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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

          Thursday, July 23, 2020, Vol. 21, No. 147

                           Headlines



G E R M A N Y

VERTICAL HOLDCO: Fitch Assigns Final B LT IDR, Outlook Stable
WIRECARD AG: E&Y Warned Draft Audit May Lead to Misinterpretation
WIRECARD AG: German Prosecutors Arrest Three Former Executives


I R E L A N D

CAIRN CLO XII: Fitch Rates Class F Debt B-(EXP)sf
HAYFIN EMERALD IV: Moody's Gives (P)B3 Rating to Class F Notes
HAYFIN EMERALD IV: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes


I T A L Y

MONTE DEI PASCHI: Moody's Reviews Caa1 Sr Unsec. Rating for Upgrade


N E T H E R L A N D S

REFRESCO GROUP: S&P Affirms B+ ICR, Outlook Stable


R U S S I A

ALFASTRAKHOVANIE: S&P Affirms BB+ Long-Term IFS Rating


S P A I N

BOLUDA TOWAGE: S&P Alters Outlook to Negative & Affirms BB- Rating
GRUPO ALDESA: Fitch Affirms Then Withdraws BB- LT IDR


S W I T Z E R L A N D

SELECTA GROUP: Moody's Cuts CFR to Caa3, Outlook Negative


U N I T E D   K I N G D O M

AZURE FINANCE NO. 2: S&P Puts Prelim CCC Rating to X1-Dfrd Notes
AZURE FINANCE: Moody's Gives (P)Caa2 Rating on Class X1 Notes
B&M EUROPEAN: S&P Ups LT Rating to BB- After Completed Refinancing
CHILANGO: To Put Business Up for Sale as Part of Administration
CRUISE & MARITIME: Failure to Find Funding Prompts Administration

FINABLR: Taps Skadden to Help Investigate Potential Wrongdoing
RESIDENTIAL MORTGAGE 32: Fitch Rates Class X1 Debt B(EXP)sf
RESIDENTIAL MORTGAGE 32: S&P Assigns B+ Rating to X1-Dfrd Notes
STONEGATE PUB: Fitch Gives B-(EXP) LT IDR, Outlook Stable
[*] UK: Company Insolvencies Set to Rise Sharply in Coming Months


                           - - - - -


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G E R M A N Y
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VERTICAL HOLDCO: Fitch Assigns Final B LT IDR, Outlook Stable
-------------------------------------------------------------
Fitch Ratings has assigned Vertical Holdco GmbH a final Long-Term
Issuer Default Rating of 'B' with a Stable Outlook. Fitch has also
assigned its senior secured debt issues final senior secured
ratings of 'B+'/'RR3' and senior unsecured debt issue a final
senior unsecured rating of 'CCC+'/'RR6'.

The final ratings are in line with the expected ratings assigned on
June 24, 2020.

The proceeds from the debt issues are being used to acquire
thyssenkrupp Elevator by Vertical TopCo III GmbH, Vertical's parent
company, from thyssenkrupp AG.

KEY RATING DRIVERS

High But Sustainable Leverage: Fitch expects thyssenkrupp Elevator
to be highly leveraged for the rating in the short- to medium-term,
both on a gross and net basis. At end-2020, Fitch expects gross and
net leverage to be over 10x, well outside the 'B' category
mid-points of 5.5x and 6x, respectively, under Fitch's Navigator
for the sector. Fitch's expectation of sustainable free cash flow
of around EUR200 million - EUR300 million p.a. should provide
gradual deleveraging capacity, but leverage metrics are likely to
remain high over the next four years.

Moderate Earnings Likely to Improve: Fitch views thyssenkrupp
Elevator's Fitch-calculated EBITDA margin, at 11.6% in 2019, as
moderate in relation to peers', with a cost structure weighed down
by high operating costs. Fitch expects a gradual improvement in the
cost structure under the new ownership with profitability steadily
rising to 13%-15%, broadly in line with peers' in the medium term.

FCF to Remain Stable: Cash flow margins are consistent with a 'BBB'
category diversified industrial company, albeit weaker than peers'.
Its Fitch-calculated funds from operation margin, which in 2019 was
10%, is expected to decline somewhat due to high financing costs
despite likely cost-structure improvements, while the FCF margin is
expected to remain stable at 3%-5% in the medium term, through
capex and working-capital discipline.

Strong Long-Term Market Dynamics: Underlying long-term dynamics for
the elevator business are strong with global demand likely to be
favourably affected by factors such as urbanisation, especially in
emerging markets, the need for modernisation of mature assets, and
the related necessity for maintenance services of a growing
installed base.

Modest COVID-19 Effect: Fitch expects COVID-19 to have a delayed,
and probably a more moderate, effect on the elevator sector
relative to other diversified industrials companies. Demand for
maintenance of existing installations is fairly stable and
predictable, with no more than a slight negative effect expected in
the short term. The new installation segment, largely driven by new
construction activity, may not immediately experience a downturn,
as it is probable that most construction already begun will be
completed.

Lower Demand Mitigated by Diversification: The number of new
building starts over the coming years is likely to decline from
prior years, and therefore demand for new installations will
probably be lower in 2021, depending on the depth of the recession.
thyssenkrupp Elevator's good business diversification as well as a
broad global exposure mean that the company is somewhat resilient
against a material decline in both revenue and earnings in the
medium term.

Good Market Position: thyssenkrupp Elevator is the global number
four player in the elevator industry, with an estimated market
share of 13%. Approximately two-thirds of the global market is
dominated by four companies, including thyssenkrupp Elevator, with
the remainder shared by many smaller players. thyssenkrupp
Elevator's position, scale and broad service network provides the
company with an advantage over many competitors, while its global
footprint serves as a potential benefit in streamlining its cost
structure.

Limited Business Profile: thyssenkrupp Elevator's business profile
is constrained by a narrow product range and end-customer exposure,
relative to many other diversified industrials companies. The
company chiefly makes and services elevators and is dependent to
some degree on property construction cycles. Offsetting this is
thyssenkrupp Elevator's strong cycle-proof maintenance business and
the good geographic diversification of this business, which limits
the effect of cyclicality in the property sector.

DERIVATION SUMMARY

thyssenkrupp Elevator's present profitability and cash flows are
somewhat lower than that of direct peers such as OTIS, Schindler or
KONE, who benefit from a more streamlined cost structure, as well
as other high-yield diversified industrials issuers such as AI
Alpine AT BidCo GmbH (B/Stable) or CeramTec BondCo GmbH
(B/Negative), companies which, like thyssenkrupp Elevator,
specialise in a fairly narrow range of products.

thyssenkrupp Elevator's leverage, both gross and net, will also be
weaker than most similarly rated peers' and the sectors for the
rating over the medium term, despite Fitch's expectations of
material de-leveraging.

thyssenkrupp Elevator exhibits a superior business profile to
companies such as AI Alpine and CeramTec, with much greater scale
and global diversification as well as a stronger market position
and less vulnerability to economic cycles and shocks.

KEY ASSUMPTIONS

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

  - Revenue to decline 1% in FY20 (financial year to September) and
3% in FY21 due to a slowdown in commercial building construction
stemming from COVID-19. New installations to slow while maintenance
and modernisation services will be broadly stable. A recovery is
expected in FY22 and FY23

  - EBITDA margin to improve following cost-cutting measures and
optimisation of production and non-production processes

  - Capex around 2% of revenue until FY23

  - No M&A or dividend payments until FY23

  - Some working capital outflows in 2020 and 2021 as new advance
payments are below the level of usage of existing advances;
thereafter a broadly neutral working capital cash flow profile

RECOVERY ANALYSIS CONSIDERATIONS

Fitch's recovery analysis follows the bespoke analysis for issuers
in the 'B+' and below range with a going-concern valuation yielding
higher realisable values in a distress scenario than liquidation.
This reflects the globally concentrated market of elevator
manufacturers, where the top four companies have almost a 70% total
market share. thyssenkrupp Elevators holds the number four
position, has a robust business profile with sustainable cash flow
generation capacity, defensible market position and products that
are strongly positioned on the global market.

For the going-concern analysis enterprise value calculation, Fitch
discounts the company's FY19 Fitch-calculated EBITDA of EUR922
million by 20%. The resulting post-distress EBITDA of around EUR740
million would result in marginally but persistently negative FCF,
effectively representing a post-distress cash flow proxy for the
business to remain a going concern. In this scenario thyssenkrupp
Elevator depletes internal cash reserves due to less favorable
contractual terms with customers, which Fitch assumes could help
the company in rebuilding the order book post-restructuring.

Fitch applies a 6x distressed EV/EBITDA multiple, broadly in line
with the average 5.6x distressed EV/EBITDA multiples across 'B'
rated peer group in the broad industrial and manufacturing sector.
This leads to a total estimated EV of around EUR4,420 million. A
leading market position, high recurring revenue base and
international manufacturing and distribution diversification
justify this approach.

After deducting 10% for administrative claims and considering
priority of enforcement for the total senior secured debt of
EUR7,350 million and senior unsecured debt of EUR1,700 million in
total, its waterfall analysis generated a ranked recovery in the
RR3 band, indicating a 'B+' instrument rating for the senior
secured loans and notes totaling EUR6,550 million issued by
Vertical Midco GmbH and Vertical U.S. Newco Inc., representing a
one notch uplift from the IDR. The waterfall analysis output
percentage on current metrics and assumptions was 54%.

Using the same assumptions, its waterfall analysis output for the
senior unsecured EUR1,075 million notes issued by Vertical Holdco
GmbH generated a ranked recovery in the RR6 band indicating an
instrument rating of 'CCC+'. The waterfall analysis output
percentage on current metrics and assumptions was zero.

RATING SENSITIVITIES

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

  - Gross leverage under 6x

  - FFO margin above 8%

  - FFO interest cover above 4x

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

  - Gross leverage above 8x beyond 2022

  - FFO margin under 6%

  - FCF margin under 2%

  - FFO interest cover under 2x

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 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

Comfortable Liquidity. At FYE19 thyssenkrupp Elevator had EUR233
million of cash, adjusted by Fitch for intra-year operating needs
of around 1% of revenue. Under thyssenkrupp AG's ownership,
thyssenkrupp Elevator regularly generates excess cash that feeds
the global cash pooling of thyssenkrupp AG, but which is also
utilised by thyssenkrupp Elevator for its operating needs.
Post-sale, thyssenkrupp Elevator will have a revolving credit line
(RCF) and a guarantee line of EUR2 billion in total, of which the
RCF in the expected amount of EUR1 billion will solely serve as an
additional source of liquidity.

Fitch expects thyssenkrupp Elevator's positive cash flow profile to
be sustainable. Fitch forecasts an average Fitch-calculated FCF
margin of 3.7% over the next four years, stemming from low working
capital needs resulting from favourable contractual conditions
regarding prepayments and a capex-light business model. Dividend
payments and acquisitions have not been factored into its
assumptions as per management and sponsors' guidance.

Following the closing of the debt issue, thyssenkrupp Elevator has
settled all amounts outstanding under thyssenkrupp AG's cash
pooling structure. However, Fitch does not expect any outflow of
cash as the receivables related to the cash pool more than offset
the balance of liabilities. Upon the funding completion,
thyssenkrupp Elevator has EUR100 million of cash, and a long-term
debt maturity schedule, with no significant repayment over the next
six to seven years. Thereafter the company will be exposed to a
largely bullet risk of repayment.

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.

Vertical Holdco GmbH

  - LT IDR B; New Rating

  - Senior unsecured; LT CCC+; New Rating

  - Senior unsecured; LT CCC+; New Rating

Vertical U.S. Newco Inc.

  - Senior secured; LT B+; New Rating

Vertical Midco GmbH

  - Senior secured; LT B+; New Rating

  - Senior secured; LT B+; New Rating

WIRECARD AG: E&Y Warned Draft Audit May Lead to Misinterpretation
-----------------------------------------------------------------
Olaf Storbeck at The Financial Times reports that Ernst & Young
told Wirecard that the draft of an independent audit report by KPMG
lacked "context" and could lead to wrong conclusions about the
business at the heart of an accounting scandal that has shaken
corporate Germany.

