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

                          E U R O P E

          Tuesday, July 28, 2020, Vol. 21, No. 150

                           Headlines



A Z E R B A I J A N

AZERBAIJAN: S&P Affirms BB+/B Sovereign Credit Ratings


G R E E C E

GREECE: Fitch Affirms BB LT IDR on High Income Per Capita Levels


I R E L A N D

AQUEDUCT EUROPEAN 5-2020: Fitch Rates Class F Notes B-(EXP)sf
AQUEDUCT EUROPEAN 5-2020: S&P Assigns B-(sf) Class F Notes Rating
CITYJET: Revenue Comm. Yet to Decide Position on Survival Scheme
DRYDEN 29: Moody's Downgrades Class D Notes Rating to Baa3(sf)
DUNEDIN PARK: Fitch Keeps BBsf Class D Notes Rating on Watch Neg.

GRIFFITH PARK: Fitch Affirms Class E Debt Rating at B-sf
HARVEST CLO XXIV: Fitch Assigns Class E Debt Rating at BB-sf
HARVEST CLO XXIV: S&P Assigns BB- (sf) Rating to Class E Notes
[*] IRELAND: One in Three of Businesses Worry About Liquidity


I T A L Y

NEXI SPA: Fitch Cuts LT IDR & Sr. Unsec. Notes Rating to BB-


L U X E M B O U R G

4FINANCE HOLDING: Moody's Confirms CFR at B2, Outlook Negative


R U S S I A

HMS JSC: Fitch Affirms LT IDR at B+, Outlook Stable


T U R K E Y

TURKEY: S&P Affirms B+ Foreign Currency Sovereign Credit Rating


U N I T E D   K I N G D O M

BRITISH STEEL: Court Rejects Jingye Bid for French Factory
DEBENHAMS PLC: Seeks Buyers for Business to Avert Liquidation
NMC HEALTH: Seeks to Raise Up to U$250 Million in Debt
PRECISE MORTGAGE 2017-1B: Fitch Affirms BB+sf Class E Notes Rating
PRECISE MORTGAGE 2019-1B: Fitch Affirms BB+sf Class X Notes Rating

TOGETHER ASSET 2020-1: S&P Assigns BB (sf) Rating to X-Dfrd Notes


X X X X X X X X

[*] S&P Puts Ratings on 9 Classes Fr. 7 European CLOs on Watch Neg.

                           - - - - -


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

AZERBAIJAN: S&P Affirms BB+/B Sovereign Credit Ratings
------------------------------------------------------
On July 24, 2020, S&P Global Ratings affirmed its 'BB+/B' long- and
short-term foreign and local currency sovereign credit ratings on
Azerbaijan. The outlook on the long-term ratings is stable.

Outlook

S&P said, "The stable outlook reflects our expectation that,
despite the lower hydrocarbon prices and economic contraction in
2020, growth will rebound starting next year and will prevent
Azerbaijan's fiscal and external positions from deteriorating
materially. However, we expect Azerbaijan's economy will grow only
modestly in the medium term, compared with countries at similar
levels of economic development. We assume the de facto manat
exchange rate peg to the U.S dollar will remain in place, supported
by the government's large external assets."

Downside scenario

S&P could lower the ratings if Azerbaijan's fiscal and external
balances do not start improving in 2021 as it currently expects.
This could happen, for example, as a result of a substantial
decline in hydrocarbon revenue beyond its assumptions or if
increased fiscal pressures from COVID-19 and the economic slowdown
persisted beyond the current year. Such prolonged imbalances could
entail quicker drawings on liquid external assets.

Downward pressure could also build on the ratings if Azerbaijan's
trend growth of real per capita GDP fell further below that of
peers with similar levels of economic development.

Upside scenario

Conversely, S&P could consider an upgrade if external surpluses
were higher than it expects, resulting in further accumulation of
external assets. This could happen, for example, if hydrocarbon
revenue increased markedly.

Upside to the ratings could also build if the government devised
and implemented reforms addressing some of Azerbaijan's structural
impediments, such as limited economic diversification and
substantial constraints to monetary policy effectiveness.

Rationale

S&P said, "Despite the sharp decline in economic activity
associated with the COVID-19 pandemic and lower hydrocarbon prices,
Azerbaijan's fiscal and external positions remain among the
strongest of sovereigns we rate in the 'BB' category. Large liquid
government assets, projected at an average of about 85% of GDP in
2020-2023, will continue to provide a buffer against external
shocks. Reflecting our oil price and production assumptions, and
taking into account Azerbaijan's participation in the recent OPEC+
production cut agreement, we expect the twin deficits to be
temporary, reverting to surpluses over the medium term."

However, the ratings remain constrained by still-weak institutional
effectiveness, the narrow and concentrated economic base with a
moderate growth trend, limited monetary policy flexibility, and
shortcomings in relation to the completeness and accuracy of
external sector data.

Institutional and economic profile: Growth prospects could suffer
from adverse effects of the global pandemic and lower oil prices

-- Amid increased pressures from the COVID-19 pandemic and lower
oil prices, S&P now expects Azerbaijan's GDP will contract by 6.9%
in 2020.

-- The economy will rebound from 2021, supported by a recovery in
domestic consumption aided by fiscal stimulus and higher
hydrocarbon exports.

-- In S&P's view, Azerbaijan's institutions are at a developing
stage, and it expects policy changes to be limited in the
foreseeable future, with key policy priorities focusing on social
and economic stability.

As the COVID-19 pandemic has escalated, S&P forecasts a global
recession this year, with 2020 GDP contracting 3.8% worldwide. The
pandemic is exerting significant pressure on Azerbaijan's
non-hydrocarbon growth by weakening domestic consumption and
business investment. Travel restrictions, including suspension of
international passenger flights, closure of nonessential
businesses, and a special quarantine regime extended with
modifications until Aug. 1 will weigh on retail, hospitality and
construction activities.

Amid decreased global demand for energy resources and lower oil
prices, the country's hydrocarbon exports will also fall sharply in
2020. S&P said, "We assume an average Brent oil price of $30/bbl in
the rest of 2020, $50/bbl in 2021, and $55/bbl from 2022. We expect
Azerbaijan's crude oil production will shrink by about 15% this
year from 713,000 bbl per day in 2019, due to the country's
compliance with the OPEC+ extended production cut agreement in June
this year. Overall, we now expect Azerbaijan's real GDP will shrink
by 6.9% in 2020 before rebounding to about 3% growth in 2021."

The government unveiled an Azerbaijan manat (AZN)3.5 billion (circa
US$2.01 billion and about 4.2% of 2019 GDP) support package to
soften the financial and economic impacts of COVID-19 on
households, small businesses, and hard-hit sectors, including
hospitality, retail, and logistics. Among other measures, the
stimulus initiatives include:

-- Partial payment of 300,000 employees' wages and financial
support for individual (micro) entrepreneurs working in the
pandemic-hit sectors;

-- State guarantee for 60% for new loans in the amount of AZN500
million ($294.1 million) to businesses, including small and midsize
enterprises and subsidizing 50% of the interest on the guaranteed
loans;

-- Subsidizing of 10% of the interest for one year of
entrepreneurs' existing loans in the amount of AZN1 billion ($588
million);

-- Tax benefits and holidays for certain types of businesses,
including a 50% reduction in the simplified tax amount; exemption
from income tax for a specific period; and exemption from
value-added tax for some food and medical products.

S&P said, "We expect economic activity will gradually recover from
2021, with GDP growth averaging 3.7% over 2021-2023. Growth will be
supported by a recovery in domestic consumption aided by fiscal
stimulus and higher hydrocarbon exports. The initial phase of the
large Shah Deniz II (SDII) gas field project was launched in July
2018 and since then Azeri gas has been supplied to Turkey. We
anticipate gas exports will gradually rise as the project reaches
full capacity over the next four to five years. We expect Azeri gas
to reach Europe after the third quarter of 2020, which should
strengthen broader economic dynamics. We expect crude oil
production will resume to 2019 levels after April 2022, when the
current OPEC+ production deal is terminated. Our assumptions are
subject to uncertainties in relation to global demand dynamics and
how quickly Azerbaijan can return to its full capacity. Long-term
questions have been raised over the stable production from the
Azeri-Chirag-Gunashli oilfield (Azerbaijan's biggest), which, given
its age, has seen a natural decline in output in recent years.

"In our opinion, Azerbaijan's institutions are developing. They are
characterized by highly centralized decision-making and lack
transparency, which can make policy responses difficult to predict.
Political power remains concentrated in the president and his
administration, with limited checks and balances. Several political
developments took place in 2019, with President Ilham Aliyev
replacing the prime minister, reorganizing the cabinet structure,
and dissolving the legislature. Snap elections were called in
February 2020 but the new parliament is still dominated by
President Aliyev's New Azerbaijan Party. In our view, structural
reform and economic diversification efforts in recent years have
yielded only limited results and we don't expect any substantial
policy changes in the aftermath of the elections.

"We believe that risks surrounding the long-frozen regional
conflict with Armenia over the Nagorno-Karabakh territory have
risen. A material escalation of the dispute was reported on July 12
this year, which appears to be one of the most significant
intensifications of the conflict since the four-day war in the
spring of 2016. Risks remain elevated, but we do not expect a
return to a full armed confrontation. In the less likely event that
Azerbaijan's hydrocarbon infrastructure could be damaged, we expect
the authorities to implement response plans to mitigate potential
economic consequences."

Flexibility and performance profile: Strong external and fiscal net
asset positions, despite rising pressure on twin balances

-- Azerbaijan's strong fiscal and external net asset (stock)
positions will remain core rating strengths.

-- In view of a sharp fall in hydrocarbon exports, S&P projects
Azerbaijan's fiscal and external accounts will run large deficits
in 2020, but improve to surpluses over 2022-2023.

-- S&P assumes that, despite devaluation pressure, Azerbaijan will
retain the manat's de facto peg to the U.S dollar.

Azerbaijan derives more than 40% of its GDP, 50% of government
revenue, and more than 90% of exports from the hydrocarbon sector.
This makes the country's undiversified economy and credit profile
vulnerable to sharp volatility in oil prices and global demand. S&P
said, "Due to a substantial decline in hydrocarbon exports, we
expect the current account balance to run a deficit of about 6.3%
of GDP in 2020. Rising pressure on external flows will be partially
mitigated by reduced import needs amid the COVID-19 pandemic. In
the remainder of our forecast horizon through 2023, we project
external balances will revert to an average surplus of about 4% of
GDP, supported by a recovery in hydrocarbon prices and a gradual
increase in crude oil production." The launch of the SDII gas
project and its expansion over the next few years should also
support external performance.

Despite increased external pressures, Azerbaijan's strong external
balance sheet will remain a core rating strength, reinforced by the
large amount of foreign assets accumulated in the sovereign wealth
fund, SOFAZ. S&P said, "We estimate external liquid assets will
surpass external debt by 108% of current account payments in 2020
and remain stable through 2023. Azerbaijan will remain vulnerable
to potential terms-of-trade volatility. Nevertheless, in our view,
its large net external asset position will serve as a buffer to
mitigate the potential adverse effects of economic cycles on
domestic economic development. With that said, our assessment on
Azerbaijan's external position remains somewhat constrained by data
inconsistencies because of persistently high errors and omissions
of balance-of-payments data and only partial data for the
international investment position."

Broadly mirroring developments on the external side, Azerbaijan's
fiscal general government balance will record a deficit of 8.5% of
GDP in 2020 compared with a large surplus of 11% in 2019. S&P said,
"Fiscal pressure will arise from lower hydrocarbon revenue and the
impact of the COVID-19 pandemic on non-oil tax collection, while we
expect fiscal expenditure to remain under control. We estimate the
total cost of the government's stimulus measures against the
pandemic's impact at about 4.2% of 2019 GDP. A predominant share of
the support package envisages budgetary spending. Nevertheless, we
expect its effect on headline fiscal expenditure will be offset by
reduced discretionary spending on capital projects, government
purchases of goods and services, and administrative expenses."

S&P said, "In view of increased hydrocarbon revenue and continued
control of fiscal expenditure, we project the general government
fiscal deficit will shrink markedly in 2021 and revert to an
average surplus of about 2.3% of GDP over 2022-2023. We expect the
ongoing adoption of fiscal rules that limit the pace of expenditure
growth will help maintain fiscal prudence in the post-pandemic
period. We do not expect the launch of the SDII gas project and its
expansion will have a substantial effect on fiscal revenue. This is
because Azerbaijan will mostly use the profits from planned gas
exports to pay down the debt of the Southern Gas Corridor--a
government special-purpose vehicle that financed a substantial part
of the project and received foreign financing with government
guarantees.

Despite rising pressure on fiscal flows, Azerbaijan's fiscal stock
position remains strong, supporting the sovereign ratings. S&P
said, "We project that the government's net asset position will
average 50% of GDP over our four-year forecast horizon. We count
only SOFAZ's external liquid assets in our calculations; we exclude
the 17% of GDP equivalent exposures that might be hard to liquidate
if needed, such as the fund's domestic investments and certain
equity exposures abroad. Compared with many peers, for example in
the Gulf Cooperation Council, Azerbaijan is considerably more
transparent in the publication of detailed information on
categories of investments held by SOFAZ. We forecast the stock of
general government debt will remain broadly stable in absolute
terms through 2023, although it will rise to 38% of GDP in 2020
largely driven by nominal GDP contraction."

