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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, August 4, 2020, Vol. 21, No. 155

                           Headlines



A L B A N I A

ALBANIA: S&P Affirms B+/B Sovereign Credit Ratings, Outlook Stable


F I N L A N D

AMER SPORTS: S&P Alters Outlook to Stable & Affirms B- Rating


F R A N C E

VALEO SA: S&P Cuts ICR to BB+ on Weak Deleveraging Post-COVID-19


I R E L A N D

AVOCA CLO XX: Fitch Downgrades Class E Notes to BB-sf
BABSON EURO 2014-2: Fitch Affirms Class F-R Notes at B-sf
BAIN CAPITAL 2018-1: Fitch Cuts Class E Notes Rating to BB-sf
BARINGS EURO 2019-2: Fitch Cuts Class E Notes Rating to BB-sf
CONTEGO CLO VII: Fitch Downgrades Class E Notes Rating to BB-sf

CONTEGO CLO VIII: Fitch Rates Class F Debt at B-(EXP)sf
HARVEST CLO XI: Fitch Affirms Class F-R Notes Rating at B-sf
HARVEST CLO XIV: Fitch Affirms Class E-R Notes Rating at BBsf
JUBILEE CLO 2013-X: Fitch Lowers Class E-R Debt Rating to BB-sf
MADISON PARK XI: Fitch Affirms Class F Notes Rating at B-sf

OZLME V: Fitch Affirms Class F Debt Rating at B-sf
PHOENIX PARK: Fitch Keeps B-sf Class E-R Notes Rating on Watch Neg.
ST. PAUL IV: Fitch Affirms Class C-RRR Debt Rating at BBsf


M O L D O V A

MOLDOVA: Moody's Affirms LT Issuer Ratings at B3, Outlook Stable


N E T H E R L A N D S

ARES EUROPEAN XIII: Fitch Keeps B-sf Class F Notes on Watch Neg.
INTERCEMENT FINANCIAL: Fitch Withdraws CCC+(EXP) Notes Rating


R U S S I A

TRANSFIN-M PC: S&P Affirms B/B Ratings, Outlook Negative


S P A I N

CODERE GROUP: S&P Rates EUR85MM Notes CCC-, On Watch Positive


U N I T E D   K I N G D O M

DIGNITY FINANCE: S&P Lowers Rating on Class B Notes to B+(sf)
DRAYTON MANOR: Bought Out of Administration by Looping Group
DW SPORTS: To Enter Administration, 1,700 Jobs at Risk
HAMMERSON: Prepares for GBP600MM Cash Call to Avert Collapse
MATALAN: To File Chapter 15 Court Protection in U.S.

SCHOOL LETTING: Enters Administration Due to Covid-19 Outbreak
SMALL BUSINESS 2019-1: Moody's Cuts Class D Notes Rating to B2
UBB WASTE: Enters Into Administrative Receivership

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A L B A N I A
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ALBANIA: S&P Affirms B+/B Sovereign Credit Ratings, Outlook Stable
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On July 31, 2020, S&P Global Ratings affirmed its 'B+/B' long- and
short-term sovereign credit ratings on Albania. The outlook is
stable.

Outlook

The stable outlook reflects S&P's expectation that:

-- Higher government borrowing from abroad will offset lost
foreign exchange earnings and investment inflows in 2020 and
prevent FX reserves from coming under pressure;

-- Growth will rebound in 2021 and the economy will recover to
2019 levels by 2022, based on our assumption that effective
vaccines will be distributed by the end of next year, benefiting
tourism and remittance flows; and

-- The fiscal deficit, which will increase sharply in 2020, will
narrow from 2021 onward, returning government debt-to-GDP to a
declining trajectory.

S&P said, "We could lower the ratings over the next year if,
contrary to our expectations, the financing of Albania's external
deficit becomes less secure, putting pressure on reserves. We could
also lower the ratings if the government debt stock continues to
rise, because of either higher fiscal deficits or the
materialization of contingent liabilities from public-private
partnerships (PPPs).

"We could consider raising the ratings if the authorities implement
reforms that significantly improve the business environment and
management of fiscal risks, while FDI inflows continue, and the
informal economy shrinks."

Rationale

S&P said, "The ratings are constrained by our view of Albania's
relatively weak institutional framework, modest income levels, and
large net external liability position. The latter, however, largely
reflects FDI stocks. Albania's general government debt burden is
relatively high and a significant portion of it is denominated in
foreign currency, or is short term. Moreover, we consider that the
economy's extensive euroization and high informality, combined with
less-developed capital markets, limits the effectiveness of
monetary policy."

The ratings are supported by Albania's growth prospects, its
floating exchange rate regime, and the Bank of Albania's FX
reserves, which provide an important buffer against external risks.
The availability of timely, concessional financing from
international financial institutions (IFIs) and the EU under
extenuating circumstances also supports Albania's credit profile.

Institutional and economic profile: In the aftermath of the
COVID-19 pandemic and last November's earthquake, and ahead of the
2021 elections, the government's key priority will be to stimulate
the economy toward recovery

-- The COVID-19 pandemic, and the associated restrictions on the
movement of people, will cause Albania's economy to contract by
6.5% in 2020.

-- The government is undertaking a large stimulus program to limit
the economic fallout from the pandemic and to resume reconstruction
efforts after last November's earthquake.

-- If economic deterioration is worse than the authorities
anticipate, further policy levers that can be deployed include more
indirect fiscal measures, a central bank asset purchase program,
and more-extensive engagement with IFIs.

To curb the spread of COVID-19, the government implemented
constraints on the movement of people in 2020. S&P said, "We expect
these will cause Albania's economy to contract by 6.5% in 2020. The
pandemic has had a direct impact on tourism globally, and we do not
expect the sector in Albania to be an exception. International
tourism directly contributes about 15% to GDP, the highest in
Central and Eastern Europe. This makes Albania the most vulnerable
country in the region to a tourism-related shock."

Restrictions are gradually being lifted and Albania's international
borders have reopened. Even so, tourist arrivals and spending this
year are set to decline sharply. About 70% of tourists come from
neighboring Kosovo, North Macedonia, Greece, Italy, and
Montenegro.

S&P said, "This year, we expect a fall-off in remittances from
abroad, which have been an important support for household
consumption. Moreover, we expect FDI inflows to diminish
substantially in 2020; these have been key to financing investment
activity and have promoted high economic growth in recent years."

The authorities have taken steps to limit the economic fallout from
the pandemic. The Bank of Albania (BoA) reduced the key policy rate
by 50 basis points (bps) to 0.5% and has implemented several
measures to ease lending conditions and aid banking sector
liquidity and capital adequacy.

The government has announced two support packages worth a combined
Albanian lek (ALL) 45 billion (2.8% of 2020 GDP). Of these, ALL26
billion (1.6% of GDP) is in the form of sovereign guarantees for
companies, allowing them to access working capital loans and bank
overdrafts. Deficit-increasing measures (1.2% of GDP) include:

-- Budgetary transfers to small businesses and their employees,
and the self-employed (0.85% of GDP);

-- Increased health sector spending (0.17% of GDP); and

-- Increased spending for vulnerable groups (0.13% of GDP).

Moreover, the government, in a supplemental budget, announced
higher spending for reconstruction efforts following the November
2019 earthquake. The natural disaster is believed to have
disproportionately affected housing stock and small and midsize
enterprises. Although S&P anticipates these measures will support
the recovery, it does not expect the economy to reach 2019 levels
in real terms until 2022.