According to the FT, the German payments group's longstanding
auditor intervened just a day before the April publication of the
KPMG report which raised doubts about a company now exposed in one
of the country's biggest postwar accounting frauds.

KPMG had been unable to verify the existence of activities which,
on paper, accounted for half of Wirecard's revenue and all its
operating profit, the FT discloses.  Two months later, Wirecard
collapsed after this third-party acquiring business (TPA), which
was said to carry out payments processing for the company in
countries where it lacked licences to operate, was shown to be a
sham, the FT recounts.

Documents reviewed by the FT show that EY and Wirecard saw two
drafts of the KPMG audit prior to its publication.  The
investigation had been commissioned by Wirecard in October in an
effort to allay concerns over the group's accounting and was
overseen by the supervisory board, the FT notes.

On April 27, a day before the long-delayed report was eventually
published, Andreas Budde and Martin Dahmen, auditors at EY,
informed Wirecard of their concerns with how the third-party
business was presented in a second draft of the audit they had seen
that morning, the FT recounts.

"According to our view, the topic of third-party acquiring needs to
be put in an overall context," they wrote to then-chief executive
Markus Braun, other members of Wirecard's management board and
supervisory board chairman Thomas Eichelmann, according to a
document seen by the FT.  "Reporting solely on KPMG's forensic
investigation carries the danger of misinterpretation."

They added that the second draft of the audit contained information
that was inconsistent with that "provided by the company [Wirecard]
or with the findings of our audit", the FT notes.

Last month, the FT reported that EY failed for more than three
years to request crucial account information from a Singapore bank
where Wirecard claimed it had up to EUR1 billion in cash
purportedly linked to the TPA business--a routine audit procedure
that could have uncovered the vast fraud.  Wirecard in June
disclosed that the cash does "not exist" and that the TPA has been
misrepresented to investors for years, the FT recounts.

EY's intervention came as Wirecard faced mounting pressure to get
its 2019 financial results signed off by its long-term auditor, the
FT relays.  The once high-flying company was legally obliged to
publish audited results by April 30, or risk fines and reputational
damage, the FT states.

According to the FT, when the findings of KPMG's special audit were
published on April 28, they stunned shareholders who had been
repeatedly assured by Wirecard that nothing untoward had been
found.

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.

WIRECARD AG: German Prosecutors Arrest Three Former Executives
--------------------------------------------------------------
Joern Poltz at Reuters reports that German prosecutors arrested
three former top executives at Wirecard on July 22, saying they now
suspected them of an organized criminal enterprise to bilk
creditors of billions of euros based on faked accounts.

According to Reuters, the prosecutor's office said Former Chief
Executive Markus Braun, who is already a suspect, was re-arrested
along with Wirecard's former chief financial officer and chief
accounting officer on testimony from a cooperating witness.

The three ex-executives are suspected of having conspired with
others to inflate revenues by faking business with third-party
acquiring partners, Reuters relays, citing Anne Leiding,
spokeswoman for the Munich State Prosecutor's Office.

This created a false impression of financial strength that enabled
Wirecard subsequently to borrow EUR3.2 billion (US$3.70 billion),
Reuters notes.

Prosecutors are now investigating Braun and his suspected
accomplices--who were not named--for organized commercial criminal
fraud, breach of trust, false accounting and market manipulation,
Reuters discloses.

Wirecard filed for insolvency last month after disclosing a EUR1.9
billion hole in its accounts that auditor EY said was the result of
a sophisticated global fraud, Reuters recounts.

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.



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I R E L A N D
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CAIRN CLO XII: Fitch Rates Class F Debt B-(EXP)sf
-------------------------------------------------
Fitch Ratings has assigned expected ratings to Cairn CLO XII DAC.

The final ratings are contingent on the receipt of the final
documents which are in line with the documents for the expected
ratings assignment.

Cairn CLO XII DAC

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

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

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

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

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

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

  - Class M-1; LT NR(EXP)sf Expected Rating

  - Class M-2; LT NR(EXP)sf Expected Rating

TRANSACTION SUMMARY

Cairn CLO XII DAC is a cash flow collateralised loan obligation.
Net proceeds from the issuance of the notes are being used to
purchase a portfolio of EUR330 million of mostly European leveraged
loans and bonds. The portfolio is actively managed by Cairn Loan
Investments II LLP. The CLO envisages a three-year reinvestment
period and a seven-year weighted average life.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality: Fitch Ratings places the average
credit quality of obligors to be in the 'B'/'B-' category. The
Fitch-weighted average rating factor of the identified portfolio is
33.4, below the maximum WARF covenant for assigning expected
ratings of 36.5.

High Recovery Expectations: At least 90% of the portfolio will
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 of the identified portfolio is 65.2%, above the minimum WARR
covenant for assigning expected ratings of 64.0%.

Diversified Asset Portfolio: The transaction will have two Fitch
test matrices corresponding to two top- 10 obligors' concentration
limits. The manager can interpolate within and between two
matrices. For the expected rating analysis, the indicative top-10
obligors limit is set at 20%. The transaction also includes various
concentration limits, including the maximum exposure to the three
largest (Fitch-defined) industries in the portfolio at 40%. These
covenants ensure the asset portfolio will not be exposed to
excessive concentration.

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

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

RATING SENSITIVITIES

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

A 25% default multiplier applied to the portfolio's mean default
rate, and with this subtracted from all rating default levels, and
a 25% increase of the recovery rate at all rating recovery levels,
would lead to an upgrade of up to five notches for the rated notes,
except for the class A notes whose ratings are already at the
highest level on Fitch's scale.

The transaction features 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, as the portfolio credit quality
may still deteriorate, not only through natural credit migration,
but also through reinvestments.

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

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

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

Downgrades may occur if the buildup 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 COVID-19 disruption become apparent
for other sectors, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the view of Fitch's Leveraged Finance team.

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

Fitch also considered the possibility that the stress portfolio,
determined by the transaction's covenants, would further
deteriorate due to the impact of coronavirus mitigation measures.
Fitch believes this circumstance is adequately addressed by the
inclusion of the downwards notching by a single subcategory of all
collateral obligations on Negative Outlook for the purposes of
determining compliance to Fitch WARF at the effective date.

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before halting recovery begins
in 2Q21. The downside sensitivity incorporates the following
stresses: applying a notch downgrade to all Fitch-derived ratings
in the 'B' rating category and applying a 0.85 recovery rate
multiplier to all other assets in the portfolio. This scenario
would lead to a downgrade of one to four notches 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, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

HAYFIN EMERALD IV: Moody's Gives (P)B3 Rating to Class F Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to the notes to be issued by Hayfin
Emerald CLO IV DAC:

EUR199,500,000 Class A Senior Secured Floating Rate Notes due 2033,
Assigned (P)Aaa (sf)

EUR19,000,000 Class B-1 Senior Secured Floating Rate Notes due
2033, Assigned (P)Aa2 (sf)

EUR11,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2033,
Assigned (P)Aa2 (sf)

EUR8,000,000 Class B-3 Senior Secured Fixed/Floating Rate Notes due
2033, Assigned (P)Aa2 (sf)

EUR11,000,000 Class C-1 Senior Secured Deferrable Floating Rate
Notes due 2033, Assigned (P)A2 (sf)

EUR9,000,000 Class C-2 Senior Secured Deferrable Fixed/Floating
Rate Notes due 2033, Assigned (P)A2 (sf)

EUR25,600,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2033, Assigned (P)Baa3 (sf)

EUR21,700,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2033, Assigned (P)Ba3 (sf)

EUR7,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2033, Assigned (P)B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 80% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the six-month ramp-up period in compliance with the
portfolio guidelines.

Hayfin Emerald Management LLP will manage the CLO. It will direct
the selection, acquisition and disposition of collateral on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's one-year
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk
obligations, credit improved obligations and unscheduled principal
proceeds.

In addition to the nine classes of notes rated by Moody's, the
Issuer will issue EUR1,000,000 of Class M Notes and EUR31,300,000
of Subordinated Notes which are not rated. The Class M Notes accrue
interest in an amount equivalent to the senior and subordinated
management fees and the notes' payments will be made according to
the transaction's priorities of payment.

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

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 European 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.

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.

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

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

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.

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

Par Amount: EUR350,000,000

Diversity Score: 48

Weighted Average Rating Factor (WARF): 3200

Weighted Average Spread (WAS): 3.87%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 42.00%

Weighted Average Life (WAL): 6.5 years

Moody's has addressed the potential exposure to obligors domiciled
in countries with local currency ceiling of A1 or below. As per the
portfolio constraints and eligibility criteria, exposures to
countries with LCC of A1 to A3 cannot exceed 10% and obligors
cannot be domiciled in countries with LCC below A3.

HAYFIN EMERALD IV: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to
Hayfin Emerald CLO IV DAC's class A, B-1, B-2, B-3, C-1, C-2, D, E,
and F notes. At closing, the issuer will also issue unrated
subordinated notes.

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

The portfolio's reinvestment period will end approximately one year
after closing, and the portfolio's weighted average life test will
be approximately 6.5 years after closing.

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

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

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

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

  Portfolio Benchmarks
                                                         Current
  S&P Global Ratings weighted-average rating factor     2,947.79
  Default rate dispersion                                 650.59
  Weighted-average life (years)                             5.57
  Obligor diversity measure                                88.42
  Industry diversity measure                               19.84
  Regional diversity measure                                1.32

  Transaction Key Metrics
                                                         Current
  Total par amount (mil. EUR)                              350.0
  Defaulted assets (mil. EUR)                                  0
  Number of performing obligors                              116
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                          'B'
  'CCC' category rated assets (%)                           6.43
  'AAA' weighted-average recovery (%)                      35.22
  Covenanted weighted-average spread (%)                    3.87
  Reference weighted-average coupon (%)                     4.00

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

"In our cash flow analysis, we used the EUR350 million par amount,
the covenanted weighted-average spread of 3.87%, the reference
weighted-average coupon of 4.00%, and the covenanted
weighted-average recovery rates for all rated notes. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category. Subordinated
management fees and collateral manager advances are paid after the
reinvestment OC test. Hence, we are not giving any benefit to the
reinvestment OC test in our cash flow analysis.

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

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

"At closing, we consider that the transaction's legal structure
will be bankruptcy remote, in line with our legal criteria.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1 to F notes could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe that our preliminary
ratings are commensurate with the available credit enhancement for
the class A, B-1, B-2, B-3, C-1, C-2, D, E, and F notes.

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

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

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

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

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

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class A to E notes
to five of the 10 hypothetical scenarios we looked at in our recent
publication.

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

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

Hayfin Emerald CLO IV is a European cash flow CLO securitization of
a revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by sub-investment grade borrowers. Hayfin
Emerald Management LLP will manage the transaction.

  Ratings List

  Class   Prelim    Prelim    Sub (%)        Interest rate*   
          rating    amount
                    (mil. EUR)
  A       AAA (sf)  199.50    43.00    Three/six-month EURIBOR
                                          plus 1.45%
  B-1     AA (sf)    19.00    32.00    Three/six-month EURIBOR
                                          plus 2.30%
  B-2     AA (sf)    11.50    32.00    2.60%
  B-3     AA (sf)     8.00    32.00    2.45% /  
                                       Three/six-month EURIBOR
                                          plus 2.30%**
  C-1     A (sf)     11.00    26.29    Three/six-month EURIBOR
                                          plus 3.20%
  C-2     A (sf)      9.00 26.29    3.35% /
                                       Three/six-month EURIBOR
                                          plus 3.20%**
  D      BBB (sf)    25.60    18.97    Three/six-month EURIBOR
                                          plus 4.15%
  E      BB- (sf)    21.70    12.77    Three/six-month EURIBOR
                                          plus 6.47%
  F      B- (sf)      7.00    10.77    Three/six-month EURIBOR
                                          plus 7.96%
  Sub    NR          31.30    N/A      N/A

*The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.

