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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

          Tuesday, July 21, 2020, Vol. 21, No. 145

                           Headlines



A Z E R B A I J A N

AZERBAIJAN: Fitch Affirms LT IDR at BB+, Outlook Negative


G E R M A N Y

WIRECARD AG: Parliamentary Committee to Hold Meeting on Scandal


I R E L A N D

ARBOUR CLO IV: Fitch Affirms Class F Debt at B-sf
ARBOUR CLO VII: Fitch Affirms Class F Debt at B-sf
BLACK DIAMOND 2015-1: Moody's Cuts Class F Notes to B3
CVC CORDATUS XI: Fitch Affirms Class F Debt at B-sf
CVC CORDATUS XII: Fitch Downgrades Class E Debt to BB-sf

HARVEST CLO XV: Fitch Affirms Class F-R Debt at B-sf
JUBILEE CLO 2018-XXI: Fitch Downgrades Class E Notes to BB-sf


I T A L Y

ATLANTIA SPA: Agrees to Sell Majority Stake in Autostrade
ATLANTIA SPA: Fitch Alters Rating Watch on BB Notes to Evolving
CAPITAL MORTGAGE 2007-1: S&P Ups Class C Notes Rating to CCC-(sf)


K A Z A K H S T A N

KAZYNA CAPITAL: Fitch Assigns BB+ LT IDR, Outlook Stable


N E T H E R L A N D S

ARES EUROPEAN X: Fitch Affirms Class F Debt at B-sf


R U S S I A

LLC ROLF: Moody's Confirms B1 CFR, Alters Outlook to Stable
SOVCOMFLOT PAO: S&P Alters Outlook to Positive & Affirms BB+ ICR


S P A I N

CODERE SA: S&P Lowers ICR to CC on Proposed Debt Restructuring
EL CORTE: S&P Affirms BB+ Long-Term ICR, Off Watch Negative
PYMES SANTANDER 15: Moody's Confirms Serie B Notes at Caa3


T U R K E Y

TEB FINANSMAN: Fitch Affirms LT IDR at B+, Outlook Negative


U K R A I N E

TASCOMBANK JSC: Moody's Puts First-Time B3 LT LC Deposit Ratings


U N I T E D   K I N G D O M

AMIGO LOANS: Raises Going Concern Doubt Amid Regulatory Probe
AZZURRI GROUP: To Close 75 Locations, 1,200 Jobs at Risk
INSPIRED ENTERTAINMENT: Moody's Hikes PDR to Caa1-PD & CFR to Caa1
MILLER HOMES: Fitch Affirms LT IDR at BB-, Outlook Stable
PAYSAFE GROUP: Moody's Cuts CFR to B3, Outlook Stable

RILEYS SPORTS: FRP Advisory Seeks Buyer Following Administration
SEADRILL PARTNERS: S&P Lowers ICR to SD on Interest Nonpayment
STONEGATE PUB: S&P Withdraws CCC+ LongTerm Issuer Credit Rating

                           - - - - -


===================
A Z E R B A I J A N
===================

AZERBAIJAN: Fitch Affirms LT IDR at BB+, Outlook Negative
---------------------------------------------------------
Fitch Ratings has affirmed Azerbaijan's Long-Term Foreign-Currency
Issuer Default Rating at 'BB+' with a Negative Outlook.

KEY RATING DRIVERS

Azerbaijan's 'BB+' IDRs balance very strong sovereign and external
balance sheets and fiscal financing flexibility due to large
sovereign wealth fund assets, against the economy's high dependence
on oil, weak governance indicators and lack of predictability and
transparency of policy-making, especially in relation to the
exchange rate regime.

The Negative Outlook reflects the impact of the combined shock from
lower oil prices and the COVID-19 pandemic on Azerbaijan's external
buffers and the risk of a disruptive macroeconomic adjustment.
External pressures were most intense in March-April 2020 when Brent
oil prices fell to an average USD26/b (USD59/b in January-February
2020) and SOFAZ sold USD2.5 billion in FX auctions to meet surging
private sector demand and support the 1.7 AZN/USD exchange rate.
Since its April 2020 review, the pace of FX sales by SOFAZ has
eased to be compatible with its 2020 annual envelope of USD6.7
billion permitted by the government budget, with USD4.1 billion
sold in year-to-date. A change in the budget law would be required
to authorise further FX sales beyond the annual envelope. A
re-intensification of FX demand or oil price falls could renew
devaluation pressures.

Lack of predictability and transparency of policy-making
exacerbates the risk of policy missteps and a disruptive policy
adjustment reminiscent of Azerbaijan's experience in the 2014-2015
oil price shock. Deposit dollarisation (61% at end-2019) and loan
dollarisation (35%) ratios have declined since the 2015 crisis, but
remain above their pre-2014 levels and could accentuate the impact
in the event of a disorderly devaluation.

Azerbaijan has a high commodity dependence, with oil and gas
accounting for roughly 40% of GDP, 81% of goods and services export
revenues and two-thirds of fiscal revenues in 2019. The current
account balance is forecast to worsen to -4.0% of GDP in 2020
(2019: 9.1%), returning to surpluses of 4.4% and 6.1% in 2021 and
2022, respectively.

Azerbaijan's very strong external balance sheet (sovereign net
foreign assets were 84% of GDP at end-2019) is absorbing most of
the impact from lower oil prices. External assets totalled USD49.5
billion at end-2019 (27 months of current external payments) and
Fitch forecasts them to fall to USD38.3 billion (23 months of CXP)
in 2020. External assets comprise mainly SOFAZ assets (USD 41.3
billion at end-1Q20), with the Central Bank of Azerbaijan's FX
reserves increasing slightly to USD6.4 billion at end-May 2020.

Fitch forecasts the consolidated fiscal balance to turn into a
deficit of 6.8% of GDP in 2020 (implied fiscal break-even oil price
of USD 50.7/b), from a surplus of 9.1% in 2019. The sharp fall in
oil prices will greatly reduce oil fiscal revenues flowing into
SOFAZ, while automatic stabilisers are expected to increase current
spending on social payments and benefits as the unemployment rate
rises to 8.0% from 5.0% in 2019. The government currently does not
expect to revise the 2020 budget, with SOFAZ flows to the Treasury
automatically absorbing the fall in oil revenues.

Low general government debt at 19% of GDP at end-2019 supports the
rating, while large SOFAZ assets and 8.2% of GDP in central
government deposits afford the government flexibility in financing
the fiscal deficits in 2020-2021. Fitch forecasts government debt
to rise to 23% of GDP at end-2020, but return to 19% of GDP by
2022. Government on-lending and guarantees of 31% of GDP at
end-3Q19 accruing to the largest state-owned bank International
Bank of Azerbaijan's (IBA; B-/Stable) restructuring and to gas
investment projects are a large contingent liability. Low oil
production break-even prices averaging roughly USD 15/b contains
contingent liability risk from the state-oil company (SOCAR), but
large FX mismatches at SOCAR are a vulnerability in a devaluation
scenario.

Public health restrictions to contain the spread of COVID-19 were
extended to end-July 2020 following a second wave of infections in
May. Fitch forecasts real GDP growth to contract by 4.2% in 2020
due to the lockdown in major cities and the sharp fall in oil
prices. Oil production volumes have also been affected by
Azerbaijan's participation in OPEC+ oil supply cuts in May-July,
with a possible extension to the rest of 2020. Growth will only be
partly offset by ongoing government packages announced in 2019 and
AZN2.5 billion (3.1% of GDP) in households and businesses support
measures from reallocated expenditures in the original 2020 budget.
Fitch projects real GDP growth to recover to 2.5% in 2021 and 2.8%
in 2022 as oil prices and aggregate demand recover, but constrained
by the impact of low oil prices on oil and gas investments.

Asset quality for banks in Azerbaijan will be pressured by the
COVID-19 impact and lower oil prices. Banks in Azerbaijan are still
recovering from legacy asset quality problems since the 2015
devaluations, but remain weak as reflected by its Fitch Banking
System Indicator score of 'b'. Aggregate banking sector NPLs is
moderate and had fallen slightly to 7.3% in May 2020 (end-2019:
8.3%) due to the CBA withdrawing licenses of four small problem
banks. Following a debt restructuring in 2017, IBA has returned to
profitability with large capital buffers and improved asset
quality. However, it continues to have an unhedged open currency
position of USD 0.7bn in June 2020 (2017: USD 1.9 billion).

Azerbaijan ranks high on the World Bank's Ease of Doing Business
indicators, at the 87-percentile of Fitch-rated sovereigns in 2019.
However structural rigidities and intangible impediments to
competition appear to be limiting strong business indicators from
translating into significant non-oil FDI to diversify the economy
away from hydrocarbons.

Tensions between Azerbaijan and Armenia around the long-standing
conflict over Nagorno-Karabakh have increased leading to military
clashes with a number of fatalities over the last week. This is the
highest level of tensions since April 2016 and follows the stalling
of official dialogue between both countries during 2019.

ESG - Governance: Azerbaijan has an ESG Relevance Score of 5 for
both Political Stability and Rights and for the Rule of Law,
Institutional and Regulatory Quality and Control of Corruption, as
is the case for all sovereigns. These scores reflect the high
weight that the World Bank Governance Indicators have in its
proprietary Sovereign Rating Model. Azerbaijan has a low WBGI
ranking at the 28th percentile, reflecting very poor voice and
accountability, relatively weak rights for participation in the
political process, uneven application of the rule of law and a high
level of corruption.

SOVEREIGN RATING MODEL AND QUALITATIVE OVERLAY

Fitch's proprietary SRM assigns Azerbaijan a score equivalent to a
rating of 'BB' on the Long-Term Foreign-Currency IDR scale.

Fitch's sovereign rating committee adjusted the output from the SRM
to arrive at the final LT FC IDR by applying its QO, relative to
rated peers, as follows:

  - External Finances: +1 notch, to reflect large SOFAZ assets,
which underpin Azerbaijan's exceptionally strong foreign currency
liquidity position and the very large net external creditor
position of the country.

Fitch's SRM is the agency's proprietary multiple regression rating
model that employs 18 variables based on three-year centred
averages, including one year of forecasts, to produce a score
equivalent to a LT FC IDR. Fitch's QO is a forward-looking
qualitative framework designed to allow for adjustment to the SRM
output to assign the final rating, reflecting factors within its
criteria that are not fully quantifiable and/or not fully reflected
in the SRM.

RATING SENSITIVITIES

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

  - Macro: Developments in the economic policy framework that
undermine macroeconomic stability, for example a rapid erosion of
the sovereign's external balance sheet or disorderly devaluation of
the manat exchange rate.

  - External Finances: Sustained low oil prices or a more prolonged
external shock that would have a significant adverse effect on the
economy, banking sector, public finances or the external position.

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

  - External Finances: Easing of external pressures, for example
due to higher oil prices, that reduce the likelihood of a
disorderly devaluation of the exchange rate.

  - Public Finances: Confidence in the government's ability to
reduce the consolidated fiscal deficit and preserve government
liquid/financial assets and low government debt/GDP beyond the
COVID-19 shock.

  - Macro: Improvement in the macroeconomic policy framework,
including exchange rate policy, that strengthens the country's
ability to address external shocks and reduces macro volatility.

BEST/WORST CASE RATING SCENARIO

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

KEY ASSUMPTIONS

Fitch forecasts Brent Crude to average USD35.0/b in 2020, USD
45.0/b in 2021 and USD 53.0/b in 2022.

Fitch assumes that Azerbaijan will continue to experience broad
social and political stability and that there will be no prolonged
escalation in the conflict with Armenia over Nagorno-Karabakh to a
degree that would affect economic and financial stability.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Azerbaijan has an ESG Relevance Score of 5 for 'Political Stability
and Rights' as World Bank governance indicators have the highest
weight in Fitch's SRM and are highly relevant to the rating and a
key rating driver with a high weight.

Azerbaijan has an ESG Relevance Score of 5 for 'Rule of Law,
Institutional & Regulatory Quality, Control of Corruption' as World
Bank governance indicators have the highest weight in Fitch's SRM
and are highly relevant to the rating and a key rating driver with
a high weight.

Azerbaijan has an ESG Relevance Score of 4 for 'Human Rights and
Political Freedoms' as social stability and voice and
accountability are reflected in the World Bank Governance
Indicators that have the highest weight in the SRM. They are
relevant to the rating and a rating driver.

Azerbaijan has an ESG Relevance Score of 4 for 'Creditors Rights'
as willingness to service and repay debt is relevant to the rating
and a rating driver, as for all sovereigns.

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



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

WIRECARD AG: Parliamentary Committee to Hold Meeting on Scandal
---------------------------------------------------------------
Holger Hansen at Reuters reports that the German parliament's
financial committee will hold an extraordinary meeting on the
Wirecard scandal on Wednesday next week and Finance Minister Olaf
Scholz is expected to be there, a Social Democrat (SPD) lawamker
said on July 20.

Mr. Scholz, a member of the SPD--the junior partner in a coalition
with Chancellor Angela Merkel's conservatives--is facing calls from
rival parties to account for the regulatory failures that led to
the collapse of Wirecard after it emerged he knew of concerns about
the company 18 months ago.

As reported by the Troubled Company Reporter-Europe on June 26,
2020, The Financial Times reported that Wirecard filed for
insolvency after the once high-flying payments group revealed a
multiyear fraud that led to the arrest of its former chief
executive.  In a remarkable collapse of a company once regarded as
a European tech champion, Wirecard said in a statement on June 25
that it faced "impending insolvency and over-indebtedness", the FT
related.  According to the FT, EY on June 25 said there were "clear
indications that this was an elaborate and sophisticated fraud,
involving multiple parties around the world in different
institutions, with a deliberate aim of deception", adding that
"even the most robust and extended audit procedures may not uncover
a collusive fraud".  Wirecard's admission that EUR1.9 billion of
cash was missing was the catalyst for the company's unravelling,
the FT noted.




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

ARBOUR CLO IV: Fitch Affirms Class F Debt at B-sf
-------------------------------------------------
Fitch Ratings has revised the Outlook on two sub-investment grade
tranches of Arbour CLO II DAC and two tranches of Arbour CLO IV DAC
to Negative from Stable and affirmed the ratings.

Arbour CLO IV DAC

  - Class A-1R XS1997961278; LT AAAsf; Affirmed

  - Class A-2R XS1997961948; LT AAAsf; Affirmed

  - Class BR XS1997962672; LT AAsf; Affirmed

  - Class CR XS1997963308; LT Asf; Affirmed

  - Class DR XS1997963993; LT BBBsf; Affirmed

  - Class E XS1499702824; LT BBsf; Affirmed

  - Class F XS1499703046; LT B-sf; Affirmed

Arbour CLO II DAC

  - Class A-R XS1599431787; LT AAAsf; Affirmed

  - Class B-1-R XS1599433056; LT AAsf; Affirmed

  - Class B-2-R XS1599433643; LT AAsf; Affirmed

  - Class C-R XS1599434450; LT Asf; Affirmed

  - Class D-R XS1599435002; LT BBBsf; Affirmed

  - Class E-R XS1599435853; LT BBsf; Affirmed

  - Class F-R XS1599436158; LT B-sf; Affirmed

TRANSACTION SUMMARY

The transactions are cash flow CLOs mostly comprising senior
secured obligations. All the transactions are within their
reinvestment period, and are actively managed by Oaktree Capital
Management (UK) LLP

KEY RATING DRIVERS

Portfolio Performance

The Fitch weighted average rating factor test was breached under
Fitch's calculation for both transactions based on ratings as of
June 20, 2020. The WARF of the portfolios as of July 11, 2020
decreased to 33.1 under Fitch's calculation, from a reported 33.2
as of May 29, 2020. The 'CCC' category or below assets (including
unrated assets) represented 5.0% for both transactions, under the
7.5% limit, while assets with a Fitch-derived rating on Negative
Outlook represent between 19.1% and 19.9% of the portfolio balance.
All other Fitch collateral quality tests, portfolio profile tests,
overcollateralisation and interest coverage tests, were passing as
per the May 29 trustee report for Arbour IV, while Arbour II also
breached the Fitch weighted average recovery rate, weighted average
spread test, and weighted average life test.