The government has secured concessional loans from IFIs to finance
the larger fiscal gap this year and stave off balance-of-payment
pressures; it also issued a Eurobond. If the economy deteriorates
more than the authorities anticipate, they have some further policy
levers at hand. These include more indirect fiscal measures,
readjusting some expenditure allocations, a central bank asset
purchase program, and more extensive engagement with IFIs. The BoA
has also secured a EUR400 million repurchase agreement (repo line)
with the ECB.

To restore fiscal discipline, recent additions to the organic
budget law require the government to achieve and maintain primary
surpluses from 2023 onward. However, recent measures exempting
small businesses from paying value-added and profit taxes for an
extended period of time until 2029 could challenge future
consolidation efforts.

At an estimated 26% of GDP, tax pressure in Albania is relatively
low by European standards, not least because of the size of the
informal economy. We project general government debt at the end of
2020 at 2.8x revenue, or 79% of GDP. We consider this elevated for
an economy at Albania's level of development. The government is
also exposed to contingent fiscal risks, in the form of PPPs.
Although unsolicited PPPs have been scrapped for road
infrastructure, they are still allowed for other sectors. The
government set a limit on related payouts of 5% of government
revenue, but we think this rule could be violated because PPPs can
be contracted by various levels of government.

After missing a series of deadlines, representatives from the main
political parties reached a consensus on electoral reforms that aim
to depoliticize the electoral process. This followed a year of
occasionally violent protests and the main opposition party
relinquishing its seats in parliament. Against this backdrop, the
European Council has given the go-ahead for accession talks to
begin with Albania and North Macedonia. Judging by the experience
of regional peers, the path to EU accession will be long. It is,
however, likely to remain an important policy objective and anchor
through our forecast horizon and possibly even beyond.

Given the economy's low savings rate (averaging 16.5% of GDP over
the past five years), we would argue that reforms directed toward
improving the business environment and attracting foreign
investment inflows will be critical for Albania to sustain a higher
pace of income convergence with regional peers and with the
eurozone.

Flexibility and performance profile: The ample availability of
concessional funds to Albania will mitigate balance-of-payments
pressures, despite lower tourism receipts, remittances, and FDI
inflows

-- The current account deficit will rise to about 11% of GDP in
2020 and will be financed by the government's external borrowing,
rather than FDI inflows.

-- The general government debt-to-GDP ratio will rise to nearly
80% before declining from 2021 onward.

-- Although the BoA has thus far only deployed conventional policy
tools, it does not exclude the use of quantitative easing in the
event of further economic deterioration.

S&P said, "We project that Albania's current account deficit will
widen to about 11% of GDP this year, from 7.6% in 2019. Although
import demand will contract following lower domestic consumption
and investment activity, we attribute the widening to the loss of
services exports, particularly tourism revenue, and remittances."

Foreign investment inflows, the most important source of financing
Albania's external deficit in recent years, are likely to dry up in
2020. Instead, Albania has availed itself of the IMF's rapid
financing facility instrument, and other concessional loans from
the EU, the World Bank, and the German and French development
banks, KfW and ADF. The government also issued a EUR650 million
Eurobond. Moreover, international donors have committed over EUR1
billion over 2020-2021 toward reconstruction efforts.

Strong financial account inflows over the past decade have prompted
a strengthening of FX reserves, as have the BoA's deliberate
efforts to accumulate reserves. Usable reserves (that is, gross
reserves net of required reserves on commercial banks' FX
liabilities) cover about five months of current account payments.

The Albanian lek remains a generally free-floating currency
allowing for adjustment via the exchange rate channel to shocks.
Central bank intervention in the FX market is intermittent. The BoA
sold FX in March during a period of heightened global volatility.
Its last intervention before that was in 2018, when it purchased FX
to stem appreciation pressures on the lek.

Shallow capital markets and extensive euroization of the economy
impair the effectiveness of Albania's monetary policy, as is the
case for several economies across the region. The BoA has
successfully reduced the proportion of loans denominated in euros,
but more than 50% of total deposits are still in foreign currencies
and euros are widely accepted in transactions, even in the formal
economy.

Inflation has undershot the BoA's 3% target thanks to appreciation
pressures in the past three years. The deflationary impact of lower
domestic demand this year appears to be offset by higher food
prices and additional costs as trading partners have introduced
restrictions at their borders. Although the BoA has so far only
used conventional policy instruments, it does not exclude the
possibility of balance sheet expansion to purchase assets if the
economy is under sustained pressure.

Albania's public finances have consolidated in recent years. On a
cash accounting basis, the general government deficit narrowed to
1.9% of GDP in 2019 from 5.2% in 2014, led by expenditure
restraint. S&P said, "We expect this gap to rise to 8.5% of GDP
this year because of revenue losses, additional spending related to
the pandemic, and higher capital expenditure. We project that the
general government debt-to-GDP ratio will rise to nearly 80% in
2020, declining from 2021 onward as extraordinary measures are
withdrawn and the economy recovers."

Discretionary efforts will support consolidation in future years.
For example, the government expects to implement a medium-term
revenue strategy to boost revenue collection. At around 28%,
Albania's fiscal revenue-to-GDP ratio is the lowest in the Western
Balkans. S&P attributes the relatively low ratio to tax evasion, a
high degree of informality in the economy, and various tax
exemptions in the budget. The organic budget law has been amended
and now binds the government to achieve a primary surplus from 2023
onward. This is in addition to the debt brake rule, which requires
a decline in the general government debt-to-GDP ratio to 45%.

S&P notes that the authorities aim to use any fiscal headroom to
continue to pay down the outstanding stock of arrears (estimated
about 1.3% of GDP) accumulated in previous years. These arrears
largely pertain to value-added tax (VAT) refunds.

Off-balance-sheet PPPs continue to pose a downside risk to public
finances. Currently, Albania has over 200 PPPs covering road
infrastructure, power generation, and health care. The government
intends to limit any payouts to such projects to 5% of revenue in
the previous year. Although S&P acknowledges the country's high
infrastructure needs, the risk framework governing these projects
is not yet sufficiently developed--many of these proposals remain
unsolicited tenders. Potential risks from PPPs remain hard to
predict and quantify.

The authorities are actively pursuing efforts to improve the
profile of public debt, which is characterized by refinancing and
FX risks. Average debt maturity has recently increased, but remains
relatively short, at 4.5 years. Domestically issued debt is
especially short-term and about half of it needs to be rolled over
annually.

Nearly half of Albanian central government debt is denominated in
foreign currency and unhedged, so that the government bears the
risks of marked exchange rate fluctuations. In addition, and
despite a pick-up in bank lending to the private sector in recent
years, Albania's banking sector still holds the largest share of
domestic government debt, constituting around a quarter of the
sector's total assets.

The largely deposit-funded and predominantly foreign-owned banking
sector has reduced its share of nonperforming loans to about 8% of
total loans, mostly via write-offs. Despite still-high disparities
between financial institutions, this represents a pronounced
decrease from the peak of 25% in September 2014. S&P anticipates a
worsening in asset quality this year, particularly as extraordinary
support measures are withdrawn.

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

  Albania
   Sovereign Credit Rating                B+/Stable/B
   Transfer & Convertibility Assessment   BB
   Senior Unsecured                       B+




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F I N L A N D
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AMER SPORTS: S&P Alters Outlook to Stable & Affirms B- Rating
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S&P Global Ratings revised its outlook on Amer Sports Holding 1 Oy
to stable from negative and affirmed the 'B-' rating. S&P assigned
a 'B-' issue rating and '3'(50%) recovery rating to the EUR100
million senior secured facility B2.

S&P estimates Amer Sports has sufficient cash on the balance sheet
to fund its operations in the next few quarters.