S&P said, "We include the sovereign guarantee on AqrarKredit's
outstanding loans of AZN9.5 billion from the Central Bank of
Azerbaijan (CBA) in general government debt. The government
contributed substantially to the debt restructuring of the majority
state-owned International Bank of Azerbaijan (IBA) in 2017 by
explicitly assuming the bank's liabilities of $2.3 billion. The
government subsequently transferred the bank's bad and risky loans
at book value of about AZN11 billion to AqrarKredit, a state-owned
non-banking credit organization funded by the central bank on the
sovereign guarantee. IBA's open currency position is still large at
about $0.7 billion, although it has substantially reduced from $1.9
billion in 2017. Nevertheless, we believe that most risks to the
sovereign from the weak banking system have already materialized,
so we see additional contingent liabilities as relatively limited.

"In our view, the manat/U.S. dollar exchange rate remains under
pressure amid the volatile oil price environment and depreciation
of the currencies of Azerbaijan's key trading partners.
Nevertheless, we assume Azerbaijan will retain the manat's de facto
peg to the U.S dollar at AZN1.7 to $1, supported by the
authorities' regular interventions in the foreign currency market.
Because devaluation pressure heightened in March this year, the
CBA's scheduled and extraordinary foreign exchange auctions with
the participation of SOFAZ ensured sufficient supply of foreign
exchange, and lower import bills during the April-May period
reduced the demand for the hard currency. In our view, should
hydrocarbon prices remain low for a prolonged period, the
authorities could allow the exchange rate to adjust to avoid a
similar substantial loss of foreign currency buffers as in 2015."


In accordance with S&P's relevant policies and procedures, the
Rating Committee was composed of analysts that are qualified to
vote in the committee, with sufficient experience to convey the
appropriate level of knowledge and understanding of the methodology
applicable. At the onset of the committee, the chair confirmed that
the information provided to the Rating Committee by the primary
analyst had been distributed in a timely manner and was sufficient
for Committee members to make an informed decision.

After the primary analyst gave opening remarks and explained the
recommendation, the Committee discussed key rating factors and
critical issues in accordance with the relevant criteria.
Qualitative and quantitative risk factors were considered and
discussed, looking at track-record and forecasts.

The committee's assessment of the key rating factors is reflected
in the Ratings Score Snapshot above.

The chair ensured every voting member was given the opportunity to
articulate his/her opinion. The chair or designee reviewed the
draft report to ensure consistency with the Committee decision. The
views and the decision of the rating committee are summarized in
the above rationale and outlook. The weighting of all rating
factors is described in the methodology used in this rating
action.

  Ratings List

  Ratings Affirmed

  Azerbaijan
   Sovereign Credit Rating                BB+/Stable/B
   Transfer & Convertibility Assessment   BB+




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

GREECE: Fitch Affirms BB LT IDR on High Income Per Capita Levels
----------------------------------------------------------------
Fitch Ratings has affirmed Greece's Long-Term Foreign-Currency
Issuer Default Rating at 'BB' with a Stable Outlook.

KEY RATING DRIVERS

Greece's ratings reflect high income per capita levels, which far
exceed both the 'BB' and 'BBB' medians, and governance scores above
most sub-investment grade peers. These strengths are set against
weak medium-term growth potential, an extremely high level of
non-performing loans in the banking sector and very high stocks of
general government debt and net external debt. The Stable Outlook
reflects a degree of confidence in the sustainability of public
finances, after the shock to public finances and economic growth
from the COVID-19 pandemic this year.

Preliminary data for 1Q20 shows that real GDP declined 1.6% qoq and
0.9% on an annual basis. Available data for 2Q confirm that the
pace of decline in economic activity increased. Fitch expects the
Greek economy to contract by 7.9% in real terms in 2020. Fitch
expects GDP to recover in 2021 (+5.1%), although the pace of the
recovery is very uncertain, and there are substantial downside
risks to its projections, especially in case of renewed substantial
coronavirus outbreaks.

Fitch estimates that the combination of policy measures to address
the impact of the pandemic, automatic stabilisers and lower
economic activity will result in the general government balance
swinging from a surplus of 1.9% of GDP in 2019 to a 7.8% of GDP
deficit this year. Fitch estimates that deficit-increasing fiscal
measures this year directly account for around 6% of GDP. Fitch
expects the deficit to fall back in 2021 and 2022, to 5.1% and
3.4%, respectively, although the pace of decline in the deficit is
very uncertain. Moreover, the recent decision by the Council of
State to rule in favour of pensioners who appealed against pension
cuts after 2012 will affect future public finance outturns, and
Fitch has assumed an impact of 0.5% on deficit projections for each
of 2021 and 2022 to take this into account.

Recent EU-wide initiatives, including the Recovery Plan for Europe
agreed at the European Council summit on July 21 may limit the
expected deterioration in public finances, provide funding for some
of the government support schemes, and contribute positively to
future economic growth. The final extent, design and timing of
these initiatives are uncertain, and have not yet been taken into
account in its public finance or macroeconomic projections.

The increase in borrowing this year will result in a reversal of
the decline in the general government debt to GDP ratio last year.
Fitch forecasts the debt ratio to increase from 176.6% at end-2019
to 197.0% this year ('BB' median forecast: 59.4%), before falling
back over the next two years, to 185.0% in 2022.

While Greece's public debt stock is and will remain very high over
a prolonged period, there are mitigating factors that support
public debt sustainability. Fitch projects the GGGD/GDP ratio will
start declining again in 2021. Greece's liquid asset buffer is
substantial (around 20% of forecast GDP), and could accommodate
unexpected increases in spending. The concessional nature of the
vast majority of Greece's public debt means that debt-servicing
costs are low. The amortisation schedule is moderate, and the
average maturity of Greek debt (20.3 years) is amongst the longest
across all Fitch-rated sovereigns, reducing the risk from interest
rate rises.

Moreover, and importantly, the European Central Bank has included
Greek government bonds in its pandemic emergency purchase
programme, in contrast to most previous asset purchase schemes. The
PEPP has an overall envelope of EUR1,350 billion. On the basis of
Greece's capital key at the ECB, this would allow for up to EUR27
billion (around 16% of GDP) of Greek government bonds to be bought
on the secondary market by the Eurosystem. This provides an
important additional source of financing flexibility and should
help keep debt servicing costs manageable as Greece continues to
issue market debt to meet part of its financing requirements.

The banking sector remains a weakness for the sovereign credit
profile and recent positive progress on asset quality metrics is
likely to stall as a consequence of the pandemic, in Fitch's view.
The stock of NPLs declined by around a quarter in the year to 1Q20,
but the NPL ratio remains very high at 37.4%, well above the EU
average, and remains a key weakness in the Greek banking sector.
The systemic Greek banks have implemented or have planned
securitisations that will reduce their stock of impaired loans.
However, in its view, the economic fallout from the pandemic is
likely to delay most of these planned securitisations and will
result in an increase in new impaired loans.

The introduction of the moratorium on debt payments by Greek banks
and the provision of around EUR2 billion in state loan guarantees
to non-financial companies will mitigate the pressures on reported
asset quality in the near term. The ECB's response to the COVID-19
pandemic also includes capital-relief measures and liquidity
support facilities, including the new targeted longer-term
refinancing operations or waivers on limitations of the use of
Greek government bonds as collateral in credit operations, which
alleviate the economic impact for the banks.

Fitch expects the current account deficit to widen substantially
this year, given that travel restrictions, voluntary social
distancing and uncertainty about the development of the pandemic
will restrict tourist arrivals in Greece. In 2019, revenues from
travel accounted for 22% of current account receipts or 9.7% of
GDP. Fitch expects the current account deficit to widen from 1.4%
of GDP in 2019 to 3.4% of GDP ('BB' median forecast: 4.1%), and
remain close to 2% of GDP in the following two years.

The stock of external debt (NXD; forecast to reach 148.2% of GDP
this year) and the net international investment position (-151.6%
of GDP in 2019) are significantly higher than the 'BB' median (NXD
forecast for BB median: 24.8% of GDP). Risks are mitigated by the
large share of liabilities owed to official creditors and are
largely euro-denominated but the large stock exposes the country to
swings in market sentiment.

ESG

ESG - Governance: Greece has an ESG Relevance Score of 5 for both
Political Stability and Rights and for the Rule of Law,
Institutional and Regulatory Quality and Control of Corruption, as
is the case for all sovereigns. Theses scores reflect the high
weight that the World Bank Governance Indicators have in its
proprietary Sovereign Rating Model. Greece has a medium/high WBGI
ranking at 61.8, well above both the 'BB' and 'BBB' medians,
reflecting well established rights for participation in the
political process, relatively strong institutional capacity,
regulatory quality, and rule of law.

SOVEREIGN RATING MODEL AND QUALITATIVE OVERLAY

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

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

  - Structural Features: -1 notch, to reflect weaknesses in the
banking sector, including a very high level of NPLs, which
represent a contingent liability for the sovereign. The
government's stable parliamentary majority and the constructive
relationship with EU creditors reduce risks of financial market
instability.

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

RATING SENSITIVITIES

The main factors that could, individually or collectively, lead to
positive rating action/upgrade are:

  - Public finances: Government debt/GDP returning to a firm
downward path after the COVID-19 shock, for example due to fiscal
consolidation, a return to GDP growth and sustained low interest
rates.

  - Macro: An improvement in medium-term growth potential and
performance following the COVID-19 shock, particularly if supported
by the implementation of effective structural reforms.

  - Structural features: Reduced risk of crystallisation of banking
sector contingent liabilities on the sovereign balance sheet,
reflecting renewed progress on asset quality improvement by the
systemic banks, consistent with successful completion of
securitisation transactions and lower impairment charges.

The main factors that could, individually or collectively, lead to
negative rating action/downgrade:

  - Public Finances: Failure to reduce government debt/GDP, for
example due to a more pronounced and longer period of fiscal easing
and economic contraction.

  - Structural features: Adverse developments in the banking sector
increasing risks to the public finances and the real economy, via
the crystallisation of contingent liabilities on the sovereign
balance sheet and/or an inability to undertake new lending to
support economic growth.

  - External finances: Persistently wide current account deficits
compared with the peer median, for example from a prolonged decline
in tourist demand, leading to a further weakening of the external
position.

BEST/WORST CASE RATING SCENARIO

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

KEY ASSUMPTIONS

Fitch expects the global economy to perform in line with Fitch's
Global Economic Outlook (June 29, 2020), which projects the
eurozone to contract by -8% in 2020 before growing by 4.5% in 2021
and 2.8% in 2022. There is an unusually high level of uncertainty
around the projections in the context of the ongoing pandemic, and
risks are to the downside.

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

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

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

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

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

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

Greece

  - LT IDR BB; Affirmed

  - ST IDR B; Affirmed

  - LC LT IDR BB; Affirmed

  - LC ST IDR B; Affirmed

  - Country Ceiling BBB+; Affirmed

  - Senior unsecured; LT BB; Affirmed

  - Senior unsecured; ST B; Affirmed



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I R E L A N D
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AQUEDUCT EUROPEAN 5-2020: Fitch Rates Class F Notes B-(EXP)sf
-------------------------------------------------------------
Fitch Ratings has assigned Aqueduct European CLO 5-2020 DAC
expected ratings.

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

Aqueduct European CLO 5-2020 DAC      

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

  - Class B-1; LT AA(EXP)sf Expected Rating   

  - Class B-2; 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 Sub Notes; LT NR(EXP)sf Expected Rating   

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

  - Class M-3 Sub Notes; LT NR(EXP)sf Expected Rating   

TRANSACTION SUMMARY

Aqueduct European CLO 5-2020 DAC is a securitisation of mainly
senior secured obligations (at least 90%) with a component of
corporate rescue loans, senior unsecured, mezzanine, second-lien
loans and high-yield bonds. Net proceeds from the expected note
issuance will be used to fund a portfolio with a target par of
EUR400 million. The portfolio is managed by HPS Investment Partners
CLO (UK) LLP. The collateralised loan obligation envisages an about
three-year reinvestment period and a 7.5-year weighted average
life.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality: Fitch places the average credit
quality of obligors in the 'B'/'B-' range. The Fitch weighted
average rating factor of the identified portfolio is 33.22

High Recovery Expectations: At least 90% of the portfolio comprises
senior secured obligations. Recovery prospects for these assets are
typically more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted average recovery rating of the
identified portfolio is 66.90%.

Diversified Asset Portfolio: The covenanted maximum exposure to the
top 10 obligors on assigning the expected ratings is 20% of the
portfolio balance. The transaction also includes limits on maximum
industry exposure based on Fitch industry definitions. The maximum
exposure to the three largest (Fitch-defined) industries in the
portfolio is covenanted at 40%. These covenants ensure that the
asset portfolio will not be exposed to excessive concentration.

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

AQUEDUCT EUROPEAN 5-2020: S&P Assigns B-(sf) Class F Notes Rating
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to
Aqueduct European CLO 5-2020 DAC's class A, B1, B2, C, 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 2.9
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.