**Class B-3 notes would have the fixed coupon of 2.45% applicable
until the end of the non-call period and change to three/six-month
EURIBOR + 2.30% thereafter. Class C-2 notes would have the fixed
coupon of 3.35% applicable until the end of the non-call period and
change to three/six-month EURIBOR + 3.20% thereafter.
EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A—-Not applicable.




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

MONTE DEI PASCHI: Moody's Reviews Caa1 Sr Unsec. Rating for Upgrade
-------------------------------------------------------------------
Moody's Investors Service placed the b3 standalone Baseline Credit
Assessment, Caa1 long-term senior unsecured ratings and B1
long-term deposit ratings of Banca Monte dei Paschi di Siena S.p.A.
under review for upgrade. Moody's also placed under review for
upgrade the long-term ratings and assessments of MPS's fully-owned
subsidiary MPS Capital Services S.p.A.

RATINGS RATIONALE

MPS's BCA of b3 was placed under review for upgrade following the
bank's announcement on June 29, 2020 that the bank had reached an
agreement with state-owned Asset Management Company S.p.A. for the
transfer of EUR8.1 billion gross problem loans, in addition to
other assets, liabilities and equity. This action also follows
approval of the transaction by the European Union's Directorate
General for Competition as compliant with state-aid rules.

MPS expects the transaction--which is still subject to approval
from the European Central Bank--to decrease its pro-forma
non-performing loans ratio to 4.3% from 12.4% at end-2019. However,
it will also have a negative impact on capital, with its Common
Equity Tier ratio expected to decrease to 13.3% from 14.7% at the
same date. Moreover, Moody's considers that the bank's franchise
has been weakened and faces considerable profitability challenges.
The review will consider the net benefit of these changes,
depending on which the BCA and ratings could be upgraded by more
than one notch.

The review for upgrade reflects Moody's view that the transaction
is credit positive for MPS. In particular, MPS's BCA of b3 could be
upgraded to reflect the materially lower asset risk in its loan
book, as the pro-forma 4.3% NPL ratio contemplated by the bank
would be one of the lowest in Italy and well below the Italian
banks' average of 6.7% at end-2019. Even though Moody's expects
asset quality to deteriorate due to the difficult operating
environment resulting from the coronavirus pandemic, the agency
expects MPS's NPL ratio to remain stronger than those of peers.

In Moody's view, the positive impact on MPS's asset quality from
the transaction more than offsets the negative impact on capital.
MPS's CET1 pro-forma ratio of 13.3% would still be relatively sound
and a lower level of NPLs would reduce the risk of capital
volatility. Moody's also expects MPS's profitability to benefit
from the lower level of NPLs and potentially lower funding costs.

The long-term ratings and assessments of MPS Capital Services were
placed under review for upgrade to reflect the action on its parent
MPS. Moody's considers this entity to be Highly Integrated and
Harmonized with MPS and its standalone characteristics have limited
credit significance.

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

MPS's ratings and assessments could be upgraded once the
transaction receives all approvals and in the absence of material
deterioration in its credit fundamentals.

MPS's long-term deposit and senior unsecured ratings could also be
upgraded following the issuance of material amount of bail-in-able
debt.

A downgrade of MPS's ratings and assessments is unlikely given the
review for upgrade. However, the BCA could be downgraded if the
transaction with AMCO were not to take place and/or if the bank
experienced material asset quality deterioration and
capital-eroding losses.

MPS Capital Services S.p.A.'s ratings and assessments could be
upgraded or downgraded following and upgrade or downgrade of MPS's
ratings and assessments.

LIST OF AFFECTED RATINGS

Issuer: Banca Monte dei Paschi di Siena S.p.A.

Placed on Review for Upgrade:

Long-term Counterparty Risk Ratings, currently Ba3

Long-term Bank Deposits, currently B1, outlook changed to Rating
under Review from Developing

Long-term Counterparty Risk Assessment, currently Ba3(cr)

Baseline Credit Assessment, currently b3

Adjusted Baseline Credit Assessment, currently b3

Senior Unsecured Regular Bond/Debenture, currently Caa1, outlook
changed to Rating under Review from Developing

Senior Unsecured Medium-Term Note Program, currently (P)Caa1

Subordinate Regular Bond/Debenture, currently Caa1

Subordinate Medium-Term Note Program, currently (P)Caa1

Affirmations:

Short-term Counterparty Risk Ratings, affirmed NP

Short-term Bank Deposits, affirmed NP

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

Other Short Term, affirmed (P)NP

Outlook Action:

Outlook changed to Rating under Review from Developing

Issuer: MPS Capital Services S.p.A.

Placed on Review for Upgrade:

Long-term Counterparty Risk Ratings, currently Ba3

Long-term Bank Deposits, currently B1, outlook changed to Rating
under Review from Developing

Long-term Counterparty Risk Assessment, currently Ba3(cr)

Baseline Credit Assessment, currently b3

Adjusted Baseline Credit Assessment, currently b3

Affirmations:

Short-term Counterparty Risk Ratings, affirmed NP

Short-term Bank Deposits, affirmed NP

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

Outlook Action:

Outlook changed to Rating under Review from Developing

PRINCIPAL METHODOLOGY

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



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

REFRESCO GROUP: S&P Affirms B+ ICR, Outlook Stable
--------------------------------------------------
S&P Global Ratings affirmed its 'B+' issuer credit rating on
Netherlands-based independent bottler of beverages Refresco Group
B.V., the parent of the group. S&P also affirmed its 'B+' issue
ratings on the rated senior secured debt facilities due 2024 and
2025. Finally, S&P also affirmed its 'B-' issue rating on the
EUR445 million senior unsecured notes due 2026 issued by
intermediate holding company, Sunshine Mid B.V.

The proposed midsize acquisitions are in line with Refresco's
business strategy.   The contemplated acquisitions have an
enterprise value of about EUR880 million with a targeted closing by
the end of first-quarter 2021, subject to customary regulatory
clearance. S&P understands that alongside the add-ons to Refresco's
syndicated term loans, there will be an equity contribution of
approximately EUR150 million from the owners of one of the targets.
The transactions are consistent with Refresco's strategy to
consolidate the relatively fragmented Western European and North
American private-label bottling sector. The operating conditions in
the overall sector in Refresco's end markets, North America and
Western Europe, are characterized by very low-volume growth
prospects (1.0%-1.5% in recent years). Growing size and scope is
therefore key, as it allows established players to gain economies
of scale and purchasing power to support profitable expansion. This
is even more important for Refresco, as it does not own proprietary
brands and doesn't compete with its A-brand and retailer customers.
Refresco aims to become a fully fledged bottling services partner
to its key customers, also providing services such as warehousing
and procurement.

Headroom for underperformance at the 'B+' rating level is now very
limited.   In 2019, Refresco's adjusted debt to EBITDA stood at
7.4x, with about 71 million of FOCF and adjusted EBITDA interest
cover of 2.8x. S&P said, "In 2020, we forecast stable credit
metrics versus 2019, with adjusted debt leverage just above 7x. For
2021, we forecast an improvement in credit metrics, notably
adjusted debt to EBITDA falling below 7.0x by the end of 2021 and
FOCF of EUR100 million-EUR150 million. Our adjusted debt figures at
December-end 2019 include the existing multi-currency syndicated
term loan facility, EUR445 million of senior unsecured notes,
EUR108 million shareholder loan, EUR385.8 million of operating
leases, EUR20 million of other long-term loans (including mortgage
loans), EUR50 million of postretirement debt obligations, and EUR29
million of deferred payments linked to previous acquisitions (the
latter has now been repaid). We do not deduct cash against debt,
given the group's private equity ownership."

COVID-19 should have a relatively low impact on the group's
financial performance in 2020.   S&P said, "We anticipate a weak
second quarter from a revenue growth perspective, following strong
first-quarter results. In the first quarter, the company posted
7.2% volume and 5.8% revenue growth year on year, supported mostly
by acquisitions, with the North American division's revenue
expanding 16%. Europe meanwhile declined 0.7%. We understand that
April and May were very soft months due to the lockdown measures
introduced in the main markets, but the company has seen a rise in
volume orders year on year in June. The most severely affected
out-of-home channel accounts for about 10%-15% of the group's total
volumes (just over 11 billion liters in 2019), mostly flowing
through the contract manufacturing business (33.6% of total volumes
in first-quarter 2020)."

S&P said, "We forecast overall revenue growth of 2.5%-3.0% in 2020.
We expect reported margins (after acquisition and other
nonrecurring costs) will improve to about 11.3%, mainly from the
successful integration of the acquisitions completed in 2019-2020.
This assumes no large second pandemic waves or nationwide
lockdowns. FOCF, however, is likely to be only marginally better
than 2019, at about EUR70 million-EUR90 million, despite smaller
expected capital expenditure (capex) outflows in the range of
EUR165 million-EUR175 million, since COVID-19 is likely to
constrain FOCF for practical and physical reasons. FOCF generation
will likely be constrained by overall higher financing costs and
working capital absorption due to likely irregular demand following
the COVID-19 pandemic.

S&P said, "We anticipate credit metric improvement in 2021,
assuming smooth integration of the latest acquisitions and a
broad-based economic recovery.   Assuming an adjustment to the
post-COVID-19 "new normal" and recovery across all channels in
2021, combined with broad-based recovery in consumer confidence and
smooth integration of the new acquisitions, we forecast improved
credit metrics. We forecast adjusted debt leverage will improve
slightly below 7.0x by the end of 2021 and FOCF will rise to EUR100
million-EUR150 million. This assumes adjusted EBITDA reaching
EUR530 million-EUR550 million, approximately EUR100 million of
which will come from the latest contemplated acquisitions. We
understand that the new assets are modern, with the target
companies exhibiting strong free cash flow conversion (EBITDA minus
capex) levels on a stand-alone basis, with minimum integration
effort needed. We forecast overall capex on a consolidated basis of
about EUR190 million-EUR200 million in 2021 and 2022, about EUR100
million of which is maintenance."

There is an established track record of successful integration of
acquisitions.   S&P said, "With adjusted EBITDA (after acquisition
and integration costs) of about EUR428 million in 2019, we think
that Refresco has effectively achieved the originally planned EUR63
million of synergies, approximately 24 months after the completion
of the acquisition of Cott Corporation's bottling activities in
January 2018. We understand that the company continues to expect an
additional EUR7 million of synergies by the end of 2021 to bring
the total to EUR70 million. Under our base case for absolute EBITDA
in 2021, we have not factored in any synergies, as their
achievement, particularly linked to the new acquisitions to be
completed in 2021, will likely take time to be realized (18-24
months from acquisition completion). Nevertheless, in our view,
there is an established track record of successful integrations of
newly acquired assets in the business. Since inception, Refresco
has completed 27 acquisitions, with the largest ones being Gerber
Emig (2014) and Cott's bottling activities (2018)."

S&P said, "The stable outlook reflects our expectations that
Refresco will not face significant challenges in integrating the
proposed acquisitions, and will be able to deleverage to below 7.0x
and improve its FOCF to EUR100 million-EUR150 million by the end of
2021. We see no headroom for operational underperformance compared
with the group's updated business plan, or for more debt-funded
acquisitions.

"We could lower the rating on Refresco if we saw adjusted debt to
EBITDA remaining above 7.0x by end of 2021 due to underperformance
against our base-case projections. Such a scenario would also
indicate a deviation from the company's reported gross debt
deleveraging trajectory at the end of 2021."

This could happen if the group faced higher integration costs
related to the planned acquisitions, and if the retail environment
in Europe proved more challenging than expected, or if the terms
and conditions changed, for example with more debt in the funding
mix than currently envisaged.

S&P said, "We could raise the ratings on Refresco if it continued
to profitably grow its business on an organic basis, while
enhancing the size of operations and diversity of products and
geographical markets through successfully integrated acquisitions.
This could offset the lack of proprietary brands in its product
portfolio and reiterate its position as a key partner for beverage
solutions to both retailers and A-brands.