On June 30, 2020, Amer Sport's liquidity sources amounted to EUR356
million, including cash on the balance sheet and EUR44 million
availability under the EUR315 million committed RCF. In S&P's view,
this should be enough to fund operations in the next 12 months and
in particular in the third quarter (Q3) when it expects working
capital could absorb EUR200 million-EUR250 million cash due to the
seasonality of winter sport equipment.

Results in the first half of 2020, which exceeded S&P's
expectations, have been achieved thanks to effective cost control
and working capital management.

Performance in Q2 was supported by the early effects of the
company's implementation of its EUR200 million
operating-expense-saving program and EUR200 million
supply-cost-reduction program. Additionally, wholesale partners'
order cancellations have been less pronounced than Amer Sports
expected and there were not significant deficiencies to collect
trade receivables. This translated into about EUR140 million
working capital generation in Q2 2020.

The EUR100 million issuance of the senior secured facility B2
increases Amer Sports' liquidity cushion in light of uncertain
development of business in the second half (H2) of the year.

S&P said, "We believe the financing transaction further strengthens
Amer Sports' cash balance position. Proceeds will be eventually
used to explore organic growth opportunities, namely in the
direct-to-consumer channel in China and the U.S., investing in its
key brands such as Wilson, Arc'Teryx, and Salomon. We do not expect
the company will use the proceeds of this debt issuance to finance
acquisitions. Pro-forma for the transaction, the company has
roughly EUR400 million-EUR405 million cash on the balance sheet
(after payment of transaction fees). In addition, we acknowledge
the company is in the process of obtaining a short-term working
capital facility (unsecured) of about EUR30 million. We deem this
sufficient to ensure enough headroom to avoid a covenant test and
therefore the breach of covenant over the next 12 months. This
explains the revision of the outlook to stable from negative. In
fact, according to the senior secured loan documentation, the
covenant test triggers if RCF utilization minus aggregate cash and
cash equivalents--excluding any drawings to finance capital
expenditure (capex) or permitted acquisitions up to EUR105
million--exceeds 40% of the total RCF commitment. Nevertheless, we
project the consolidated senior secured net leverage will exceed 8x
by the end of 2020 which is the maximum level of leverage permitted
by the financial covenant."

"Although H1 2020 results exceeded our expectations, COVID-19
disruptions could continue and affect the development of the
business in H2 2020.

"We note that sales declined in H1 2020 by about 22%, which was
less severe than the company's guidance few months ago. This was
because apparel and footwear categories proved to be more resilient
to the shock caused by the COVID-19 outbreak, reporting a sales
decline of only 10%-15% in H1 2020. In addition, we observed
favorable contribution from the e-commerce channel, which grew 75%
in Q2 2020, and China, which already posted 22% growth versus Q2
2019 (from a very low base).

"Despite the positive developments, we still see risks for the
company's performance in the next few months and we estimate a
sales decline for the full year of about 20% versus 2019."

This is due to ongoing concerns related to the impact that COVID-19
could have on some key product categories for Amer Sports. In
particular, demand for winter sports equipment (16% of Amer Sports'
sales in 2019), which typically takes place in H2, could be hit by
a lower level of ski holidays or shutdowns of ski resorts in case
of new waves of the virus. S&P said, "In this context, we think
wholesale partners could spend more prudently for these products.
At the same time, we do not see a bright outlook for the team
sports and fitness divisions (13% and 14% of sales in 2019), which
are the most affected categories by social distancing measures and
for them the recovery will likely be slower than for other
categories."

S&P also notes that, due to the seasonality of the business, the
bulk of EBITDA will be generated in H2.

S&P said, "We calculate the company's EBITDA was flat in H1 2020
before items affecting comparability and including the positive
impact of International Financial Reporting Standard 16. We project
the S&P Global Ratings-adjusted EBITDA margin will decline by about
150 basis points (bps)-200 bps this year reaching 9.0%-9.5% due to
lower operating leverage but partly compensated by the cost-saving
program, reduced supplies, and more focused discretionary
spending."

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."

Amer Sports has a highly leveraged capital structure.

S&P said, "We project our adjusted debt to EBITDA for Amer Sports
will approach 15.0x on Dec. 31, 2020 (9.0x-9.5x excluding a EUR1.3
billion intercompany loan) and remain significantly above 10.0x in
2021. As a result, Amer Sports' capital structure appears
unsustainable in the long term, even though we do not anticipate a
liquidity crisis within the next 12 months. In addition, the
company doesn't face any material short-term refinancing risk,
given that its term loans mature in 2026.

"We view Amer Sports' ownership by a consortium of investors led by
Chinese sporting company Anta Sports as credit supportive.

"We understand Amer Sports' owner will eventually support the group
if it faces a severe liquidity crisis, but so far, the company has
been able to fund its liquidity needs. Currently, the parent's
support materialized with an agreement to stop the EUR11
million-EUR12 million interest payments on the EUR1.3 billion
intercompany loan due Q1 2020. This payment would have ultimately
serviced the interest on the EUR1.3 billion term loan A issued
outside the restricted group, at Amer Sports Holding (Cayman)
Ltd."

S&P's view of Amer Sports being moderately strategic to its
shareholders is unchanged.

This is because the company has a critical role in Anta Sports'
strategy to promote winter sports in China and provide equipment
support for the Chinese national team at the 2022 Olympic and
Paralympic Winter Games. S&P also takes into consideration the
ongoing operating support received from Anta Sports to promote Amer
Sports' growth in China, leveraging its knowledge of the Chinese
market.

S&P said, "The stable outlook reflects our view that, over the next
12 months, Amer Sports can manage its liquidity needs thanks to
EUR44 million available on the RCF and EUR400 million-EUR405
million cash on the balance sheet, pro-forma for the additional
facility B2 issuance. We estimate this should be sufficient to
prevent any test of the springing financial covenant over the same
period. At the same time, we project S&P Global Ratings adjusted
leverage at about 15.0x in 2020 (9.0x-9.5x excluding the EUR1.3
billion intercompany loan) and remaining significantly above 10.0x
in 2021.

"We could lower the rating if we were to believe that the risk of
covenant breach had increased. This could occur if the liquidity
cushion reduces significantly on the back of lower-than-expected
performance in key categories, such as winter sports equipment, or
in case of working capital mismanagement in the next few quarters.
At the same time, a negative rating action could stem from our
revised view of the strategic importance Amer Sports has for its
shareholders.

"We could upgrade Amer Sports if its credit metrics improved and
S&P Global Ratings-adjusted debt to EBITDA reduces sustainably to
10.0x or below (approaching 6.5x excluding the EUR1.3 billion
intercompany loan) while free operating cash flow remains
positive.

"This could happen if demand for Amer Sports' brands proves more
resilient to the macroeconomic shocks than we currently forecast
for the current year and the business recovers sooner than
expected."




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VALEO SA: S&P Cuts ICR to BB+ on Weak Deleveraging Post-COVID-19
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S&P Global Ratings lowered its long-term issuer credit rating and
unsecured issue-level rating on French auto supplier Valeo S.A. and
its debt to 'BB+'. S&P also lowered its short-term rating to 'B'.