-- 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   2,850.80
  Default rate dispersion                               614.76
  Weighted-average life (years)                           5.43
  Obligor diversity measure                             114.36
  Industry diversity measure                             19.57
  Regional diversity measure                              1.42
  Transaction Key Metrics
                                                       Current     

  Total par amount (mil. EUR)                              400
  Defaulted assets (mil. EUR)                                0
  Number of performing obligors                            134
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                       'B'
  'CCC' category rated assets (%)                         1.62
  Covenanted 'AAA' weighted-average recovery (%)         36.10
  Covenanted weighted-average spread (%)                  3.60
  Covenanted weighted-average coupon (%)                  4.50

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
be well-diversified on the effective date, primarily comprising
broadly syndicated speculative-grade senior secured term loans and
senior secured bonds. Therefore, we conducted our credit and cash
flow analysis by applying our criteria for corporate cash flow
collateralized debt obligations.

"In our cash flow analysis, we used the EUR400 million par amount,
the covenanted weighted-average spread of 3.60%, the covenanted
weighted-average coupon of 4.50%, and the covenanted
weighted-average recovery rates for all rating levels designated by
the collateral manager. We applied various cash flow stress
scenarios, using four different default patterns, in conjunction
with different interest rate stress scenarios for each liability
rating category.

"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 B1, B2, C, D, E, and 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. In our view the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently. As such, we have not applied any additional
scenario and sensitivity analysis when assigning ratings on any
classes of notes in this transaction.

"Until the end of the reinvestment period on July 20, 2023, the
collateral manager is allowed to substitute assets in the portfolio
for so long as our CDO Monitor test is maintained or improved in
relation to the initial ratings on the notes. This test looks at
the total amount of losses that the transaction can sustain as
established by the initial cash flows for each rating, and compares
that with the default potential of the current portfolio plus par
losses to date. As a result, until the end of the reinvestment
period, the collateral manager may, through trading, deteriorate
the transaction's current risk profile, as long as the initial
ratings are maintained.

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

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

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

Aqueduct European CLO 5-2020 is a European cash flow CLO
securitization of a revolving pool, comprising euro-denominated
senior secured loans and bonds issued mainly by speculative-grade
borrowers. HPS Investment Partners CLO (UK) LLP will manage the
transaction.

  Ratings List

  Class    Prelim. rating   Credit enhancement (%)
  A         AAA (sf)          41.50
  B1         AA (sf)          31.50
  B2         AA (sf)          31.50
  C           A (sf)          24.00
  D        BBB- (sf)          18.00
  E         BB- (sf)          13.00
  F          B- (sf)          10.50
  Subordinated    NR          N/A

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

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


CITYJET: Revenue Comm. Yet to Decide Position on Survival Scheme
----------------------------------------------------------------
BreakingNews.ie reports that the Revenue Commissioners have yet to
decide whether to oppose an application to the High Court to
approve a survival scheme for the regional airline CityJet.

At the High Court on July 24, Mr. Justice Michael Quinn heard that
Revenue is seeking clarification from the airline's court appointed
examiner on what it regards as important issues, BreakingNews.ie
relates.

According to BreakingNews.ie, the examiner Kieran Wallace of KPMG
is recommending that the scheme be approved, but his counsel James
Doherty SC said that it was not clear if Revenue will support a
scheme that will result in the retention of 146 Irish based jobs.

The hearing of the application to have the scheme formally approved
by the High Court is fixed for this week, BreakingNews.ie
discloses.

Counsel said Mr. Wallace, who was appointed as CityJet DAC's
examiner in April, had secured the required level of statutory
support from the airline's creditors for the scheme of arrangement,
BreakingNews.ie relays.

If approved by the Court, the arrangement with the creditors will
allow the business to continue to survive as a going concern,
BreakingNews.ie notes.

The airline and its subsidiaries flies routes on behalf of other
airlines had employed 1,175 people, 417 of whom had been based in
Dublin, BreakingNews.ie states.

CityJet, BreakingNews.ie says, has debts of EUR500 million, and at
the time of entering the examinership process had a net deficit of
liabilities over assets on a going concern basis of EUR186
million.


DRYDEN 29: Moody's Downgrades Class D Notes Rating to Baa3(sf)
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Dryden 29 Euro CLO 2013 B.V.:

EUR23,600,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Downgraded to A3 (sf); previously on Jan 16, 2018
Assigned A2 (sf)

EUR20,800,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Downgraded to Baa3 (sf); previously on Jan 16, 2018
Assigned Baa2 (sf)

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

EUR230,000,000 Class A Senior Secured Floating Rate Notes due 2032,
Affirmed Aaa (sf); previously on Jan 16, 2018 Assigned Aaa (sf)

EUR21,600,000 Class B-1 Senior Secured Floating Rate Notes due
2032, Affirmed Aa2 (sf); previously on Jan 16, 2018 Assigned Aa2
(sf)

EUR40,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032,
Affirmed Aa2 (sf); previously on Jan 16, 2018 Assigned Aa2 (sf)

EUR21,600,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Affirmed Ba2 (sf); previously on Jan 16, 2018
Assigned Ba2 (sf)

EUR12,800,000 Class F Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Affirmed B1 (sf); previously on Jan 16, 2018
Assigned B1 (sf)

Dryden 29 Euro CLO 2013 B.V., issued in December 2013, is a
collateralised loan obligation backed by a portfolio of mostly
high-yield senior secured European loans. The portfolio is managed
by PGIM Limited. The transaction's reinvestment period will end in
July 2022.

RATINGS RATIONALE

The rating downgrade on the Class C and D notes are primarily a
result of the deterioration in the credit quality of the underlying
collateral pool since March 2020. Since the coronavirus outbreak
widened in March, the decline in corporate credit has resulted in a
significant number of downgrades, other negative rating actions, or
defaults on the assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated June 2020 [1], the
WARF was 3560, compared to value of 3051 in February 2020 [2].
Securities with ratings of Caa1 or lower currently make up
approximately 7.95% of the underlying portfolio. In addition, the
over-collateralisation levels have weakened across the capital
structure. According to the trustee report of June 2020 [1] the
Class A/B, Class C, Class D, Class E and Class F OC ratios are
reported at 136.9%, 126.6%, 118.8%, 111.6% and 107.8% compared to
February 2020 [2] levels of 137.8%, 127.5%, 119.6%, 112.4% and
108.5% respectively. Moody's notes that the transaction remains in
compliance with the following collateral quality tests: Diversity
Score, Weighted Average Recovery Rate, Weighted Average Spread and
Weighted Average Life.

Moody's analysed the CLO's latest portfolio and took into account
the recent trading activities as well as the full set of structural
features of the transaction and concluded that the current ratings
on the Class A, B-1, B-2, E and F notes continue to reflect the
expected losses of the notes.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR400.8 million,
defaulted par of EUR0.9 million, a weighted average default
probability of 29.9% (consistent with a WARF of 3581), a weighted
average recovery rate upon default of 42.5% for a Aaa liability
target rating, a diversity score of 54 and a weighted average
spread of 3.9%.

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

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

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

PRINCIPAL METHODOLOGY

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

Counterparty Exposure:

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

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

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

Additional uncertainty about performance is due to the followings

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

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

  - Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

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

DUNEDIN PARK: Fitch Keeps BBsf Class D Notes Rating on Watch Neg.
-----------------------------------------------------------------
Fitch Ratings has affirmed Dunedin Park CLO DAC, except for the
class D notes, which remain on Rating Watch Negative.

Dunedin Park CLO DAC      

  - Class A-1 XS2036104243; LT AAAsf; Affirmed

  - Class A-2A XS2036104839; LT AAsf; Affirmed

  - Class A-2B XS2036105489; LT AAsf; Affirmed

  - Class B-1 XS2036106024; LT Asf; Affirmed

  - Class B-2 XS2036106883; LT Asf; Affirmed

  - Class C XS2036107428; LT BBBsf; Affirmed

  - Class D XS2036108152; LT BBsf; Rating Watch Maintained

  - Class X XS2036104086; LT AAAsf; Affirmed

TRANSACTION SUMMARY

Dunedin Park CLO DAC is a securitisation of mainly senior secured
obligations with a component of senior unsecured, mezzanine and
second-lien loans. The portfolio is actively managed by Blackstone
/ GSO Debt Funds Management Europe Limited.

KEY RATING DRIVERS

Portfolio Performance Deterioration: The portfolio has experienced
further negative rating migration in light of the coronavirus
pandemic. As per Fitch calculation the weighted average rating
factor of the portfolio stands at 33.93 and it is in breach of its
test. However, all ratings, including the lowest-rated tranche D,
still show sufficient cushions against the latest deterioration. In
addition, the transaction is currently above par by 0.45% and the
Fitch-calculated 'CCC' and below category assets (including
non-rated assets) represented 7.01% of the portfolio against the
limit of 7.5%. Assets with a Fitch-derived rating on Outlook
Negative are at 29.92% of the portfolio balance.

'B'/'B-' Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors in the 'B'/'B-' category. The
Fitch-calculated WARF would increase to 36.9, after applying its
coronavirus stress.

High Recovery Expectations: 97.9% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. Fitch's weighted average recovery rate of the
current portfolio is 65.78%.

Portfolio Composition: The portfolio is well-diversified across
obligors, countries and industries. Exposure to the top-10 obligors
is 12.87% and no obligor represents more than 3% of the portfolio
balance. The largest industry is business services at 16.37% of the
portfolio balance, followed by healthcare at 15.46% and computer
and electronics at 7.53%. As of the last investor report, the
percentage of semi-annual obligations is around 44%; however, no
frequency switch event has occurred as the class A interest
coverage test still exhibits significant headroom.

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

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

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

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

Overall, Fitch's assessment of the asset pool information relied
upon for 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.

GRIFFITH PARK: Fitch Affirms Class E Debt Rating at B-sf
--------------------------------------------------------
Fitch Ratings has revised the Outlook on one tranche of Griffith
Park CLO D.A.C. to Negative from Stable, removed two tranches from
Rating Watch Negative and assigned them Negative Outlooks. All
tranches have been affirmed.

Griffith Park CLO D.A.C.      

  - Class A1A XS1903435615; LT AAAsf; Affirmed

  - Class A1B XS1903436340; LT AAAsf; Affirmed

  - Class A2A XS1903437074; LT AAsf; Affirmed

  - Class A2B XS1903437660; LT AAsf; Affirmed

  - Class B1 XS1903438478; LT Asf; Affirmed

  - Class B2 XS1903439013; LT Asf; Affirmed

  - Class C XS1903439799; LT BBB-sf; Affirmed

  - Class D XS1903440532; LT BB-sf; Affirmed

  - Class E XS1903440458; LT B-sf; Affirmed

  - Class X XS1903435458; LT AAAsf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Slower Performance Deterioration

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

The deterioration of the portfolio's credit quality has slowed,
with the Fitch-calculated weighted average rating factor calculated
by Fitch at 34.1 as of July 18, 2020, largely unchanged from a
reported 34.0 as at June 10, 2020. This is after a notable negative
rating migration from a reported WARF of 32.6 in March 2020 in
light of the coronavirus pandemic. The transaction is currently
slightly above par.

Assets with a Fitch-derived rating of 'CCC' category or below
excluding defaults, but including unrated assets, represent 7.7%,
while assets with a Fitch-derived rating on Negative Outlook make
up 14.9% of the portfolio balance. The Fitch WARF test and the
'CCC' limit test have failed as per the latest calculation by Fitch
and as a result the manager has to reinvest so that both tests will
show improvement or at least no further deterioration in their
results. All other tests including the coverage tests are passing.
As the portfolio currently does not contain any frequency switch
obligations, a frequency switch event is currently not in effect.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to envisage the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience with
cushions for the current ratings of the class X, A-1A, A-2A, A-1B,
A-2B, B-1, and B-2 notes. This supports the affirmation with a
Stable Outlook of these tranches. The Negative Outlook on three
tranches follows the shortfalls these tranches experiences in the
coronavirus sensitivity scenario. While the class D and E notes
show failures under the coronavirus sensitivity analysis, the
agency expects the portfolio's negative rating migration to slow,
making downgrades of these tranches less likely in the short term.
As a result, these classes have been affirmed, removed from RWN and
assigned Negative Outlooks.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch WARF of the current portfolio is 34.1.

Asset Security

High Recovery Expectations:

Senior secured obligations comprise 98.3%% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate of the current portfolio is 65.2.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligor exposure is 12.2% of the portfolio
balance while no obligor represents more than 1.6%. The largest
industry exposure is businesses and services, comprising 15.9%,
while the second- and third-largest industries are healthcare and
chemicals at 12.2% and 8.8%, respectively.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

HARVEST CLO XXIV: Fitch Assigns Class E Debt Rating at BB-sf
------------------------------------------------------------
Fitch Ratings has assigned Harvest CLO XXIV DAC final ratings.