Coronavirus Baseline Sensitivity Analysis

The revision of the Outlook on four sub investment grade tranches
to Negative reflects the sensitivity analysis Fitch ran in light of
the coronavirus pandemic. The agency notched down the ratings for
all assets with corporate issuers with a Negative Outlook
regardless of the sectors. The model-implied ratings for the
affected tranches under the coronavirus sensitivity test are below
the current ratings.

The affirmation of the investment-grade ratings reflects that the
tranches can withstand the coronavirus baseline sensitivity
analysis with a cushion. This supports the Stable Outlooks on these
ratings.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch WARF of both portfolios is 33.1. After applying the
coronavirus stress, the Fitch WARF would increase to 36.5.

Asset Security

High Recovery Expectations: At least 90% of the portfolios comprise
senior secured obligations. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch recovery rate of the portfolios is 66.0
and 66.2, respectively.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligors' range between 15.4% and 16.0% of
the portfolio, and no obligor represents more than 2.2% of the
portfolio balance.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

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

Upgrades may occur after the end of the reinvestment period if
there is better-than-expected portfolio credit quality and deal
performance, leading to higher credit enhancement and excess spread
available to cover for losses on the remaining portfolio.

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

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

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the target portfolio to
envisage the coronavirus baseline scenario. The agency notched down
the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows the resilience of
the ratings with cushions except for the class E and F notes,
supporting the affirmations.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ARBOUR CLO VII: Fitch Affirms Class F Debt at B-sf
--------------------------------------------------
Fitch Ratings has revised the Outlook on three tranches of Arbour
CLO VII DAC to Negative from Stable. At the same time, Fitch has
affirmed all tranches.

Arbour CLO VII DAC

  - Class A XS2092169817; LT AAAsf; Affirmed

  - Class B-1 XS2092170401; LT AAsf; Affirmed

  - Class B-2 XS2092171128; LT AAsf; Affirmed

  - Class C XS2092171805; LT Asf; Affirmed

  - Class D XS2092172449; LT BBB-sf; Affirmed

  - Class E XS2092173173; LT BB-sf; Affirmed

  - Class F XS2092173330; LT B-sf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Portfolio Performance Deterioration

The Negative Outlook on the three tranches reflects the portfolio's
performance deterioration relating to negative rating migration of
the underlying assets in light of the coronavirus pandemic.

The transaction is slightly above par, with no defaulted assets in
the portfolio in present. However, it reports breaches of the Fitch
weighted average recovery rate Test and the Fitch weighted average
rating factor Test. According to Fitch's calculation the WARF of
the portfolio has decreased to 33.14 from a reported 33.16 at May
29, 2020. Assets with a Fitch-derived rating of 'CCC' category or
below (including unrated assets) are at 3.8% and, while assets with
a Fitch-derived rating on Outlook Negative are at 18.4%. All other
tests, including the overcollateralisation and interest coverage
tests, were reported as passing.

The model-implied ratings would be 'B+sf' and 'CCCsf' for classes E
and F, respectively. The agency deviated from these MIRs because in
Fitch's view the credit quality of these tranches is still more in
line with 'BB-sf' and 'B-sf' as these tranches experience only
minor shortfalls at their current ratings and have a limited margin
of safety due to their current credit enhancements of 9.8% and
7.3%. The MIRs are also driven by the rising interest rate
scenario, which is not its immediate expectation. The ratings of
'BB-sf' and 'B-sf' are in line with most Fitch-rated EMEA CLOs.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to envisage the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience with
cushions for the current ratings of classes A to C. This supports
the affirmation with a Stable Outlook for these tranches. The
Negative Outlook on the three tranches follows the shortfalls these
tranches experiences in the coronavirus sensitivity scenario.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The WARF of the current portfolio is 33.14.

Asset Security

High Recovery Expectations: Senior secured obligations comprise
92.29% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The WARR of the current portfolio is 63.64%.

Portfolio Composition

The portfolio is well diversified across obligors, countries and
industries. The top 10 obligor exposure is at 14.39% of the
portfolio balance while no obligor represents more than 1.79%. The
largest industry exposure is healthcare at 13.91% of the portfolio
balance, followed by businesses and services at 11.41% and computer
and electronics at 8.32%.

Cash Flow Analysis

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

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

Fitch's cash flow analysis model first projects the portfolio
scheduled amortisation proceeds and any prepayments for each
reporting period of the transaction life assuming no defaults (and
no voluntary terminations, when applicable). In each rating stress
scenario, these scheduled amortisation proceeds and prepayments are
then reduced by a scale factor equivalent to the overall percentage
of loans that are not assumed to default (or to be voluntarily
terminated, when applicable).

This adjustment avoids running out of performing collateral due to
amortisation and ensures all the defaults projected to occur in
each rating stress are realised in a manner consistent with Fitch's
published default timing curve.

RATING SENSITIVITIES

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

At closing, Fitch uses a standardised stress portfolio (Fitch's
Stress Portfolio) customised to the specific portfolio limits for
the transaction as specified in the transaction documents. Even if
the actual portfolio shows lower defaults and losses (at all rating
levels) than Fitch's Stress Portfolio assumed at closing, an
upgrade of the notes during the reinvestment period is unlikely.
This is because portfolio credit quality may still deteriorate, not
only due to natural credit migration, but also because of
reinvestment.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

BLACK DIAMOND 2015-1: Moody's Cuts Class F Notes to B3
------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Black Diamond CLO 2015-1 Designated
Activity Company:

EUR9,500,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2029, Downgraded to B3 (sf); previously on Aug 9, 2019 Affirmed
B1 (sf)

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

EUR176,300,000 (current outstanding balance is EUR 174,360,288)
Refinancing Class A-1 Senior Secured Floating Rate Notes due 2029,
Affirmed Aaa (sf); previously on Aug 9, 2019 Affirmed Aaa (sf)

USD67,200,000 (current outstanding balance is USD 66,459,152)
Refinancing Class A-2 Senior Secured Floating Rate Notes due 2029,
Affirmed Aaa (sf); previously on Aug 9, 2019 Affirmed Aaa (sf)

EUR24,300,000 Refinancing Class B-1 Senior Secured Floating Rate
Notes due 2029, Affirmed Aa1 (sf); previously on Aug 9, 2019
Upgraded to Aa1 (sf)

EUR30,000,000 Refinancing Class B-2 Senior Secured Fixed Rate Notes
due 2029, Affirmed Aa1 (sf); previously on Aug 9, 2019 Upgraded to
Aa1 (sf)

EUR22,900,000 Refinancing Class C Senior Secured Deferrable
Floating Rate Notes due 2029, Affirmed A1 (sf); previously on Aug
9, 2019 Upgraded to A1 (sf)

EUR24,800,000 Refinancing Class D Senior Secured Deferrable
Floating Rate Notes due 2029, Affirmed Baa1 (sf); previously on Aug
9, 2019 Upgraded to Baa1 (sf)

EUR23,600,000 Refinancing Class E Senior Secured Deferrable
Floating Rate Notes due 2029, Affirmed Ba2 (sf); previously on Aug
9, 2019 Affirmed Ba2 (sf)

Black Diamond CLO 2015-1, issued in September 2015 and refinanced
in January 2018, is a multi-currency collateralized loan obligation
backed by a portfolio of mostly high-yield senior secured European
and US loans. The portfolio is managed by Black Diamond CLO 2015-1
Adviser, L.L.C. The transaction's reinvestment period expired in
October 2019.

RATINGS RATIONALE

The rating downgrade on the Class F notes is primarily a result of
deterioration in the credit quality of the underlying collateral
pool since March 2020.

Stemming from the coronavirus outbreak, the credit quality of the
portfolio has deteriorated as reflected in an increase in Weighted
Average Rating Factor. Trustee reported WARF worsened by 17.1% to
3506 in June 2020 [1] from 2995 in March 2020 [2] and is now
significantly above the reported covenant of 3097. In addition to
the WARF test, the Weighted Average Spread Test is also failing,
with a reported WAS of 4.15% in June 2020 [1] against a covenant of
4.20%. Finally, the over-collateralisation levels have weakened
across the capital structure. According to the trustee report of
June 2020 [1] the Class A/B, Class C, Class D, Class E and Class F
OC ratios are reported at 135.94%, 125.91%, 116.59%, 108.92% and
106.11% compared to March 2020 [2] levels of 138.06%, 127.90%,
118.45%, 110.67%, and 107.82% respectively. Moody's notes that the
July 2020 principal payments are not reflected in the reported OC
ratios. Despite the potential for an increase in OC ratios
following distribution of the principal proceeds to the notes, the
weaker credit metrics of the portfolio have heightened the risk for
the Class F notes.

None of the OC tests are currently in breach and the transaction
remains in compliance with the following collateral quality tests:
Diversity Score, Weighted Average Recovery Rate and Weighted
Average Life.

Moody's analysed the June 2020 portfolio and the full set of
structural features of the CLO as well as the amounts standing to
the credit of principal account by assuming the principal proceeds
in its entirety would be used to amortise the senior notes at the
July 2020 payment date. Moody's concluded that the expected losses
on the remaining rated notes remain consistent with their current
ratings. Consequently, Moody's has affirmed the ratings of Classes
A-1, A-2, B-1, B-2, C, D and E.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par balance of EUR 292.62m and USD 61.76m, principal
proceeds of EUR 26.75m and USD 16.63m, defaulted par of EUR 1.50m
and USD 9.36m, a weighted average default probability of 24.2%
(consistent with a WARF of 3236 over a weighted average life of
4.72 years) for the EUR pool and a weighted average default
probability of 30.1% (consistent with a WARF of 4488 over a
weighted average life of 3.85 years) for the USD pool, a weighted
average recovery rate upon default of 45.70% for a Aaa liability
target rating, a diversity score of 54 and a weighted average
spread of 3.59%. The USD-denominated liabilities are naturally
hedged by the USD assets.

Moody's notes that a trustee report dated June 23, 2020 [3] was
published at the time it was completing its analysis, which is
based on the trustee report dated June 8, 2020. Key changes include
the default of three additional issuers totaling approximately EUR
5m. As a result, the reported OC ratios declined further while the
reported WARF improved. The other key portfolio metrics such as
diversity score, weighted average spread, and weighted average life
exhibited little or no change between these dates. Moody's has
considered these changes in its analysis.

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 corporate assets from the collapse
in global 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.

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

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the global economy gradually recovers
in the second half of the year and future corporate credit
conditions generally stabilize.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

Counterparty Exposure:

Its rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in June 2020. Moody's concluded the
ratings of the notes are not constrained by these risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by: (1) the manager's investment strategy and behaviour;
and (2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded
ambiguities.

Additional uncertainty about performance is due to the following:

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

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

  - Foreign currency exposure: The deal has significant exposure to
non-EUR denominated assets. Volatility in foreign exchange rates
will have a direct impact on interest and principal proceeds
available to the transaction, which can affect the expected loss of
rated tranches.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.

CVC CORDATUS XI: Fitch Affirms Class F Debt at B-sf
---------------------------------------------------
Fitch Ratings has revised the Outlook on two tranches of CVC
Cordatus Loan Fund XI DAC to Negative from Stable and affirmed all
ratings.

CVC Cordatus Loan Fund XI DAC

  - Class A XS1859249473; LT AAAsf; Affirmed

  - Class B-1 XS1859249986; LT AAsf; Affirmed

  - Class B-2 XS1859395292; LT AAsf; Affirmed

  - Class C XS1859250646; LT Asf; Affirmed

  - Class D XS1859251297; LT BBBsf; Affirmed

  - Class E XS1859251370; LT BBsf; Affirmed

  - Class F XS1859251610; LT B-sf; Affirmed

TRANSACTION SUMMARY

CVC Cordatus Loan Fund XI Designated Activity Company is a cash
flow collateralised loan obligation of mostly European leveraged
loans and bonds. The portfolio is actively managed by CVC Credit
Partners European CLO Management LLP.

KEY RATING DRIVERS

Moderate Portfolio Performance Deterioration: As per the trustee
report dated May 29, 2020, the portfolio is below the target par by
1.25% and there are five defaulted assets in the portfolio,
accounting for 1.10% of the aggregate collateral balance. However,
the Fitch-calculated weighted average rating factor of the
portfolio stands at 32.92 and the Fitch-calculated 'CCC' category
or below assets (including any unrated names) represented 5.03% of
the portfolio against the limit of 7.50%. As per the trustee
report, all Fitch-related collateral quality tests, portfolio
profile tests and the coverage tests were passing.

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch-calculated WARF would increase to 36.35, after applying
the coronavirus stress.

High Recovery Expectations: 98.3% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. Fitch's weighted average recovery rate for the
current portfolio is 66.28%.

Portfolio Composition: The portfolio is well diversified across
obligors, countries and industries. Exposure to the top 10 obligors
is 16.65% and no obligor represents more than 3% of the portfolio
balance. The largest industry is business services at 14.32% of the
portfolio balance, followed by healthcare at 14.03% and chemicals
at 11.26%.

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

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

Deviation from Model-Implied Rating: The model-implied rating for
class F is one notch below the current rating. Fitch deviated from
the model-implied ratings on the class F notes as the shortfalls
were driven by the back-loaded default timing scenario only. The
rating is in line with the majority of Fitch-rated EMEA CLOs. The
Outlook on the class E and F notes has been revised to Negative
because of the shortfalls under the COVID-19 sensitivity scenario.

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

CVC CORDATUS XII: Fitch Downgrades Class E Debt to BB-sf
--------------------------------------------------------
Fitch Ratings has downgraded one tranche of Cordatus Loan Fund XII
DAC, maintained one tranche on Rating Watch Negative, and affirmed
eight tranches.

CVC Cordatus Loan Fund XII DAC

  - Class A-1 XS1899140161; LT AAAsf; Affirmed

  - Class A-2 XS1899140245; LT AAAsf; Affirmed

  - Class B-1 XS1899140831; LT AAsf; Affirmed

  - Class B-2 XS1899141482; LT AAsf; Affirmed

  - Class C-1 XS1899142290; LT Asf; Affirmed

  - Class C-2 XS1903495510; LT Asf; Affirmed

  - Class D XS1899142886; LT BBB-sf; Affirmed

  - Class E XS1899143934; LT BB-sf; Downgrade

  - Class F XS1899143421; LT B-sf; Rating Watch Maintained

  - Class X XS1899139403 LT AAAsf; Affirmed

TRANSACTION SUMMARY

CVC Cordatus Loan Fund XII Designated Activity Company is a
securitisation of mainly senior secured obligations with a
component of senior unsecured, mezzanine and second-lien loans. The
portfolio is actively managed by CVC Credit Partners European CLO
Management LLP.