Valeo's earnings, cash flows, and leverage will deteriorate
materially in 2020 from already weak levels in 2019.   The demand
for cars has plummeted in the first half of 2020 due to the
extensive lockdowns imposed by governments to combat the spread of
the COVID-19 pandemic. S&P said, "Overall, for the full year 2020,
we project auto unit sales will decrease by about 20%-25% in
Europe, by about 21% in the U.S., and by about 10% in China. We
assume auto production volumes will follow similar trends. For
Valeo, we think this will lead to a drop in sales of 17%-18% in
2020, reflecting its large exposure to Europe and North America,
which accounted for 67% of 2019 sales. We estimate the sales
decline will cause a drop in S&P Global Ratings-adjusted EBITDA
margin to 5%-6%, down from 9.2% in 2019, resulting from the
company's high level of fixed costs. In our view, this will
translate into negative FOCF of EUR450 million-EUR550 million in
2020, also taking into account an outflow in working capital of
about EUR250 million for the full year. In the first half 2020,
Valeo's working capital increased by EUR574 million due to the
sharp decrease in sales. Our FOCF estimate for the full year
assumes a reversal in working capital of about EUR320 million in
the second half, supported by our expectation of sales recovery.
The company's intention to reduce capital expenditures (capex) will
not prevent FOCF from turning negative in 2020. The steep downturn
will further cause our adjusted FFO to debt to fall well below 15%
in 2020 and remain below the level of about 31% observed in 2019 in
2021."

Valeo's EBITDA margin and FOCF will recover in 2021, but it will
likely remain lower than peers.  S&P said, "We see mild recovery
prospects for the auto sector in 2021, especially in Europe, where
we expect real GDP to grow by only 5.2%, after a contraction of
6.7% in 2020. In our base case scenario, we assume Valeo will
outpace market growth thanks to its product portfolio, which should
benefit from the electrification of car models and from the
increasing interest in connected and automated cars. For instance,
the company's comfort and driving assistance products (such as
cameras and radars) are becoming mainstream on new car models;
driving a higher content per car for Valeo. In addition, the
company is well-placed to support carmakers' needs to meet the more
stringent CO2 emissions limit from 2020, for example, with products
like 48V systems (e-motors and DC/DC converters) used for mild
hybrid cars. In 2021, we assume these factors will help Valeo
increase sales by more than 15%, and restore its EBITDA margin to
9%-10%, supported by higher volumes and efficiency gains. We also
assume limited ramp-up costs because the start of production for
new contracts will mostly be related to the second generation of
parts that Valeo already manufactures. That said, at this level,
Valeo will still lag peers such as Aptiv, Autoliv, and Borgwarner
in terms of profitability, and its EBITDA margins will be more
comparable with Faurecia, Lear Corp., and ZF Friedrichshafen.
Moreover, despite a rebound in Valeo's cash flows next year, our
forecast for its FOCF to debt of 8%-10% in 2021 is weaker than what
we project for peers such as Lear and Aptiv.”

Valeo's dividend cut is creditor-friendly, but the magnitude of the
cash savings is too small to significantly speed up debt reduction.
  In response to the pandemic, Valeo's board of directors slashed
the dividend per share to EUR0.20, corresponding to a payment of
about EUR50 million in 2020, down from about EUR297 million
(EUR1.25 per share) in 2019. S&P said, "We believe this measure
will not be enough to prevent a build-up of debt in the near-term.
This is also because of an expected cash contribution of about
EUR200 million-EUR250 million to VSeA, Valeo's joint-venture with
Siemens in the area of high voltage components for electrified
cars, which will continue to delay leverage reduction. At year-end
2020, we expect that Valeo's debt will increase to about EUR5.1
billion-EUR5.3 billion compared with EUR4.5 billion in 2019."

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

-- Health and safety

S&P said, "The stable outlook reflects our expectation that Valeo
will outperform its industry during the expected market recovery
thanks to its focus on innovative products. This should enable
Valeo to increase revenue by at least 15% and increase EBITDA
margins back toward 10% in 2021. We think this will translate into
FFO to debt above 25% and FOCF to debt strengthening toward 10%
next year. In addition, we think Valeo will proactively refinance
upcoming debt maturities so as to ensure continued adequate
liquidity.

"We could lower our ratings on Valeo if we expected its FOCF to
debt to remain materially below 10% in the next 12–18 months, in
addition to FFO to debt not recovering to above 20%.

"We could raise the rating if Valeo continued to show significantly
faster topline growth than its industry, combined with EBITDA
margins above our base case and FOCF to debt improving sustainably
above 10%. In addition, this would require FFO to debt of more than
30%, supported by a conservative financial policy. Alternatively,
we could raise our rating on Valeo if its FFO to debt sustainably
exceeded 30% and its FOCF to debt increased toward 15%."




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

AVOCA CLO XX: Fitch Downgrades Class E Notes to BB-sf
-----------------------------------------------------
Fitch Ratings has downgraded three tranches of Avoca CLO XX DAC and
affirmed the other tranches. The class E and F notes have been
removed from Rating Watch Negative.

Avoca CLO XX DAC

  - Class A-1 XS1970746399; LT AAAsf; Affirmed

  - Class A-2 XS1970746985; LT AAAsf; Affirmed

  - Class B-1 XS1970747447; LT AAsf; Affirmed

  - Class B-2 XS1970748171; LT AAsf; Affirmed

  - Class C-1 XS1970748767; LT Asf; Affirmed

  - Class C-2 XS1974338763; LT Asf; Affirmed

  - Class D-1 XS1970749492; LT BBB-sf; Downgrade

  - Class D-2 XS1974382316; LT BBB-sf; Downgrade

  - Class E XS1970749732; LT BB-sf; Downgrade

  - Class F XS1970749815; LT B-sf; Affirmed

  - Class X XS1970746043; LT AAAsf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Portfolio Performance Deterioration

The downgrades of the class D and E notes reflect the deterioration
the portfolio as a result of the negative rating migration of the
underlying assets in light of the coronavirus pandemic.

As per June 30, 2020, the transaction was 53bp below target par and
had one defaulted asset, the Fitch weighted average rating factor
and weighted average recovery rate test were failing, while all
other portfolio profile tests, collateral quality tests and
coverage tests were passing as of the latest investor report.
According to Fitch's calculation, the WARF of the portfolio
increased to 36.2 from a reported 35.0 at May 7, 2020. Assets with
a Fitch-derived rating of 'CCC' category or below (including
unrated assets) represent 7.94%, which is more than the 7.5%
limit.

The downgrades of the class D and E notes reflect the shortfalls
observed under the current portfolio. While the class F notes also
exhibit a shortfall and has a model-implied rating of 'CCCsf' under
the current portfolio, the tranche has a limited margin of safety
at 'B-sf' with credit enhancement of 7%. The Negative Outlooks on
the class D, E and F notes reflect the shortfalls these tranches
experiences in the coronavirus sensitivity scenario.

Coronavirus Sensitivity Analysis

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

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch- WARF of the current portfolio is 35.76. Under its
COVID-19 baseline scenario, the Fitch WARF would increase to
38.67.

Asset Security

High Recovery Expectations: 98.2% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch's WARR of the current portfolio under
Fitch's calculation is 64.17%

Portfolio Composition

The portfolio is well diversified across obligors, countries and
industries. The top 10 obligors represent 13.7% while single
obligor concentration is 1.5% of the portfolio balance, which is
below the 3.0% limit. The three largest Fitch industries represent
33.2%, below the 40% portfolio profile test limit.

Cash Flow Analysis

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

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

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

RATING SENSITIVITIES

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

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, given the portfolio credit quality
may still deteriorate, not only by natural credit migration, but
also by reinvestments. However, no upgrades are expected in the
near term given the current environment

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

BABSON EURO 2014-2: Fitch Affirms Class F-R Notes at B-sf
---------------------------------------------------------
Fitch Ratings has revised the Outlook on Babson Euro CLO 2014-2's
class E and F notes to Negative from Stable. All ratings have been
affirmed.

Babson Euro CLO 2014-2 B.V.