Harvest CLO XXIV DAC      

  - Class A XS2197893352; LT AAAsf New Rating

  - Class B-1 XS2197894087; LT AAsf New Rating

  - Class B-2 XS2197894756; LT AAsf New Rating

  - Class C XS2197895308; LT Asf New Rating

  - Class D XS2197896025; LT BBB-sf New Rating

  - Class E XS2197896702; LT BB-sf New Rating

TRANSACTION SUMMARY

Harvest CLO XXIV DAC is a securitisation of mainly senior secured
obligations (at least 95%) with a component of senior unsecured,
mezzanine, second-lien loans and high-yield bonds. Note proceeds
are being used to fund a portfolio with a target par of EUR250
million. The portfolio is actively managed by Investcorp Credit
Management EU Limited. The collateralised loan obligation has a
three-year reinvestment period and a seven-year weighted average
life.

KEY RATING DRIVERS

'B' Portfolio Credit Quality: Fitch assesses the average credit
quality of obligors in the 'B' category. The Fitch weighted average
rating factor of the identified portfolio is 32.45.

High Recovery Expectations: At least 95% 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 63.66%.

Diversified Asset Portfolio: The transaction includes several Fitch
test matrices corresponding to the two top-10 obligors'
concentration limits of 15% and 26.5%, and fixed-rate obligations
limits of 0% and 5%. The manager can interpolate within and between
the four matrices. The transaction also includes various other
concentration limits, including the maximum exposure to the
three-largest (Fitch-defined) industries in the portfolio at 40%.
These covenants ensure that 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 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 as the notes'
ratings are at the highest level on Fitch's scale and cannot be
upgraded. The transaction features a reinvestment period and the
portfolio is actively managed.

At closing, Fitch 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
case of a better than initially expected portfolio credit quality
and deal performance, leading to higher credit enhancement for the
notes and excess spread available to cover for losses on the
remaining portfolio.

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

A 125% default multiplier applied to the portfolio's mean default
rate, and with the increase added to all rating default levels, and
a 25% decrease of the recovery rate at all rating recovery levels,
would lead to a downgrade of up to five notches for the rated
notes. Downgrades may occur if the build-up of the notes' credit
enhancement following amortisation does not compensate for a higher
loss expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to the COVID-19 disruption become apparent
for other vulnerable sectors, loan ratings in those sectors would
also come under pressure.

Fitch will update the sensitivity scenarios in line with the views
of Fitch's Leveraged Finance team.

Coronavirus Baseline Scenario Impact: Fitch carried out a
sensitivity analysis on the target portfolio to envisage the
coronavirus baseline scenario. The agency notched down the ratings
for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario shows the resilience of the
ratings, with substantial cushions across rating scenarios. In
addition to the baseline scenario, Fitch has defined a downside
scenario for the current crisis, whereby all ratings in the 'B'
category would be downgraded by one notch and recoveries would be
lower by a haircut factor of 15%. This scenario results in
downgrades of up to five notches for the rated notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

HARVEST CLO XXIV: S&P Assigns BB- (sf) Rating to Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Harvest CLO XXIV
DAC's class A, B-1, B-2, C, D, and E notes. At closing, the issuer
will also issue unrated class Z notes and 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 three
years after closing, and the portfolio's maximum average maturity
date will be approximately seven years after closing

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

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

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

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

  Portfolio Benchmarks
                                                         Current
  S&P Global Ratings weighted-average rating factor     2,897.01
  Default rate dispersion                                 442.49
  Weighted-average life (years)                            5.489
  Obligor diversity measure                               78.898
  Industry diversity measure                              19.174
  Regional diversity measure                               1.330

  Transaction Key Metrics
                                                         Current
  Total par amount (mil. EUR)                             250.00
  Defaulted assets (mil. EUR)                               0.00
  Number of performing obligors                               94
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                         'B'
  'CCC' category rated assets (%)                         0.40
  Covenanted 'AAA' weighted-average recovery (%)         35.90
  Covenanted weighted-average spread (%)                  3.75
  Covenanted weighted-average coupon (%)                  4.00

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted-average rating of
'B'. We consider that the portfolio will be well-diversified on the
effective date, primarily comprising 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 EUR250 million par amount,
the covenanted weighted-average spread of 3.75%, the covenanted
weighted-average coupon of 4.00%, and the covenanted
weighted-average recovery rates for all rating levels as provided
to us by the issuer. 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.

"We expect the issuer to purchase more than 50% of the effective
date portfolio from Investcorp European Loan Company DAC (IELC) and
a warehouse special-purpose entity (SPE) via participations. The
assets from IELC that are not settled by the effective date will be
carried at the S&P recovery value until they are fully settled with
the issuer."

With regards to the warehouse SPE, the warehouse seller complies
with S&P's legal criteria.

The transaction documents require that the issuer and IELC the
warehouse SPE use commercially reasonable efforts to elevate the
participations by transferring to the issuer the legal and
beneficial interests as soon as reasonably practicable. No further
participations with IELC may take place following the effective
date.

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

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

At closing, S&P considers that the transaction's legal structure to
be bankruptcy remote, in line with its legal criteria.

S&P said, "Our credit and cash flow analysis indicates that the
available credit enhancement for the class B to E 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. In our view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently. As such, we have not applied any additional
scenario and sensitivity analysis when assigning ratings on any
classes of notes in this transaction.

"Until the end of the reinvestment period on July 15, 2023, the
collateral manager is allowed to substitute assets in the portfolio
for so long as our CDO Monitor test is maintained or improved in
relation to the initial ratings on the notes. This test looks at
the total amount of losses that the transaction can sustain as
established by the initial cash flows for each rating, and compares
that with the default potential of the current portfolio plus par
losses to date. As a result, until the end of the reinvestment
period, the collateral manager may, through trading, deteriorate
the transaction's current risk profile, as long as the initial
ratings are maintained.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe that our ratings are
commensurate with the available credit enhancement for the class A,
B-1, B-2, C, D, and E 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 S&P's review of these factors, it believes that the minimum
cushion between this CLO tranches' break-even default rates (BDRs)
and scenario default rates (SDRs) should be 1% (from a possible
range of 1%-5%).

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 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.

"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. This has been considered in the above scenario analysis
results for the class E notes."

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

Harvest CLO XXIV 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.

  Ratings List

  Class    Rating     Amount    Sub(%)   Interest rate
                    (mil. EUR)
  A        AAA (sf)   145.00    42.00   Three/six-month EURIBOR
                                           plus 1.60%
  B-1      AA (sf)     21.20    31.00   Three/six-month EURIBOR
                                           plus 2.20%
  B-2      AA (sf)      6.30    31.00   2.65%
  C        A (sf)      17.90    23.84   Three/six-month EURIBOR
                                           plus 3.00%
  D        BBB (sf)    14.60    18.00   Three/six-month EURIBOR
                                           plus 4.00%
  E        BB- (sf)    13.75    12.50   Three/six-month EURIBOR
                                           plus 6.00%
  Z        NR           0.25     N/A    N/A
  Sub. Notes   NR      31.10     N/A    N/A

  NR--Not rated.
  N/A—-Not applicable


[*] IRELAND: One in Three of Businesses Worry About Liquidity
-------------------------------------------------------------
Eamon Quinn at BreakingNews.ie reports that one in three of all
businesses across the island is worried about liquidity and cash
flow as firms look to the Government for a radical change to rules
if they are to survive.  

According to BreakingNews.ie, amid the Covid-19 economic storm, the
Chartered Accountants say that one in three firms is facing
liquidity and cash flow constraints and many are looking to deal
with the fallout by preparing new ways of doing business.

In its report, The Next Financial Year: Making Irish Business More
Competitive, the accountants urge the Government to adopt
widespread reforms to make life less complicated for firms,
BreakingNews.ie relates.

The survey of 2,000 members found that many seek changes to company
law to allow businesses more freedom "to navigate unprecedented
circumstances", BreakingNews.ie discloses.

Businesses want leniency on filing deadlines, interest, and
penalties and seek what the survey calls a "digital transformation"
of all government services once the Covid storm has passed,
BreakingNews.ie states.

The accountants also seek extending the filing deadline for
accounts to the end of January and an increase of the examinership
period to 150 days, BreakingNews.ie notes.  They say that existing
supports and funding schemes for small firms "are too onerous and
complex" and it also wants the Government to secure a greater share
of the proposed EUR750 billion from the EU's Recovery and
Resilience Fund, BreakingNews.ie relays.

The group says grant supports are desperately needed by businesses
in hospitality, tourism, leisure, and retail, according to
BreakingNews.ie.




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

NEXI SPA: Fitch Cuts LT IDR & Sr. Unsec. Notes Rating to BB-
------------------------------------------------------------
Fitch Ratings has downgraded Nexi S.p.A.'s Long-Term Issuer Default
Rating and senior unsecured notes to 'BB-' from 'BB'. The Outlook
on the IDR is Stable. All ratings have been removed from Rating
Watch Negative.

The downgrade of the IDR reflects the anticipated spike in funds
from operations gross leverage above its negative sensitivity of
5.0x for a downgrade to a 'BB-' rating. The leverage increase
follows the closing in June of Nexi's acquisition of Intesa San
Paolo S.p.A.'s credit cards merchant-acquiring business for EUR1
billion. The acquisition, which was deemed strategically sound, was
entirely debt funded. Fitch expects Nexi to take more than six
quarters to meet its stated leverage targets, and assumes a
conservative stance toward future debt-funded acquisitions and cash
utilisation.

Nexi's trading has also been affected by the coronavirus pandemic,
with transaction volumes severely affected over the lockdown
period, followed by a clear recovery dynamic since May. Fitch
expects weaker consumer spending to impact the growth outlook for
2021. However, Nexi's business model will retain its highly cash
generative features and strong market position to capture the
structural increases in digital payment adoption expected in
Italy.

KEY RATING DRIVERS

Increase in Leverage: Fitch forecasts post-acquisition FFO gross
leverage to remain above its previous downgrade sensitivity of
5.0x, at 5.8x at end-2021, in line with a 'BB-' rating for its
sector and scale. The metric will ease below 5.0x only after 2023.
The increase in leverage reflects newly incurred debt to fund the
acquisition of the ISP merchant acquiring business, as well as
slower growth in card transactions, caused by the economic downturn
and the slowdown in consumer spending following the spread of
coronavirus.

Nexi's FFO interest coverage will remain materially above its
previous downgrade trigger of 3.0x, due to low current and expected
interest costs, supported by the issuance of a convertible note in
April 2020.

Strategically Sound Acquisition: The acquired business is a portion
of the legacy ISP's merchant-acquiring platform that remained with
the bank at the time of the buyout of Setefi by Nexi (ICBPI at the
time) in 2016. Fitch believes that the move will increase Nexi's
critical mass in the segment, opening margin improvement
opportunities from scale, while contributing to the reduction in
market fragmentation.

The added perimeter includes a network of around 180,000 merchants
providing over EUR65 billion of yearly transaction volumes,
equivalent to about 25% of the volume realised by Nexi in Merchant
Acquiring in 2018. Once the acquisition integration is completed,
EBITDA contribution is expected of over EUR100 million.

Financial Policy Evolution: At the time of the IPO, Nexi indicated
its medium- to long-term leverage target of between 2.0x and 2.5x
net debt-to-EBITDA. However, Nexi accessed attractive debt funding
conditions to re-lever its balance sheet post IPO, increasing its
gross debt by around EUR1.0 billion with minimal debt service
impact. Management says it intends to deleverage from its current
debt profile. However, Fitch expects it take more than six quarters
before Nexi can meet its leverage target, assuming a more
conservative policy toward debt-funded acquisitions.

Advancements in Integration Process: Fitch views the execution risk
related to the integration of the acquired business as moderate.
Fitch understands that the switch to Nexi entities of all the
transaction flows towards cards networks, merchants and banks was
executed smoothly at closing. Additionally, the sales force
partnership with ISP will support an orderly transition of all the
key activities including the sales functions. In its rating case,
Fitch assumes an uplift in capex of around EUR20 million compared
with management's updated indications for 2020-21 to cover
additional integration workstreams.

Volumes Affected by Lockdown: The coronavirus outbreak hit Italy
(BBB-/Stable) severely. Regional and federal authorities imposed a
full lockdown in March with a gradual lifting of restrictions from
4 May. Fitch understands that acquiring and issuing volumes reduced
by about 50% during the lockdown weeks compared with the same
periods in 2019, with travel and leisure related transactions
suffering dramatic declines. Primary categories such as groceries
exhibited growth. A clear recovery dynamic since May appears
sustainable, but volumes remain lower than last year.

Operating Expectations Revised: Fitch expects the Italian economy
to be significantly affected by the consequences of the lockdown,
with a GDP contraction forecast at 9.5% for 2020 and a 4.4%
increase in 2021. Consumer spending is expected to decline 10% in
2020 and to increase by 4.4% in 2021. A combination of volume
related and fixed components contribute to Nexi's revenue
generation, with the latter depending on the number of active
terminals. Fitch estimates the impact of lockdown on 2Q20 revenues
at over 20% compared with 2Q19.

In addition, Fitch expects revenues for 2020 and 2021 to be
affected by the adverse environment, with a like-for-like drop of
around 6% for 2020, with growth restarting from 2021.

Contingent Actions in Place: Management acted to protect
profitability and cash generation after the spread of coronavirus,
including cuts on operating expenses and optimisation of capex.
Fitch believes that a change in dividend payouts remains possible.
Overall, Fitch expects these measures to mitigate the loss in
EBITDA margin for 2020, while preserving free cash flow conversion
in excess of 20%, also sustained by carried-forward tax losses.