"Alternatively, we could also raise the ratings on Refresco if
adjusted debt leverage fell sustainably below 5.0x and funds from
operations (FFO)-to-debt improved to above 12%, with a firm
commitment to maintain metrics at such levels. We consider such a
scenario as remote, given the group's private equity ownership and
tolerance for higher leverage, and its strategy to act as a
consolidator of the relatively fragmented European and North
American beverage sector."




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

ALFASTRAKHOVANIE: S&P Affirms BB+ Long-Term IFS Rating
------------------------------------------------------
S&P Global Ratings affirmed its 'BB+' long-term insurer financial
strength rating on Russia-based property and casualty (P/C) insurer
AlfaStrakhovanie. The outlook is stable.

S&P said, "The affirmation reflects our view of AlfaStrakhovanie's
leading positions in the Russian insurance market and good
operating performance over the past years. We also consider the
company's approach to better credit quality investments'
allocation, which allowed it to build ample liquidity cushion to
meet its insurance obligations. However, the rating is constrained
by the company's modest capitalization compared with peers, as per
regulatory solvency requirements and our internal risk-based
capital adequacy model."

Alfastrakhovanie maintained its strong market position and brand
name throughout 2019, and we expect it will sustain these strengths
going forward. With Russian ruble (RUB) 140 billion (around US$2.3
billion) and solid underwriting performance in 2019,
Alfastrakhovanie is the second-largest player in the P/C insurance
market. S&P expects that its 2020 premium growth will remain flat
because of the COVID-19-related slowdown in economic activity and a
decline in the disposable income. That said, Alfastrakhovanie is
poised to grow at the moderate rate of 5% in 2021.

S&P said, "We consider that current disruptions on financial
markets, notably due to the coronavirus pandemic, will not
materially harm Alfastrakhovanie's business prospects or
bottom-line results. This is thanks to relatively low exposure to
COVID-19-related claims and fewer motor claims during
government-imposed mobility restrictions. We estimate the insurer
will report a net P/C combined (loss and expenses) ratio close to
97% in 2020-2021, which is in line with the five-year average
figures and below our expectation for the whole P/C market (close
to 100%). We expect Alfastrakhovanie to post a higher average
annual net profit in 2020-2021 than its 2019 profit of RUB3.8
billion. Last year's profit drop was mainly due to foreign exchange
losses on U.S.-dollar-denominated investments. We do not
incorporate the same impact for 2020 results, considering
depreciation of the national currency during 2020. We expect return
on equity (ROE) to be close to 15% in 2020, which will be almost on
par with the market-average expectations.

"However, we acknowledge that decreased business activity and
intensifying competition can hinder further business development
and underwriting performance. We also note that the current
financial market turbulence can add volatility to
Alfastrakhovanie's investment results. However, we currently expect
a limited impact since there has been a slight rebound in the
financial market, and since some of the invested assets are held to
maturity. As the situation evolves, we will update our assumptions
and estimates on Alfastrakhovanie accordingly.

"AlfaStrakhovanie's actual capital adequacy in 2019 was weaker than
our forecasted capital model results due to lower level of reported
earnings. We expect AlfaStrakhovanie will rebuild its capital to
satisfactory levels consistent with the current rating level over
2021 by retaining most of its future earnings with modest dividend
payouts below 10% and maintaining regulatory solvency margin of
around 150%.

"The stable outlook reflects our expectation that, over the next 12
months, AlfaStrakhovanie will maintain its solid competitive
position and good underwriting performance in the Russian insurance
market. It also reflects our expectation of an improving trend in
capital adequacy to satisfactory levels, according to our
risk-based capital model and at, or above, 150% according to local
regulatory requirements, through solid earnings retention, modest
premium growth and no large insurance losses.

"We could take a negative rating action on AlfaStrakhovanie in the
next 12 months if its capital weakened significantly below the
'BBB' level, according to our capital model, squeezed either by
weaker-than-expected technical performance or by investment losses,
or high dividends. A deterioration of the average credit quality of
invested assets to below 'BBB' might also trigger a negative rating
action.

"Although unlikely, we could take a positive rating action on
AlfaStrakhovanie over the next 12 months if capital were to improve
well above our 'BBB' range because of a capital injection or
higher-than-expected net retained earnings. Sustainably improved
quality of invested assets or of the operating environment for
Russian insurance companies would also be credit supportive.

"Future rating actions would be also hinge on our view of potential
constraints coming from the wider ABH Holdings group's
creditworthiness on AlfaStrakhovanie's overall financial strength.
So far, we believe that a modest deterioration of ABH Holdings'
creditworthiness will not automatically affect the rating on
Alfastrakhovanie."




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

BOLUDA TOWAGE: S&P Alters Outlook to Negative & Affirms BB- Rating
------------------------------------------------------------------
S&P Global Ratings revised its outlook on Spanish tugboat operator
and towage service provider Boluda Towage S.L. to negative from
stable, and affirmed its 'BB-' ratings on the company and its
secured term loan facilities.

Boluda's earnings will be under pressure in 2020 amid the
challenging industry conditions.   Furthermore, a path to recovery
for Boluda depends on the evolution of the COVID-19 pandemic and
its ultimate impact on the global economy and trade volumes. S&P
said, "We anticipate Boluda's tug moves (a primary indicator of the
company's activity) will decline by up to 10% in 2020, tracking our
expectation of global trade volumes falling by up to 15%. The
revenue shortfall and partly fixed operating costs will compress
earnings. We estimate that adjusted EBITDA will drop to EUR125
million-EUR130 million in 2020 from EUR145 million in 2019, which
is markedly below our previous base case of EUR165 million-EUR170
million."

S&P said, "We expect that Boluda will partly counterbalance its
shrinking EBITDA with free cash flow generation, while credit
measures might turnaround from 2021.  Boluda will reduce capital
expenditure (capex) to about EUR50 million in 2020, from about
EUR75 million in 2019, and maintain a good grip on working capital,
allowing it to generate EUR20 million-EUR30 million of free
operating cash flow (FOCF) according to our base case. In addition,
we believe the company will not distribute any dividends in 2020
(or 2021), allocating excess cash flows to reduce net debt, thereby
tempering erosion of its credit measures. We forecast S&P Global
Ratings-adjusted funds from operations (FFO) to debt will be 9%-10%
in 2020 versus our previous base case of 13%-14% and our rating
threshold of at least 12%. Although we envisage Boluda's EBITDA
performance, FOCF generation, and deleveraging capacity will
strengthen in 2021 as global port activity recovers, with adjusted
FFO to debt approaching 12%, low visibility means our forecasts are
subject to high risks."

Uninterrupted free cash flow generation and adequate liquidity are
key credit considerations.  S&P said, "We expect liquidity sources
will exceed uses by about 3x in the upcoming 12 months. As of March
31, 2020, we forecast Boluda's accessible cash totaled close to
EUR50 million, complemented by about EUR70 million of availability
under its committed long-term revolving credit facility (RCF) of
EUR90 million, subject to a springing covenant when 40% or more is
drawn. The company has no leverage or interest-coverage covenants
attached to its outstanding debt. Liquidity is supported by the
long-term maturity profile, with the first bullet maturity in 2026
when the RCF and senior secured term loan facility are due."

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

-- Health and safety

S&P said, "The negative outlook reflects that Boluda's financial
metrics will be below our thresholds for the rating in 2020 and a
risk that the company's deleveraging could be further delayed.

"We would lower the rating in the next 6-12 months if we expected
adjusted FFO to debt to remain below 12% for a sustained period.
This could happen if operating conditions do not ease from the
second half of 2020, with global trade dropping more than we
currently expect, leading to continued sluggish port calls. Or, if
once port calls rebound to pre-COVID-19 levels, Boluda prioritized
external growth through acquisitions ahead of deleveraging,
preventing a quick recovery of adjusted FFO to debt to a
rating-commensurate level.

"We could also lower the rating if FOCF turns negative
unexpectedly, putting pressure on Boluda's liquidity.

"We could revise the outlook to stable if Boluda's operating
performance rebounds, with EBITDA appearing to reach the 2019-level
of EUR140 million-EUR150 million, and if the recovery is robust
enough to enable the company to restore its adjusted FFO to debt to
at least 12%, while maintaining solid liquidity."


GRUPO ALDESA: Fitch Affirms Then Withdraws BB- LT IDR
-----------------------------------------------------
Fitch Ratings has affirmed Spanish engineering and construction
company Grupo Aldesa S.A.'s Long-Term Issuer Default Rating at
'BB-'. The Outlook on the IDR is Stable. Concurrently, Fitch has
chosen to withdraw the rating of Aldesa for commercial reasons.

The affirmation reflects improved financial structure and financial
flexibility after its immediate parent, CRCC International
Investment Group, a wholly owned subsidiary of China Railway
Construction Corporation Limited, acquired a 75% stake in Aldesa
while existing shareholders retained the remaining 25% of the share
capital. The transaction included an around EUR256 million capital
increase, which was used to redeem Aldesa's EUR245 million
Luxembourg bond on May 19.

Fitch believes that the positive impact of the transaction on
Aldesa's leverage profile and liquidity position outweighs the
deterioration in profitability resulting from coronavirus-related
disruptions and low orders in recent quarters. The rating
incorporates a one-notch uplift to reflect Aldesa's links with the
stronger CRCC. Fitch assesses overall ties between the two
companies as moderate under Fitch's "Parent and Subsidiary Rating
Linkage Criteria".

CRCC is one of the largest integrated construction groups in the
world, with revenues of over USD115 billion in 2019.

The ratings were withdrawn for commercial purposes.

KEY RATING DRIVERS

There has been no material change in Grupo Aldesa's credit profile
since the previous rating action on May 21, 2020.

DERIVATION SUMMARY

Aldesa's business profile is somewhat stronger than Obrascon Huarte
Lain SA's (OHL; CC). OHL's larger scale, broader geographic
diversification and stronger market position in roads and railways
are more than offset by large working capital requirements and
persistent issues with contract risk management in many legacy
projects across different markets and business segments. Aldesa's
financial profile is also stronger than OHL's given lower leverage
and sound financial flexibility. The recent transaction has
strengthened Aldesa's liquidity profile and reduced short-term
refinancing risk, compared with OHL's ongoing large cash
consumption and weakening financial flexibility.

KEY ASSUMPTIONS

  - Revenues to decline in low teens in 2019 and mid-single digits
in 2020 followed by low to mid-single-digit growth in 2021-2022

  - Recourse EBITDA margin of 5.2% in 2019 to sharply decline to
around 3% in 2020 followed by increase to 5.3% in 2021 and 6.3% in
2022

  - Working capital consumption at around 5% of revenues in 2020,
followed by 2% annually up to 2022

  - Capex at EUR9 million in 2019 and EUR10 million annually in
2020-2022

  - No dividends from non-recourse subsidiaries

  - No dividends paid to common shareholder

  - No material asset disposals

RATING SENSITIVITIES

Rating sensitivities are no longer relevant as the ratings have
been withdrawn.

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.

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).



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

SELECTA GROUP: Moody's Cuts CFR to Caa3, Outlook Negative
---------------------------------------------------------
Moody's Investors Service has downgraded to Caa3 from Caa1 the
Corporate Family Rating of Selecta Group B.V. The rating agency has
also downgraded Selecta's probability of default rating to Ca-PD
from Caa1-PD, has downgraded to Caa3 from Caa1 the company's EUR865
million senior secured notes, EUR375 million senior secured
floating rate notes and CHF250 million senior secured notes, all
due 2024, and has downgraded to B3 from B2 the company's EUR150
million super senior secured revolving credit facility due 2023.
The outlook remains negative.

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. Selecta's business model is particularly
affected by social distancing measures in most of its countries of
operation, which have severely impacted both its public and
workplace vending machines offering.

Today's action reflects the impact on Selecta of the deterioration
in credit quality and liquidity which has left the company
vulnerable to shifts in market sentiment in these unprecedented
operating conditions. The company's capital structure looks
increasingly unsustainable with a restructuring likely in the near
term.