  - Class A-1-R XS1613068789; LT AAAsf; Affirmed

  - Class A-2-R XS1613069241; LT AAAsf; Affirmed

  - Class B-1-R XS1613069670; LT AAsf; Affirmed

  - Class B-2-R XS1613071221; LT AAsf; Affirmed

  - Class C-R XS1613070926; LT Asf; Affirmed

  - Class D-R XS1613072112; LT BBBsf; Affirmed

  - Class E-R XS1613072971; LT BBsf; Affirmed

  - Class F-R XS1613073862; LT B-sf; Affirmed

TRANSACTION SUMMARY

Babson Euro CLO 2014-2 B.V. is an arbitrage cash flow
collateralised loan obligation that closed in November 2014 and was
reset in May 2017. The portfolio is actively managed by Barings
(U.K.).

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis: Fitch has revised the
Outlook of the sub-investment grade tranches to Negative from
Stable as a result of a sensitivity analysis it ran in light of the
coronavirus pandemic. It notched down the ratings for all assets
with corporate issuers with a Negative Outlook regardless of
sector.

Fitch will update the sensitivity scenarios in line with the view
of its Leveraged Finance team. Its analysis was based on a stable
interest-rate scenario and included the front-, mid- and
back-loaded default timing scenarios as outlined in Fitch's
criteria. The affirmations of the rest of the ratings reflect that
the respective tranches can withstand the coronavirus baseline
sensitivity analysis as underlined by their Stable Outlook.

Portfolio Performance Deterioration: As per the latest trustee
report dated June 30, 2020, the Fitch-calculated weighted average
rating factor stands at 37.44 and it is in breach of its test. The
transaction is below par by 1.4% (including trustee-reported
defaulted assets). The Fitch-calculated 'CCC' and below category
assets (including non-rated assets) represents 11.53% of the
portfolio and it is in breach of the limit of 7.5%, while assets
with a Fitch-derived rating on Outlook Negative is at 31.1% 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 43.01, after applying the
coronavirus stress.

High Recovery Expectations: 95.6% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch-calculated weighted average recovery
rate of the current portfolio is 64.93%.

Portfolio Composition: The portfolio is well-diversified across
obligors, countries and industries. Exposure to the top-10 obligors
is 15.22% and no obligor represents more than 3% of the portfolio
balance. The largest industry is business services at 10% of the
portfolio balance, followed by computer and electronics at 9.8% and
retail at 8.85%. As of the last investor report, the percentage of
obligations paying less frequently than quarterly is around 41.6%;
however, no frequency switch event has occurred as the class A/B
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 and one with a coronavirus sensitivity analysis
applied.

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 that are not assumed to default (or to
be voluntarily terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

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

At closing, Fitch used 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 for its 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 small shortfalls with regard to the class E and F
notes.

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

BAIN CAPITAL 2018-1: Fitch Cuts Class E Notes Rating to BB-sf
-------------------------------------------------------------
Fitch Ratings has taken multiple rating actions on Bain Capital
Euro CLO 2018-1 DAC, including the downgrade of the class E notes
and the removal of the class E and F notes from Rating Watch
Negative.

Bain Capital Euro CLO 2018-1

  - Class A XS1713469598; LT AAAsf; Affirmed

  - Class B-1 XS1713468780; LT AAsf; Affirmed

  - Class B-2 XS1713465257; LT AAsf; Affirmed

  - Class C XS1713468194; LT Asf; Affirmed

  - Class D XS1713467469; LT BBBsf; Affirmed

  - Class E XS1713467030; LT BB-sf; Downgrade

  - Class F XS1713466909; LT B-sf; Affirmed

TRANSACTION SUMMARY

Bain Capital Euro CLO 2018-1 Designated Activity Company is a cash
flow CLO mostly comprising senior secured obligations. The
transaction is still within its reinvestment period and is actively
managed by Bain Capital Credit, Limited.

KEY RATING DRIVERS

Portfolio Performance Deterioration: The downgrade reflects the
deterioration in the portfolio as a result of the negative rating
migration of the underlying assets in light of the coronavirus
pandemic. As per the trustee report dated July 7, 2020, the
portfolio is below the target par by 0.79% and has one defaulted
asset in the portfolio, accounting for 0.86% of the aggregate
collateral balance. The Fitch-calculated 'CCC' category or below
assets (including unrated names) represents 13.43% of the portfolio
against the limit of 7.5%. As per the trustee report, all
Fitch-related collateral quality tests, portfolio profile tests and
the coverage tests were passing.

'B'/'B-' Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors to be in the 'B'/'B-' category. The
Fitch-calculated weighted average rating factor of the portfolio
stands at 37.07 and would increase to 40.74, after applying the
coronavirus stress.

High Recovery Expectations: 98.7% 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 64.56%.

Portfolio Composition: The portfolio is well-diversified across
obligors, countries and industries. Exposure to the top-10 obligors
is 13.34% and no obligor represents more than 3% of the portfolio
balance. The largest industry is business services at 14.14% of the
portfolio balance, followed by healthcare at 9.22% and computers
and electronics at 8.91%.

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.

Deviation from Model-Implied Rating: The model-implied ratings for
the class E and F notes are two notches below the current ratings.
The committee deviated from the model-implied ratings on both
classes as the shortfalls were driven by the back-loaded default
timing scenario only. Fitch has downgraded the class E by one notch
to the lowest rating in the rating category. The ratings are in
line with the majority of Fitch-rated EMEA CLOs. Fitch also
assigned a Negative Outlook to the class D, E and F notes as these
classes show shortfalls under the coronavirus sensitivity analysis.
However, the agency expects the portfolio's negative rating
migration to slow, making downgrades on these tranches less likely
in the short term.

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 used a standardised stress portfolio that was
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 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 for its 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 small shortfalls on the class D notes and sizeable
shortfalls on the class E and F 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.

BARINGS EURO 2019-2: Fitch Cuts Class E Notes Rating to BB-sf
-------------------------------------------------------------
Fitch Ratings has taken multiple rating actions on Barings Euro CLO
2019-2 DAC, including removing three tranches from Rating Watch
Negative and assigned them a Negative Outlook. Fitch has also
revised the Outlook on the class C notes to Negative.

Barings Euro CLO 2019-2 DAC

  - Class A-1 XS2091900790; LT AAAsf; Affirmed

  - Class A-2 XS2091901418; LT AAAsf; Affirmed

  - Class B-1 XS2091902069; LT AAsf; Affirmed

  - Class B-2 XS2091903117; LT AAsf; Affirmed

  - Class C XS2091903380; LT Asf; Affirmed

  - Class D XS2091904198; LT BBB-sf; Affirmed

  - Class E XS2091904602; LT BB-sf; Downgrade

  - Class F XS2091905161; LT B-sf; Affirmed

  - Class X XS2091900527; LT AAAsf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The negative rating actions, including the downgrade of the class E
notes and Negative Outlook, are a result of the portfolio
deterioration in light of the coronavirus pandemic. Fitch has
resolved the RWN of tranche D, E and F and assigned Negative
Outlooks as these class of notes still show shortfalls in its
coronavirus sensitivity analysis, but as Fitch expects the
portfolio's negative rating migration to slow, further downgrades
on these tranches are less likely in the short term. Fitch notched
down the ratings for all assets with corporate issuers with a
Negative Outlook regardless of the sector. The model-implied
ratings for the affected tranches under the coronavirus sensitivity
test are below the current ratings.

The affirmations of the other ratings reflect sufficient cushion
within the tranches to withstand its coronavirus baseline
sensitivity analysis. This supports the Stable Outlook on these
ratings.

'B'/'B-' Category Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch-calculated weighted average rating
factor of the current portfolios range is 38.36. After applying the
coronavirus stress, the Fitch WARF would increase by almost 4bp.

High Recovery Expectations

At least 90% of the portfolios comprise senior secured obligations.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
Fitch-calculated weighted average recovery is 66.86%.