Some cost savings may be postponed to 2021. Fitch expects
integration savings and benefits from scale to improve
profitability over the next three years, supported by management
track record on implementing initiatives since converting to a
corporate entity in 2018.

DERIVATION SUMMARY

Nexi benefits from a leading position in the Italian digital
payment market, with clear leadership in merchant acquiring and
payment instruments issuance, amid growing adoption of electronic
payments. Enduring relationships with key partner banks anchor its
leadership position, proven by the completed acquisition from ISP
of the merchant-acquiring platform, which remained with the bank
after the previous carve-outs. These relationships, together with
high switching costs for merchants and banks to potential
competitors, translate into high barriers to entry and pricing
power. As an aggregator of several entities in a previously
fragmented market since the initial acquisition of the private
equity sponsors in 2015, Nexi's carved-out business is
characterised by a wide scale allowing considerable operating
leverage and efficiency opportunities. The latter allows the
company to expand its EBITDA margins to over 55% and FCF margins
towards 15% in 2023.

Nexi is comparable with peers rated by Fitch in its public ratings
and credit opinion portfolios within the payment processing space,
such as Nets Topco Lux 3 Sarl (B+/Stable), which is also active in
consolidation, with the acquisitions of Concardis and Dotpay.
However, Nets exhibits and remains committed to a higher leverage
profile than Nexi. Nexi shares limited similarities with PayPal
Holdings Inc. (BBB+/Stable), which has lower margins but stronger
geographical diversification and significantly lower indebtedness.

Since the IPO in 2019, Fitch compared Nexi's rating with other
Italian technology, media & telecom peers in the same rating group,
such Telecom Italia SpA (BB+/Stable) although Nexi's recent
acquisition caused an increase in the debt burden from the
immediate post-IPO debt profile. Key constraining factors for Nexi
are its 100% exposure to Italy, its moderately high leverage,
active and equity accretion-led financial policy and exposure to
the evolving and competitive digital payments industry, which is
subject to intense competition and potential regulatory
challenges.

KEY ASSUMPTIONS

  - 2020 revenues reduction of around 1.5% affected by lower
transaction volumes during lockdown weeks. FY 2019-2022 CAGR of
5.1% sustained by more solid growth from FY21 onwards

  - Full year revenues and EBITDA effect of ISP merchant acquiring
business accounted from FY21

  - Cash generated by the acquired business during 1H20 contributed
to Nexi according to merger agreements

  - Fitch-adjusted EBITDA margin at about 53% for 2020
progressively growing over 56% in 2023 as per the effect of
synergies and cost saving initiatives

  - Capital expenditure reduced to around 14% as a percentage of
revenues for 2020, expected to return to an average of close to 15%
for the rest of the forecast years

RATING SENSITIVITIES

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

  - FFO leverage stably below 5.0x on a sustained basis

  - FFO interest cover at 3.5x or above

  - Stabilisation of financial policy

  - Demonstrated commitment to deleveraging and convergence towards
stated leverage target

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

  - FFO leverage remaining above 6.0x

  - FFO interest cover stably below 3.0x

  - EBITDA margins below 45%

  - Financial policy leading to major acquisitions partially or
entirely debt-funded

  - Disruption/deterioration in settlement facility setup

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

Fitch assesses Nexi's liquidity as strong. The company benefits
from a healthy cash generation profile underpinned by high EBITDA
margins and limited funding requirements from working capital,
while capital expenditures are required for keeping the
technological standard of services safe and reliable. A relatively
low interest expense, the availability of a EUR350 million undrawn
revolving credit facility and the absence of relevant debt
maturities before 2024 strengthen the liquidity profile.

SOURCES OF INFORMATION

The sources of information used to assess this rating were company
press releases, annual and quarterly financials, notes and credit
facility documentation, a company presentation for rating agencies
and a meeting with management.

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).



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

4FINANCE HOLDING: Moody's Confirms CFR at B2, Outlook Negative
--------------------------------------------------------------
Moody's Investors Service has confirmed 4Finance Holding S.A.'s
long-term corporate family and long-term issuer ratings of B2,
together with the B2 long-term backed senior unsecured debt ratings
of 4Finance, S.A., the group's Luxembourg-based debt issuing
company. The outlook on both entities has been changed to negative
from ratings under review. This rating action concludes the review
opened on July 3, 2020, which followed 4Finance's notice of
invitation, launched on June 29, 2020, to vote on a nine-month
extension to the May 2021 maturity of 4Finance, S.A.'s EUR150
million senior unsecured bonds (ISIN XS1417876163).

Its rating action is driven by the announcement, on 20 July 2020,
that the resolution to extend the maturity of the Euro bonds by 9
months to February 2022 was successfully passed. Over 1,000
investors, representing a participation of 68.0% of outstanding
bonds, took part in the vote, while 95.4% by value voted in favour
of the resolution, satisfying the 75% Qualifying Majority
threshold.

RATINGS RATIONALE

RATIONALE FOR THE CORPORATE FAMILY RATING

The confirmation of the B2 corporate family rating is driven by the
temporary relief afforded by the extension to grow 4Finance's
near-prime and other loan portfolios as planned, without materially
weakening the company's liquidity position.

The coronavirus outbreak is expected to have a material impact on
4Finance's profitability and asset quality, through tightened
lending criteria leading to reduced loan issuance volume, and an
anticipated increase in impairments given the shift in customers'
repayment behavior. Moody's considers that such a deterioration in
4Finance's fundamentals, which is mitigated by the company's high
margins and the flexible cost structure which is expected to yield
savings through staff reduction, is compatible with a B2 CFR.

RATIONALE FOR THE NEGATIVE OUTLOOK

Moody's nonetheless cautions that the need to resort to such a bond
extension highlights the company's weakened liquidity position and
the limited options to access additional sources of liquidity in
the event of a shock. Additionally, Moody's considers the
nonperforming part of the loan book as illiquid, which constrains
the issuer's flexibility to repay outstanding debt by means of
reducing lending only. The negative outlook therefore reflects
that, despite 4Finance's current sound liquidity position, with
EUR90 million in cash as of May 2020, the company could be faced
with significant maturity hurdles in 2022 if further impediments to
its refinancing ability arise.

RATIONALE FOR THE ISSUER AND DEBT RATINGS

The confirmation of the B2 ratings of 4Finance, S.A.'s backed
senior unsecured notes (EUR150 million maturing May 2021, and $325
million maturing in May 2022) are based on the CFR and reflect the
results from Moody's "Loss Given Default for Speculative-Grade
Companies" methodology published in December 2015 and their
positioning within the group's funding structure and the amount
outstanding relative to total debt.

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

An upgrade of 4Finance's CFR is unlikely in the short-term, as
evidenced by the negative outlook. Over the longer-term, the CFR
could be upgraded if 4Finance maintains a strong recurring
profitability and high capitalization while containing asset
quality volatility and improving its funding profile towards a more
evenly distributed debt maturity profile. Upward rating pressure
could also materialize if the integration of TBI Bank EAD
translates into a successful further expansion of the group's
consumer lending business.

An upgrade in 4Finance's CFR would likely result in a corresponding
upgrade to its issuer and debt ratings.

4Finance's CFR could be downgraded if (1) the company was unable to
adequately lengthen its maturity profile, or put in place alternate
access to liquidity to fund forthcoming debt maturities; (2) asset
quality were to deteriorate substantially; (3) the company's
recurring return on assets were to fall further; or (4) the
company's capitalization would continue deteriorating or (5) the
company targets a leaner liquidity coverage, resulting in lower
volumes of liquid reserves to meet upcoming funding maturities.
Unfavorable progress in the integration of TBI Bank EAD could also
translate into downward rating pressure.

A downgrade in 4Finance's CFR would likely result in a
corresponding downgrade to its issuer and debt ratings. Further,
Moody's could downgrade 4Finance's issuer ratings and 4Finance,
S.A.'s debt ratings due to adverse changes to their debt capital
structure that would lower the recovery rate for senior unsecured
debt classes.

LIST OF AFFECTED RATINGS

Issuer: 4Finance Holding S.A.

Confirmations:

Long-term Corporate Family Rating, confirmed at B2

Long-term Issuer Ratings, confirmed at B2

Outlook Action:

Outlook changed to Negative from Rating under Review

Issuer: 4Finance, S.A.

Confirmations:

Backed Senior Unsecured Regular Bond/Debenture, confirmed at B2

Outlook Action:

Outlook changed to Negative from Rating under Review

PRINCIPAL METHODOLOGY

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



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

HMS JSC: Fitch Affirms LT IDR at B+, Outlook Stable
---------------------------------------------------
Fitch Ratings has affirmed Russian pumps & compressors manufacturer
JSC HMS Group's Long-Term Foreign- and Local-Currency Issuer
Default Rating at 'B+'. The Outlook is Stable.

The ratings are constrained by a limited business profile
characterised by a concentrated customer base and lack of
geographic diversification, smaller scale of operations versus
international peers', volatile free cash flow generation and a low
share of aftermarket services revenue. The ratings also reflect
HMS's forecast sustainable operating performance supported by a
healthy order book, leading market position, strong customer base,
comfortable liquidity and an expected gradual oil price recovery in
the medium term.

KEY RATING DRIVERS

Profitability to Recover: HMS Group's EBITDA margin as per Fitch
calculation dropped to about 8% in 2019, below its forecast, from
about 11% in 2018. The squeeze on profitability was driven by a
weaker share of large contracts for the oil&gas equipment segment,
usually more profitable than compressors, and lower profitability
at the compressors sub-segment due to first-time participation in a
LNG project. Fitch expects HMS's profitability to increase to about
10% in 2020 due to cost savings. A doubling of orders yoy in 1Q20
with an increased share of large projects further supports its
expectation.

Elevated Leverage: Operating under-performance drove funds from
operations net leverage to 3.3x at end-2019, close to its negative
sensitivity of 3.5x, from 2.8x as at end-2018. Fitch expects the
economic downturn due to the pandemic to cause the FFO margin to
further decline to about 6% versus a historical level of 7%-10% and
FFO net leverage to rise slightly above its negative sensitivity in
2020. Fitch expects net leverage to improve to below 3.5x from
2021, as operating performance normalises. Further severe
volatility of profitability may affect leverage and lead to
negative rating action, which is however, not its base-case
scenario.

FCF Under Pressure: HMS's FCF has been volatile and is a rating
constraint. Despite a growing volume of large contracts in 2020,
with associated advance payments, Fitch expects growing working
capital needs as a result of potential extension of payment terms
to customers. Together with lower capex of about 2.5% of revenue
and dividends pay-out of RUB400 million in 2020, Fitch expects
negative FCF generation in 2020. Neutral-to-positive FCF from 2021
should result from FFO improvement and stabilising working
capital.

Moderate Impact from O&G Cyclicality: HMS is materially exposed to
cyclical O&G industry. About 41% of its revenue in 2019 was
generated from O&G production and 20% from O&G transportation
segments. Due to currently low oil prices, Russia's OPEC+
commitment and falling gas prices, Russian O&G majors have reduced
their capex plans for 2020. However, this has been moderate with
PJSC Gazprom (BBB /Stable) cutting capex by about 25% yoy, PJSC
Gazprom Neft (BBB/Stable) and PAO Novatek (BBB / Stable) by about
20% and Rosneft by 10%. Fitch expects HMS's total revenue to be
flat in 2020, supported by backlog of orders. Fitch forecasts low
single-digit revenue growth for 2021-2023.

Limited Business Profile: HMS has a wide range of customers but
they are mostly in the O&G sector. HMS's top-three customers
accounted for about 45% of revenue in 2019. HMS primarily operates
in Russia and the CIS, and the share of exports is still low at
10%. Its strong domestic market position underpins stable demand
for its products over the long-term. As the majority of HMS's
customers usually have their own service departments the share of
aftermarket services revenue, which is typically less cyclical, is
in low single-digits for HMS. This represents a rating constraint.

Leading Market Position: HMS is the leading manufacturer of
industrial pumps and O&G equipment with a market share of about 30%
and 43%, respectively, in Russia and CIS. It has the largest
installed base in Russia. A strong position, successful long-term
cooperation with major customers and high capital expenses in
manufacturing facilities act as significant barriers to entry in
the company's niche market and helps protect margins over the long
term. Nevertheless, growing competition from a large number of
small producers affects HMS's profitability. Competition from
foreign producers is limited due to differences between national
and international engineering standards.

DERIVATION SUMMARY

HMS is smaller than other peers from Fitch's diversified
industrials portfolio, including AI Alpine AT BidCo GmbH
(B/Stable), KME SE (B-/Stable) and JSC Transmashholding (TMH;
BB/Stable). Similar to other Russian industrial peers, such as
Borets International Limited (B+/Negative) and TMH, HMS's business
profile is characterised by limited geographical and customer
diversification versus CeramTec BondCo Gmbh (B/Negative), AI Alpine
AT BidCo GmbH and Vertical Holdco GmbH (B/Stable). HMS's ratings
are also capped by a low share of aftermarket services revenue
while Vertical's and AI Alpine's business profiles are supported by
a significant share of aftermarket service revenue of about 50%.