Selecta's Moody's-adjusted (gross) debt/EBITDA ratio was 9.2x
(including IFRS16) as of LTM March 2020 while EBITA/interest
expense was 0.6x. In the absence of a restructuring and support
from the sponsor, Moody's expects credit quality and metrics to
deteriorate significantly over the coming quarters.

Moody's expects Selecta to experience significant deterioration in
its liquidity position, on the back of a severe contraction in sale
volumes. Although the company's liquidity consisted of EUR110
million of cash on balance sheet as at March 31, 2020, with most of
the EUR150 million revolving credit facility drawn, Moody's
anticipate that a large portion of this liquidity will be used to
fund operations, leaving the company with tight liquidity. Moody's
expects the EUR50 million liquidity line recently provided by the
sponsor to be utilized in Q2 2020. The company may find it
challenging to pay the upcoming approximately EUR40 million
interest due in October 2020.

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.

Moody's also notes the recent changes to Selecta's management and
Board, with the latter no longer including any independent
members.

STRUCTURAL CONSIDERATIONS

Selecta's debt structure comprises a EUR150 million SSRCF and
approximately EUR1.45 billion (euro equivalent) senior secured
notes, all issued by Selecta Group B.V. The SSRCF is rated at B3,
three notches higher than the SSN, at Caa3, reflecting its priority
ranking. Both the SSRCF and SSN are guaranteed by group companies
representing at least 80% of consolidated EBITDA and are secured
principally by share pledges over the guarantors, in each case
subject to legal limitations. The probability of default rating is
one notch lower than the CFR because of Moody's expectation of an
imminent restructuring.

RATING OUTLOOK

The negative outlook reflects the severe disruption caused to the
company's operations and the uncertain path and timing of any
recovery, and the risk that the coronavirus outbreak may have
longer-lasting negative effects on consumer sentiment and
purchasing power. The outlook also reflects the weak cash position
with limited sources of additional available liquidity.

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

The rating is weakly positioned, and an upgrade therefore is not
expected in the near term. Positive pressure would build if the
likelihood of a restructuring is substantially reduced, the company
sustainably and significantly improves its liquidity headroom, and
operating performance stabilizes or improves.

The rating could be downgraded if there is a material worsening in
the company's prospects in respect of a restructuring and in
expectations for debt recoveries, or if there is further
deterioration in liquidity.

PRINCIPAL METHODOLOGY

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

LIST OF AFFECTED RATINGS:

Issuer: Selecta Group B.V.

Downgrades:

LT Corporate Family Rating, Downgraded to Caa3 from Caa1

Probability of Default Rating, Downgraded to Ca-PD from Caa1-PD

Senior Secured Bank Credit Facility, Downgraded to B3 from B2

Backed Senior Secured Regular Bond/Debenture, Downgraded to Caa3
from Caa1

Outlook Actions:

Outlook, Remains Negative

COMPANY PROFILE

Selecta is the leading route based unattended self-service coffee
and convenience food provider in Europe by revenue, with operations
in 16 countries across Europe. It operates a network of more than
460,000 snack and beverage vending machines on behalf of a broad
and diverse client base, including private and public
organizations. Selecta is ultimately owned by KKR.



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

AZURE FINANCE NO. 2: S&P Puts Prelim CCC Rating to X1-Dfrd Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to Azure
Finance No. 2 PLC's (Azure 2's) class A, B, C, D-Dfrd, E-Dfrd,
F-Dfrd, and X1-Dfrd notes. At closing, the issuer will also issue
unrated subordinated class X2 notes.

S&P's preliminary ratings on the class A, B, and C notes address
the timely payment of interest and ultimate payment of principal,
while its preliminary ratings on the class D-Dfrd, E-Dfrd, F-Dfrd,
and X1-Dfrd notes address the ultimate payment of both interest and
principal no later than the legal final maturity date.

Azure 2 is the second public securitization of U.K. auto loans
originated by Blue Motor Finance Ltd. Blue is an independent auto
lender in the U.K., with a focus on used car financing for prime
and near-prime customers.

The class A through F-Dfrd notes will be collateralized by a static
pool of U.K. fully amortizing fixed-rate auto loan receivables
arising under hire purchase (HP) agreements granted to borrowers
resident in the U.K. for the purchase of used and new vehicles
(including light commercial vehicles and motorcycles). There are no
personal contract purchase (PCP) agreements in the pool; therefore
the transaction is not exposed to residual value risk. The X1-Dfrd
and X2 notes will be uncollateralized and will be repaid from any
available excess spread.

The transaction will have separate waterfalls for interest and
principal collections, and the notes will amortize fully
sequentially from day one.

There will be dedicated reserve amounts for each class of notes,
excluding class X1-Dfrd and X2, which will be funded at closing and
available to cover any senior expense shortfalls or to pay interest
shortfalls for the respective class over the life of the
transaction. The required reserve amount for each class will
amortize in line with the outstanding note balance.

A combination of note subordination, cash reserves, and any
available excess spread will provide credit enhancement for the
rated notes.

Blue will remain the initial servicer of the portfolio. Following a
servicer termination event, including insolvency of the servicer,
the back-up servicer, Equiniti Gateway Ltd., will assume servicing
responsibility for the portfolio.

The assets pay a monthly fixed interest rate, and the rated notes
pay compounded daily Sterling Overnight Index Average (SONIA) plus
a margin, subject to a floor of zero. To mitigate fixed-float
interest rate risk, the notes benefit from an interest rate cap.

S&P said, "We expect the final documentation to adequately mitigate
counterparty risk in line with our criteria. There is a declaration
of trust over the servicer's collection account, which partially
mitigates commingling risk. However, due to the lack of minimum
required ratings and remedies for the collection account bank, we
have assumed one week of commingling loss in the event of the
account provider's insolvency. We deem set-off risk to be fully
mitigated.

"The issuer is an English special-purpose entity, which we consider
to be bankruptcy remote. We expect that the legal opinions will
provide assurance that the sale of the assets would survive the
seller's insolvency, and that tax opinions will address the
issuer's tax liabilities under the current tax legislation. We
believe that the issuer's cash flows would be sufficient to meet
all the tax liabilities identified.

"Our preliminary ratings on this transaction are not constrained by
our operational risk criteria, counterparty risk criteria, or
structured finance ratings above the sovereign criteria."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavius 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."

  Ratings List

  Class   Preliminary rating   Preliminary amount (mil. GBP)
  A           AAA (sf)             TBD
  B           A+ (sf)              TBD
  C           BBB+ (sf)            TBD
  D-Dfrd      BBB- (sf)            TBD
  E-Dfrd      B (sf)               TBD
  F-Dfrd      CCC+ (sf)            TBD
  X1-Dfrd     CCC (sf)             TBD
  X2          NR                   TBD

  TBD--To be determined.
  NR--Not rated.


AZURE FINANCE: Moody's Gives (P)Caa2 Rating on Class X1 Notes
-------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to Notes to be issued by Azure Finance No.2 plc:

GBP [ ] M Class A Floating Rate Notes due July 2030, Assigned
(P)Aaa (sf)

GBP [ ] M Class B Floating Rate Notes due July 2030, Assigned
(P)Aa1 (sf)

GBP [ ] M Class C Floating Rate Notes due July 2030, Assigned (P)A3
(sf)

GBP [ ] M Class D Floating Rate Notes due July 2030, Assigned
(P)Ba1 (sf)

GBP [ ] M Class E Floating Rate Notes due July 2030, Assigned (P)B1
(sf)

GBP [ ] M Class F Floating Rate Notes due July 2030, Assigned
(P)Caa1 (sf)

GBP [ ] M Class X1 Floating Rate Notes due July 2030, Assigned
(P)Caa2 (sf)

Moody's has not assigned a rating to the GBP [ ]M Class X2 Floating
Rate Notes due July 2030.

The transaction is a static cash securitisation of agreements
entered into for the purpose of financing vehicles to obligors in
the United Kingdom by Blue Motor Finance Limited (NR). This is the
second public securitisation transaction sponsored by Blue. The
originator will also act as the servicer of the portfolio during
the life of the transaction.

The portfolio of receivables backing the Notes consists of Hire
Purchase agreements granted to individuals' resident in the United
Kingdom. Hire Purchase agreements are a form of secured financing
without the option to hand the car back at maturity. Therefore,
there is no explicit residual value risk in the transaction. Under
the terms of the HP agreements, the originator retains legal title
to the vehicles until the borrower has made all scheduled payments
required under the contract.

As of 31 May 2020, the provisional portfolio of underlying assets
totalled GBP 195.3 million and consisted of 23,195 agreements
mainly originated between 2019 and 2020 financing the purchase of
predominantly used (98.7%) vehicles distributed through national
and regional dealers as well as brokers. It has a weighted average
seasoning of 4.7 months and a weighted average remaining term of
4.5 years. The pool's current weighted average LTV is 92.03%.

RATINGS RATIONALE

The transaction's main credit strengths are the significant excess
spread, the static and granular nature of the portfolio, and
counterparty support through the back-up servicer (Equinity Gateway
Limited trading as Equiniti Credit Services (NR)), interest rate
hedge provider (Barclays Bank PLC A1(cr)/P-1(cr)) and independent
cash manager (Citibank N.A., London Branch Aa3/(P)P-1 senior
unsecured; Aa3(cr)/P-1(cr)). The structure contains tranche
specific cash reserves which in aggregate equal 1.4% of the pool,
and will amortise in line with the Notes. Each tranche reserve will
be purely available to cover liquidity shortfalls related to the
relevant Note throughout the life of the transaction and can serve
as credit enhancement following the tranche's repayment. The Class
A reserve provides approximately [6] months of liquidity at the
beginning of the transaction. The portfolio has an initial yield of
13.75%. Available excess spread can be trapped to cover defaults
and losses, as well as to replenish the tranche reserves to their
target level through the waterfall mechanism present in the
structure.

However, Moody's notes some credit weaknesses in the transaction.
First, the pool includes material exposure to higher risk
borrowers. For example, some borrowers may previously have been on
debt management plans or currently be in low level arrears on other
unsecured contracts. Although these features are reflected in the
originator's scorecard, and exposure to the highest risk borrowers
(risk tiers 6-8 under the originator's scoring) is limited at 8.23%
of the initial pool, the effect is that the pool is riskier than a
typical benchmark UK prime auto pool. Second, operational risk is
higher than a typical UK auto deal because Blue is an unrated
entity acting as originator and servicer to the transaction. The
transaction does envisage certain structural mitigants to
operational risk such as a back-up servicer, independent cash
manager, and tranche specific cash reserves, which cover
approximately [6] months of liquidity for the Class A Notes at deal
close. Third, the structure does not include principal to pay
interest for any Class of Notes, which makes it more dependent on
excess spread and the tranche specific cash reserves combined with
the back-up servicing arrangement to maintain timeliness of
interest payments on the Notes. Fourth, the historic vintage
default and recovery data does not cover a full economic cycle,
reflecting Blue's short trading history (it began lending
meaningful amounts in its current form in 2015). The data cover
approximately five years that Blue has been originating.

In addition, the underlying obligors may exercise the right of
voluntary termination as per the Consumer Credit Act, whereby an
obligor has the option to return the vehicle to the originator in
reasonable condition as long as the obligor has made payments equal
to at least one half of the total financed amount. If the obligor
returns the vehicle, the issuer may be exposed to residual value
risk. The potential for additional losses due to these risks has
been incorporated into Moody's quantitative analysis.

Moody's analysis focused, among other factors, on (i) an evaluation
of the underlying portfolio; (ii) historical performance
information; (iii) the credit enhancement provided by
subordination, by the excess spread and the tranche reserves; (iv)
the liquidity support available in the transaction through the
tranche reserves; (v) the back-up servicing arrangement of the
transaction; (vi) the independent cash manager and (vii) the legal
and structural integrity of the transaction.

MAIN MODEL ASSUMPTIONS:

Moody's determined portfolio lifetime expected defaults of 12.0%,
expected recoveries of 35.0% and a Aaa portfolio credit enhancement
of 32.0% related to the borrower receivables. The expected default
captures its expectations of performance considering the current
economic outlook, while the PCE captures the loss Moody's expects
the portfolio to suffer in the event of a severe recession
scenario. Expected defaults and PCE are parameters used by Moody's
to calibrate its lognormal portfolio default distribution curve and
to associate a probability with each potential future default
scenario in its ABSROM cash flow model.