Portfolio Composition

The portfolio is well-diversified across obligors, countries and
industries. The top-10 obligor exposure is 17.45%, and no obligor
represents more than 1.98% of the portfolio balance.

Cash Flow Analysis

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

When conducting cash flow analysis, Fitch's model first projects
the portfolio'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 that are not assumed to default (or to
be voluntarily terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

Portfolio Performance; Surveillance

Per Fitch's calculation, the transaction has its Fitch WARF test
while passing all other tests. Current defaults based on Fitch's
calculation are 1.6% of the target par and the transaction is
slightly below target par. Exposure to assets with a Fitch-derived
rating of 'CCC+' and below range is 8.6%.

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed Portfolio) 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 Stressed Portfolio assumed at closing, an
upgrade of the notes during the reinvestment period is unlikely,
given the portfolio credit quality may still deteriorate, not only
by natural credit migration, but also by reinvestments.

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

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

Downgrades may occur if the build-up of credit enhancement for the
notes 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 for other sectors become
apparent, loan ratings in such sectors would also come under
pressure.

Coronavirus Baseline Scenario Impact

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

CONTEGO CLO VII: Fitch Downgrades Class E Notes Rating to BB-sf
---------------------------------------------------------------
Fitch Ratings has taken multiple rating actions on Contego CLO VII
DAC, including removing three tranches from Rating Watch Negative
and assigning them Negative Outlook. The Outlook on the class C
notes has been revised to Negative from Stable.

Contego CLO VII DAC

  - Class A XS2053876764; LT AAAsf; Affirmed

  - Class B-1 XS2053877572; LT AAsf; Affirmed

  - Class B-2 XS2053878034; LT AAsf; Affirmed

  - Class C XS2053878620; LT Asf; Affirmed

  - Class D XS2053879354; LT BBB-sf; Affirmed

  - Class E XS2053879941; LT BB-sf; Downgrade

  - Class F XS2053880444; LT B-sf; Affirmed

TRANSACTION SUMMARY

The transaction is a cash flow CLOs mostly comprising senior
secured obligations. The transaction is within its reinvestment
period, and is actively managed by its collateral managers.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The negative rating actions are a result of the portfolio
deterioration in light of the coronavirus pandemic. Fitch has
removed tranch D, E and F from RWN and assigned a Negative Outlook
as these class of notes still show shortfalls in its coronavirus
sensitivity analysis, but as Fitch expects the portfolio's negative
rating migration to slow, further downgrades on these tranches are
less likely in the short term. The agency notched down the ratings
for all assets with corporate issuers with a Negative Outlook
regardless of the sector. The model-implied ratings for these
tranches under the coronavirus sensitivity test are below the
current ratings.

The affirmations of other ratings reflect sufficient cushion within
these ratings to withstand its coronavirus baseline sensitivity
analysis. This supports the respective Stable Outlook on these
ratings.

'B'/'B-' Category Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch-calculated weighted average rating
factor of the current portfolios is between 34.84. After applying
the coronavirus stress, the Fitch-calculated WARF would increase by
almost 4bp.

High Recovery Expectations

At least 90% of the portfolios comprise senior secured obligations.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
Fitch-calculated weighted average recovery rate is 64.07%.

Portfolio Composition

The portfolio is well-diversified across obligors, countries and
industries. The top-10 obligors' exposure is 14.99% and no obligor
represents more than 1.87% of the portfolio balance.

Cash Flow Analysis

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

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

Portfolio Performance; Surveillance

The transaction is in its reinvestment period, and the portfolio is
actively managed by the collateral manager. As per Fitch's
calculation, the transaction has failed its Fitch WARF test but
passed all other tests. Exposure to assets with a Fitch-derived
rating of 'CCC+' and below range is 5.5%.

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed Portfolio) 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 Stressed Portfolio assumed at closing, an
upgrade of the notes during the reinvestment period is unlikely,
given the portfolio credit quality may still deteriorate, not only
by natural credit migration, but also by reinvestments. After the
end of the reinvestment period, upgrades may occur in case of a
better-than-initially expected portfolio credit quality and deal
performance, leading to higher credit enhancement for the notes and
excess spread available to cover losses on the remaining
portfolio.

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

Downgrades may occur if the build-up of credit enhancement for the
notes following amortisation does not compensate for a larger 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 for other sectors become
apparent, loan ratings in such sectors would also come under
pressure.

Coronavirus Baseline Scenario Impact

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

CONTEGO CLO VIII: Fitch Rates Class F Debt at B-(EXP)sf
-------------------------------------------------------
Fitch Ratings has assigned Contego CLO VIII Designated Activity
Company expected ratings.

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

CONTEGO CLO VIII 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   

  - Subordinated; LT NR(EXP)sf Expected Rating   

TRANSACTION SUMMARY

Contego CLO VIII DAC is a cash flow collateralised loan obligation.
Net proceeds from the issuance of the notes will be used to
purchase a portfolio of EUR300 million of mostly European leveraged
loans and bonds. The portfolio is actively managed by Five Arrows
Managers LLP. The CLO envisages a 3.1-year reinvestment period and
a seven-year weighted average life.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality: Fitch places the average credit
quality of obligors in the 'B'/'B-' category. The Fitch-calculated
weighted average rating factor of the identified portfolio is
33.84, below the maximum WARF covenant for assigning expected
ratings of 38.75.

High Recovery Expectations: At least 90% of the portfolio will
comprise senior secured obligations. Fitch views the recovery
prospects for these assets as more favourable than for second-lien,
unsecured and mezzanine assets. The Fitch-calculated weighted
average recovery rate of the identified portfolio is 64.93%, above
the minimum WARR covenant for assigning expected ratings of 63.8%.

Diversified Asset Portfolio: The transaction also includes various
concentration limits, including the maximum exposure to the
three-largest Fitch-defined industries in the portfolio at 40%.
These covenants ensure the asset portfolio will not be exposed to
excessive concentration.

Portfolio Management: The transaction has a 3.1-year reinvestment
period and includes reinvestment criteria similar to those of other
European transactions. Fitch's analysis is based on a stressed-case
portfolio with the aim of testing the robustness of the transaction
structure against its covenants and portfolio guidelines.

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

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

RATING SENSITIVITIES

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

A 25% decrease to the portfolio's mean default rate across all
rating levels, and a 25% increase of the recovery rate at all
rating levels, would lead to an upgrade of two notches for the
class B notes, while the class A notes' ratings are at the highest
level on Fitch's scale and therefore 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
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 Stressed Portfolio assumes 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 in the
remaining portfolio.

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

A 25% increase to the portfolio's mean default rate across all
rating levels, and a 25% decrease of the recovery rate at all
rating 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 for the
notes following amortisation does not compensate for a larger loss
expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to COVID-19 become apparent for other
vulnerable sectors, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the view of its Leveraged Finance team.

Coronavirus Baseline Scenario Impact: Fitch carried out a
sensitivity analysis on the target portfolio for its 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.

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

Coronavirus Downside Scenario: Fitch has added a sensitivity
analysis that contemplates a more severe and prolonged economic
stress caused by a re-emergence of infections in the major
economies, before a halting recovery begins in 2Q21. The downside
sensitivity incorporates the stresses of applying a notch downgrade
to all Fitch-derived ratings in the 'B' rating category and
applying a 0.85 recovery rating multiplier to all other assets in
the portfolio. Such a scenario would lead to a downgrade 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 XI: Fitch Affirms Class F-R Notes Rating at B-sf
------------------------------------------------------------
Fitch Ratings has revised the Outlook on Harvest CLO XI DAC's class
E and F notes to Negative from Stable and affirmed all ratings.