HMS's FCF is volatile, similar to TMH's, but the latter is
mitigated by lower FFO net leverage of 1.4x at end-2019 versus
HMS's 3.3x. HMS's FFO net leverage is however lower than CeramTec's
(about 15x at end-2019), Vertical's (expected 9x-11x during
2020-2021) and KME's (6.5x at end-2018). Nevertheless, these peers
have stronger FCF margins with CeramTec's 10%-15% and AI Alpine's
10%.

KEY ASSUMPTIONS

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

  - Revenue flat in 2020 followed by average 2.5% growth p.a. in
2021-2023.

  - EBITDA margin improving to an average of 10% in 2020 and to 11%
during 2021-2023

  - Capex at around 2.5% of sales over 2020-2021 and 3% over
2022-2023

  - Dividend payments of RUB400 million in 2020, RUB500 million in
2021-2022, RUB1 billion in 2023

  - Share buy-back to continue in 2020

RATING SENSITIVITIES

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

  - Sustained positive FCF generation

  - Improved geographic diversification of end-markets

  - FFO net leverage sustained below 2.5x

  - FFO interest coverage sustained above 3.5x

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

  - Continuous failure to secure large integrated projects from
major Russian O&G companies

  - FFO net leverage sustained above 3.5x

  - FFO interest coverage sustained below 2.0x

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Comfortable Liquidity: As at end-March 2020 HMS had Fitch-defined
readily available cash of about RUB8 billion that was sufficient to
cover short-term debt of RUB4.8 billion, excluding outstanding
off-balance sheet factoring of RUB0.6 billion, and expected
negative FCF of about RUB1 billion. Available undrawn credit
facilities of around RUB2 billion as at June 1, 2020, albeit
uncommitted, provide HMS with additional cash cushion and mitigate
refinancing risk.

HMS has good access to bank loans, supported by long-term
cooperation with creditors, who are mainly state banks. Reliance on
uncommitted credit lines is standard practice for Russian
corporates.

On July 14, 2020 HMS successfully placed a 10-year bond of RUB3
billion, which was used to refinance its short-term debt repayments
due in 2021, supporting its liquidity profile.

Its debt is primarily rouble-denominated.

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).



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

TURKEY: S&P Affirms B+ Foreign Currency Sovereign Credit Rating
---------------------------------------------------------------
On July 24, 2020, S&P Global Ratings affirmed its unsolicited
long-term foreign currency sovereign credit rating on Turkey at
'B+' and its unsolicited long-term local currency sovereign credit
rating at 'BB-'. The outlook is stable.

S&P affirmed the unsolicited short-term foreign and local currency
sovereign credit ratings at 'B'.

S&P also affirmed the unsolicited national scale ratings at
trAA+/--/trA-1+.

Outlook

S&P said, "The stable outlook balances the lingering downside
economic risks stemming from the pandemic over the next 12 months
against the resilience of Turkey's private sector, and the
still-contained stock of net general government debt. We expect
that, despite currency volatility and COVID-19-related
interruptions to economic activity, Turkish GDP will recover in the
second half of this year."

Downside scenario

S&P said, "We could lower the ratings if we saw a sustained
re-emergence of macroeconomic imbalances, such as a persistently
high pace of credit growth and the current account deficits
widening by more than our forecasts. Such imbalances, in turn,
would increase the likelihood of banking system distress, which
implies contingent liability risks for public finances. We could
also lower the ratings if Turkey's still comparatively strong
public finances deteriorated for other reasons, such as the
budgetary impact of COVID-19 being much larger than expected or
currency volatility inflating general government debt levels beyond
our projections."

Upside scenario

S&P said, "We could consider an upgrade if Turkey's growth proved
to be higher and more sustainable than we forecast over the medium
term while external imbalances declined and net general government
debt remained contained. We could also raise the ratings if the
government successfully devised and implemented a credible and
transparent economic reform program focused on structural
macroeconomic improvements, including strengthening the banking
system as well as bolstering the foreign exchange (FX) reserves and
monetary policy effectiveness of the Central Bank of the Republic
of Turkey (CBRT)."

Rationale

S&P said, "We consider that, as in other countries, the pandemic
will have a negative effect on Turkey's economy. Although the virus
now appears under control, with a steady decline in the number of
new registered cases, we expect economic normalization to be a
gradual process. In our view, both domestic demand and exports are
affected and the tourism sector has been hit particularly hard,
given disruptions to cross-border movements and more cautious
attitudes to travel. On a positive note, Turkey and Russia earlier
came to an agreement to resume flights and we anticipate that
travel arrangements with several other European countries should
also gradually normalize. Overall, we forecast that the Turkish
economy will contract by 3.3% in real terms in 2020.”

The authorities have adopted a number of fiscal measures to help
the economy deal with the pandemic fallout. These include
additional health care expenditure, tax deferrals, and
contributions to salary payments for affected employees and
businesses. A substantial part of the policy response also appears
in the form of a sizable credit impulse, with a rapid increase in
the amount of new credit issued by domestic banks.

This credit impulse is delivered directly, via state-owned banks,
as well as through a series of measures that incentivize private
banks to lend. Although supportive of near-term growth, there are
signs that an outsized credit stimulus could underpin re-emergence
of economic imbalances that frequently characterized Turkish
economy in the past. Specifically:

-- The stock of domestic credit has already expanded by almost 24%
since the start of the year;

-- Following a decline throughout 2019, year-on-year inflation has
plateaued at around 11%-13%, and the consumer price index (CPI)
rose by 12.6% in June, year on year;

-- This year's cumulative current account deficit has exceeded 2%
of GDP through end-May, compared with a small surplus for the same
period last year.

S&P's baseline expectation is that this credit expansion will
gradually moderate in the coming months and the economy will
recover in a sustainable manner and without further imbalances
building up. However, if unchecked, continued credit stimulus could
ultimately make Turkey more vulnerable to a disruptive economic
adjustment, similar to the one it experienced in August 2018. This
is particularly relevant now, against the background of heightened
global economic uncertainty and more volatile fund flows to
emerging markets.

S&P said, "Positively, we project that Turkey's net general
government debt will remain modest as a percentage of GDP, even
after factoring in the negative budgetary impact of the pandemic.
We forecast that net general government debt will total 35% of GDP
at the end of 2020, providing some fiscal headroom in the event of
a further hypothetical negative shock.

"Our ratings on Turkey remain constrained by what we view as its
weak institutions. We see limited checks and balances between
government bodies, with power concentrated in the hands of the
executive branch, which renders policy responses difficult to
predict. Nevertheless, the outcome of local elections held in 2019
suggests that Turkey's political system retains a degree of
competition.

Institutional and economic profile: Recession in 2020 owing to the
impact of COVID-19 pandemic

-- S&P forecasts the Turkish economy will contract by 3.3% this
year.

-- The pandemic appears under control, which should allow for a
quicker recovery compared with other emerging market economies.

-- Policy and institutional risks remain elevated.

The COVID-19 pandemic had a negative effect on the Turkish economy;
directly, by eroding domestic demand, and indirectly, by
constraining foreign trade and tourism.

S&P said, "We forecast that world GDP will contract by 3.8% this
year. Moreover, we project a 7.8% output contraction in 2020 in the
eurozone, the market for over 30% of Turkish goods exports. The
Turkish tourism sector is also being particularly hard hit as
international borders reopen and air travel resumes only gradually.
As such, we now expect that this summer's tourism season is likely
to be largely lost. Consequently, Turkey's exports will contract by
12% in real terms or around 20% in U.S. dollar terms this year."

S&P forecasts both Turkey's domestic consumption and investments
will contract, reflecting high uncertainty; diminished consumer
purchasing power; and a weaker Turkish lira, which will increase
the burden of servicing foreign-currency-denominated debt and
thereby limit the scope for investments.

Positively, Turkey now appears to have controlled the rate of
infection--although the total number of COVID-19 cases registered
to date has surpassed 200,000, currently active cases are much
lower, at close to 13,000. This contrasts with other emerging
market economies, such as Russia, Brazil, or South Africa, where
cases are still rising at a rapid pace. The more-positive dynamic
of the pandemic, in turn, should allow the authorities to ease the
social distancing and movement restrictions further and underpin a
quicker recovery, compared with other emerging markets. Turkey has
been easing social distancing measures since May.

To cushion the impact of the pandemic, the authorities have adopted
a number of fiscal and credit stimulus measures. The latter have
already underpinned credit growth in excess of 20% over the first
six months of the year. Although supportive of short-term economic
growth, S&P considers that, if left unchecked, the large credit
impulse could pose medium-term risks for the Turkish economy.

S&P said, "Overall, our baseline scenario has the Turkish economy
contracting by 3.3% in real terms in 2020 before recovering by 4.5%
in 2021. Our medium-term growth forecasts are unchanged, with
growth at 3.5% on average in 2022 and 2023.

"We consider that Turkey's institutional arrangements remain
comparatively weak and continue to constrain the sovereign ratings.
In the June 2018 presidential and parliamentary elections, the
president and the Adalet ve Kalkinma Partisi (AKP)-led coalition
secured a victory that was the final chapter in Turkey's transition
to an executive presidential system. We see limited checks and
balances between government bodies. Because power is concentrated
in the hands of the executive branch, it is difficult to predict
policy responses."

Nevertheless, a degree of domestic political competition remains,
as highlighted by the results of last year's local elections, when
opposition parties secured the mayorships of several large cities,
including Istanbul, Ankara, and Izmir, and the electoral
authorities acknowledged these results.

S&P also considers that some geopolitical risks remain, including
from Turkish military involvement in Northern Syria. There are also
risks from possible international sanctions from the U.S., related
to Turkey's earlier purchase of Russia's S-400 anti-aircraft
missiles; and the EU, related to Turkey's gas exploration and
drilling activities around Cyprus.

Flexibility and performance profile: Signs of imbalances
re-emerging, but fiscal headroom remains

-- Turkey is experiencing rapid domestic credit growth against the
background of elevated inflation and a widening current account
deficit.

-- CBRT FX reserves have declined and deteriorated in quality
since the start of the year.

-- Fiscal space remains, given comparatively low net general
government debt of 35% of GDP, even after the impact of the
pandemic is taken into account.

Throughout 2020, the Turkish authorities have swiftly introduced a
number of fiscal and monetary measures to shield the domestic
economy from the impact of the pandemic. While the direct budgetary
measures are fairly muted (estimated at a total of around 2% of
GDP), the focus has been on a large credit stimulus. The
authorities have introduced several initiatives:

-- Loan payment moratoriums offered by public banks to affected
firms, initially for three months;

-- Bank regulator BRSA implemented the new asset ratio regulation,
which incentivizes commercial banks to lend;

-- The recognition period for Stage 2 loans and nonperforming
loans has been extended; and

-- A few other forbearance measures were introduced, including on
the liquidity coverage ratio and the calculation of capital
adequacy.

As a result, domestic credit has been expanding at a very high pace
recently, even compared with similar episodes of monetary impulse
in Turkey in the past. Over just the first six months of 2020, the
stock of nonfinancial sector loans grew by almost 24%. For
comparison, this exceeds full-year credit growth in Turkey for
every year between 2014 and 2019. S&P understands that this new
bank credit is partially replacing foreign debt as the nonbank
corporate sector has been reducing external leverage. Nevertheless,
even adjusting for this effect, the rate of credit expansion is
rapid. S&P has revised its forecast upward and now expect loan
growth to reach 30% this year.

Although the recent credit impulse could support a speedier
economic recovery over the short term, S&P considers that it could
ultimately reignite some of the imbalances that have frequently
emerged within the Turkish economy in the past. For example, a
large credit stimulus through 2017 and the first half of 2018 ended
abruptly with the August 2018 currency crisis, which precipitated
an output contraction, currency volatility, and a spike in
inflation.

In recent months, inflation appears to have plateaued at 11%-13%,
with June CPI expanding by 12.6% year on year. Meanwhile, the
current account deficit has been widening--it totaled a cumulative
US$17 billion over January-May 2020, compared with a small surplus
for the same period in 2019. S&P said, "In our view, this adds to
Turkey's existing balance of payments vulnerabilities, which stem
from the large stock of external debt it accumulated in the past,
predominantly within the country's banking sector. Positively, the
banks have been able to roll over their maturing foreign debt
throughout 2020, with rollover rates of 80%-90%. We expect them to
continue to roll over debt unhindered, but risks remain elevated,
particularly if fund flows to emerging markets, which have returned
following massive outflows in March 2020, were to reverse again."

In parallel, the CBRT's FX reserves have trended down and
deteriorated in quality as its borrowing has picked up via swap
lines on the liability side in foreign currency. S&P said, "We net
these obligations out and expect usable FX reserves to drop below
US$10 billion this year, from around US$30 billion last year,
before staging a gradual recovery over the medium term. In our
view, this limits the CBRT's firepower to counteract further
exchange rate volatility or to meet unexpected external financing
requirements."