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

The portfolio expected mean default level of 12% is higher than
other UK auto transactions and is based on Moody's assessment of
the lifetime expectation for the pool taking into account: (i) the
higher average risk of the borrowers; (ii) the historic performance
of the loan book of the originator; (iii) benchmark transactions;
and (iv) other qualitative considerations.

Portfolio expected recoveries of 35.0% are lower than the UK auto
average and are based on Moody's assessment of the lifetime
expectation for the pool taking into account: (i) older average age
of the vehicles; (ii) historic performance of the loan book of the
originator; (iii) benchmark transactions; and (iv) other
qualitative considerations.

The PCE of 32.0% is higher than the average of its UK auto peers
and is based on Moody's assessment of the pool taking into account
the higher risk profile of the pool borrowers and relative ranking
to originator peers in the UK auto and consumer markets. The PCE of
32% results in an implied coefficient of variation of 35.6%.

AUTO SECTOR TRANSFORMATION:

The automotive sector is undergoing a technology-driven
transformation which will have credit implications for auto finance
and lease portfolios. Technological obsolescence, shifts in demand
patterns and changes in government policy will result in some
segments experiencing greater volatility in the level of recoveries
and residual values compared with those seen historically. For
example, diesel engines have declined in popularity and older
engine types face restrictions in certain metropolitan areas.
Similarly, the rise in popularity of alternative fuel vehicles
introduces uncertainty in the future price trends of both legacy
engine types and AFVs themselves because of evolutions in
technology, battery costs and government incentives. As of the
cut-off date 31 May 2020, the securitised portfolio is backed by
63% of vehicles with diesel engines of which 25.1% were produced in
or before 2013 and as such adhere to Euro 5 emission standards or
earlier. 3.5% of the portfolio are labelled as "Other" fuel type.

METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
July 2020.

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

Factors that may cause an upgrade of the ratings of Class B-X1
Notes include significantly better than expected performance of the
pool together with an increase in credit enhancement of Notes.

Factors that may cause a downgrade of the Class A-X1 Notes rating
include a decline in the overall performance of the pool or a
significant deterioration of the credit profile of the servicer's
parent, Santander Consumer Finance S.A.

Please note that a Request for Comment was published in which
Moody's requested market feedback on potential revisions to one or
more of the methodologies used in determining these Credit Ratings.
If the revised methodologies are implemented as proposed, the
Credit Ratings referenced in this press release will not be
affected.

B&M EUROPEAN: S&P Ups LT Rating to BB- After Completed Refinancing
------------------------------------------------------------------
S&P Global Ratings raised its long-term rating on B&M European
Value Retail S.A., the group's parent, to 'BB-' from 'B+', and
removing the rating from the CreditWatch with positive
implications, where S&P placed it on July 1, 2020. S&P also
assigned its 'BB-' issue rating to the GBP400 million senior
secured notes due 2025 and withdrawing all ratings on the
refinanced debt.

The recent refinancing resolved the short-term refinancing risk and
shored up liquidity, while having a largely neutral effect on the
group's leverage.

In the recently completed transaction, B&M cumulatively raised
GBP455 million in bank facilities and GBP400 million senior secured
notes, all ranking at the same seniority. The group used the
proceeds to fully repay the GBP300 million TLA due July 2021 and
the GBP250 million notes due February 2022. In addition, as part of
the refinancing transaction, the group prepaid its GBP82 million
drawings under the acquisition facility. As a result, B&M's next
bullet debt repayment will be in April 2025, excluding the modest
amortization of the loan facilities borrowed directly by its
subsidiaries, Heron Foods (U.K.) and Babou (France), of up to GBP10
million equivalent annually. This has effectively removed B&M's
exposure to short-term refinancing risk and extended the
weighted-average maturity of the capital structure to over four
years. At the same time, as the group is not planning any material
acquisitions or special dividend payments over the next 12 months,
the GBP56 million additional cash raised as part of the transaction
will be netted against the higher amount of debt. The transaction
therefore has a largely neutral effect on our adjusted credit
metrics. S&P expects B&M to post S&P Global Ratings-adjusted debt
to EBITDA of 3.3x–3.5x; FOCF, after all lease-related payments,
of GBP130 million-GBP160 million; and an EBITDAR-to-cash-interest
plus rent ratio of close to 2.3x in the financial year ending Feb.
28, 2021 (FY2021).

B&M has performed robustly since COVID-19-related social distancing
measures were introduced in the U.K. in March 2020, benefiting from
customer stockpiling and favorable spring weather.  In the first 12
weeks of trading in FY2021, which extended through the
COVID-19-related lockdown period and beyond, B&M benefited from its
status as an essential retailer and closed only 49 of its 656 U.K.
stores, with all stores having reopened in May. The group reported
robust performance in its home market, with like-for-like growth
for B&M's U.K. fascia of 26.9% overall after 12 weeks' trading.
Despite the uncertainties caused by the pandemic and restrictions
to social activities, the group benefited from favorable spring
weather, the large-format and out-of-town locations of its B&M
fascia, and popular convenience format of its Heron Foods stores.
Moreover, the product mix is centered across grocery, household,
personal care, DIY, gardening, and small-ticket hardware categories
offered at low prices. This led to a drastic increase in basket
size--up to 72% at the peak of demand--offsetting the temporary
decline in footfall. While the group's Babou fascia stores in
France had to shut for eight weeks during lockdown, the first few
weeks' performance since reopening is encouraging. We think the
group's versatile product mix, value price bracket, and comfortable
product availability--due to the strategy of holding over 12 weeks'
worth of general merchandise stock in the U.K.--should continue to
support robust performance. We forecast 8%-10% revenue growth in
FY2021, slowing to about 3%-5% in FY2022 as like-for-like sales
decelerate and new store openings are delayed until the end of
FY2021.

Positive cash generation and more than GBP50 million cash proceeds
from the debt issued on top of the refinancing amount will boost
B&M's short-term liquidity reserves.   S&P said, "Following the
successful issue of the GBP400 million senior secured notes and the
completion of the refinancing transaction, we estimate B&M's cash
position to be about GBP216 million. Over the next 12 months, we
forecast FOCF will remain positive, on the back of resilient
earnings and the planned slowdown in rolling out new stores, which
will reduce capital expenditure (capex). We anticipate, however,
that while providing additional liquidity in the short term,
eventually part of this cash could be distributed to shareholders,
as B&M will likely continue paying its ordinary dividends in both
FY2021 and FY2022." The strength of B&M's credit metrics and
liquidity position over the next two-to-three years will depend on
the company's financial policy after the pandemic.

S&P said, "Once the situation has normalized, we expect B&M to
return to 5%-10% growth, supporting our opinion of the group's
resilience.   We expect consumers will reduce their discretionary
spending given the volatile macroeconomic environment and the
mounting uncertainty around the severity and duration of the
pandemic. Moreover, competition will likely gain momentum as other
stores reopen after the lockdown and offer more diverse products
and shopping experience. We therefore expect earnings growth to
slow down in the third quarter of calendar year 2020. However, with
its varied range of value-priced products, B&M generally fairs
better than its mid-market peers in times of high uncertainty and
weakened purchasing power, which we expect will prevail in the U.K.
and France over the next two-to-three years."

Uncertainties regarding the COVID-19 pandemic are clouding earnings
visibility.  S&P said, "We acknowledge a high degree of uncertainty
about the evolution of the coronavirus pandemic. The consensus
among health experts is that the pandemic may now be at, or near,
its peak in some regions but will remain a threat until a vaccine
or effective treatment is widely available, which may not occur
until the second half of 2021. We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly. We see a risk that governments could
impose further restrictions or that current restrictions may
continue for longer than we anticipate. This clouds our projections
of B&M's future earnings and cash. Downside risk to our projections
stems, for example, from customers not willing to queue in order to
gain access to the store in the cold weather, thus restricting peak
season sales, particularly as B&M solely relies on stores to
generate its sales in the absence of any e-commerce channel."

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

-- Health and safety.

S&P said, "The stable outlook balances B&M's resilient trading
performance throughout the pandemic; the pressures arising from a
deteriorating economic environment, which could reduce consumers'
confidence and disposable income; and the increasing competition
following store reopenings since the second half of May. We believe
B&M will continue to implement its store expansion strategy,
possibly with some delays caused by the lockdown earlier this year,
resulting in steady sales and profit growth. As a result, we expect
an S&P Global Ratings-adjusted funds from operations (FFO)-to-debt
ratio of 18%-22% over the next 12 months, positive reported FOCF
generation after lease payments, and an EBITDAR coverage ratio
(defined as reported EBITDA to cash interest plus rent) close to
2.3x.

"We could take a negative rating action if the group was unable to
execute its growth strategy, or if COVID-19-related disruption
resulted in operating setbacks and a decline in B&M's revenues or
profits. In particular, we could lower the ratings if the EBITDAR
coverage ratio were to drop below 2.2x, or we expected a material
weakening in the group's ability to generate substantial reported
FOCF due to operating shortfalls, changes in terms with suppliers,
or excessive capex or shareholder payouts."

Although unlikely in the next 12 months amid the current highly
volatile trading environment, we could take a positive rating
action on B&M if its credit measures materially and sustainably
improved such that the EBITDAR coverage ratio exceeded 2.5x.

A positive rating action would also hinge on B&M committing to a
more conservative financial policy that would support improved
ratios and the group generating material positive discretionary
cash flows on a sustainable basis.


CHILANGO: To Put Business Up for Sale as Part of Administration
---------------------------------------------------------------
Alice Hancock at The Financial Times reports that Chilango, the
London-focused Mexican restaurant chain, is to put itself up for
sale as part of an administration process as a result of the
pandemic crisis.

According to the FT, the 12-site chain, which became known for
offering "burrito bonds" to help fund expansion, wrote to investors
on July 22 saying it had done its "very best to mitigate the
pandemic's impact" but that the efforts had "not been sufficient to
secure the future of our business".

The company said it would file a notice of intent to appoint
administrators "in coming days", which will protect it from
creditors, and that the restructuring advisers RSM would launch a
sale process, the FT relates.

A source close to the discussions said that a sale of the business
through a prepack administration was expected in the next two to
five weeks, the FT notes.

But news of the sale has angered some investors who consider that
there had been "zero corporate governance" of the chain, the FT
relays, citing one of Chilango's original shareholders.

In November, its auditors, Grant Thornton, refused to sign off the
accounts for the business and in January the company was forced to
undergo a company voluntary arrangement to restructure its debt
after a fall in earnings caused by increasingly expensive leases
and growing fixed costs, the FT recounts.

Under the plans, bondholders were due to receive an 8% annual
dividend that would be paid if Chilango was sold or if its
management approved a payment, the FT states.

In the July 22 letter, Chilango, as cited by the FT, said that the
conversion of debt to equity would be paused so that bondholders,
who would rank above shareholders as creditors, would not be
disadvantaged.


CRUISE & MARITIME: Failure to Find Funding Prompts Administration
-----------------------------------------------------------------
Business Sale reports that Cruise & Maritime Voyages (CMV) has gone
into administration after failing to find funding following the
massive impact of COVID-19 on the industry.

The company has appointed Paul Williams, Phil Dakin and Edward
Bines from Duff & Phelps as joint administrators, Business Sale
relates.  CMV has ceased trading with immediate effect, Business
Sale discloses.

Essex-based CMV, which operated out of Tilbury, was founded in 2010
and has six ships in its fleet, including Marco Polo, Magellan and
Columbus.  The company employs around 4,000 staff, no details have
been released about possible redundancies, Business Sale notes.

CEO Christian Verhounig said that the company had sold close to 90
per cent of its 2020 capacity, before COVID-19 halted operations in
March, as well as almost 50 per cent of 2021 UK capacity, Business
Sale relays.