KEY RATING DRIVERS

Portfolio Performance Deterioration: The downgrade reflects the
deterioration in the portfolio as a result of the negative rating
migration of the underlying assets in light of the coronavirus
pandemic. As per the trustee report dated May 29, 2020, the
portfolio is below the target par by 1.77% and there is one
defaulted asset in the portfolio, accounting for 1.50% of the
aggregate collateral balance. The Fitch-calculated weighted average
rating factor of the portfolio stands at 33.98 and the
Fitch-calculated 'CCC' category or below assets (including unrated
names) represented 6.19% of the portfolio against the limit of
7.50%. As per the trustee report, all Fitch-related collateral
quality tests, portfolio profile tests and the coverage tests were
passing.

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch-calculated WARF would increase to 37.69, after applying
the coronavirus stress.

High Recovery Expectations: 98.1% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted average recovery rate of the
current portfolio is 65.41%.

Portfolio Composition: The portfolio is well diversified across
obligors, countries and industries. Exposure to the top 10 obligors
is 17.59% and no obligor represents more than 3% of the portfolio
balance. The largest industry is business services at 14.25% of the
portfolio balance, followed by healthcare at 13.38% and chemicals
at 11.81%.

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

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

Deviation from Model-Implied Rating: The model-implied ratings for
the class E and F notes is two notches below the current ratings.
Fitch deviated from the model-implied ratings on both classes as
the shortfalls were driven by the back-loaded default timing
scenario only. Fitch has downgraded the class E notes by one notch
to the lowest rating in the rating category. The ratings are in
line with the majority of Fitch-rated EMEA CLOs. The Outlook on the
class E notes is Negative and the class F notes have been
maintained on RWN as there are shortfalls even at the updated
rating and in the coronavirus sensitivity scenario.

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

HARVEST CLO XV: Fitch Affirms Class F-R Debt at B-sf
----------------------------------------------------
Fitch Ratings has revised the Outlooks on three tranches of Harvest
CLO XV DAC to Negative from Stable and affirmed all tranches.

Harvest CLO XV DAC

  - Class A-1A-R XS1817777375; LT AAAsf; Affirmed

  - Class A-1B-R XS1820806328; LT AAAsf; Affirmed

  - Class A-2-R XS1820808456; LT AAAsf; Affirmed

  - Class B-1-R XS1817777961; LT AAsf; Affirmed

  - Class B-2-R XS1817778696; LT AAsf; Affirmed

  - Class C-R XS1817779231; LT Asf; Affirmed

  - Class D-R XS1817779827; LT BBBsf; Affirmed

  - Class E-R XS1817780320; LT BBsf; Affirmed

  - Class F-R XS1817780676; LT B-sf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Sensitivity Analysis

Fitch revised the Outlooks on the three tranches to Negative as a
result of a sensitivity analysis it ran in light of the coronavirus
pandemic. The agency notched down the ratings for all assets with
corporate issuers on Negative Outlook regardless of sector. Fitch
assumed these assets will be downgraded by one notch (floor at
'CCC'). The model-implied ratings for the affected tranches under
the coronavirus sensitivity test are below the current ratings.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch-weighted average rating factor of the current portfolio
is 35.19. Under its COVID-19 baseline scenario, the Fitch WARF
would increase to 38.13.

Asset Security

High Recovery Expectations: 98.6% of the portfolios comprise senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted average recovery rate (WARR)
of the current portfolio under Fitch's calculation is 64.63%

Portfolio Composition

The portfolio is well diversified across obligors, countries and
industries. The top 10 obligors represent 14.20% while single
obligor concentration is 1.98% of the portfolio balance, below the
3.00% limit. The three largest Fitch industries represent 32.2%,
below the 40% portfolio profile test limit.

Cash Flow Analysis

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

When conducting cash flow analysis, Fitch's model first projects
the portfolio scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, such scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans that are not assumed to default (or to
be voluntarily terminated, when applicable).

This adjustment avoids running out of performing collateral due to
amortisation and ensures all of the defaults projected to occur in
each rating stress are realised in a manner consistent with Fitch's
published default timing curve

Portfolio Performance; Surveillance

The transaction is still in its reinvestment period and the
portfolio is actively managed by the collateral manager. The
transaction is currently 61bp below target par, all the portfolio
profile tests, collateral quality tests and coverage tests are
passing as of the latest investor reports except the Fitch 'CCC'
obligations limit, which currently stands at 10.12% as per Fitch's
latest calculations. This 'CCC' and below exposure would increase
from 10.12% to 15.30% after applying the coronavirus stress.

RATING SENSITIVITIES

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

The transactions feature a reinvestment period and the portfolio is
actively managed. At closing, Fitch uses a standardised stress
portfolio (Fitch's Stressed Portfolio) that is customised to the
specific portfolio limits for the transaction as specified in the
transaction documents. Even if the actual portfolio shows lower
defaults and losses (at all rating levels) than Fitch's Stressed
Portfolio assumed at closing, an upgrade of the notes during the
reinvestment period is unlikely, given the portfolio credit quality
may still deteriorate, not only by natural credit migration, but
also by reinvestments. However, no upgrades are expected in the
near term given the current environment

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

JUBILEE CLO 2018-XXI: Fitch Downgrades Class E Notes to BB-sf
-------------------------------------------------------------
Fitch Ratings has taken rating actions on Jubilee CLO 2018-XXI BV
including the downgrade of the E notes and revising the Outlook on
the class D notes to Negative.

Jubilee CLO 2018-XXI B.V.

  - Class A XS1897607955; LT AAAsf; Affirmed

  - Class B1 XS1897609142; LT AAsf; Affirmed

  - Class B2 XS1897612286; LT AAsf; Affirmed

  - Class C1 XS1897612799; LT Asf; Affirmed

  - Class C2 XS1902186607; LT Asf; Affirmed

  - Class D XS1897614498; LT BBB-sf; Affirmed

  - Class E XS1897616865; LT BB-sf; Downgrade

  - Class F XS1897617087; LT B-sf; Rating Watch Maintained

TRANSACTION SUMMARY

Jubilee CLO 2018-XXI BV is a cash flow CLO mostly comprising senior
secured obligations. The transaction is still within its
reinvestment period and is actively managed by the collateral
manager.

KEY RATING DRIVERS

Portfolio Deterioration

The transaction is below target par by 0.24%. The Fitch-calculated
weighted average rating factor was 36.24 (assuming the 3.08% of
unrated names at 'CCC') as of 11 July 2020 and the trustee-reported
weighted average rating factor was 35.11 on June 3, 2020, both
above the maximum covenant of 34.00. Based on Fitch's latest WARF,
the manager would not be able to move to another matrix point
without failing the collateral quality tests.

The 'CCC' category or below assets represented 7.58% of the
portfolio (10.66% including unrated names, which the agency
conservatively assumes at 'CCC') as of July 11, 2020, compared with
its 7.5% limit. Assets with a Fitch-derived rating on Negative
Outlook represent 31.34% of the portfolio balance. There are no
defaulted assets in the portfolio. All other tests, including par
value and interest coverage tests, were reported as passing.

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B'/'B-'
range. The Fitch-calculated WARF of the portfolio is 36.24.

High Recovery Expectations

Senior secured obligations comprise 99.40% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate of the current portfolio is 64.43%.

Portfolio Composition

The top-10 obligors' concentration is 16.00% and no obligor
represents more than 2.02% of the portfolio balance. By Fitch's
calculation, the largest industry is business services at 13.93% of
the portfolio balance, and the top three largest industries at
35.11%, against the limits of 17.50% and 40.00%, respectively.

Cash Flow Analysis

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

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

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

RATING SENSITIVITIES

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

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

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

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

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the target portfolio to
determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario demonstrates the
resilience of the ratings on the class A, B1, B2, C1, and C2 notes.
Credit enhancement for the class D, E, and F notes may be eroded
quickly with a deterioration of the portfolio. A Negative Outlook
reflects a higher resilience to downgrade than notes placed on
Rating Watch Negative. In addition to the baseline scenario, Fitch
has defined a downside scenario for the current crisis, whereby all
ratings in the 'B' category would be downgraded by one notch and
recoveries would be 15% lower. For typical European CLOs, this
scenario results in a rating category change for all ratings.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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



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

ATLANTIA SPA: Agrees to Sell Majority Stake in Autostrade
---------------------------------------------------------
Silvia Sciorilli Borrelli at The Financial Times reports that
Atlantia, the infrastructure group controlled by the billionaire
Benetton family, has agreed to sell a majority stake in its toll
road business following a bitter dispute with the Italian
government over the fatal collapse of a Genoa bridge in 2018.

According to the FT, the government on July 15 said under the terms
of the deal, Atlantia will sell at least 51% of its toll road
business, Autostrade per l'Italia, to state-owned Italian lender
Cassa Depositi e Prestiti.

The value of Atlantia's 51% stake in Autostrade will be agreed with
CDP by the end of the month, the FT relays, citing three people
familiar with the matter.

Atlantia has been at loggerheads with the government over its
concession to operate tolls on the country's roads since the bridge
disaster claimed 43 lives in August 2018, the FT recounts.  The
Five Star Movement, the senior partner in the coalition government,
vowed to revoke Autostrade's concessions as a way to punish the
company, which operated the bridge, the FT notes.

Last month, Atlantia called on Brussels to intervene in the
dispute, alleging Rome had breached EU law by introducing
legislation that would allow it to strip the company of its
concessions and pay little compensation, the FT discloses.
Atlantia had previously insisted it would not be forced to sell its
stake in Autostrade, the FT states.

Despite a year of negotiations between the government and
Atlantia--which covered potential damages to be paid for the
collapse, future profits to be made from the concessions and
additional investments to be made by the company--opinion within
the ruling coalition had hardened against the Benetton-owned
business, the FT notes.

According to the FT, people familiar with the matter said Atlantia
could potentially exit Autostrade completely later this year, when
the toll road business is expected to float.

Analysts and investors said a decision to strip Autostrade of the
concession with little compensation would have forced the group to
default on its almost EUR10 billion of debts, which are largely
owned by Italian banks and international investors, the FT
discloses.  Atlantia, the FT says, has between EUR5 billion and
EUR6 billion in debts of its own.

As reported by the Trobuled Company Reporter-Europe on Jan. 6,
2020, Reuters related that Atlantia risks going bankrupt if Italy's
government revokes its motorway license with limited compensation,
the infrastructure group's CEO told an Italian daily on Jan. 4,
adding an alternative compromise could be found.  


ATLANTIA SPA: Fitch Alters Rating Watch on BB Notes to Evolving
---------------------------------------------------------------
Fitch Ratings has revised the Rating Watch on Atlantia SpA's EUR10
billion-euro medium-term note programme's 'BB' rating to Evolving
from Negative. Fitch has also revised the Rating Watch on
Autostrade per l'Italia Spa's and Aeroporti di Roma's Long-Term
Issuer Default Ratings of 'BB+' and 'BBB-', respectively, to
Evolving from Negative.

ASPI and AdR are infrastructure assets currently managed and owned
by Atlantia.

RATING RATIONALE

The rating actions follow the recent preliminary agreement between
the group and the national government to settle the dispute on the
ASPI concession early termination. Fitch understands that
negotiations are still ongoing and parties have yet to sign a
binding agreement before the government formally withdraws the
dispute opened in the aftermath of the Morandi Bridge collapse in
August 2018. The RWE reflects the still high uncertainties about
the evolution of the situation.

Fitch could take positive rating action on ASPI, Atlantia and AdR
if a memorandum of understanding is signed on the basis on the
terms highlighted in the recent statement from the Italian Council
of Ministers. The focus of its analysis will be the targeted
capital structure of the issuers, their potential linkages with the
sponsor and parent company as well as the quality from a creditor
standpoint of the new concession rules. While the deal could be
agreed within weeks, it could take several months before the
transaction is ultimately closed.

Conversely, downward rating pressure will resume if the agreement
is not being finalised, with knock-on risks of an early termination
of the ASPI concession. This would likely expose the group to a
liquidity event triggered by the mismatch between the time the ASPI
concession is revoked and the time the indemnity is being paid, as
amended by the highly controversial Milleproroghe decree, converted
into law in February 2020.

Fitch will resolve the RWE once the government formally withdraws
its proposal to revoke the ASPI concession and Fitch finalises its
assessment of the companies' business risk profile and ASPI's new
governance structure. This could take place beyond the next six
months.

KEY RATING DRIVERS

Agreement Reached on ASPI Compromise

On July 15, the Italian government and ASPI/Atlantia reached a
preliminary agreement to settle an ongoing two-year dispute over
alleged gross negligence from ASPI in the management of its toll
road network, following the collapse of a bridge managed by the
company in 2018. The event caused 43 casualties.

The agreement is mainly centered on four key pillars and the
government said it will only formally withdraw its proposal to
revoke the concession once the agreement is finalised.

i) Settlement after Genoa Incident. Parties agreed that ASPI would
assume sole responsibility for meeting expenditure totaling EUR3.4
billion in tariff discounts and additional maintenance/capex across
its network. This is EUR0.5 billion more than initially offered by
the company in March 2020.

ii) Mutually agreed application of the Transport Authority tariff
mechanism. ASPI accepted a revision of tolls paid by users of
ASPI's network, reducing planned index-linked tariff hikes and
therefore future cash flows, which will now be capped at 1.75% per
year.

iii) Amendments to the ASPI Concession. Parties will agree on a
change to some terms of the ASPI concession, notably the one on
concession revocation for concessionaire fault, which should mirror
in principle the provision of art. 35 of the Milleproroghe.
Furthermore, there will also be increased penalties for the
concessionaire in the event of minor violations, and ASPI will
withdraw lawsuits against the government filed during the two-year
dispute.

iv) New ASPI Governance. Crucially, the statement from the Italian
Council of Ministers envisages that Atlantia will give up its 88%
stake in ASPI through one of two options: either a capital
increase, stake sale, demerger and IPO, or a direct sale of its
stake. The equity value the parties will attribute to ASPI remains
unclear at present.

The first option would see state lender Cassa Depositi e Prestiti
(CDP, BBB-/Stable) take a relevant stake in ASPI via a capital
increase injecting fresh capital in ASPI. Institutional investors
approved by CDP would buy ASPI shares from Atlantia. As part of
this plan, ASPI would be demerged from Atlantia and its shares
directly attributed to Atlantia shareholders. ASPI's shares would
then be floated on the stock market via an IPO, ultimately
resulting in ASPI becoming a public company where, based on
publicly available information, Atlantia's current shareholders
would get around 35% of ASPI shares while CDP, new institutional
investors and former ASPI minority shareholders would get around
65%.

Under the second option, Atlantia offered to sell its entire stake
to CDP and co-investors. Under this scenario, Atlantia's current
shareholders would not keep any shares in ASPI and there would be
no need for an IPO.

Scenario Analysis - Atlantia Group and HoldCo

On the assumption the agreement is finalised, upon closing of the
transaction the new Atlantia group would be a smaller
infrastructure player with materially lower cash flow generation
(around EUR2.2 billion on an EBITDA-adjusted basis) It would also
have a smaller and less diversified portfolio of assets with a
shorter EBITDA-weighted average concession tenor (from 14 years to
12 years at December 2019).

Fitch notes that Abertis's business risk profile would effectively
drive Atlantia's as the Spain-based group would represent around
75% of consolidated EBITDA - from around 50% at present. Atlantia's
holdco net debt - around EUR4.8 billion at March 2020, pro-forma to
account main transactions occurred until May - as well as
restrictions embedded in Abertis shareholder agreement would add to
its analysis of the group and holdco credit profile, as will
Atlantia's balance-sheet flexibility to efficiently manage its
target capital structure.