S&P said, "In our view, Turkey's fiscal position remains
comparatively strong and continues to support the sovereign
ratings. We project that, as a result of the implemented support
measures and a 3.3% contraction in real output this year, the
general government deficit will widen to 5% of GDP in 2020, from
3.2% in 2019. However, the increase in public leverage will be
higher, primarily because of the depreciation of the Turkish lira.
Close to half of government debt is denominated in foreign
currencies. In addition, back in May, the government made a capital
injection into state banks worth 0.5% of GDP, via the Sovereign
Wealth Fund. We expect net general government debt to total 35% of
GDP at the end of 2020, which leaves the government fiscal policy
space to maneuver.

"Although fiscal leverage remains low, we consider that there are
risks from contingent liabilities. We estimate that direct
government guarantees and commitments under public-private
partnership agreements remain limited, at below 10% of GDP. That
said, in an adverse scenario, we anticipate that the government may
have to extend support to the financial sector, particularly the
public banks. We note that two cases of recapitalization have
already happened over the last 18 months (0.7% of GDP in April 2019
and 0.5% of GDP in May 2020) and more support may be required,
because of the rapid loan growth combined with the effects of the
COVID-19 pandemic on Turkish households and the corporate sector.

Bank asset quality is likely to deteriorate in the coming months.
The Turkish lira is currently trading at about 6.9 lira to the U.S.
dollar, having depreciated by close to 14% since the start of the
year. The weaker exchange rate puts additional pressure on the
domestic corporate sector, given that a significant proportion of
its debt is still denominated in foreign currencies, despite the
reduction in its short open FX position.

S&P sees Turkey's monetary policy as historically ineffective at
managing inflation. The CBRT has never met the 5% medium-term
target introduced in 2012, while Turkey's real effective exchange
rate (REER) has shown substantial swings. The CBRT has faced
increasing political pressure in recent years, which it considers
impairs its effectiveness, often by delaying timely responses to
rising inflation. Inflation soared to 25% in October 2018, but has
since moderated. It currently stands at close to 12% (according to
official data) in year-on-year terms.

Political pressure on the independence of the CBRT continues. The
president dismissed the CBRT governor in July 2019, just weeks
ahead of a key decision on interest rates. Subsequently, the CBRT
quickly lowered the key repo rate by a cumulative 1,575 basis
points over a year. In real terms, S&P considers policy rates
negative, which present risks to balance-of-payment flows and the
FX market.

S&P classifies Turkey's FX regime as a managed float, with
intermittent intervention in the FX market. Although outright FX
sales to directly defend the exchange rate have generally been
limited, there have been reports of public banks selling FX to
support the lira at difficult junctures. The regulators have also
introduced limits on domestic banks' allowed derivative positions
with nonresidents. The aim is to curb potential speculation against
the exchange rate.

The long-term local currency rating on Turkey is one notch higher
than the long-term foreign currency rating. In S&P's view, the
managed float exchange rate regime, comparatively developed local
currency capital markets, and the fact that about 50% of government
debt is denominated in local currency and almost entirely held
domestically imply a lower default risk on Turkey's
lira-denominated sovereign commercial debt than on its foreign
currency-denominated debt.

In accordance with S&P's relevant policies and procedures, the
Rating Committee was composed of analysts that are qualified to
vote in the committee, with sufficient experience to convey the
appropriate level of knowledge and understanding of the methodology
applicable. At the onset of the committee, the chair confirmed that
the information provided to the Rating Committee by the primary
analyst had been distributed in a timely manner and was sufficient
for Committee members to make an informed decision.

After the primary analyst gave opening remarks and explained the
recommendation, the Committee discussed key rating factors and
critical issues in accordance with the relevant criteria.
Qualitative and quantitative risk factors were considered and
discussed, looking at track-record and forecasts.

The committee's assessment of the key rating factors is reflected
in the Ratings Score Snapshot above.

The chair ensured every voting member was given the opportunity to
articulate his/her opinion. The chair or designee reviewed the
draft report to ensure consistency with the Committee decision. The
views and the decision of the rating committee are summarized in
the above rationale and outlook. The weighting of all rating
factors is described in the methodology used in this rating
action.

  Ratings List

  Ratings Affirmed

  Turkey
   Sovereign Credit Rating
    Foreign Currency |U^                    B+/Stable/B
    Local Currency |U^                      BB-/Stable/B
   Turkey National Scale |U^                trAA+/--/trA-1+
   Transfer & Convertibility Assessment |U^   BB-
    
|U^ Unsolicited ratings with issuer participation, access to
internal documents and access to management.




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

BRITISH STEEL: Court Rejects Jingye Bid for French Factory
----------------------------------------------------------
Michael Pooler and David Keohane at The Financial Times report that
British Steel's Chinese owner has had its bid to acquire a factory
in France rejected by a court as concerns grow in some European
capitals about companies from the Asian superpower snapping up
assets.

Jingye Group, which saved the UK's second-largest steelmaker from
bankruptcy earlier this year, was attempting to wrest control of a
small mill in north-east France that belonged to British Steel, the
FT recounts.

A parallel sale process for the Hayange site, which produces metal
track for railways, was opened last year amid misgivings in Paris
over the future of a manufacturing facility it deems of national
importance, the FT notes.

However, a tribunal in Strasbourg in charge of the dossier last
week accepted an offer from Liberty House, the privately owned
industrial group led by UK businessman Sanjeev Gupta, the FT
states.  The next step is for France's finance ministry to approve
the deal, the FT relays, citing officials.

Jingye had pledged to invest EUR60 million in the Hayange rail mill
over five years with no need for public funding, the FT discloses.
According to the FT, people familiar with its bid said it also
offered to transfer EUR30 million for capital expenditure into an
escrow account.

But officials had concerns over the industrial conglomerate's
finances and worried about the potential for dumping of Chinese
steel, the FT notes.

Paris, the FT says, is hopeful that the Hayange mill can help
secure the future of a separate steelworks called Ascoval, which
has struggled in recent years, by becoming an important customer.

Other parties interested in the Hayange mill were industry giant
ArcelorMittal, Saarstahl of Germany and Greybull Capital, the
private investment firm under whose ownership British Steel filed
for insolvency, the FT states.


DEBENHAMS PLC: Seeks Buyers for Business to Avert Liquidation
-------------------------------------------------------------
Alice Hancock at The Financial Times reports that Debenhams, the UK
department store chain, is seeking buyers in an effort to secure
the business and prevent it going into liquidation.

The retail group has appointed the investment bank Lazard to
oversee an attempted sale that is expected to start this week, the
FT relays, citing sources with knowledge of the discussions.

The move comes after Debenhams entered a "light touch"
administration in April, which allows the chain's directors to file
for administration but run the business as normal rather than
giving it over to insolvency practitioners, the FT states.

It is the third time that the struggling retailer has gone through
some form of insolvency process in a year as it has battled to
adapt to changing consumer habits even before the coronavirus
lockdown forced it to close all 142 of its stores, the FT notes.

The group, which also owns the Magasin du Nord chain in the
Denmark, has negotiated new lease contracts with many of its
landlords as part of the administration process, moving on to what
are seen by retailers as more sustainable deals based on turnover,
the FT discloses.

According to the FT, several buyers have already expressed an
interest in Debenhams although a sale is just one of a number of
potential options being explored by the retailer's administrators,
FRP Advisory, and its lenders, which include the US-based funds
Silver Point Capital, GoldenTree and Alcentra and the UK bank,
Barclays.

Others options include the current owners continuing to hold on to
the business or the creation of a joint venture with new or
existing investors, the FT says.  Liquidation has not been ruled
out if further investment is not found, according to the FT.

The chain is hoping to complete the restructuring by September,
before the peak trading period in the autumn, the FT discloses.


NMC HEALTH: Seeks to Raise Up to U$250 Million in Debt
------------------------------------------------------
Davide Barbuscia and Hadeel Al Sayegh at Reuters report that
sources said hospital operator NMC Health is looking to raise up to
US$250 million in debt while it prepares for insolvency proceedings
in the United Arab Emirates and has picked Perella Weinberg
Partners to advise it on the process.

According to Reuters, two sources familiar with the matter said the
company, run by administrators Alvarez & Marsal, has also tasked
Perella to advise it on the sale of UK-based Aspen Healthcare, a
company it acquired in 2018.

NMC Health Plc, the London-listed holding company for the hospital
group, went into administration in April after months of turmoil
over its finances, Reuters recounts.

Its UAE entity is considering to apply for insolvency under the
jurisdiction of Abu Dhabi Global Markets (ADGM), sources have
previously told Reuters, to obtain protection from the court from
any enforcement from creditors, similar to Chapter 11 in the United
States, Reuters discloses.

The sources said the US$250 million loan, referred to as
debtor-in-possession financing, would help sustain operations and
cover advisers' fees while the company navigates insolvency
proceedings, Reuters notes.

One of them added the financing is contingent on ADGM accepting
NMC's filing under its jurisdiction, according to Reuters.

The sources, as cited by Reuters, said the financing would likely
be provided by UAE banks that have large exposure to the company,
as supporting the business would improve their chances of
recovering part of its outstanding debt.


PRECISE MORTGAGE 2017-1B: Fitch Affirms BB+sf Class E Notes Rating
------------------------------------------------------------------
Fitch Ratings has affirmed Precise Mortgage Funding 2017-1B,
Precise Mortgage Funding 2018-1B and Precise Mortgage Funding
2018-2B. All affected classes have been removed from Rating Watch
Negative. The Outlook on the class E notes in each transaction is
Negative and all other Outlooks are Stable.

Precise Mortgage Funding 2017-1B Plc      

  - Class A XS1588567781; LT AAAsf; Affirmed

  - Class B XS1588576345; LT AAAsf; Affirmed

  - Class C XS1588580297; LT A+sf; Affirmed

  - Class D XS1588584018; LT BBB+sf; Affirmed

  - Class E XS1588587110; LT BB+sf; Affirmed

Precise Mortgage Funding 2018-1B PLC      

  - Class A Notes XS1739590955; LT AAAsf; Affirmed

  - Class B Notes XS1739591094; LT AAAsf; Affirmed

  - Class C Notes XS1739591177; LT AA-sf; Affirmed

  - Class D Notes XS1739591250; LT BBB+sf; Affirmed

  - Class E Notes XS1739591334; LT BBBsf; Affirmed

Precise Mortgage Funding 2018-2B Plc      

  - Class A XS1783215871; LT AAAsf; Affirmed

  - Class B XS1783216093; LT AAAsf; Affirmed

  - Class C XS1783216176; LT AA-sf; Affirmed

  - Class D XS1783216333; LT BBB+sf; Affirmed

  - Class E XS1783216507; LT BBB-sf; Affirmed

TRANSACTION SUMMARY

The transactions are securitisations of buy-to-let mortgages. The
loans were originated by Charter Court Financial Services, trading
as Precise Mortgages in the UK excluding Northern Ireland.

KEY RATING DRIVERS

Off RWN

The affected classes have been removed from RWN. The notes were
placed on RWN in April in response to the coronavirus outbreak.

The class E notes of PMF 17-1B and 18-1B were placed on RWN to
reflect Fitch's weaker asset performance outlook. Fitch has
analysed these transactions under the alternative coronavirus
assumptions and considered the notes sufficiently robust to
maintain their ratings. However, they have been assigned Negative
Outlooks.

The class C and D notes of PMF 17-1B were placed on RWN as Fitch
considered the interest coverage ratio concentrated in higher-risk
classes under Fitch's UK RMBS Rating Criteria increased the
refinancing risk for the pool. This was when lenders were
withdrawing mortgage products and reducing their product switching
and remortgaging options. As lenders are now reverting this trend,
and the majority of loans in this pool will move to a higher
reversionary rate only in the next years, Fitch considers the
refinancing risk is in line with expectations. In addition, the
ratings of these notes proved robust under Fitch's additional
stress scenario analysis.

The class C notes of PMF 18-1B and 18-2B were placed on RWN as a
high take-up of payment holidays was increasing the risk of
interest deferral for these notes in a way that was not
commensurate with their ratings. Fitch has analysed the projected
cash-flows of the transactions based on the actual levels of
payment holidays in these months, and believes that the risk of
interest deferral for these notes is sufficiently remote.

Outlooks Negative on Class E

The class E notes in each transaction have been assigned Negative
Outlooks. Fitch considers these classes more vulnerable to
prolonged payment holidays or subsequent collateral
underperformance given their relatively junior ranking in the
revenue and principal funds allocation.

Coronavirus-related Alternative Assumptions

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

The combined application of revised 'Bsf' representative pool
weighted average foreclosure frequency, revised rating multiples
and arrears adjustment resulted in a multiple to the current FF
assumptions in a range of 1.3x to 1.4x at 'Bsf' and of about 1.1x
at 'AAAsf' in each transaction. The alternative coronavirus
assumptions are more modest for higher rating levels as the
corresponding rating assumptions are already meant to withstand
more severe shocks.

Fitch also applied a payment holiday stress for the first six
months of projections, assuming up to 40% (for PMF 17-1B) or 30%
(for PMF 18-1B and PMF 18-2B) of interest collections will be lost,
and related principal receipts will be delayed.