Last month, the company said that it was holding talks to "improve
its liquidity position" following the impact of COVID-19, with
concerns that the company was desperately in need of funding,
Business Sale recounts.

"The directors have all worked tirelessly with CMV's financial
advisers, investment bankers, lawyers, and numerous private equity
and hedge fund investors to try and secure the funding required to
enable CMV to weather the storm," Business Sale quotes Mr.
Verhounig as saying.

According to Business Sale, Mr. Verhounig pointed out that the
company was celebrating a record trading year and ten years in
business but: "Despite this positive forward booking position, we
could just not get the financing deal over the line in time to save
this wonderful business."


FINABLR: Taps Skadden to Help Investigate Potential Wrongdoing
--------------------------------------------------------------
Daniel Thomas and Simeon Kerr at The Financial Times report that
Finablr has appointed law firm Skadden to help investigate
potential wrongdoing and theft within the payments group as it
seeks answers about GBP1 billion of undisclosed debt discovered on
its balance sheet earlier this year.

UAE-based Finablr is part of the business empire of BR Shetty, who
floated the group in London last year at a valuation of about
GBP1.2 billion.  He has remained co-chairman and a major
shareholder.

Finablr's shares have been suspended since it warned earlier this
year that it could face insolvency, the FT notes.  It has also lost
control of Travelex, the world's largest retail currency dealer, to
creditors, the FT states.

According to the FT, Finablr said on July 22 that Skadden, Arps,
Slate, Meagher & Flom had been appointed as lead counsel to help
the company investigate "historic potential malfeasance . . . and
any misappropriation of assets".  It said Skadden would also
"facilitate the pursuit of potential claims which are the subject
of the investigation", the FT relays.

In April, a separate investigation by Houlihan Lokey and Kroll
found GBP1.3 billion of net debt in Finablr's accounts, about four
times more than previously disclosed, the FT recounts.

The company, as cited by the FT, said that forensic experts would
also be appointed to an investigation that will include a
comprehensive review of the groups' payments and transactions.

Finablr hopes to recover hundreds of millions of dollars from some
of its owners and previous employees through legal action, the FT
relays, citing one person briefed on the matter.

Of the US$1 billion of unreported debt that has now been uncovered,
the majority is alleged to have been misappropriated, according to
initial findings, the FT notes.

The person added Finablr, which faced a severe liquidity crunch
earlier this year, was working closely with creditors to resolve
its cash flow problems, according to the FT.


RESIDENTIAL MORTGAGE 32: Fitch Rates Class X1 Debt B(EXP)sf
-----------------------------------------------------------
Fitch Ratings has assigned Residential Mortgage Securities 32 plc
expected ratings.

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

Residential Mortgage Securities 32 PLC

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

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

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

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

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

  - Class F1; LT B(EXP)sf Expected Rating

  - Class F2; LT NR(EXP)sf Expected Rating

  - Class X1; LT B(EXP)sf Expected Rating

  - Class X2; LT NR(EXP)sf Expected Rating

  - Class Z; LT NR(EXP)sf Expected Rating

TRANSACTION SUMMARY

RMS32 is a securitisation of non-prime owner-occupied and
buy-to-let mortgages backed by properties in the UK. The mortgages
were originated primarily by Kensington Mortgage Company (47.3%),
London Mortgage Company (22.2%) and Money Partners Limited
(15.9%).

The assets have been securitised in five previous rated
transactions: Residential Mortgage Securities 26 Plc; Residential
Mortgage Securities 28 Plc; Kensington Mortgage Securities plc -
Series 2007-1; Marble Arch Residential Securitisation Ltd No 4; and
Southern Pacific Securities 05-3Plc.

KEY RATING DRIVERS

Coronavirus-related Alternative Assumptions

Fitch Ratings expects a generalised weakening in borrowers' ability
to keep up with mortgage payments due to the economic impact of the
coronavirus pandemic and related containment measures. As a result,
Fitch applied updated criteria assumptions to RMS32's mortgage
portfolio.

The combined application of revised 'Bsf' representative pool's
weighted average foreclosure frequency, revised rating multiples
and arrears adjustment resulted in a Bsf' multiple of 1.20x to the
current FF assumptions and of 1.02x at 'AAAsf'. The updated
assumptions are more modest for higher ratings as the corresponding
rating assumptions are already meant to withstand more severe
shocks.

Seasoned Non-Prime Loans

The portfolio consists of 14-year seasoned loans originated
primarily between 1996 and 2008. The OO loans (87.9% of the pool)
contain a high proportion of self-certified, interest-only and
restructured loan arrangements, and 19.5% are in arrears by more
than one payment. Fitch therefore applied its non-conforming
assumptions to this sub-pool.

When setting the originator adjustment for the portfolio Fitch took
into account factors including the historical performance and
average annualised constant default rate since closing of the RM26,
RMS 28, KMS2007-1, MARS4 and SPS05-3 transactions. This resulted in
an originator adjustment of 1.0x for the OO sub-pool and1.5x for
the BTL sub-pool.

Impact of Payment Holidays

As at July 13, 21.2% of the portfolio's loans were on payment
holidays. In line with Financial Conduct Authority guidance,
Kensington grants payment holidays based on a borrower's
self-certification. Fitch expects providing borrowers with a
payment holiday of up to six months to have a temporary positive
impact on loan performance. However, the transaction may face some
liquidity constraints if a large number of borrowers opt for a
payment holiday.

Fitch also applied a payment holiday stress for the first six
months of its projections, assuming up to 30% of interest
collections will be lost and related principal receipts will be
delayed.

Unhedged Basis Risk

The pool contains 26.4% of loans linked to the Bank of England base
rate and 60.5% linked to the Kensington variable rate or the Money
Partners variable rate, with the remainder linked to Libor. As the
notes pay daily compounded SONIA, the transaction will be exposed
to basis risk between the BBR and SONIA. Fitch stressed the
transaction's cash flows for basis risk, in line with its
criteria.

RATING SENSITIVITIES

Downgrade Rating Sensitivity to Coronavirus-Related Stresses

Due to the coronavirus pandemic, the broader global economy remains
under stress, with surging unemployment and pressure on businesses
stemming from social-distancing guidelines. Recent government
measures related to the coronavirus pandemic allow for mortgage
payment holidays of up to six months. Fitch acknowledges the
uncertainty of the path of coronavirus-related containment measures
and has therefore considered more severe economic scenarios.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases", Fitch considers a more severe downside coronavirus
scenario for sensitivity purposes whereby a more severe and
prolonged period of stress is assumed with a halting recovery from
2Q21. Under this scenario, Fitch assumed a 15% WAFF increase and a
15% decrease in WA recovery rate. The results indicate up to a
three-notch downgrade of the class A and B notes and a four-notch
downgrade of the class C and D notes.

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

The transaction's performance may be affected by adverse changes in
market conditions and economic environment. Weakening asset
performance is strongly correlated to increasing levels of
delinquencies and defaults that could reduce credit enhancement
available to the notes.

In addition, unanticipated declines in recoveries could result in
lower net proceeds, which may make certain notes susceptible to
negative rating action depending on the extent of the decline in
recoveries. Fitch conducts sensitivity analyses by stressing both a
transaction's base-case FF and RR assumptions by 30%. As a result,
the class A notes' rating would deviate from the expected rating by
up to six notches.

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing credit enhancement and
potentially upgrades. Fitch tested an additional rating sensitivity
scenario by applying a decrease in the FF of 15% and an increase in
the RR of 15%, implying upgrades of the class B and C notes by two
notches and the class D and E notes by four notches.

BEST/WORST CASE RATING SCENARIO

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

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

Fitch was provided with Form ABS Due Diligence-15E as prepared by
Deloitte LLP. The third-party due diligence described in Form 15E
focused on the validation of information contained in the loan
level data compared against that held in the loan files and systems
of the originator and servicer. Fitch considered this information
in its analysis and it did not have an effect on Fitch's analysis
or conclusions.

DATA ADEQUACY

Fitch reviewed the results of a THIRD-PARTY assessment conducted on
the asset portfolio information, and concluded that there were no
findings that affected the rating analysis.

Overall and together with the assumptions referred to above,
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.

ESG CONSIDERATIONS

RMS32 has an ESG Relevance Score of '4' for Social - Human Rights,
Community Relations, Access & Affordability due to due to a
significant proportion of the pool containing owner occupied loans
advanced with limited affordability checks, which has a negative
impact on the credit profile, and is relevant to the ratings in
conjunction with other factors.

RMS32 has an ESG Relevance Score of '4' for Customer Welfare - Fair
Messaging, Privacy & Data Security due to due to the pool
exhibiting an interest-only maturity concentration amongst the
legacy non-conforming owner occupied loans of greater than 40%,
which has a negative impact on the credit profile, and is relevant
to the ratings in conjunction with other factors.

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.

RESIDENTIAL MORTGAGE 32: S&P Assigns B+ Rating to X1-Dfrd Notes
---------------------------------------------------------------
S&P Global Ratings has assigned its preliminary credit ratings to
Residential Mortgage Securities 32 PLC's (RMS 32) class A, B-Dfrd,
C-Dfrd, D-Dfrd, E-Dfrd, F1-Dfrd, and class X1-Dfrd notes. At
closing, the issuer will also issue unrated class F2-Dfrd, X2-Dfrd,
and Z-Dfrd notes.

RMS 32 is a static RMBS transaction that securitizes a portfolio of
GBP653.96 million owner-occupied and BTL mortgage loans secured on
properties in the U.K. There is no prefunding mechanism in this
transaction.

The loans in the pool were originated between 1996 and 2014 by
several originators, including Kensington Mortgage Company Ltd.
(50.72%), Matlock Bank Ltd. (20.16%), and Money Partners Ltd.
(15.91%).

The underlying collateral consists of mortgage loans that were
previously securitized in several transactions.

S&P considers the collateral to be nonconforming based on the
prevalence of loans to borrowers with previous adverse credit
history (23.5%) and borrowers who at origination self-certified
their income (64.5%).

Of the preliminary pool, 24.96% of the mortgage loans have been
granted payment holidays due to COVID-19.

The transaction benefits from liquidity provided by a general
reserve fund, and principal can be used to pay senior fees and
interest on the notes subject to various conditions. A further
liquidity reserve will be funded if the general reserve fund drops
below 1.5%.

Credit enhancement for the rated notes will consist of
subordination and the general reserve fund.

At closing, the issuer will use the issuance proceeds to purchase
the full beneficial interest in the mortgage loans from the seller.
The issuer grants security over all of its assets in favor of the
trustee.

Our preliminary ratings on the notes are not constrained under our
counterparty, operational risk, or structured finance sovereign
risk criteria. S&P consider that the issuer should be bankruptcy
remote.

  Ratings Assigned

  Class     Prelim. rating    Class size (%)
  A             AAA (sf)         80.00
  B-Dfrd        AA+ (sf)          7.50
  C-Dfrd        AA- (sf)          4.00
  D-Dfrd        A (sf)            2.50
  E-Dfrd        BBB (sf)          2.50
  F1-Dfrd       BB- (sf)          1.50
  F2-Dfrd       NR                2.00
  X1-Dfrd       B+ (sf)           2.00
  X2-Dfrd       NR                1.53
  Z-Dfrd        NR                3.00
  Certificates  NR                N/A

  NR--Not rated.
  N/A--Not applicable.
  Dfrd--Deferrable.


STONEGATE PUB: Fitch Gives B-(EXP) LT IDR, Outlook Stable
---------------------------------------------------------
Fitch Ratings has assigned Stonegate Pub Company Financing 2019 PLC
an expected Long-Term Issuer Default Rating of 'B-(EXP)' with a
Stable Outlook and its senior secured debt totaling GBP1,900
million an expected senior secured rating of 'B+(EXP)'/'RR2'.

The assignment of final ratings is contingent on the successful
placement of the long-term financing, with final finance
documentation conforming to information already received.

