation transaction
that is backed by buy-to-let mortgage loans and non-conforming
loans originated by Belmont Green Finance Limited ("Belmont Green",
not rated).

The portfolio consists of 1,811 loans, secured by first ranking
mortgages on properties located in the UK, of which 77.5% are
buy-to-let and 22.5% are owner occupied. The current pool balance
was approximately GBP 349.1 million as of May 31, 2020, the
provisional portfolio reference date.

RATINGS RATIONALE

The ratings take into account the credit quality of the underlying
mortgage loan pool, from which Moody's determined the MILAN Credit
Enhancement and the portfolio expected loss, as well as the
transaction structure and legal considerations. The expected
portfolio loss of 5.0% and the MILAN required CE of 20.0% serve as
input parameters for Moody's cash flow model and tranching model.

The expected loss is 5.0%, which is in line with other recent UK
non-conforming transactions and takes into account: (i) the
proportion of the portfolio having some adverse credit (9.8%); (ii)
the relatively high proportion of buy-to-let loans (77.5%) and
interest-only loans (75.9%); (iii) the weighted average current LTV
of 72.0%; (iv) the lack of historical performance data from the
originator in particular through any economic downturn; (v) the
current macroeconomic environment and its view of the future
macroeconomic environment in the UK taking into account the impact
of Covid-19 outbreak as well as Brexit; (vi) the 28.5% exposure to
Covid-19 related payment holidays as of May 31, 2020 in terms of
the closing pool outstanding balance; and (vii) benchmarking with
similar transactions in the UK non-conforming sector.

MILAN CE for this pool is 20.0%, which is in line with other recent
UK non-conforming transactions and takes into account: (i) the
current LTV of 72.0%; (ii) borrowers with adverse credit history
(9.8%); (iii) lack of seasoning of the originated loans (c. 0.5
years); (iv) less standard income streams of the underlying
borrowers (32.7% Self-employed borrowers); (v) loans to expatriate
borrowers (69.1%) or companies (22.7%), where the loans are for
buy-to-let purposes; and (vi) the limited track record of the
originator.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of consumer assets from the collapse
in the UK economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. As a result, the degree of uncertainty around its
forecasts is unusually high. Moody's regards the coronavirus
outbreak as a social risk under its ESG framework, given the
substantial implications for public health and safety.

At closing, the non-amortising General Reserve Fund will be fully
funded to 2.5% of the closing principal balance of the mortgage
backed Notes i.e. GBP [] million. The General Reserve Fund will be
replenished from the interest waterfall after the PDL cure of the
Class E Notes and can be used to pay senior fees and costs,
interest and PDL on the Class A-E Notes. The Liquidity Reserve Fund
target is 1.5% of the outstanding Class A and B Notes and is funded
by the diversion of principal receipts until the target is met.
Once the Liquidity Reserve Fund is fully funded, it will be
replenished from the interest waterfall. The Liquidity Reserve Fund
is available to cover senior fees, costs and Class A and B Notes
interest only. Amounts released from the Liquidity Reserve Fund
will flow down the principal priority of payments. The Class A
Notes, or if these are not outstanding, the most senior Notes
outstanding at that time, further benefit from a principal to pay
interest mechanism.

Additionally, the transaction benefits from a payment holiday
reserve fund that will be fully funded at closing and available
until the IPD of September 2021. Its level at closing is 0.75% of
the principal-backed-notes and it will be decreased gradually over
the first 4 IPDs until it is at 0.0% in September 2021.

Operational Risk Analysis: Although Belmont Green is the servicer
in the transaction, it delegates all the servicing to Homeloan
Management Limited, "HML" (not rated, parent Computershare Ltd
rated Baa2). U.S. Bank Global Corporate Trust Limited ("US Bank",
not rated) will be the cash manager. Although US Bank is not rated,
it is part of the U.S. Bancorp (A1/P-1). In order to mitigate the
operational risk, CSC Capital Markets UK Limited (not rated) will
act as back-up servicer facilitator. To ensure payment continuity
over the transaction's lifetime, the transaction documents
incorporate estimation language, whereby the cash manager can use
the three most recent monthly servicer reports to determine the
cash allocation in case no servicer report is available. The
transaction also benefits from the equivalent of at least 10 months
of liquidity for Class A notes once the Liquidity Reserve has been
funded from principal, to supplement the General Reserve which is
funded in full to 2.5% of the principal-backed Notes at closing.

Interest Rate Risk Analysis: majority of mortgages in the pool
(99.8%) carry a fixed rate of interest. The transaction benefits
from a swap agreement to mitigate the fixed-floating mismatch
between the initial fixed rate paid by the mortgages and the SONIA
paid under the Notes. The swap provider is NatWest Markets Plc
(Baa2/P-2; A3(cr)/P-2(cr)). Over time, all the loans in the
portfolio will reset from fixed rate to a floating rate linked to
LIBOR or Belmont Green's base rate (Vida Variable Rate "VVR"). As
is the case in many UK RMBS transactions, this basis risk mismatch
between the floating rate on the underlying loans and the floating
rate on the Notes will be unhedged. Moody's has applied a stress to
account for the basis risk on the mortgage loans linked to LIBOR
and Belmont Green VVR, in line with the stresses applied to the
various types of unhedged basis risk seen in UK RMBS.

Moody's issues provisional ratings in advance of the final sale of
securities, but these ratings represent only Moody's preliminary
credit opinions. Upon a conclusive review of the transaction and
associated documentation, Moody's will endeavour to assign
definitive ratings to the Notes. A definitive rating may differ
from a provisional rating. Other non-credit risks have not been
addressed but may have a significant effect on yield to investors.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in May
2020.

The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less
relevant or typically remain unchanged during the surveillance
stage.

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

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

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

VIRGIN ATLANTIC: Reaches GBP1.2-Bil. Rescue Package Deal
--------------------------------------------------------
Tanywa Powley at The Financial Times reports that Virgin Atlantic
has agreed to a GBP1.2 billion rescue package aimed at securing the
grounded airline for the next five years after months of
negotiating with shareholders and private investors to stave off
collapse.

Shai Weiss, chief executive, told the FT shortly after the deal was
signed off on July 14 that the rescue plan was a "major
achievement" that most people "probably thought  .  . .
impossible".

According to the FT, the rescue package will inject about GBP1.2
billion into the airline over the next 18 months, with GBP200
million of cash from Richard Branson's Virgin Group and GBP170
million of debt funding from US hedge fund Davidson Kempner Capital
Management.

It will include GBP400 million of fee deferrals from shareholders,
Virgin Group and Delta Air Lines, which owns 49%, while creditors
have agreed to postpone payments worth a further GBP450 million,
the FT states.  The carrier has also implemented a cost-saving
program that will involve 3,550 job cuts and secured agreement from
its credit card companies to unlock customer cash, the FT notes.

Mr. Weiss hoped the package would help the carrier return to
profitability in 2022, the FT relays.

The private rescue package will still have to be signed off by a
court as part of the process to secure approval from all relevant
creditors, according to the FT.

Mr. Weiss, as cited by the FT, said this should take 43 days but he
was "pretty confident" it would go through as it was only launched
after the negotiations had been finalized.

He added that the package had involved discussions with more than
100 institutions that now backed the five-year plan, according to
the FT.



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

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

Copyright 2020.  All rights reserved.  ISSN 1529-2754.

This material is copyrighted and any commercial use, resale or
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