In this scenario, Fitch expects the cross-guarantee mechanism
currently in place between Atlantia and a portion of ASPI debt
would be removed and/or the guaranteed debt repaid in advance.

Scenario Analysis - ASPI

Upon transaction closing, ASPI would be delinked from Atlantia. Its
credit profile would be driven by Fitch's qualitative assessment of
the revenue volatility, the new regulatory arrangements and
projected leverage in the context of the new shareholders' target
capital structure and dividend policy.

Based on the statement from the Italian Council of Ministers, ASPI
would likely be highly capitalised but will have to undertake a
sizeable investment plan to revamp the network, also in the context
of an increase in infrastructure spending to ramp-up the Italian
economy.

The overall credit profile would also have to be assessed in the
context of the linkage with majority shareholder CDP - rated under
Fitch's Government-Related Entity Rating Criteria - and its
co-investors, as well as the linkage to the Italian economy, which
could ultimately constrain the rating.

Scenario Analysis - AdR

Absent changes to AdR's governance, its rating would continue to be
driven by Atlantia's consolidated credit profile.

Atlantia almost fully owns AdR and governs its financial and
dividend policy. AdR's debt does not benefit from material
ring-fencing and its concession agreement provides limited
protection against material re-leveraging of the asset.

Scenario Analysis - ASPI Concession Revocation

If the agreement among ASPI/Atlantia and the Italian government is
not reached, the government will likely re-consider a revocation of
the ASPI concession.

In this case, according to the rules set out in the Milleproroghe,
ASPI's network operations would be transferred to a new operator
and the indemnity calculated as the sum of investments realised by
the concessionaire net of depreciation. According to the new rules,
the validity of the revocation would no longer be subject to the
payment of the indemnity and this would likely result in a
liquidity event for Atlantia.

In this case, Fitch understands ASPI intends to immediately
challenge the legality of the revocation in court requesting an
injunction, i.e. a suspension of the validity of the decree until
the court case is concluded. If the court accepts ASPI's request
for an injunction, ASPI would continue to operate the concession
until the court finally decides on the dispute. Conversely, if the
court rejects ASPI's request, the operations would be transferred
to a new operator and if a timely payment of an adequate indemnity
is not forthcoming, the Atlantia group would be exposed to a
liquidity event.

Impact on Abertis

Fitch has not taken rating action on Abertis (BBB/Negative) as
Fitch believes the governance structure of the Spain-based toll
road operator adequately insulates Abertis from Atlantia at the
current rating, i.e. two notches above the 'BB+' consolidated
rating.

If the Italian government formally withdraws its proposal to revoke
the concession once the agreement is finalised, Abertis's rating
would be unchanged and continue to be rated above Atlantia's
consolidated rating. This is premised on Fitch's 'Weak' assessment
of the legal and operational linkages between Atlantia's
consolidated profile and Abertis under its Parent and Subsidiary
Linkage Criteria.

Conversely, should the concession be ultimately revoked, Fitch
would have to re-assess Atlantia-and Abertis's linkage as per its
criteria and potentially de-link Abertis from Atlantia.

Fitch believes Atlantia's ability to extract cash from its stronger
subsidiary is impaired by the presence of a large minority
shareholder whose consent is required for M&A and any change in the
dividend policy, which also has to remain compliant with a minimum
investment-grade rating of Abertis. Fitch also notes that the 50%
ownership in Abertis materially reduces the amount of cash Atlantia
may upstream from the asset since the remaining half would be
distributed to minority shareholders. Fitch may reassess its
approach if Atlantia opts to and manages to re-leverage Abertis and
extract higher than expected cash.

ESG - Governance

Atlantia has an ESG relevance score of '4' for Management Strategy,
as the collapse of the Morandi bridge in August 2018 has heightened
financial and regulatory risks, and are relevant to Atlantia's
rating in conjunction with other factors.

RATING SENSITIVITIES

Atlantia/ASPI

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

  - A formal agreement between ASPI/Atlantia and the Italian
government clearly leading to a formal withdrawal of the dispute
opened on August 16, 2018.

  - In case of concession renegotiation, Atlantia/ASPI's
consolidated rating will be driven by the expected new group's
business risk and leverage profile.

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

  - Failure to reach an agreement on the ASPI dispute would likely
escalate tensions between parties and pave the way to an outright
revocation of the ASPI concession, which could lead to a
multiple-notch downgrade, especially if there are doubts on the
size and timely payment of compensation.

  - Change of the terms of the preliminary agreement, for example
as a result of further developments in the ongoing investigation of
the bridge collapse.

AdR

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

  - Positive rating action on Atlantia.

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

  - Negative rating action on Atlantia.

BEST/WORST CASE RATING SCENARIO

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

TRANSACTION SUMMARY

Atlantia is the world's largest toll road operator with
approximately 14,000 km of network under management predominantly
located in Spain, Italy France, Chile and Brazil. The group has
also exposure to airports in Rome and Nice.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Atlantia S.p.A.: Management Strategy: 4

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

Autostrade per l'Italia SpA

  - LT IDR BB+; Rating Watch Revision

  - ST IDR B; Rating Watch Revision

Autostrade per l'Italia SpA/Debt/1 LT

  - LT BB+; Rating Watch Revision

Atlantia S.p.A.

  - Atlantia S.p.A./Debt/1 LT; LT BB+; Rating Watch Revision

Atlantia S.p.A./Debt/2 LT; LT BB; Rating Watch Revision

Aeroporti di Roma S.p.A

  - LT IDR BBB-; Rating Watch Revision

  - ST IDR F3; Rating Watch Revision

  - /Debt/1 LT; LT BBB-; Rating Watch Revision

CAPITAL MORTGAGE 2007-1: S&P Ups Class C Notes Rating to CCC-(sf)
-----------------------------------------------------------------
S&P Global Ratings raised its credit rating on Capital Mortgage
S.r.l. series 2007-1's class C notes, and affirmed its ratings on
the class A1, A2, and B notes.

The rating actions follow its credit and cash flow analysis of the
most recent transaction information that it has received for the
payment date occurring in March 2020.

The repurchase of a portion of defaulted loans in September 2019
and the sequential payment structure supported the increased
available credit enhancement since our previous review for all
rated notes.

  Credit Enhancement (%)
  Class  Current  Previous review (2019)  October 2016 review
  A1      21.97         13.88                5.96
  A2      21.97         13.88                5.96
  B        5.88         (0.23)              (3.90)
  C        0.36         (5.07)              (7.28)

This transaction has a reserve fund, with a EUR37.2 million target
amount, which is meant to be available to mitigate defaults.
However, it has been fully depleted since the April 2010 payment
date.

S&P said, "Taking into account the results of our updated credit
and cash flow analysis, the available credit enhancement for the
class A1 and A2 notes is sufficient to withstand the stresses that
we apply at a 'AAA' rating level. However, our structured finance
sovereign risk criteria and our counterparty criteria constrain our
ratings on these classes of notes at 'AA (sf)'. We have therefore
affirmed our 'AA (sf)' ratings on the class A1 and A2 notes.

"In our cash flow analysis, the class B notes, following the
increased credit enhancement, are able to withstand the stresses
that we apply at a 'BB' rating level. We have also considered the
available credit enhancement, the notes' relative subordination in
the capital structure, and the likelihood of the class B notes'
interest being deferred as a result of the transaction's structural
features. Since our previous review, cumulative defaults have
increased to 13.98% from 12.80%. The interest deferral trigger is
set at 15%. We believe the breach of the interest deferral trigger
for this tranche--which is set at 15%--is still sufficiently remote
at 'BB (sf)' so we have affirmed our 'BB (sf)' rating on this class
of notes."

The class C notes' interest is already being deferred, as the
trigger was hit when the cumulative default ratio reached 7%. Given
the aforementioned improvement of the pool's credit profile, this
class has been paying timely interest since January 2020.

S&P said, "We believe the likelihood of repayment of the class C
notes depends on favorable business, financial, and economic
conditions, such as interest rates, which can affect interest
payments for the class A and B notes, cash from the swap, as well
as a potential deterioration in performance, which can reduce
available funds.

"Increasing interest rates and deteriorating performance could
affect the issuers' ability to pay timely interest on the class C
notes. We believe the likelihood of this tranche's repayment
depends on favorable business, financial, and economic conditions.
If the amount taken by the swap provider, or 3-month EURIBOR should
increase, and the transaction's performance were to worsen, then
either or all of these scenarios could result in a missed interest
payment for the class C notes. We have therefore upgraded the class
C notes to 'CCC- (sf)' from 'D (sf)', applying our "Post-Default
Ratings Methodology: When Does S&P Global Ratings Raise A Rating
From 'D' Or 'SD'?" since all payments resume in accordance with the
original terms and our "Criteria For Assigning 'CCC+', 'CCC',
'CCC-', And 'CC' Ratings."

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."

Capital Mortgage's series 2007-1 securitizes a pool of performing
mortgage loans, which Banca di Roma originated, that are secured on
Italian residential properties.




===================
K A Z A K H S T A N
===================

KAZYNA CAPITAL: Fitch Assigns BB+ LT IDR, Outlook Stable
--------------------------------------------------------
Fitch Ratings has assigned Kazyna Capital Management JSC Long-Term
Foreign and Local-Currency Issuer Default Ratings of 'BB+' with a
Stable Outlook. Fitch has also assigned KCM a National Rating of
'AA (kaz)'.

The rating reflects Fitch's view on KCM's strong links with
Kazakhstan (BBB/Stable/F2). In line with Fitch's Government-Related
Entities Rating Criteria, Fitch looks through group structure and
assumes a neutral role for JSC National Management Holding
Baiterek, KCM's direct owner, as the government ultimately directs
the fund's investment strategy. Under its Government-Related
Entities Rating Criteria, Fitch applies a top-down approach and
views the government's ability and willingness to provide support
to KCM as high. Based on its assessment of strength of linkage and
incentive to support Fitch has assigned KCM's IDRs two notches
below Kazakhstan's rating, irrespective of KCM's Standalone Credit
Profile.

KCM is a fund of private equity funds promoting sustainable
development of the national economy and private equity
infrastructure in Kazakhstan. With a balance sheet of KZT190
billion, the fund focuses on non-resource sectors of the economy,
such as infrastructure, transport and logistics, energy and
technology.

KEY RATING DRIVERS

Status, Ownership, and Control - 'Strong': Fitch views the fund as
being ultimately controlled by the government of Kazakhstan, in
line with other second-tier government-related entities national
peers that are rated by Fitch in Kazakhstan, as KCM implements
state mandates on the promotion of investment infrastructure and
aids in economic diversification.

The state exercises strict control over KCM's activities through
100% ownership by Baiterek (BBB/Stable/F2), and has a decisive role
in KCM's asset allocation strategy. Baiterek is tasked by the state
to oversee KCM by appointing its board of directors, which approves
management decisions and KCM's annual financial statements. KMC's
proximity to state functions underpins Fitch's expectations of
liability transfer to the government to prevent KMC's default.

Support Track Record and Expectations - 'Very Strong': The
assessment is supported by Fitch's view that the government's
ability and willingness to support KCM is very high. Government
funding covers short-term and long-term debt as well as equity,
cumulatively representing 72% of the KZT190 billion assets at
end-2019. Fitch expects government-related resources to remain the
dominant funding source over the medium term and expects KCM to
have access to state and quasi-state sources of funding - both
directly and through its parent Baiterek if needed.

Socio-Political Implications of Default - 'Strong': The 'Strong'
assessment is supported by Fitch's view that KCM's default would
temporarily endanger the government's programmes and efforts over
the past 10 years to develop private equity infrastructure in
Kazakhstan. The fund implements projects from renewable energy to
utilities, food processing, infrastructure and natural resources.

Fitch deems these projects to have high socio-political
significance for the government under the framework "State
Programme on Industrial and Innovative Development". Given the
political sensitivities Fitch believes there would be significant
political repercussions for the sovereign itself were these
services to stop due to KCM's default.

Financial Implications of Default - 'Moderate': The 'Moderate'
assessment is derived from Fitch's view of KCM having no or low
capital market exposure. Therefore, in the event of KMC's financial
default, there would be little or no debt programme by the
government to bail KMC out, and Fitch believes there would be only
moderate impact on the availability and cost of finance by the
government and other GREs.

Operations: According to the audited report, in 2019 KCM reported
KZT3.2 billion net interest income, down from KZT3.5 billion in
2018. This is due to a decline in deposit rates in US dollars and a
weaker-than-Fitch-expected performance of invested assets in 2019
due to a difficult global market environment. After having adjusted
for net gain on investments and other operating income, the fund's
operating income was KZT5.2 billion, which was converted into net
profit of KZT3.7 billion, reporting close to 70% of net profit
margin.

In 2019, KCM's balance sheet grew at about 2.0% (KZT190 billion),
driven by a 6.0% increase in investment assets. After the KZT40
billion bond issuance in local debt capital market in 2018, the
fund's liabilities increased more than 5x times and reached KZT51.0
billion. Fitch expects the net income margin to stabilise at
52%-55% for the forecasted period, roughly in line with KCM's
management's forecast. High fluctuations in foreign currency gains
and losses make it difficult to predict. For this reason, Fitch has
not included proceeds from foreign currency in the assumptions.

DERIVATION SUMMARY

KCM is credit-linked to the Kazakh government based on Fitch's
Government-Related Entities Rating Criteria, reflecting its strong
links with the state, its ultimate, although indirect, 100% state
ownership and the state's willingness to provide support if needed.
This results in a GRE overall support score of 30 and an IDR
notched twice below the sovereign's 'BBB' IDR.

RATING SENSITIVITIES

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

  - An upgrade of Kazakhstan's Sovereign Rating.

  - Upward re-assessment of the linkage with the state.

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

  - Dilution of linkage with the sovereign, leading to a weakening
of support, could cause the rating notching to widen, resulting in
a downgrade.

  - A downgrade of Kazakhstan's ratings.

ESG CONSIDERATIONS

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

BEST/WORST CASE RATING SCENARIO

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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



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

ARES EUROPEAN X: Fitch Affirms Class F Debt at B-sf
---------------------------------------------------
Fitch Ratings has revised the Outlook on two tranches of Ares
European CLO X B.V. to Negative from Stable and affirmed all
tranches.

Ares European CLO X B.V.

  - Class A XS1859494277; LT AAAsf; Affirmed

  - Class B-1 XS1859494863; LT AAsf; Affirmed

  - Class B-2 XS1859493469; LT AAsf; Affirmed

  - Class C XS1859493972; LT Asf; Affirmed

  - Class D XS1859494608; LT BBB-sf; Affirmed

  - Class E XS1859496645; LT BBsf; Affirmed

  - Class F XS1859495670; LT B-sf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Portfolio Performance Deterioration

The revision of the Outlook on the class E and F notes to Negative
reflects the portfolio performance deterioration relating to
negative rating migration of the underlying assets in light of the
coronavirus pandemic.

The transaction is slightly above par with currently no defaulted
assets in the portfolio. According to Fitch's calculation the
weighted average rating factor of the portfolio has decreased to
34.55 from a reported 34.59 at July 3, 2020. Assets with a
Fitch-derived rating of 'CCC' category or below are at 4.2%, while
assets with a Fitch-derived rating on Outlook Negative are at
17.7%. All other tests, including the overcollateralisation and
interest coverage tests, but except for the maximum Cov-Lite
Obligations allowance were reported as passing.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to envisage the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience with
cushions for the current ratings of the class A to D notes,
supporting their affirmation and Stable Outlook. The Negative
Outlook on the class E and F notes reflects the shortfalls these
tranches experiences in the coronavirus sensitivity scenario.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The WARF of the current portfolio is 34.55.