Impact of Payment Holidays

Loans on payments holidays made up 27%, 19% and 21% of the
respective portfolio at end-May. In line with Financial Conduct
Authority guidance, CCFS granted payment holidays based on
borrowers' self-certification. Fitch expects providing borrowers
with a payment holiday of up to six months to have a temporary
positive impact on loan performance. This has been the case so far:
no deterioration in portfolio performance was observed at the June
interest payment dates and loans in arrears for more than one month
are still at low levels for all the three transactions. However,
the transactions may face some liquidity constraints if a large
number of borrowers opt for a payment holiday.

Fitch has tested the ability of the liquidity reserves and general
reserves to cover senior fees, net swap payments and rated note
interest, and found that payment interruption risk would be
mitigated.

Sufficient Credit Enhancement

High prepayments in 1H20 have contributed to increase the CE
available to the structures compared with Fitch's last annual
review. The build-up in CE contributed to the robustness of the
ratings and the affirmations.

Turbo Feature

On any payment date on or after the optional redemption date, any
excess spread available will be diverted to principal available
funds and used to pay down the notes. However, any subordinated
hedging amounts payable are due senior to these items in the
revenue priority of payments. In case of a default of the swap
counterparty and the swap mark-to-market being in favour of the
swap counterparty, excess spread may not be available to pay
principal. For this reason, Fitch has not given credit to the turbo
feature in scenarios above 'BB+sf'.

RATING SENSITIVITIES

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

The broader global economy remains under stress due to the
coronavirus pandemic, with surging unemployment and pressure on
businesses stemming from social-distancing guidelines. Recent
government measures related to the coronavirus pandemic introduced
a suspension on tenant evictions for three months and mortgage
payment holidays, also for up to three 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% increase in WAFF and
a 15% decrease in WARR. The results indicate an adverse rating
impact of up to three notches in PMF 17-1B and up to two notches in
PMF 18-1B and PMF 18-2B.

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

Additionally, unanticipated declines in recoveries could also
result in lower net proceeds, which may make certain notes' ratings
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, and
examining the rating implications on all classes of issued notes.

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE and potential 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%. The
ratings for the subordinated notes could be upgraded by up to three
notches in PMF 17-1B and PMF 18-1B and up to two notches in PMF
18-2B.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

Prior to the transactions' closing, 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.

Prior to the transactions' closing, Fitch conducted a review of a
small targeted sample of Precise's origination files and found the
information contained in the reviewed files to be adequately
consistent with the originator's policies and practices and the
other information provided to the agency about the asset
portfolio.

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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).

PRECISE MORTGAGE 2019-1B: Fitch Affirms BB+sf Class X Notes Rating
------------------------------------------------------------------
Fitch Ratings has affirmed Precise Mortgage Funding 2019-1B and
Precise Mortgage Funding 2020-1B. All affected classes have been
removed from Rating Watch Negative.The Outlooks on PMF 19-1B's
class D, E and X notes and PMF 20-1B's class C, D and X notes are
Negative. All other Outlooks are Stable.

Precise Mortgage Funding 2019-1B PLC      

  - Class A1 XS1923736620; LT AAAsf; Affirmed

  - Class A2 XS1923737354; LT AAAsf; Affirmed

  - Class B XS1923737438; LT AA+sf; Affirmed

  - Class C XS1923737511; LT Asf; Affirmed

  - Class D XS1923737602; LT BBB+sf; Affirmed

  - Class E XS1923737867; LT BBB-sf; Affirmed

  - Class X XS1923737941; LT BB+sf; Affirmed

Precise Mortgage Funding 2020-1B PLC      

  - Class A1 XS2097423060; LT AAAsf; Affirmed

  - Class A2 XS2097425354; LT AAAsf; Affirmed

  - Class B XS2097426246; LT AA+sf; Affirmed

  - Class C XS2097426329; LT Asf; Affirmed

  - Class D XS2097426832; LT BBBsf; Affirmed

  - Class E XS2097426915; LT BB+sf; Affirmed

  - Class X XS2097427301; LT BB+sf; Affirmed

TRANSACTION SUMMARY

The transactions are securitisations of buy-to-let mortgages. The
loans were originated by Charter Court Financial Services, trading
as Precise Mortgages in the UK excluding Northern Ireland.

KEY RATING DRIVERS

Off RWN

The affected classes have been removed from RWN. The notes were
placed on RWN in April in response to the coronavirus outbreak.

The class D, E and X notes of PMF 19-1B and the class C, D and X
notes of PMF 20-1B were placed on RWN to reflect Fitch's weaker
asset performance outlook. Fitch has analysed the transactions
under the alternative coronavirus assumptions and considered the
notes sufficiently robust to maintain their ratings. However, the
notes have been assigned Negative Outlooks.

The class C notes of PMF 19-1B were placed on RWN as Fitch
considered the interest coverage ratio concentrated in higher-risk
classes under Fitch's UK RMBS Rating Criteria to increase the
refinancing risk for the pool. This was when lenders were
withdrawing mortgage products and reducing their product switching
and remortgaging options. As lenders are now reverting this trend,
and the majority of loans in this pool will move to a higher
reversionary rate only in the next years, Fitch considers
refinancing risk is in line with expectations. In addition, the
ratings of these notes proved robust under Fitch's additional
stress scenario analysis.

Negative Outlooks

The class D, E and X notes of PMF 19-1B and the class C, D and X
notes for PMF 20-1B have been assigned Negative Outlooks. Fitch
considers these classes more vulnerable to prolonged payment
holidays or subsequent collateral underperformance given their
relatively junior ranking in the revenue and principal funds
allocation. Fitch considered the 'BB+sf' rating for class E of PMF
20-1B to be sufficiently robust to further potential stresses as
reflected in the Stable Outlook.

Coronavirus-related Alternative Assumptions

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

The combined application of revised 'Bsf' representative pool
weighted average foreclosure frequency, revised rating multiples
and arrears adjustment resulted in a multiple to the current FF
assumptions of about 1.4x at 'Bsf' and 1.1x at 'AAAsf' in each
transaction. The alternative coronavirus assumptions are more
modest for higher rating levels as the corresponding rating
assumptions are already meant to withstand more severe shocks.

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

Impact of Payment Holidays

Loans on payments holidays made up 24% and 21% of each portfolio,
respectively, as at end-May. In line with Financial Conduct
Authority guidance, CCFS granted payment holidays based on
borrowers' self-certification. Fitch expects providing borrowers
with a payment holiday of up to six months to have a temporary
positive impact on loan performance. This has been the case so far:
no deterioration in the portfolio performance was observed at the
June interest payment dates and loans in arrears for more than one
month are still at low levels for all the three transactions.
However, the transactions may face some liquidity constraints if a
large number of borrowers opt for a payment holiday.

Fitch has tested the ability of the liquidity reserves and general
reserves to cover senior fees, net swap payments and rated note
interest, and found that payment interruption risk would be
mitigated.

Class X Notes Capped

Prior to the optional redemption date, all excess spread will be
used to make payments of interest and principal on the class X
notes. Excess spread notes are the most sensitive to changes to the
underlying assumptions regarding the pool performance and asset
yield. Due to the high volatility and sensitivity to stress
scenarios, in particular to prepayment rates, the class X notes are
capped at 'BBsf' category in line with Fitch's UK RMBS Rating
Criteria.

Turbo Feature

On any payment date on or after the optional redemption date, any
excess spread available will be diverted to principal available
funds and used to pay down the notes. However, any subordinated
hedging amounts payable are due senior to these items in the
revenue priority of payments. In case of a default of the swap
counterparty and the swap mark-to-market being in favour of the
swap counterparty, excess spread may not be available to pay
principal. For this reason Fitch has not given credit to the turbo
feature in scenarios above 'BB+sf'.

RATING SENSITIVITIES

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

The broader global economy remains under stress due to the
coronavirus pandemic, with surging unemployment and pressure on
businesses stemming from social-distancing guidelines. Recent
government measures related to the coronavirus pandemic introduced
a suspension on tenant evictions for three months and mortgage
payment holidays, also for up to three 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% increase in WAFF and
a 15% decrease in WARR. The results indicate an adverse rating
impact of up to three notches in both transactions.

The transaction's performance may be affected by 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.

Additionally, unanticipated declines in recoveries could also
result in lower net proceeds, which may make certain notes' ratings
susceptible to negative rating actions 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, and
examining the rating implications on all classes of issued notes.

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and potential
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%. The ratings on the subordinated notes could be upgraded by up
to two notches in PMF 19-1B and up to one notch in PMF 20-1B.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

Prior to the transactions' closing, 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.

Prior to the transactions' closing, Fitch conducted a review of a
small targeted sample of Precise's origination files and found the
information contained in the reviewed files to be adequately
consistent with the originator's policies and practices and the
other information provided to the agency about the asset
portfolio.

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

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).

TOGETHER ASSET 2020-1: S&P Assigns BB (sf) Rating to X-Dfrd Notes
-----------------------------------------------------------------
S&P Global Ratings has assigned credit ratings to Together Asset
Backed Securitisation 2020-1 PLC's class A notes and to the
interest deferrable class B-Dfrd to X-Dfrd notes.

S&P said, "Our cash flow analysis results for the class C-Dfrd,
D-Dfrd, E-Dfrd, and X-Dfrd notes indicated higher ratings than
those we have assigned. However, we have not given full benefit to
the modeling results in our rating decision because of the ongoing
macroeconomic uncertainty surrounding COVID-19 and also the
potential for prepayments to increase due to the presence of
fixed-float loans in the portfolio. These are a relatively new
product for the originator, and historical prepayment rates do not
take these loans into account.

"Similarly, our cash flow analysis on the class B-Dfrd notes also
indicated a higher rating than that assigned, but we do not
consider deferrable notes to be commensurate with our 'AAA'
rating."

The transaction is a static RMBS transaction, which securitizes a
portfolio of GBP366.03 million first- and second-lien mortgage
loans, both owner-occupied and buy-to-let (BTL), secured on
properties in the U.K. Further advances, product switches, and loan
substitution are permitted under the transaction documents. Of the
securitized pool, 27.02% (by current balance) of the mortgage loans
have had a payment holiday due to COVID-19, and 19.20% (by current
balance) have an active payment holiday in place due to COVID-19.

The loans in the pool were originated by Together Personal Finance
Ltd. and Together Commercial Finance Ltd. between 2017 and 2020.

S&P considers the collateral to be nonconforming based on the
prevalence of loans to borrowers with adverse credit history, such
as prior county court judgments (CCJs).

Credit enhancement for the rated notes consists of subordination, a
nonamortizing reserve fund, and overcollateralization following the
step-up date, which will result from the release of the excess
spread amounts from the revenue priority of payments to the
principal priority of payments.

Liquidity support for the class A notes is in the form of an
amortizing liquidity reserve fund. The nonamortizing reserve fund
can provide liquidity support to the class A to E-Dfrd notes.
Principal can also be used to pay interest on the most-senior class
outstanding (for the class A to E-Dfrd notes only).

There are no rating constraints in the transaction under our
counterparty, operational risk, or structured finance sovereign
risk criteria. S&P considers the issuer to be bankruptcy remote.

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

  Ratings Assigned

  Class     Rating    Amount (mil. GBP)
  A         AAA (sf)     290.97
  B-Dfrd    AA+ (sf)     23.79
  C-Dfrd    AA (sf)      14.64
  D-Dfrd    A+ (sf)       9.15
  E-Dfrd    A (sf)        9.15
  X-Dfrd    BB (sf)      12.81
  R         NR           10.90
  Z         NR           18.30

  NR--Not rated.



===============
X X X X X X X X
===============

[*] S&P Puts Ratings on 9 Classes Fr. 7 European CLOs on Watch Neg.
-------------------------------------------------------------------
S&P Global Ratings placed its ratings on nine classes from seven
reinvesting European broadly syndicated collateralized loan
obligations (BSL CLOs) on CreditWatch with negative implications.

During the past few weeks, a growing number of companies with loans
held in European CLOs have experienced negative rating actions,
largely due to coronavirus-related concerns and the current
economic dislocation.

S&P said, "The negative CreditWatch placements primarily affect our
rated BSL CLOs that are in their reinvesting period. For our
analysis, we used the latest trustee report data available as of
July 17, 2020.

"Our actions reflect a combination of multiple factors that
affected these transactions, like the increased exposure to 'CCC'
category loans, pressure on the overcollateralization ratios, a
decline in portfolio credit quality, credit enhancement, and
indicative preliminary cash flow results.

"For CLO tranches rated 'B-' and below, in addition to the above
factors, we applied our 'CCC' criteria. Our rating analysis makes
additional considerations before assigning ratings in the 'CCC'
category or placing a 'B-' rated note on CreditWatch. For certain
senior tranches, we also looked at the available credit
enhancement, the overcollateralization ratio cushions (the
difference between the threshold and the current
overcollateralization ratio) and the tranche's seniority in the
capital structure."

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

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

"We typically resolve CreditWatch placements within 90 days after
we complete a cash flow analysis and committee review for each of
the affected transactions. As we work to resolve these CreditWatch
placements, we will attempt to contact the managers of these
transactions to ensure we have the most current data, including any
credit risk sales or other trades that may have occurred but have
yet to be reflected in trustee reports, and understand the
strategies for their portfolios moving forward."

A list of Affected Ratings can be reached through:

          https://bit.ly/39tT47K



                           *********


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

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

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

This material is copyrighted and any commercial use, resale or
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