Harvest CLO XI DAC

  - Class A-R XS1627781880; LT AAAsf; Affirmed

  - Class B-1-R XS1627782185; LT AAsf; Affirmed

  - Class B-2-R XS1627782342; LT AAsf; Affirmed

  - Class B-3-R XS1629312536; LT AAsf; Affirmed

  - Class C-R XS1627782425; LT Asf; Affirmed

  - Class D-R XS1627781963; LT BBBsf; Affirmed

  - Class E-R XS1627782268; LT BBsf; Affirmed

  - Class F-R XS1627782003; LT B-sf; Affirmed

TRANSACTION SUMMARY

Harvest CLO XI DAC is a cash flow collateralised loan obligation.
Net proceeds from the notes were used to purchase a EUR397.45
million portfolio of mainly euro-denominated leveraged loans and
bonds. The transaction is still within its reinvestment period and
the underlying portfolio of assets is managed by Investcorp Credit
Management EU Limited.

KEY RATING DRIVERS

Deteriorating Portfolio Performance

The weighted average rating factor test was breached under both the
trustee's and Fitch's calculations. The WARF of the portfolio
increased to 33.8 as of July 25, 2020 under Fitch's calculation,
from a reported 33.7 as of June 30, 2020. The 'CCC' category or
below assets (including unrated assets) represented 7.9%, over the
7.5% limit, while assets with a Fitch-derived rating on Negative
Outlook represented 20.3% of the portfolio balance. The transaction
was failing the Fitch-calculated WARF, weighted average recovery
rating and 'CCC' portfolio profile tests, as per the latest trustee
report.

Coronavirus Baseline Sensitivity Analysis

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

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

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors in the 'B'/'B-' category. After
applying the coronavirus stress, the Fitch-calculated WARF would
increase to 37.

High Recovery Expectations: At least 90% of the portfolios comprise
senior secured obligations. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch-calculated WARR of the portfolio is
66.4.

Portfolio Composition: The portfolio is well-diversified across
obligors, countries and industries. The top- 10 obligors represent
15.5% of the portfolio, and no obligor represents more than 1.9% of
the portfolio balance.

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

When conducting cash flow analysis, Fitch's model first projects
the portfolio'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 that are not assumed to default (or to
be voluntarily terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed 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 Stressed Portfolio assumed at closing, an
upgrade of the notes during the reinvestment period is unlikely as
the portfolio credit quality may still deteriorate, not only
through natural credit migration, but also through reinvestments.

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

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

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

Coronavirus Baseline Scenario Impact

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

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 cut by 15%. For typical European CLOs this scenario
results in a rating-category change across the structure.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

HARVEST CLO XIV: Fitch Affirms Class E-R Notes Rating at BBsf
-------------------------------------------------------------
Fitch Ratings has affirmed all tranches of Harvest CLO XIV DAC.

Harvest CLO XIV DAC

  - Class A-1A-R XS1700423798; LT AAAsf; Affirmed

  - Class A-2-R XS1700424333; LT AAAsf; Affirmed

  - Class B1-R XS1700425066; LT AA+sf; Affirmed

  - Class B2-R XS1700425736; LT AA+sf; Affirmed

  - Class C-R XS1700426387; LT A+sf; Affirmed

  - Class D-R XS1700426973; LT BBBsf; Affirmed

  - Class E-R XS1700427518; LT BBsf; Affirmed

TRANSACTION SUMMARY

Harvest CLO XIV DAC is a cash flow collateralised loan obligation.
Net proceeds from the notes were used to purchase a EUR400 million
portfolio of mainly euro-denominated leveraged loans and bonds. The
underlying portfolio of assets is managed by Investcorp Credit
Management EU Limited.

KEY RATING DRIVERS

Transaction Deleveraging

The affirmation reflects deleveraging of the transaction since it
exited its reinvestment period in November 2019. The class A-R
notes have paid down around EUR20 million, bringing credit
enhancement up to 41% currently from 39% at closing in 2015. As of
June 30, 2020, the portfolio exhibited a weighted average life of
4.52 years against a current WAL test of 4.64 years. In addition,
performance has been satisfactory and the transaction is passing
all the coverage tests. The transaction was failing the
Fitch-calculated weighted average rating factor and 'CCC' portfolio
profile tests, along with the weighted average spread test. As a
result, the transaction did not reinvest during the last month.

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

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch-calculated WARF of the current
portfolio is 36.8.

High Recovery Expectations

Nearly 98% of the portfolio comprises senior secured obligations.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
The Fitch-calculated weighted average recovery rate of the current
portfolio is 63.9%.

Portfolio Composition

The portfolio is well-diversified across obligors, countries and
industries. Exposure to the top-10 obligors is 15.5% and no obligor
represents more than 1.9% of the portfolio balance. The largest
industry is business services at 20.2% of the portfolio balance,
followed by healthcare at 11.8% and chemicals at 10.7%.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

A reduction of the mean default rate by 25% at all rating levels
and an increase in the recovery rate by 25% at all rating levels
would result in an upgrade of up to five notches across the
structure.

Upgrades may occur in case of a better-than-expected portfolio
credit quality and deal performance, leading to higher credit
enhancement and excess spread available to cover for losses in the
remaining portfolio except for the class A-R and B-R notes, which
are already at the highest 'AAAsf' rating. If asset prepayment is
faster than expected and outweighs the negative pressure of the
portfolio migration, this may increase CE and potentially add
upgrade pressure on the rated notes.

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

An increase of the mean RDR by 25% at all rating levels and a
decrease of the RRR by 25% at all rating levels will result in
downgrades of no more than five notches across the structure.

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

Coronavirus Baseline Scenario Impact

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

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 cut by 15%. For typical European CLOs this scenario
results in a rating-category change across the structure.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

JUBILEE CLO 2013-X: Fitch Lowers Class E-R Debt Rating to BB-sf
---------------------------------------------------------------
Fitch Ratings has downgraded one tranche of Jubilee CLO 2013-X
B.V., revised the Outlook on one tranche to Negative from Stable,
and affirmed all other tranches.

Jubilee CLO 2013-X B.V.

  - Class A-R XS1533926686; LT AAAsf; Affirmed

  - Class B-1-R XS1533926769; LT AAsf; Affirmed

  - Class B-2-R XS1533923667; LT AAsf; Affirmed

  - Class C-1-R XS1533927494; LT Asf; Affirmed

  - Class C-2-R XS1533922859; LT Asf; Affirmed

  - Class D-R XS1533925522; LT BBBsf; Affirmed

  - Class E-R XS1533925449; LT BB-sf; Downgrade

  - Class F-R XS1533925100; LT B-sf; Affirmed

TRANSACTION SUMMARY

Jubilee CLO 2013-X B.V. is a cash flow CLO mostly comprising senior
secured obligations. The transaction is still within its
reinvestment period and is actively managed by the collateral
manager.

KEY RATING DRIVERS

Portfolio Performance Deterioration

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

Jubilee CLO 2013-X B.V. is slightly below par and defaulted assets,
calculated as percentage of target par, comprise 2.8% of its
portfolio. The transaction reports breaches of the Fitch maximum
weighted average rating factor test as well as the Fitch 'CCC'
obligations test. According to Fitch's calculation, the WARF of the
portfolio has increased to 35.2 from a reported 34.7 as at July 3,
2020. Assets with a Fitch-derived rating (FDR) of 'CCC' category
are at 10.0% (including unrated assets) and 7.7% (excluding unrated
assets), i.e. above the covenant of 7.5%, while assets with a FDR
on Negative Outlook are at 16.7%. All other tests, including the
overcollateralisation and interest coverage tests, were reported as
passing. As the portfolio currently does not contain any frequency
switch obligations, a frequency switch event is not in effect, and
currently the transaction does not report the percentage of
semi-annual obligations.