Asset Security

High Recovery Expectations: Senior secured obligations comprise
99.5% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch's weighted average recovery rate of the
current portfolio is 65.26%.

Portfolio Composition

The portfolio is well diversified across obligors, countries and
industries. The top 10 obligor exposure is 14.09% of the portfolio
balance, while no obligor represents more than 1.68%. The largest
industry is businesses and services, comprising 19.62%, while the
second- and third-largest industries are healthcare and chemicals
at 9.50% and 8.77%, respectively.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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



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

LLC ROLF: Moody's Confirms B1 CFR, Alters Outlook to Stable
-----------------------------------------------------------
Moody's Investors Service has confirmed LLC ROLF's B1 corporate
family rating and B1-PD probability of default rating. The outlook
has been changed to stable from ratings under review.

The rating action concludes the review for downgrade which was
initiated on April 17, 2020.

RATINGS RATIONALE

Its rating action reflects ROLF's resilient business profile which
helps to withstand the severely deteriorated operating environment;
estimated increase in profitability of its new car sales in June
2020 following the two-month lockdown in Russia; and Moody's
expectation that its credit metrics will remain commensurate with
its B1 rating in 2020-21 and afterwards, assuming gradual
macroeconomic and market recovery since the second half of 2020.
The rating action also factors in the company's sustained access to
bank funding amid the difficult market environment over the last 12
months, and its sizeable cash buffer as of June 30, 2020, although
Moody's expects it to decrease over the second half of the year.

The rapid spread of the coronavirus outbreak, deteriorating global
economic outlook, low oil prices, and high asset price volatility
have created an unprecedented credit shock across a range of
sectors and regions. The automotive retail sector has been one of
the sectors significantly affected by the shock given its
sensitivity to consumer demand and sentiment. Moody's regards the
coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.
Its rating action reflects Moody's expectation that the impact of
the coronavirus outbreak on ROLF's credit quality will be limited.

Moody's estimates that ROLF's EBITDA dropped by 40%-50% in the
second quarter of 2020, compared with a year earlier period, and by
around 30% in the first half of the year, while its EBITDA in the
12 months ended June 30, 2020 amounted to RUB7.5 billion-RUB8.0
billion, compared with RUB9.6 billion in 2019 and RUB12.4 billion
in 2018. ROLF had to close its showrooms for the quarantine period
during April and May 2020 before it could reopen them in early
June. However, the company resumed services and repair operations,
which generate higher earnings, in the beginning of April in Saint
Petersburg and in mid-May in Moscow. In addition, accelerated sales
of new cars in March because of the elevated demand spurred by the
ruble depreciation, and the relatively high profitability of sales
in June have eased the negative pressure resulting from the
lockdown.

The coronavirus containment measures and deteriorated macroeconomic
environment have exacerbated the downturn in Russia's car market
which started in 2019 when new car sales decreased by 2.3% in unit
terms according to the Association of European Businesses [1]. The
market plunged by 72% in April and 52% in May before the fall
slowed to 15% in June, resulting in a 23% decline in the first half
of the year. AEB forecasts a 24% drop for the full year [2].

Moody's expects ROLF to remain resilient to the market downturn
because of its strong business profile. The company generates cash
flow mainly from the less cyclical and more profitable used car
segment and service business, and from high-margin complementary
financial services, while its new car sales are breakeven or even
loss-making. As a result, the rapid swings in new car sales will
have only limited impact on ROLF's earnings in 2020, although may
somewhat dent its operating performance in service and used car
businesses in several years. In addition, the company operates in
Moscow and Saint Petersburg, the most affluent markets.

Moody's expects the company's EBITDA to decrease by 27% to RUB7.1
billion in 2020 and to recover to more than RUB9.0 billion in 2021.
As a result, ROLF's leverage, measured as Moody's-adjusted
debt/EBITDA, will increase to 3.5x-3.7x as of year-end 2020 from
3.4x as of year-end 2019, but will remain below Moody's downgrade
trigger of 4.0x. Its leverage is likely to improve to below 3.0x in
2021 on higher earnings and gradual debt reduction. The rating
agency estimates that ROLF's leverage was 3.7x as of June 30, 2020.
ROLF will likely generate positive free cash flow in 2020, assuming
no dividend payments and limited expansion capital spending.

Moody's estimates that as of June 30, 2020 ROLF had cash of around
RUB8.0 billion, which together with available revolving credit
facilities and expected positive free cash flow for the next 12
months should be sufficient to cover its sizeable short-term debt
maturities of around RUB14 billion (out of RUB30 billion of total
debt) and other mandatory cash payments over the same period.
However, the company will need to procure new external funding to
maintain its liquidity beyond the second quarter of 2021. ROLF's
liquidity remains strongly dependent on its available bank credit
facilities and its ability to roll over a high portion of its
sizeable sort-term debt maturities. ROLF has a track record of
successful refinancing of its debt maturities during turbulent
periods.

ROLF's rating also reflects the company's (1) leading position in
the automotive market in Russia, strong and diversified brand
portfolio, and a comprehensive product offering; (2) growing used
car segment, well-developed service business and established
complementary financial services segment; (3) continuing focus on
efficiency improvements and cost controls; (4) historically
balanced financial policy, with a targeted net debt/EBITDA of
2.0x-3.0x on a reported basis; (5) rouble-denominated debt and
diversified pool of lending banks; and (6) formal status as a
systemically important company in Russia.

At the same time, the rating takes into account the company's (1)
relatively small size compared with its rated global peers; (2)
lack of geographical diversification across Russian regions; (3)
concentrated private ownership structure, which creates a risk of
rapid changes in the company's strategy, financial policies and
development plans; (4) high share of short-term debt and continuing
strong dependence on available bank credit facilities to maintain
liquidity; and (5) exposure to Russia's less-developed regulatory,
political and legal framework.

The rating also factors in the protracted uncertainty over the
direction and impact of the criminal investigation into two former
members of ROLF's board of directors, one of whom is the company's
founder, and its former CEO (who resigned in 2018) over a potential
breach of currency-control legislation that the Investigative
Committee of Russia opened in June 2019. Moody's understands that
there have been no material developments to date in the
investigation. Moody's also understands that the process of the
sale of the company, which started in November 2019 and added to
uncertainty regarding the evolution of ROLF's credit profile, is on
hold for the time being.

RATIONALE FOR STABLE OUTLOOK

The stable outlook reflects Moody's expectation that ROLF's credit
metrics will remain commensurate with the current rating, including
Moody's-adjusted total debt/EBITDA remaining below 4.0x, and the
company will maintain sufficient liquidity to service its debt
maturities and other mandatory cash payments in the prevailing
difficult operating and market environment.

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

An upgrade of ROLF's rating is unlikely over the next 12-18 months
given the current macroeconomic and market downturn. Over time,
Moody's could consider an upgrade if operating and car market
environment in Russia were to stabilise, and the company were to
(1) maintain robust operating and financial performance; (2) adhere
to its balanced financial policy, with Moody's-adjusted total
debt/EBITDA declining below 3.0x on a sustainable basis; and (3)
manage its liquidity prudently. A rating upgrade would also require
(1) the criminal investigation to be concluded without any material
adverse effect on the company; and (2) uncertainty regarding the
company's evolving shareholder structure and potential related
change in its strategy, financial policy and operating performance
to be materially reduced.

Moody's could downgrade the rating if ROLF's (1) Moody's-adjusted
total debt/EBITDA were to rise above 4.0x on a sustained basis,
including as a result of weakening environment in the Russian
automotive market or the company's more aggressive development
strategy and financial policies; or (2) liquidity, access to bank
funding, or liquidity management were to deteriorate materially.
Moody's could also downgrade the rating if the investigation were
to lead to a material financial loss or deterioration in the
company's liquidity, operating performance and credit metrics.

PRINCIPAL METHODOLOGY

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

ROLF is the largest retailer of foreign-branded cars in Russia,
including mass brands and premium market brands. The company
operates 62 showrooms in Moscow and Saint Petersburg. In 2019, ROLF
s generated RUB238 billion in revenue and RUB10 billion in adjusted
EBITDA. The company is ultimately controlled by a trust acting in
the interest of the Petrov family.

SOVCOMFLOT PAO: S&P Alters Outlook to Positive & Affirms BB+ ICR
----------------------------------------------------------------
S&P Global Ratings revised its outlook on state-owned Russian
tanker- and gas-carrier operator Sovcomflot PAO and its financing
subsidiary SCF Capital DAC to positive from stable and affirmed its
'BB+' issuer credit ratings, as well as affirming its 'BB' issue
rating on the company's senior unsecured notes.

S&P said, "We see an upturn in tanker rates this year because of
low oil prices and moderating active fleet capacity.   We see
significantly higher year-to-date average tanker rates compared
with 2019. For example, one-year time-charter (T/C) rates for large
crude carriers (Suezmax and Aframax) were between $34,000/day
(/day) and $26,000/day from January 2020 to mid-July 2020, compared
with between $23,000/day and $20,000/day in the same period in
2019, according to Clarkson Research. This is despite a relatively
difficult start this year owing to the outbreak of COVID-19 in
China.

"We think the strong rates will not remain so, but rather unwind in
the second half of 2020 due to sluggish oil demand from the impact
of COVID-19 disruptions and the knock-on effects on global economic
growth.   That said, we forecast 2020 rates will exceed the 2019
levels, with a critical stimulus coming from the supply side. We
expect delivery of new tankers will shrink in the coming two years,
with the historically low orderbook of crude tankers accounting for
9% of total global fleet and product tankers for 3% (not seen in
the past 30 years)."

There are a few factors which will contain the supply growth even
more during 2020 and likely into 2021.   These include:

-- A contango in oil markets (a contango occurs if commodity
prices in futures contracts are higher than the cash price of
commodities available);

-- Diversion of some tankers to floating storage;

-- Ships off-hire for dry-docking, retrofit, and installation of
scrubbers; and

-- Delays in new delivery of tankers from China.

All these combined will absorb global fleet capacity, reduce tanker
supply growth, and support profitable tanker rates in 2020 and
2021.

S&P said, "Sovcomflot will report stronger EBITDA and credit
measures in 2020 than we previously expected.   According to our
2020 base case, Sovcomflot will top its solid operating performance
of 2019 with adjusted EBITDA reaching $950 million-$1 billion,
versus $880 million in 2019. The company will generate sufficient
cash to absorb large, although diminishing, committed capex of $450
million-$500 million (including the dry-dock and special survey
expense) and continue gradually reducing adjusted debt to about
$3.3 billion in 2020 from about $3.6 billion in 2018. As a result,
adjusted FFO to debt will likely improve to 20%-22%, which is
consistent with our assessment of a significant financial risk
profile and within our current threshold for the higher 'BBB-'
rating.

"We believe the improved credit measures we expect in 2020 could
prove sustainable in the medium term.  This is because of
Sovcomflot's enhanced charter profile and strengthened resilience
against charter rate volatility, combined with diminishing
committed capex offering scope for deleveraging. Sovcomflot's
susceptibility to tanker rate volatility diminished, thanks to its
efforts to diversify away from conventional shipping. The company
has diversified into gas shipping and offshore services (together
industrial business) over the past years. These currently account
for over 50% of the company's forecast revenue. They involve
long-term take-or-pay contracts with creditworthy counterparties
and offer more stability than if Sovcomflot were solely dependent
on traditional oil and petroleum product shipping that is subject
to shorter term charters and higher re-employment risk.

"We believe that the contribution from industrial business will
continue gradually increasing in the medium term.  We think this
will largely offset volatile conventional shipping business, and
help to turn Sovcomflot's EBITDA strength into lasting value of
$800 million-$900 million per year. Sovcomflot's strong reputation
and track record of reliable execution will in our view help it to
reach its strategic goal of 70% of revenue from gas shipping and
offshore services by 2025. Total contracted future revenue was
$13.2 billion (including joint ventures) as of March 31, 2020, from
which Sovcomflot will earn $3.9 billion within the next five years.
The contracted revenue base is backed by fixed and non-cancellable
agreements with creditworthy oil and gas majors (such as Gazprom,
Shell, and Total)."

Growth capex will decline and support Sovcomflot's cash generation
and strengthen its deleveraging capacity.   Based on Sovcomflot's
current new-build program with the latest new ship delivery planned
for 2023, S&P forecasts that growth capex will decline to an annual
average of $200 million-$300 million from the relatively high $400
million-$450 million per year over 2018-2020 (about $620 million in
2017 and about $740 million in 2016).

S&P said, "Our rating on Sovcomflot incorporates our view of a high
likelihood of government support in case of financial stress.  This
is based on our assessment of Sovcomflot's important role as
Russia's only shipping asset, which provides secure transportation
of about one-fifth of Russia's seaborne oil exports, and its
integral function in developing Russian offshore energy projects,
which are of the highest strategic importance to the country." It
also takes into account its very strong link with the Russian
government, given its 100% controlling stake in the company and its
strong representation on Sovcomflot's board of directors. This
results in a two-notch uplift in the issuer credit rating on
Sovcomflot.

The outlook is positive because S&P could upgrade Sovcomflot over
the next 12 months.

S&P said, "We could raise the rating if we considered that
Sovcomflot's improved resilience against charter rate volatility
would help the company to largely maintain its solid EBITDA
performance and improve FOCF generation, underpinned by diminishing
growth capex, and the company is able and willing to gradually
reduce debt to support adjusted FFO to debt staying at 20% or
above.

"To raise the rating, we would need to be also confident that
management was unlikely to embark on any significant debt-financed
external expansion and would carry on with prudent shareholder
remuneration and demonstrate commitment to maintaining a higher
rating.

"Moreover, an upgrade of Sovcomflot would be subject to the
sovereign rating remaining unchanged and our continuing expectation
of a high likelihood of extraordinary government support.

"We will revise the outlook to stable if Sovcomflot's stand-alone
credit profile deteriorates unexpectedly. Such a weakening could
stem from lower EBITDA generation than our base–case projection,
for instance, because of significantly and sustainably weakened
tanker rates, or if the company pursues debt-funded expansion but
fails to maintain adjusted FFO to debt of at least 20%.

"The rating may come under pressure if we revised down our
assessment of the likelihood of government support. This could
occur if, for example, the government decreased its stake in the
company to less than 75%, commenced important hydrocarbon energy
projects without Sovcomflot, or became less involved in determining
Sovcomflot's strategy. A downgrade of the sovereign would also
prompt us to revise the outlook to stable."





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

CODERE SA: S&P Lowers ICR to CC on Proposed Debt Restructuring
--------------------------------------------------------------
S&P Global Ratings lowered to 'CC' from 'CCC-' its issuer credit
rating on Spanish Gaming Company Codere S.A. and the issue-level
ratings on its EUR500 million and $300 million senior secured
notes.

The negative outlook indicates that S&P would lower S&P's ratings
on Codere and its debt to 'SD' (selective default) and 'D'
(default), respectively, if the transaction effective.

The downgrade stems from Codere's announcement of a
debt-restructuring plan.  Codere announced on July 14, 2020, that
the ad hoc group of noteholders has reached an agreement for the
terms of a proposed refinancing transaction. Subject to requisite
consents and approvals needed to complete the transaction, the
proposed transaction will include the following terms:

-- Maturity extension of two years of the rated $300 million
7.625% senior secured notes due 2021 and the EUR500 million 6.750%
senior secured notes due 2021 to Nov. 1, 2023 from Nov. 1, 2021.