Fitch expects the enlarged UK pub group Stonegate, following its
recent acquisition of the EI Group portfolio, to revert to its
pro-forma run rate EBITDA by FY22 (end-September 2022) post
pandemic. This, together with realised synergies, should result in
a lease-adjusted net debt/EBITDAR below 6.5x. As at July 2020, over
80% of the enlarged group's pubs are trading, but segments of the
Stonegate portfolio's high-EBITDA pubs remain closed.

EI Group publicans (forming two-thirds of the enlarged group's
profits) have benefited from UK government forms of sector support,
enabling them to promptly re-open on July 4, 2020 and have recorded
high drink volumes. With limited liquidity, the Stonegate group has
reduced its capex to restore inherently positive free cash flow.

KEY RATING DRIVERS

Sizeable Portfolio: The acquisition of the EI Group portfolio has
provided Stonegate with increased purchasing power and a pipeline
of EI Group's leased & tenanted portfolio for selective conversions
to Stonegate or EI Group-managed formats including the latter's
more profitable Craft Union. It will continue to invest in pub
formats and operational publicans to increase EBITDA per pub. Its
existing wet-led L&T portfolio will generate rent and wet income as
well as low yoy increases in profit. Similar to other UK pub
groups, Stonegate will continue to dispose of smaller less
profitable pubs, thereby improving the quality of the remaining
portfolio.

Operating under Coronavirus: Health and safety requirements will
result in reduced capacity across the different predominantly
wet-led pubs, some part-food brands, as well as sports club and
(most severely) late-night venues. Customer numbers will decrease
due to hesitance to visit pubs and weakened UK consumer sentiment.
The recovery towards pre-coronavirus trading conditions is unclear
in the near-term, with a full recovery not envisaged until 2022 at
the earliest. Nevertheless, a permanent decline in volumes in 2022
would put ratings under pressure.

UK Government Support: As well as furlough and a business rates
holiday, according to the rateable value of each pub around 90% of
the group's L&T publicans are each eligible for GBP10,000-
GBP25,000 government grants. Stonegate has also provided trade
credit to aid initial re-stocking. These forms of support have
provided liquidity to cover costs including re-start-up costs and
pay accrued rent. Stonegate management reports that 83% of its L&T
tenants received these grants, which (as represented to Fitch)
amount to these publicans expected annual net income.

Different Operating Capacities: Fitch assumes that Stonegate's town
centre-focused managed brands like Be at One, Venues and Common
Room are severely constrained during July to September (4QFY20) and
will gradually open further in FY21. Other managed outlets operate
(July: 77% opened) at reduced capacity to yield 50%-70% of their
run-rate profits in 4QFY20, improving to 80%-90% by 4QFY21. Over
comparable periods, Fitch expects the EI Group portfolio (80%
opened) to have fewer temporary format closures and, given its
suburban locations, it can operate at slightly higher capacity
(also reaching 90% of pre-coronavirus EBITDA by 4QFY21).

FY20 EBITDA Halved: Compared with a pro-forma annualised EBITDA,
Fitch forecasts that the combined group's FY20 pro forma EBITDA
(1HFY20 assuming a six-month contribution from EI Group, and
minimal from 3QFY20) is around 50% lower, and FY21 EBITDA 30%
lower. This is before potential annualised synergies from the
combined group, of which around half are expected to have been
actioned by December 2020.

Visibility of Near-Term Forecasts: Management has provided limited
post-4 July 2020 trading information indicating L&T wet volumes at
around 85%-90% of pre-coronavirus levels. In the managed portfolio,
where Stonegate controls and assumes operating costs, 70% of
volumes translate into a 70% run-rate EBITDA for opened sites
(including the benefit of the business rates holiday until April
2021). In the L&T portfolio, 70%-80% of volumes translate into
70%-80% run-rate EBITDA for opened sites. Over the next 18-24
months, the combined group also plans to realise GBP80 million
synergies (resulting from the EI Group acquisition including
de-listing, central office and procurement).

Leveraged Capital Structure: Pro-forma, pre-coronavirus, the
combined group's annualised EBITDAR of GBP508 million relative to
drawn debt of GBP3.2 billion (at closing) points to
lease-adjusted/EBITDAR gross leverage of 8.0x (or 6.9x including
GBP80 million of synergies). For FY22 Fitch expects this measure of
leverage to be below 6.5x. Compared with other leveraged finance
credits, the enlarged group has positive post-maintenance capex
FCF. However, with a Fitch-assumed 8% cost of debt under the
current refinancing, FY21 fixed charge coverage is tight at 1.4x
before improving to 1.7x in FY22. Management's focus is to run the
business "for cash" until trading conditions improve before
expansionary capex can be re-activated.

Diversified Wet-led Pub Formats: The enlarged group, primarily
wet-led, is diversified across the UK, with a 48% weighting in the
south. The diversification, with Stonegate weighted to town centre
outlets while EI Group to unbranded suburban pubs, many of which
are with outdoor facilities and closer to WFH workers, aids the
group's profile. The enlarged portfolio combines Stonegate's 761
managed formats yielding an average EBITDAR of GBP270k/pub compared
with EI Group's larger 3,988 L&T portfolio averaging GBP70k/pub.
Using pro-forma annualised EBITDA figures, the EI Group/Stonegate
profit split is approximately 60:40.

Fitch Treatment of Unique: A Fitch-deconsolidation of the
non-recourse Unique Pub Company Finance Company plc whole business
securitisation within the EI Group from the core metrics (FY19
EBITDA: GBP115 million, gross debt GBP672 million) would not
heavily distort group ratios. Unique's assets and debt are not
included in Fitch's recovery ratings. The WBS pub portfolio is
similar to the EI Group portfolio with no discernible adverse
selection. Management intends to wind-down this self-contained
funding structure over time.

DERIVATION SUMMARY

As there is no Fitch navigator framework for UK pubs, Fitch has
rated Stonegate under the global restaurants navigator framework,
acknowledging its predominantly wet-led operations and a
significantly higher proportion of freehold property ownership.

Compared with 'B' rating category peers in Fitch's EMEA credit
opinion portfolio, the acquisition of EI Group affords the group
size and the potential to maximise synergies, while constraining
the potential for further large M&A. Stonegate is not facing the
industry challenges seen in casual dining peers. Stonegate's higher
leverage is partially mitigated by marginally stronger fixed charge
coverage and better financial and operational flexibility given its
freehold property, and greater FCF flexibility than peers'.

KEY ASSUMPTIONS

Pro-forma EBITDA (after rents and including projected synergies of
GBP80 million) of the enlarged group is GBP494 million for FY20.
Fitch's figures include 12 months of EI Group ownership (versus
actual six months). Fitch's base case does not revert to pro-forma
EBITDA until FY22. At this point FCF profit visibility should
enable management to revert to its strategy of investing in managed
formats to grow EBITDA/pub. Fitch base case is 30% of pro-forma
enlarged group pre-synergies EBITDA in FY20 and 72% in FY21.

During 4QFY20 and FY21, of the branded Stonegate formats, Fitch has
re-phased profit contributions from 76%-opened (as at July 2020)
outlets) and minimal profit from some high EBITDA/pub outlets to
reflect their 4QFY20 non-operation and social-distancing operating
conditions. Management intends to re-assess these formats for the
near-term. These formats were significant contributors to
Stonegate's EBITDA. The Stonegate portfolio is also weighted
towards city centre-based locations. Fitch base case is 61% of
pro-forma Stonegate pre-synergies EBITDA in FY21.

During 4QFY20 and FY21, of the E&I Group L&T portfolio, Fitch has
maintained the EBITDA/pub contribution but re-phased profitability
to reflect operating conditions. As at July 2020, 80% of the EI
Group estate was open. This income is a mixture of contractual rent
and proportionally higher net wet income related to volumes. These
outlets will have greater profit recovery given their outdoor and
non-city centre locations. Fitch base case is 77% of pro-forma E&I
Group pre-synergies EBITDA in FY21 and closer to 100% by 4QFY22.

Fitch does not assume another national lockdown of all UK pubs but,
upon a potential second wave of infections, Fitch expects the
government to co-ordinate lockdowns on a regional basis.

Average cost for debt for the refinanced debt (including
privately-placed bond) is assumed at 8%.

Tax rate at near-20% of profit before tax

Capex is a minimal maintenance level of GBP70 million in FY21,
thereafter increasing above GBP130 million per year.

GBP35 million of site disposals each year resuming from FY21. No
other disposals.

Benefit of negotiated working capital accruals (including deferral
of the group's third-party pub rents) in FY20, before reversing in
FY21.

Increase in revolving credit facility (RCF) to GBP250 million.
Capital injection from private equity owner of GBP50 million. No
external dividends.

RECOVERY ASSUMPTIONS

Its recovery analysis assumes that Stonegate would be liquidated
rather than restructured as a going concern in a default scenario.

  -- Recoveries are based on the freehold value of the newly
consolidated group. Fitch's liquidation approach uses the September
2019 third-party valuations of the EI Group's freehold and long
leasehold assets, and the updated valuation of the Stonegate
portfolio. The former is based on the 'fair maintainable trade'
(FMT, or profitability) of the pubs, using relevant 8.0x to 12.0x
multiples. Fitch applied a 25% discount to the 2019 valuations
comparable to the stress experienced by industry peers' during 2007
to 2011 on an EBITDA/pub basis, replicating the FMT component of
the valuation.

  -- The 25% discount applicable to the whole portfolio, in the
event of distress, also reflects the strong record of both groups
in disposing of freehold assets at close to or above book value.

  -- After deducting a standard 10% for administrative claims,
Fitch has assumed that the GBP250 million super-senior RCF would be
fully drawn in the event of default.

  -- Fitch's principal waterfall analysis generates a ranked
recovery for senior secured loans in the 'RR2' band, indicating a
'B+(EXP)' instrument rating, two notches above the IDR. The
waterfall analysis output percentage on these metrics and
assumptions is 90%.

RATING SENSITIVITIES

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

  - FFO gross lease-adjusted leverage below 6.0x on a sustained
basis

  - FFO fixed charge coverage above 2.5x on a sustained basis

  - Full clean-down (repayment) of the RCF

  - FCF margin at 2%-5%

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

  - FFO gross lease-adjusted leverage above 7.0x beyond FY21

  - FFO fixed charge coverage trending towards 1.5x

  - Failure to deliver on management's envisaged asset disposals of
GBP75 million

  - Erosion of positive FCF margin

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, either due to their nature or
to the way in which they are being managed by the entity.

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

Limited Liquidity: With low near-term prospects of the upsized RCF
(GBP250 million) being partially repaid, liquidity is limited after
Unique's ring-fenced cash balance is demarcated for its liquidity
assessment. Selective asset disposals will aid liquidity; Fitch's
rating case assumes 50% of management's guidance on disposal
receipts.

The scheduled debt amortisation of GBP60 million rising to GBP100
million a year refers to amortising debt within the self-financing
Unique WBS.

[*] UK: Company Insolvencies Set to Rise Sharply in Coming Months
-----------------------------------------------------------------
Antonia Cundy at The Financial Times reports that company
insolvencies are forecast to rise sharply in the UK over the coming
months as government support measures are unravelled.

Begbies Traynor, the insolvency specialist, warned businesses were
facing the "double whammy" of accruing liabilities and the
withdrawal of state support schemes, the FT relates.

"I expect we'll see numbers of insolvencies in excess of what we
saw in 2008," the FT quotes group executive chairman Ric Traynor as
saying, comparing the recession caused by the pandemic with the
financial crash.

"Many companies have essentially gone into hibernation, pulling
down the shutters, taking the phone off the hook and not responding
to creditors," added Mr. Traynor.

"But those liabilities are still accruing, and we're going to have
the double whammy of government support schemes being pulled . . .
So we expect to see a spike [in insolvencies] in the second half of
the year and running into next year."

Begbies Traynor said there was an increase in the number of company
insolvencies in July as businesses began to confront their balance
sheets after months of mothballed activity during lockdown, the FT
notes.

"We've certainly seen in July an increase in insolvency activity,"
Mr. Traynor, as cited by the FT, said adding that businesses were
going insolvent across the board, but it was most prevalent in
construction, bars, restaurants and retail.



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

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

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

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