-- Change in the interest payable on the notes to include a
cash-pay and an optional PIK component (at the issuer's election).

-- Provision of an initial EUR85 million of new super senior notes
that will rank senior to the existing senior secured notes and
junior to the existing EUR95 million revolving credit facility.
This will be issued upon successful consent of the lock-up
agreement and other necessary conditions precedent to issuance.

-- Provision of an additional EUR165 million new super senior
facility that will also rank senior to the existing senior secured
notes. These notes will be partly used to redeem the outstanding
revolving credit facility. This facility would only be issued if
requisite consents were obtained during consent solicitation, or
after successful court ratification of the scheme and in either
case, only once the proposed amendments had been effected.

-- Increase of the additional super senior debt basket: Currently,
the allowed basket for super senior debt is EUR200 million. As per
this transaction, the basket will be expanded, leading to
additional potential priority debt.

-- Liquidity covenants: A liquidity covenant will be added, which
will require the company to keep a minimum of EUR40 million cash,
cash equivalents, and undrawn committed financing at the end of
every month.

The implementation of this transaction will be subject to the level
of consent to the lock-up agreement. If a minimum of 90% of each
series of existing noteholders consent, the transaction will be
implemented without need for a scheme of arrangement. If 75%-90% of
the note value representing noteholders consent, an English scheme
of arrangement will be launched. If a scheme is lodged, the company
would likely obtain the resolution by the end of September or
beginning of October, before the next interest payment due at the
end of October 2020. If 75% consent is not reached and thus a
scheme is not possible, S&P understands the company would consider
other avenues to raise additional short-term liquidity. As the
company has disclosed, Codere estimates it requires up to EUR100
million in additional funds to comfortably cover cash burn and
leakage related to effects of the COVID-19 pandemic.

S&P said, "We view the proposed transaction as distressed and
therefore, upon implementation, we will view it as a tantamount to
a default.  In our view, the transaction will result in investors
receiving less than originally promised on the original securities,
comprising the EUR500 million and $300 million senior secured notes
due on Nov. 1, 2021." S&P also views the transaction as distressed.
In addition:

-- Existing noteholders will extend the maturity by a further two
years on notes currently trading well below par, notwithstanding
consent fee compensation.

-- Existing noteholders could receive less cash compensation than
the current cash interest, if Codere elects to PIK at its
discretion, on notes that will become further subordinated in the
capital structure.

-- Should the transaction go into effect successfully with all
amendments, total super senior debt could be expanded.

S&P said, "We note that if Codere elects to pay all the interest in
cash, instead of PIK, the total cash interest payable will be
higher than what the company currently pays as interest. However,
the PIK election is at Codere's discretion, and in our view, the
company is likely to choose to do so until it starts generating
material cash flows. As part of the lock-up agreement, Codere will
also pay consent and early consent fees to the bondholders. Despite
the lender compensation, in our view, the bondholders will be
getting than originally promised.

"In our view, the current capital structure is unsustainable,
including a high level of debt and servicing costs, rendering a
debt restructuring highly likely even if there was a deviation from
the proposed terms. We currently forecast a material deterioration
in operating performance in fiscal 2020 due to COVID-19. Without
the benefit of the successful completion of the proposed
transaction and amendments, we also view the group as exposed to a
liquidity shortfall and covenant breach within the next three
months. We note that the group has already availed itself of a
30-day grace period in paying its last interest coupon in May. We
therefore consider the proposed transaction distressed rather than
opportunistic. As a result, upon the proposed transaction becoming
effective, we expect to lower our long-term issuer credit rating on
Codere to 'SD' (selective default).

"We expect Codere's credit metrics will materially deteriorate in
2020 while the recovery for 2021 remains uncertain.  As governments
have started to ease lockdowns, Codere has resumed its operations
in Italy and Spain, seven halls in Mexico, and the Uruguayan
racetrack. These operations represent less than half of Codere's
business. Under our base case, we expect most of Codere's gaming
stores to reopen by August-September 2020. However, we note that
the reopening phase in Latin America remains developing and there
could be a downside to our assumptions. There is also still
uncertainty regarding restrictions to be followed in stores,
customer behavior toward visiting gaming halls, and the risk of a
potential second wave of the pandemic.

"In our base case, we assume that there will not be a second wave,
that the bounce back of profitability and cash flows will be slow
in second-half 2020, and that Codere's customer demand will fully
recover by the middle to the end of 2021. Potential additional
lockdowns or delays in the resumption of operations would lead us
to revise our base case. In line with the above scenario, we
anticipate EBITDA will decline to EUR60 million-EUR70 million in
2020, leading to adjusted leverage of above 20x and materially
negative free operating cash flow (FOCF). Although uncertainty is
high, in our view and under our current base-case modeling, Codere
will be able to progressively recover profitability during 2021,
resulting in S&P Global Ratings-adjusted EBITDA of EUR230
million-EUR250 million compared with EUR275 million in 2019 and
positive FOCF generation. We expect adjusted leverage of 5x-6x and
FOCF to debt of below 0% during 2021-2022."

The proposed transaction should release the liquidity and covenant
pressure in the next six months.  Codere currently has about EUR50
million of available cash on balance sheet and EUR15 million-EUR20
million of monthly cash burn (excluding interest payments).
Moreover, EUR26.7 million out of the EUR50 million of cash is in
Italy and Uruguay, which is constrained in the current
circumstances as local companies need the cash for servicing local
debt obligations and gaming tax payments.

S&P said, "Although Codere's operations have partially resumed, we
expect the recovery of cash flow to be slow in the coming months.
The proposed first issuance of EUR85 million will provide Codere
with a further liquidity buffer, but in our view, additional
funding will be required before the fourth quarter of 2020, in
order to address the coupon payment and the expected slow recovery
of cash flow generation. Absent additional funding and change in
the interest payment to PIK, we believe that Codere's cash balance
could be exhausted by September 2020. Codere has one flat net
leverage covenant of below 4.1x (covenant reported basis) if the
revolver is drawn at 40% or more, which is the case now because it
is fully drawn. We believe that Codere will breach the covenant by
the September 2020 test date should the proposed transaction not
materialize or the lenders not grant a waiver."

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

S&P said, "The negative outlook indicates that we would lower the
ratings on Codere and its debt to 'SD' (selective default) and 'D'
(default), respectively, if the proposed debt restructuring were
effected. Subsequently, we will review the company's entire capital
structure, financial plan, and liquidity.

"We would lower our long-term issuer credit rating on Codere to
'SD' and our issue rating to 'D' on the debt instruments upon
completion of the restructuring.

"We could raise the issuer credit rating if the transaction were
not executed and we no longer viewed default as a virtual
certainty, for instance, due to liquidity support and the waiver of
covenants."


EL CORTE: S&P Affirms BB+ Long-Term ICR, Off Watch Negative
-----------------------------------------------------------
S&P Global Ratings affirmed its 'BB+' long-term issuer credit
rating on El Corte Ingles' (ECI's) and its 'BBB-' issue rating on
its EUR690 million senior unsecured notes due 2024. S&P removed the
ratings from CreditWatch negative, where it had placed them on
April 1, 2020.

ECI reported solid FY2019 results, with 5.4% EBITDA increase and
robust free operating cash flow (FOCF) thanks to efficiency
actions.

ECI considerably improved its credit metrics in FY2019 compared
with FY2018, reducing S&P Global Ratings-adjusted leverage to 2.9x
from 3.8x and increasing FFO to debt to 28.8% from 20.3%. This was
primarily thanks to the company lowering adjusted debt to EUR3.43
billion from EUR4.17 billion, in line with its financial policy
committed to deleveraging. ECI reduced gross debt on the back of
EUR436 million free cash flow as well as EUR202 million of proceeds
related to real estate asset disposals.

S&P expects ECI's earnings and cash flow to plummet in 2020 due to
store closures and the economic downturn in the aftermath of the
COVID-19 pandemic.

After the 12-15 weeks of shutdown due to the outbreak of COVID-19,
ECI progressively reopened all its stores between May 25 and June
8. During the shutdown, the food and online divisions remained
operational and partially offset the department stores' revenue
loss. Retail sales dropped significantly from the level achieved in
the same period in the previous year. However, in the first weeks
of all stores reopening, retail revenue practically matched that of
the corresponding period in 2019. Moreover, online sales increased
by about 5x during the lockdown. S&P also notes that ECI can reach
its customers faster than its competitors thanks to the
country-wide footprint of its distribution network.

That said, S&P remains cautious regarding ECI's full-year recovery
due to the expected economic downturn in Spain.

S&P said, "Under our base case, we expect revenues to drop by about
30% and EBITDA by 80% in FY2020. We estimate FOCF will turn
materially negative from above EUR700 million generated during
FY2019, and that adjusted debt to EBITDA will substantially exceed
10.0x.

"In our view, ECI is well positioned to report solid recovery in
FY2021, subject to economic recovery in Spain and the group's
robust competitive position in the country's retail market.

"Our base-case assumptions remain very uncertain given the risk of
a deeper-than-expected economic downturn or a second wave of
COVID-19, which could lead to another closure of ECI's department
stores. However, should the macroeconomic conditions remain in line
with S&P Global Ratings' current estimates and the department
stores remain open, we anticipate revenue will increase by about
25% in FY2021 and 10%-15% in FY2022, mainly driven by economic
recovery in Spain. In our view, ECI's revenue will only fully
recover to 2019 level in FY2023, when we expect the group to report
stronger profitability margins, thanks to cost-efficiency measures
implemented before and during the lockdown. As such, we forecast
ECI will generate EUR500 million-EUR600 million adjusted FOCF and
post 20%-30% FFO to debt during FY2021-FY2022."

ECI has successfully refinanced a significant part of its capital
structure. On Feb. 26, 2020, ECI refinanced its EUR1.1 billion
revolving credit facility (RCF) and EUR0.9 million term loan,
leading to an extension of maturity until 2025 and decrease of the
interest rates to 0.55% and 0.85%, respectively. On April 2020, ECI
raised a EUR1,341 million one-year RCF at 1.25% coupon to ensure it
had a liquidity buffer during the lockdown and in the event of a
second wave of COVID-19. This RCF was partially refinanced in June
2020 with a five-year EUR0.9 billion new loan guaranteed by the
Instituto de Credito Oficial (ICO) coverage, reducing the company's
short-term refinancing risk. In addition, ECI issued a total of
EUR436.5 million alternative fixed-income market (MARF) promissory
notes and EUR145 million commercial papers. As a result, the group
has strengthened its liquidity and we believe it is now in a better
position to cope with potentially materially subdued demand in the
next year.

The investment-grade rating on ECI's bond is based on its high real
estate ownership. S&P said, "We rate ECI's EUR690 million senior
unsecured notes at 'BBB-', one notch higher than the issuer credit
rating on the ECI. This is because of the strong asset coverage
ensured by the massive real estate ECI owns. We also note that ECI
may look to create an operating subsidiary to which it will
contribute a moderate part of its non-retail real estate to develop
and potentially could raise some debt at that level. We maintain
the one-notch uplift on the notes because we expect that the asset
contribution to this 100%-owned subsidiary and any debt raised at
that subsidiary level will be very moderate, thereby not affecting
the recovery prospects of the rated instrument. At this stage, we
do not have complete information on the transaction and capital
structure associated with the new unit." Should the company raise
substantial debt in the real estate entity, this could have
implications for its senior unsecured debt ratings. In particular,
this could affect the one-notch uplift from which the senior notes
rating currently benefits.

S&P said, "The negative outlook indicates that we could downgrade
ECI in the next 12-24 months if we were to expect its performance
to deteriorate more severely than we currently envisage, due to a
slower recovery or a second wave of COVID-19.

"We could lower the rating if we conclude that the company's
metrics will not return to levels commensurate with a 'BB+' rating
by the end of FY2021, including adjusted leverage below 4.0x and
FFO to debt above 20%, or if ECI fails to generate substantial FOCF
after full lease payments.

"This could happen if ECI's operating performance and cash flow
generation fell short of our base case, weakening its financial
metrics, while the proceeds or pace of asset sales were
insufficient to support leverage reduction. This could stem from a
bigger economic downturn than we currently envisage, a decline in
real estate prices or consumer spending on discretionary goods, or
intense online and offline competition impairing earnings growth.
We cannot rule out a second wave of COVID-19 contagion.

"We could also lower the rating on the EUR690 million notes if ECI
transferred a material amount of assets to a new, separate real
estate entity.

"We could revise the outlook to stable if we saw signs that ECI's
adjusted debt to EBITDA were likely to remain below 4.0x and FFO to
debt above 20% on a sustainable basis, and substantial and
increasing FOCF. This could happen if ECI's operating performance
and cash flow generation in FY2020 and FY2021 were at least in line
with our base case, leading to meaningful leverage reduction." In
order to ensure comfortable headroom under the rating, ECI would
also need to keep its core real estate assets in the operating
entity. A positive rating action would also depend on ECI
demonstrating a strong commitment to sustaining such improved
financial metrics through its financial policy, including, but not
limited to, asset sales to reduce debt.


PYMES SANTANDER 15: Moody's Confirms Serie B Notes at Caa3
----------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by FONDO DE TITULIZACION PYMES SANTANDER
15:

EUR 2400M Serie A Notes, Confirmed at A2 (sf); previously on Apr
20, 2020 A2 (sf) Placed Under Review for Possible Downgrade

EUR 600M Serie B Notes, Confirmed at Caa3 (sf); previously on Apr
20, 2020 Caa3 (sf) Placed Under Review for Possible Downgrade

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

EUR 150M Serie C Notes, Affirmed Ca (sf); previously on Dec 10,
2019 Definitive Rating Assigned Ca (sf)

The transaction is a 2-year revolving cash securitisation of
standard loans and credit lines granted by Banco Santander S.A.
(Spain) ("Santander", Long Term Deposit Rating: A2, Stable Not on
Watch /Short Term Deposit Rating: P-1 Not on Watch) mainly to small
and medium-sized enterprises and self-employed individuals, as well
as corporates, located in Spain. The transaction closed last
December 2019.

RATINGS RATIONALE

Its action concludes the rating review on the Serie A and B
initiated on April 20, 2020 as a result of the uncertainty around
the possible further deterioration of the portfolio during the
revolving period due to the current macroeconomic environment,
"Moody's puts the ratings on Serie A and Serie B in FONDO DE
TITULIZACION PYMES SANTANDER 15 on review for possible downgrade".

Moody's considers that current credit enhancement below outstanding
notes is sufficient to maintain outstanding ratings. Serie A CE
stands at 25% while in the case of Serie B stands at 5%.

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 corporate assets from the collapse
in Spanish 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.

Exposure to Counterparties:

Its rating action took into consideration the Notes' exposure to
relevant counterparties, such as account bank and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the rating of the Notes is not constrained by these
risks.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was 'Moody's Global
Approach to Rating SME Balance Sheet Securitizations' published in
May 2020.

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

Factors or circumstances that could lead to an upgrade of the
ratings include: (1) performance of the underlying collateral that
is better than Moody's expected; (2) deleveraging of the capital
structure; (3) improvements in the credit quality of the
transaction counterparties; and (4) reduction in sovereign risk.
However, the current definition of eligible investments would limit
further upgrades.

Factors or circumstances that could lead to a downgrade of the
rating include: (1) performance of the underlying collateral that
is worse than Moody's expected; (2) deterioration in the Notes'
available credit enhancement; (3) deterioration in the credit
quality of the transaction counterparties; and (4) an increase in
sovereign risk.



===========
T U R K E Y
===========

TEB FINANSMAN: Fitch Affirms LT IDR at B+, Outlook Negative
-----------------------------------------------------------
Fitch Ratings has affirmed TEB Finansman A.S.'s Long-Term
Foreign-Currency Issuer Default Rating at 'B+' with the Negative
Outlook.

The ratings reflect the high propensity of TEB Cetelem's ultimate
parent BNP Paribas S.A. (BNPP, A+/RWN) to provide support in case
of need, given the subsidiary's strategic importance, ownership,
integration and role within the group.

KEY RATING DRIVERS

TEB Cetelem's IDRs are driven by potential support from BNPP.
Fitch's view of support is based on TEB Cetelem being a small
subsidiary of the wider BNPP franchise. In its view, the propensity
of support for TEB Cetelem and its sister bank, Turk Ekonomi
Bankasi A.S. (TEB Bank; B+/Negative), is closely aligned. This is
based on a common brand association and significant reputational
damage in the event of a subsidiary default, notwithstanding
differences in their respective legal structures.

The Negative Outlook on TEB Cetelem's Long-Term IDRs is aligned
with that on TEB Bank, and the wider Turkish banking sector. It
reflects the potential for further deterioration in Turkey's
external finances, which could increase the risk of government
intervention in the banking sector.

TEB Cetelem is an automotive finance company operating in Turkey,
which is a strategically important market for BNPP, where it is
also represented by TEB Bank.

TEB Cetelem remained profitable in 2019 despite a decline in
business volume. Deterioration of TEB Cetelem's asset quality in
2019-1H20 was slower than that seen in the broad segment. Fitch
expects further increases in impaired loans in 2H20 and 2021,
driven by potential deterioration in the operating environment
stemming from COVID-19 uncertainties.

The auto lending segment is facing stiff competition from banks,
particularly state-owned, resulting in shrinking margins and a
decreasing share of non-bank lenders in new origination. A
depressed car market constrains lending volumes further. New car
sales dropped to 450,000 in 2019 from 900,000 in 2017 and the
pandemic will delay the market's recovery.

TEB Cetelem's capital adequacy has improved due to a shrinking loan
book and deleveraging, with gross debt-tangible-equity decreasing
to 5.4x at end-2019 from 10.2x at end-2018. Fitch expects TEB
Cetelem's leverage to remain around 5x by end-2020, as business
origination remains slow.

Funding is predominantly wholesale in nature and inter-group
exposure was high at around half of total debt at end-1H20.
Liquidity risk is moderate given the short duration of the
company's assets, while unused funding limits from the parent group
(42% of total debt) enhance financial flexibility.

RATING SENSITIVITIES

LTFC IDR

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

The LTFC IDR is primarily sensitive to Fitch's view of government
intervention risk in the financial sector. The ratings could be
downgraded if Fitch assesses this risk as having increased across
the financial sector. The rating is also sensitive to a downgrade
in the Turkish sovereign rating.

A significantly reduced propensity to support by BNPP, for example,
as a result of government intervention, could trigger a downgrade.
While not expected by Fitch weaker support from BNPP, for example,
as a result of divesture or diminishing importance of the Turkish
market could be negative for the ratings.

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

Upgrade of the LTFC IDR is unlikely in the near term given the
Negative Outlook. The Outlook on the LTFC IDR could be revised to
Stable if Fitch believes that the risk of a further marked
deterioration in Turkey's external finances, and therefore of
intervention in the banking system, has abated. In turn the rating
is also sensitive to an upgrade in the Turkish sovereign rating.

Long-Term Local-Currency IDR and National Rating

The LTLC IDR is sensitive to changes in the Turkish Country Ceiling
(BB-).

The National Rating is sensitive to changes in TEB Cetelem's LTLC
IDR and also changes in the company's creditworthiness relative to
other Turkish issuers.

BEST/WORST CASE RATING SCENARIO

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The ratings reflect the high propensity of TEB Finansman's ultimate
parent BNP Paribas S.A. (BNPP, A+/RWN) to provide support in case
of need, given the subsidiary's strategic importance, ownership,
integration and role within the group.

TEB Finansman AS

  - LT IDR B+; Affirmed

  - ST IDR B; Affirmed

  - LC LT IDR BB-; Affirmed

  - LC ST IDR B; Affirmed

  - Natl LT AA (tur); Affirmed

  - Support 4; Affirmed



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

TASCOMBANK JSC: Moody's Puts First-Time B3 LT LC Deposit Ratings
----------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to
TASCOMBANK JSC: B3 long-term and NP short-term local currency bank
deposit ratings, Caa1 long-term and NP short-term foreign currency
bank deposit ratings, b3 baseline credit assessment and adjusted
BCA, B2 long-term and NP short-term counterparty risk ratings and
B2(cr) long-term and NP(cr) short-term counterparty risk
assessments (CR Assessment). The long-term local currency deposit
rating B3 and the long-term foreign currency deposit rating Caa1
carry a stable outlook. In addition, Moody's Investors Service has
assigned national scale long-term deposit rating of Baa1.ua and
national scale long-term CRR of A1.ua

RATINGS RATIONALE

Tascombank's B3 long-term deposit rating incorporates the b3 BCA
and reflects the bank's (1) "Very Weak+" macro profile; (2) good
loss-absorption capacity, as evidenced by robust capital buffers
and good pre-provision profitability; and (3) ample liquidity and
stable funding profile. At the same time, deteriorating economic
conditions in the country weigh down on the bank's asset quality
and profitability, similar to that of its local peers. Moody's
estimates that Tascombank's problem loans (defined as Stage 3
loans) accounted for around 8% of gross loans at the end of 2019.
As a corporate bank, Tascombank is exposed to credit concentration
risk stemming from lending to large corporate borrowers while its
loan book reflects a healthy level of diversification by industry
with limited exposure to high risk sectors such as SME and
unsecured consumer loans. Moody's, however, expects Tascombank's
asset quality to deteriorate over the next 12-18 months as
worsening economic conditions undermine borrowers' debt-servicing
capacity.

Tascombank benefits from its good loss absorption capacity
supported by robust capital buffers and profitability. Moody's
expects that Tascombank will remain profitable in 2020 but it's
profitability will be strained by increasing loan-loss provisions
and declining revenues amid slowing business activity and weakening
asset quality.

Tascombank's capital position is one of its credit strengths.
Moody's estimates that Tascombank's tangible common equity ratio
was around 18% at the end of 2019 and will stay above 16% in the
next 12-18 months. The bank's pre-provision income will be
sufficient to absorb expected losses, supporting capital.

Moody's expects Tascombank's liquidity and funding profiles to
remain stable over the next 12-18 months, supported by its ample
liquidity buffer and limited reliance on market funding. As part of
the large TAS Group, Tascombank benefits from access to the group's
funding.

Moody's does not have any particular governance concerns for
Tascombank. The bank has not shown any material governance
shortfall in recent years and its risk management framework is
commensurate with its risk appetite.

GOVERNMENT SUPPORT

Tascombank's long-term global local currency deposit rating of B3
incorporates Moody's assessment of moderate probability of
government support in the event of need. However, this support does
not provide any uplift to Tascombank's GLC rating because Ukraine's
B3 sovereign rating is not higher than the bank's BCA. Moody's
assessment is based on the bank's systemic importance and market
shares. On July 1, 2019, the National Bank of Ukraine designated
Tascombank as a systemically important financial institution.

STABLE OUTLOOK

The outlook on Tascombank's deposit ratings is stable, in line with
the stable outlook on the B3 government debt rating. The stable
outlook also reflects Moody's view that the elevated risks stemming
from the deteriorated operating conditions will be counter-balanced
by the bank's ample liquidity and robust capital position. Thus, a
likelihood of any rating changes for Tascombank in the next 12 to
18 months is limited.

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

Tascombank's deposit ratings are in line with the Ukrainian
sovereign rating or constrained by the country ceilings. Therefore,
positive rating action on the bank's ratings is not likely over the
next 12-18 months. Negative pressure could be exerted on
Tascombank's if its financial fundamentals, notably asset quality,
capitalization and profitability, were to deteriorate significantly
beyond Moody's expectation.

FOREIGN CURRENCY DEPOSIT RATING

The bank's Caa1 foreign-currency deposit rating is constrained by
Ukraine's foreign-currency deposit ceiling.

LIST OF AFFECTED RATINGS

Issuer: TASCOMBANK JSC

Assignments:

Adjusted Baseline Credit Assessment, Assigned b3

Baseline Credit Assessment, Assigned b3

Long-term Counterparty Risk Assessment, Assigned B2(cr)

Short-term Counterparty Risk Assessment, Assigned NP (cr)

Long-term Counterparty Risk Rating, Assigned B2

Short-term Counterparty Risk Rating, Assigned NP

NSR Long-term Counterparty Risk Rating, Assigned A1.ua

Short-term Bank Deposits, Assigned NP

Long-term Bank Deposits (Local Currency), Assigned B3

Long-term Bank Deposits (Foreign Currency), Assigned Caa1

NSR Long-term Bank Deposits, Assigned Baa1.ua

Outlook:

Outlook, Assigned Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
Methodology published in November 2019.



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

AMIGO LOANS: Raises Going Concern Doubt Amid Regulatory Probe
-------------------------------------------------------------
Nicholas Megaw at The Financial Times reports that Amigo Loans
warned on July 20 that there was "material uncertainty" over its
ability to continue operating, as the UK subprime lender grapples
with rising customer complaints, a regulatory investigation and the
coronavirus crisis.

According to the FT, the company said it was confident it had
"adequate liquidity" but cautioned that additional financing would
be needed if customer complaints were higher than expected for a
prolonged period, or if the Financial Conduct Authority forced the
group to carry out a major remediation exercise.

This set of circumstances "represent a material uncertainty that
may cast significant doubt on the group and company's ability to
continue as a going concern," the FT quotes the lender as saying.

UK regulators are investigating the way it assessed customers'
creditworthiness after Amigo's founder and majority owner, James
Benamor, accused it of knowingly carrying out irresponsible
lending, the FT discloses.  Amigo has denied the accusations, the
FT notes.

In a statement on July 13, Amigo, as cited by the FT, said there
were "a number of potential outcomes" from the investigation,
including a "significant fine" or mandatory back-book remediation
exercise that would "reasonably be expected to exhaust the group's
available liquid resources."

A mandatory remediation exercise would force Amigo to go through
its historic loans and potentially compensate customers, the FT
states.

The warnings came as Amigo published its long-delayed results for
the 12 months to March 31, when the company slumped to a loss of
GBP27 million, the FT relays.  That compared with a profit of GBP89
million in the previous year, the FT notes.

The decline was caused largely by a GBP127 million provision to
deal with a surge in customer complaints, according to the FT.

Amigo, which has been beset by turmoil since listing on London's
stock market in 2018, provides guarantor loans, a type of lending
to people with weak credit histories who have a friend or family
member that will step in if there is a default.


AZZURRI GROUP: To Close 75 Locations, 1,200 Jobs at Risk
--------------------------------------------------------
BBC News reports that Azzurri Group, the owner of Zizzi and Ask
Italian restaurant chains said it will close 75 locations, risking
the loss of up to 1,200 jobs.

According to BBC, the group, which also owns the Coco Di Mama pasta
chain, has been sold out of administration to TowerBrook Capital
Partners.

The move will keep 225 shops and restaurants open and maintain
about 5,000 jobs, BBC discloses.

The company said the coronavirus had hit restaurants hard, BBC
notes.




INSPIRED ENTERTAINMENT: Moody's Hikes PDR to Caa1-PD & CFR to Caa1
------------------------------------------------------------------
Moody's Investors Service has upgraded Inspired Entertainment,
Inc.'s probability of default Rating to Caa1-PD from D-PD, and the
company's corporate family rating to Caa1 from Caa2. Concurrently,
Moody's has upgraded to Caa1 from Caa2 the instrument ratings on
the GBP220 million equivalent backed senior secured term loan B
(GBP140 million term loan B1 and EUR90 million term loan B2) and
the GBP20 million backed senior secured revolving credit facility,
all borrowed by Gaming Acquisitions Limited. The outlook changed to
Stable from Ratings Under Review for both entities.

This concludes the review for downgrade initiated by Moody's on
April 17, 2020.

RATINGS RATIONALE

The upgrade of Inspired's PDR and CFR ratings to Caa1-PD and Caa1,
respectively, reflects the company's improved liquidity position
with around USD46 million cash--including drawdown of the GBP20
million RCF--following the amendment of its senior facilities
agreement on June 25 which includes a relaxation of maintenance
covenants and capitalization of the c. USD11 million interest
payment due in April. Liquidity has also been supported by lower
than expected cash burn during the lockdown phase of the
coronavirus pandemic. The upgrade also reflects an improvement in
Moody's expectations for Inspired's credit metrics in 2020
following the reopening of betting shops and pubs in the UK and
initial reports of strong trading. Moody's-adjusted gross leverage
is expected to increase to around 6.5x in 2020, down from the
previous forecast of 8x, reducing below 5x in 2021. Moody's
adjusted Interest coverage is expected to be around 1x in 2020, up
from the previous forecast of nearly zero.

The Caa1 rating is challenged by (1) reduced financial flexibility
following the coronavirus impact to its business, with increased
debt levels of around USD35 million including the drawn RCF and
capitalized interest. Additionally, the cash interest margin has
increased by 1% and PIK interest of 0.75% will apply from September
2021 if facilities are not repaid; (2) the company's relatively
small scale in a competitive market and geographic concentration in
the UK, although there is a niche aspect to the business as well as
a growing international presence, and; (3) exposure to the risks of
social pressures in the context of evolving regulation, however
Moody's notes that further adverse gaming machine regulation is
unlikely in the medium term.

Inspired's Caa1 rating is supported by (1) leading positions as a
niche player in its core markets; (2) circa 90% recurring revenues
based largely on profit sharing, although this is dependent on
footfall which is subject to the risk of betting shop and pub
closures, and; (3) the company's well invested asset base which
will reduce capex pressure in the next few years.

The stable outlook is reflective of Moody's view that the business
will recover toward pre-crisis levels in the next 12-18 months and
that whilst this recovery may prove slow and uneven this is
appropriately captured at the current rating level of Caa1.

ESG CONSIDERATIONS

The rapid spread of the coronavirus outbreak, deteriorating global
economic outlook, low oil prices, and high asset price volatility
have created an unprecedented credit shock across a range of
sectors and regions. Moody's regards the coronavirus outbreak as a
social risk under its ESG framework, given the substantial
implications for public health and safety. Its action reflects the
continued impact on Inspired of the deterioration in credit quality
it has triggered, given its exposure to retail betting shops, pubs,
and holiday parks which has left it vulnerable to closures and
shifts in market demand and sentiment in these unprecedented
operating conditions.

LIQUIDITY PROFILE

Moody's considers Inspired's liquidity to be adequate. Cash on
balance sheet of c. USD46 million as of June 30, including the
fully drawn GBP20 million RCF provides adequate cushion for
expected needs over the next 12 months, but this could dwindle if
operations do not recover sufficiently due to further lockdowns or
impacts of social distancing. The RCF contains a leverage covenant
which was revised with adequate headroom as part of the amendments
to the SFA, although Moody's notes that this materially tightens
from June 2021 onwards.

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

The ratings are unlikely to be upgraded in the short term. However,
upward pressure on the ratings could occur once the coronavirus
pandemic is brought under further control with minimal impact
expected on the business, and the company achieves a reduction in
Moody's adjusted leverage towards 5x on a sustainable basis as well
as generating positive free cashflow whilst maintaining good
liquidity.

Moody's could downgrade Inspired's ratings if there are
expectations of a renewed period of complete shutdowns as a result
of the coronavirus outbreak, or if liquidity deteriorates.

STRUCTURAL CONSIDERATIONS

Inspired's debt capital structure comprises GBP220 million
equivalent senior secured loan and a senior secured GBP20 million
RCF. The senior secured RCF ranks pari passu with the senior
secured loan and therefore they both carry the same Caa1 rating as
the CFR.

PRINCIPAL METHODOLOGY

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

CORPORATE PROFILE

Inspired, a B2B supplier of server-based gaming systems and virtual
sports, primarily active in the UK, Greece, Italy and the North
American market. Inspired is a global games technology company
supplying server-based gaming systems including terminals, virtual
sports, mobile gaming and content to regulated lottery, betting and
gaming operators around the world. Inspired currently operates over
30,000 digital gaming terminals, supplies its Virtual Sports
products through more than 40,000 retail channels and over 100
websites, in approximately 35 gaming jurisdictions worldwide with
more than 650 employees.

MILLER HOMES: Fitch Affirms LT IDR at BB-, Outlook Stable
---------------------------------------------------------
Fitch Ratings has affirmed Miller Homes Group Holdings Plc's
Long-Term Issuer Default Rating at 'BB-' with a Stable Outlook.
Fitch has also affirmed the senior secured rating on the company's
outstanding secured bond issues at 'BB'.

The ratings reflect Fitch's expectations of a stable operational
and financial performance as well as sustained free cash flow
generation, albeit of a smaller size. Fitch forecasts a temporary
increase in Miller Homes' leverage resulting from the disruption to
construction work and a 25% reduction in unit sales due to the
operational constraints of the pandemic lockdown in 2020, returning
to normal metrics that are commensurate with a 'BB' midpoint by
2021-2022.

KEY RATING DRIVERS

Lockdown Affects Turnover and Margins: The lockdown due to the
pandemic has adversely affected Miller Homes' 2020 turnover and
operating margins. This is due to construction delays and purchases
deferred until later in the year or into next year. Fitch forecasts
the company will deliver FY20 turnover of above GBP600 million,
which will be a decrease of around 26% and the EBITDA margin to
decrease to around 15% in 2020 (Fitch-calculated EBITDA margin of
19% in 2019).

Increased Leverage: Lower turnover and profit margins forecast for
FY20 would result in higher funds from operations leverage metrics
for Miller Homes of around 5.0x and 4.0x on a gross and net debt
basis, respectively. Positive FCF generation should enable the
company to improve the gross leverage to below 3.5x by 2021-2022,
which is in line with its negative rating sensitivity.

Positive FCF Generation: Miller Homes generated positive FCF of
around GBP40 million to GBP50 million annually over 2016-2019. Due
to the lockdown, Fitch forecasts this to turn negative due to lower
operating margins and a working capital outflow in 2019, returning
into positive territory over 2021-2023 despite substantial land
purchases.

Undersupplied Market: The UK housing market remains structurally
undersupplied, with the level of new-build falling significantly
short of the 300,000 annual units the market requires to balance
demand. Fitch believes the government will continue to support new
developments to combat housing shortages. To support the industry
in the downturn, the government recently implemented a zero stamp
duty policy for properties valued at and below GBP500,000 until
March 31, 2021. Along with the help-to-buy scheme and low mortgage
rates, Fitch views the government support of the sector as
beneficial for the ratings.

Medium-sized Housebuilder: Miller Homes operates in selected
regions of the UK, mainly building family homes of 3 to 4+ bedrooms
with an average selling price of around GBP250,000. The company's
northern England and Scotland (totaling two-thirds of units)
regional focus provides less volatile demand as well as sales price
movements which result in a more stable operating environment and
ultimately more stable cash flows.

DERIVATION SUMMARY

Miller Homes is a medium-sized UK housebuilder focused on Scotland,
northern England, the Midlands, and to a lesser extent, southern
England. The company is able to compete locally with very large UK
rivals, such as Taylor Wimpey and Barratt. The company is
well-positioned relative to rated peers, which include Russia's
PJSC LSR Group (B+/Stable), PJSC PIK Group (BB-/Stable) and the
German Consus Real Estate AG (B-/Stable) and Taylor Wimpey. The
operating and regulation environments differ across EMEA, making a
direct comparison difficult. The UK homebuilder funding model
requires the company to fund land and completion costs with only a
small deposit from the prospective home buyer who pays the
remainder upon completion.

Miller Homes is smaller in size than Taylor Wimpey, PIK Group or
LSR, but comparable with Consus. Miller Homes has a stronger
financial profile with FFO gross leverage of 2.5x as at end-2019
versus over 6x at Consus and more than 3x at LSR. Fitch expects the
company's gross leverage metric to increase in FY20 due to the
lockdown and decreased turnover and margins, although Fitch
forecasts it to come down to below its negative rating
sensitivities of 3.5x by 2021-2022. The forecast gross leverage may
be a little higher than its 'BB' mid-points as per Fitch's EMEA
Housebuilding Navigator, while sustainable positive FCF generation
is a credit positive.

KEY ASSUMPTIONS

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

  - A 26% decline in 2020 turnover followed by a recovery to around
GBP900 million per year thereafter

  - Decrease in the Fitch-calculated EBITDA margins from over 19%
in 2019 to around 15% in 2020, followed by a recovery to around 17%
over the rating horizon

  - Working capital outflow of around GBP60 million in each year
during 2020-2023 on average

  - No dividend payments

RATING SENSITIVITIES

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

  - FFO gross leverage below 2.0x on a sustained basis

  - Maintaining order book/development work in progress (WIP)
around or above 100% on a sustained basis (June 2020: 177%).

  - Positive FCF on a sustained basis

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

  - FFO gross leverage above 3.5x on a sustained basis

  - Order book/development WIP materially below 100% on a sustained
basis, indicating speculative development

  - Distribution to Bridgepoint shareholders that would lead to a
material reduction in cash flow generation and slower deleveraging

  - Land bank to gross debt ratio below 1.0x

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Good Liquidity Position: Miller Homes' liquidity comprised an
GBP152 million super senior revolving credit facility and GBP124
million of Fitch-calculated available cash at end-2019. This amount
should be sufficient to cover the forecast negative FCF in FY20 as
well as working capital outflows related mostly to land purchases.

The company has no debt maturities until the GBP161 million senior
secured floating rate notes maturing in October 2023.

SUMMARY OF FINANCIAL ADJUSTMENTS

  - Cash of GBP16 million was treated as restricted cash,
representing average swings in intra-month working capital

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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

PAYSAFE GROUP: Moody's Cuts CFR to B3, Outlook Stable
-----------------------------------------------------
Moody's Investors Service has downgraded Paysafe Group Holdings II
Limited corporate family rating to B3 from B2 and Probability of
Default rating to B3-PD from B2-PD. At the same time, Moody's has
downgraded to B3 from B2 the instrument rating on the first lien
facilities held by Pi Lux Finco S.a r.l., Paysafe Holdings (US)
Corp and PI UK BidCo Limited, and to Caa2 from Caa1 instrument
rating on the second lien facilities issued by Pi Lux Finco S.a
r.l. The outlook remains stable.

RATINGS RATIONALE

The rapid spread of the coronavirus outbreak, deteriorating global
economic outlook, low oil prices and high asset price volatility
have created an unprecedented credit shock across a range of
sectors and regions. The combined credit effects of these
developments are unprecedented. The outbreak is impacting Paysafe's
transaction volumes as payment volumes have declined due to social
distancing and weaker demand driven by high unemployment; the
suspension of sports tournaments impacts its digital wallet and
eCash solutions divisions that are considerably exposed to gambling
activities.

Its rating action reflects the following drivers:

  - The reduction in revenue and EBITDA expected over the next
12-18 months could result in leverage, as measured by Moody's
adjusted debt / EBITDA, above 8x on a sustained basis.

  - Although timing of any recovery is uncertain, Moody's expects
volumes to recover in the high single digits in 2021 and the
acceleration in the key secular trends affecting the payment
processing industry.

  - Sustained free cash flow generation, and good liquidity
position.

Paysafe's CFR continues to reflect (1) geographical diversification
of earnings, with presence across the US, Europe and Asia; (2) good
growth prospects, driven by the secular shift to online payments
and (3) solid FCF generation, supported by limited capital spending
and working capital needs.

Conversely, the CFR is constrained by (1) high adjusted gross
leverage of 7.1x in 2019, which Moody's expects will increase
significantly in the next 12-18 months; (2) high exposure to US
small and medium businesses, where a portion of business is secured
via US independent sales organisations, a market subject to a high
level of competition and pricing pressure; (3) risk that
deleveraging after 2021 could be slowed down by debt-funded
acquisitions as the group continues to participate in the
consolidation of the industry.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE CONSIDERATIONS

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety. The unprecedented disruption of commerce due to social
distancing measures during the outbreak has caused a significant
near-term decline in payment volumes. Longer-term effects of the
outbreak are likely to be positive due to acceleration of
electronic payments' share gain from cash and acceleration of
digitization of financial services. A key risk area for the sector
is security of the large amounts of customer data. The group has an
established framework to manage cyber risk, including third-party
security assessments and insurance coverage.

Paysafe's ratings factor in its private equity ownership, its
financial policy, which is tolerant of high leverage, and its
history of pursuing debt-funded growth. At the same time, the group
has a well-defined acquisition strategy, good track record of
successfully integrating acquisitions into the group and achieving
operational efficiencies. Although the level of management churn
during 2019 has been considerable, Moody's views positively that
all appointments consist of industry veterans with substantial
experience that have reinforced management's depth and breadth of
expertise.

STRUCTURAL CONSIDERATIONS

The B3 ratings assigned to the first-lien facilities, at the same
level as the CFR, reflect the limited buffer provided by the
second-lien term loans ranking below and rated Caa2. The PDR is in
line with the CFR, reflecting a 50% family recovery rate typical
for debt structures that have a mix of first-lien and second-lien
debt.

LIQUIDITY ANALYSIS

Paysafe benefits from a good liquidity position, supported by a
cash balance of $410 million as of March 31, 2020. The $225 million
revolving credit facility is fully drawn. The RCF has a springing
financial maintenance covenant (net senior leverage ratio) set at
9.0x, only tested on a quarterly basis when the RCF is drawn by
more than 40%. There is ample headroom under the covenant as at
March 31, 2020.

RATING OUTLOOK

The stable outlook reflects Moody's view that the secular trends
affecting the payment processing industry will underpin the group's
capacity for deleveraging from the expected high levels in 2020.
The outlook also assumes that liquidity will remain adequate with
satisfactory interest cover, with no significant debt-funded
acquisitions or shareholder distributions.

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

Following the downgrade, the company is solidly positioned in the
rating category. Positive pressure could arise if (1) the group
maintains its adjusted gross leverage well below 7.5x on a
sustained basis; (2) FCF-to-debt remains around 5% on a sustained
basis.

Negative pressure could arise if (1) the group is not able to grow
EBITDA sustainably and/or reduce leverage from 2021 onwards, (2)
experiences weakness in its core segments over a prolonged period
of time, (3) the liquidity position weakens or the group embarks on
additional significant debt-funded acquisitions, or (4) Paysafe's
FCF/debt turns negative on a sustained basis.

PRINCIPAL METHODOLOGY

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

LIST OF AFFECTED RATINGS:

Downgrades:

Issuer: Paysafe Group Holdings II Limited

Probability of Default Rating, Downgraded to B3-PD from B2-PD

LT Corporate Family Rating, Downgraded to B3 from B2

Issuer: Paysafe Holdings (US) Corp.

Backed Senior Secured Bank Credit Facility, Downgraded to B3 from
B2

Issuer: Pi Lux Finco S.a r.l.

Backed Senior Secured Bank Credit Facility, Downgraded to B3 from
B2

Backed Senior Secured Bank Credit Facility, Downgraded to Caa2 from
Caa1

Issuer: PI UK BidCo Limited

Backed Senior Secured Bank Credit Facility, Downgraded to B3 from
B2

Outlook Actions:

Issuer: Paysafe Group Holdings II Limited

Outlook, Remains Stable

Issuer: Paysafe Holdings (US) Corp.

Outlook, Remains Stable

Issuer: Pi Lux Finco S.a r.l.

Outlook, Remains Stable

Issuer: PI UK BidCo Limited

Outlook, Remains Stable

COMPANY PROFILE

Paysafe is a global provider of online payment solutions and
stored-value products. The company reported, pro forma for the
acquisition of iPayment in June 2018, gross revenue of $2,518
million ($1,403 million on a net basis) and adjusted EBITDA (as
reported by the company) of $498 million in 2019. Paysafe was
acquired by private equity sponsors Blackstone and CVC Capital
Partners in 2017.

RILEYS SPORTS: FRP Advisory Seeks Buyer Following Administration
----------------------------------------------------------------
Business Sale reports that FRP Advisory are seeking a buyer for
Rileys Sports Bar, after the chain fell into administration.

According to Business Sale, the company has already closed four of
its 21 locations, after the COVID-19 pandemic caused it to speed up
the closure of underperforming sites.

FRP partners Philip Watkins and Geoff Rowley have been appointed as
joint administrators and tasked with finding a buyer for the
company, Business Sale relates.

Rileys' 17 remaining sites are expected to resume trading once a
buyer has been found, Business Sale notes.

A number of potential buyers are reported to have expressed
interest in the chain, Business Sale states.

Before the recent site closures, the company employed 208 staff, 44
of whom have now been made redundant, Business Sale discloses.

Rileys Sports Bars feature snooker and pool tables, dart and table
tennis, as well as live sport and food and drink.  


SEADRILL PARTNERS: S&P Lowers ICR to SD on Interest Nonpayment
--------------------------------------------------------------
S&P Global Ratings lowered its long-term and short-term issuer
credit ratings on U.K.-headquartered offshore driller Seadrill
Partners LLC (SDLP) to 'SD' (selective default) from 'CCC'. At the
same time, S&P lowered the issue credit rating on the affected $2.6
billion term loan B, which matures in February 2021, to 'D' from
'CCC'.

S&P Global Ratings lowered the issuer credit rating on SDLP to 'SD'
because the company missed its interest payment due June 30, 2020,
and is unlikely to make the payment during the 30-day grace period.
SDLP was due to pay about $49 million in interest to the holders of
its $2.6 billion term loan B maturing February 2021 on June 30,
2020. The company plans to use the grace period to close an
agreement with its lenders to capitalize the interest payment--the
transaction, which S&P will likely consider a distressed exchange,
also results in an 'SD' rating, according to its criteria.

Conditions in the drilling market have been testing over the past
few years, causing SDLP's capital structure to become
unsustainable, with S&P Global Ratings-adjusted debt to EBITDA
close to 8x in 2019. The recent drop in oil prices to $30-$40 per
barrel and the spread of COVID-19 greatly exacerbated the problem.
S&P said, "As a result, we think it is unlikely that SDLP will be
willing to pay the interest by the end of the grace period, if
lenders do not agree to capitalize the interest. We think that the
company will aim to preserve cash ahead of a potential wider debt
restructuring."

Once the company completes the distressed exchange, S&P will
reassess the ratings based on the new capital structure.


STONEGATE PUB: S&P Withdraws CCC+ LongTerm Issuer Credit Rating
---------------------------------------------------------------
S&P Global Ratings said that it has withdrawn its 'CCC+' long-term
issuer credit rating on Stonegate Pub Co. Ltd. at the company's
request. The outlook was negative at the time of the withdrawal.



                           *********


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

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

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

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