The model-implied ratings would be 'B+sf' and 'CCCsf' for the class
E-R and F-R notes, respectively. The agency deviated from these
MIRs because in Fitch's view the credit quality of these tranches
is more in line with 'BB-sf' and 'B-sf' as the MIRs are only driven
by the rising interest rate scenario, which is not its immediate
expectation, and these tranches show a limited margin of safety due
to their current credit enhancements of 10.5% and 7.5%. The ratings
of 'BB-sf' and 'B-sf' are in line with most Fitch-rated EMEA CLOs.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to envisage the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience with
cushions for the current ratings of the class A-R, B-1-R, B-2-R,
C-1-R, and C-2-R notes. This supports their affirmation with Stable
Outlooks. The Negative Outlooks on three tranches reflects the
shortfalls these tranches experience in the coronavirus sensitivity
scenario.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch WARF of the current portfolio is 35.2.

Asset Security

High Recovery Expectations:

Senior secured obligations comprise 98.5%% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate of the current portfolio is 62.8.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligor exposure is at 17.9% of the
portfolio balance while no obligor represents more than 2.0%. The
largest industry exposure is healthcare, comprising 13.0%, while
the second- and third-largest industries are businesses and
services and computer and electronics at 11.4% and 10.4%,
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.

MADISON PARK XI: Fitch Affirms Class F Notes Rating at B-sf
-----------------------------------------------------------
Fitch Ratings has affirmed Madison Park Euro Funding XI DAC,
removed the class E and F notes from Rating Watch Negative and
revised the Outlook on the class D notes to Negative from Stable.

Madison Park Euro Funding XI DAC

  - Class A-1 XS1833623306; LT AAAsf; Affirmed

  - Class A-2 XS1833623561; LT AAAsf; Affirmed

  - Class B-1 XS1833624379; LT AAsf; Affirmed

  - Class B-2 XS1833624965; LT AAsf; Affirmed

  - Class C XS1833625426; LT Asf; Affirmed

  - Class D XS1833626150; LT BBBsf; Affirmed

  - Class E XS1833626747; LT BB-sf; Affirmed

  - Class F XS1833627471; LT B-sf; Affirmed

TRANSACTION SUMMARY

Madison Park Euro Funding XI DAC is a cash flow collateralised loan
obligation comprising mostly senior secured obligations. The
transaction is in its reinvestment period, which is scheduled to
end in August 2022, and the portfolio is actively managed by Credit
Suisse Asset Management

KEY RATING DRIVERS

Portfolio Performance:

As per the trustee report dated July 13, 2020, the transaction is
below target par by 1.68% and there are five defaulted assets,
comprising 2.13% of the portfolio. The Fitch-calculated weighted
average rating factor of the portfolio increased to 35.77 at July
25, 2020 from the trustee-reported WARF of 35.41. The Fitch
calculated 'CCCsf' or below category assets (including non-rated
assets) represent 8.17% of the portfolio, which is above the 7.50%
limit. As per the trustee report, except for the Fitch WARF test,
all coverage tests, portfolio profile tests and collateral quality
are passing.

Coronavirus Sensitivity Analysis

Fitch carried out a sensitivity analysis on the target portfolio to
determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. These assets represent 31.92% of the
portfolio. This scenario demonstrates the resilience of the ratings
of the class A, B and C notes with cushions. However, the class D,
E and F are showing a shortfall. As a result, Fitch has revised the
Outlook on the class D notes to Negative from Stable.

For the class E and F notes, the shortfalls are still sizeable.
However, the agency expects that the portfolio's negative rating
migration is likely to slow down and category-level downgrades on
these tranches are less likely in the short term. As a result,
these notes have been removed from RWN and affirmed with a Negative
Outlook.

The Negative Outlooks on the three junior tranches reflect the risk
of credit deterioration over the longer term, due to the economic
fallout from the pandemic.

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

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch-calculated WARF would increase to
36.62, after applying the coronavirus stress.

High Recovery Expectations

Senior secured obligations comprise 98.05% 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 63.07%.

Portfolio Composition

The top-10 obligors' concentration is 11.2% and no obligor
represents more than 1.44% of the portfolio balance. As per Fitch's
calculation the largest industry is business services at 13.17% of
the portfolio balance, and the top-three largest industries account
for 29.66% against the limit of 17.5% and 40%, respectively.

As of July 13, 2020, semi-annual obligations represent 42.75% of
the portfolio balance. An increase in semi-annual obligations
greater or equal to 20% of the aggregate collateral balance in a
due period and breach of modified class A/B interest coverage ratio
threshold of 120% could trigger a frequency switch event.

Cash Flow Analysis

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

The model-implied rating for the class E and F notes is one notch
below the current rating level. However, Fitch has deviated from
the model implied rating as the shortfalls were driven by the
back-loaded default timing scenario only and the limited margin of
safety present at the current rating. These ratings are in line
with the majority of Fitch-rated EMEA CLOs.

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 that are not assumed to default (or to
be voluntarily terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

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

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

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

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

Coronavirus Downside Scenario

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
lowered by 15%. For typical European CLOs this scenario results in
a rating category change for all ratings.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

The majority of the underlying assets 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.

OZLME V: Fitch Affirms Class F Debt Rating at B-sf
--------------------------------------------------
Fitch Ratings has taken multiple rating actions on OZLME V DAC,
including affirmation across all ratings and revising the Outlook
on one tranche to Negative from Stable.

OZLME V DAC

  - Class A XS1904641641; LT AAAsf; Affirmed

  - Class B-1 XS1904642029; LT AAsf; Affirmed

  - Class B-2 XS1904642458; LT AAsf; Affirmed

  - Class C XS1904642706; LT Asf; Affirmed

  - Class D XS1904643001; LT BBB-sf; Affirmed

  - Class E XS1904643423; LT BB-sf; Affirmed

  - Class F XS1904643340; LT B-sf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The Negative Outlook on the three most junior tranches is a result
of a sensitivity analysis Fitch ran in light of the coronavirus
pandemic. The agency notched down the ratings for all assets with
corporate issuers with a Negative Outlook regardless of the sector.
The model-implied ratings for the affected tranches under the
coronavirus sensitivity test are below the current ratings.

Fitch has removed the Rating Watch Negative on the class E and F
notes and assigned both a Negative Outlook instead. For both
classes, the shortfalls are still sizeable; however, the agency
views the portfolio's negative credit migration is likely to slow
and category-level downgrades on these tranches as less likely in
the short term.

The affirmations of the remaining tranches reflect their resilience
under the coronavirus baseline sensitivity analysis with a cushion.
This is underlined by the Stable Outlook on these ratings.

Portfolio Performance; Surveillance

As of the latest investor report available the transaction was 24bp
below par and all portfolio profile tests, coverage tests and most
collateral quality tests except the Fitch weighted average recovery
rating test, were passing. As of the same report the transaction
had EUR780,000 in defaulted assets. Exposure to assets with a
Fitch-derived rating of 'CCC+' and below (including non-rated
assets) is 6.1% and would increase to 15.2% after applying the
coronavirus stress. Assets with a Fitch-derived rating on Negative
Outlook represent 25.5% of the portfolio balance.

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of the obligors to be in the 'B'/'B-'
category. The Fitch weighted average rating factor of the current
portfolio is 34.97 (assuming unrated assets are 'CCC'), and the
trustee-reported Fitch WARF was 34.67, both below the maximum
covenants of 35. After applying the coronavirus stress, the Fitch
WARF would increase to 38.55.

High Recovery Expectations: At least 92.5% 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.

Portfolio Composition: The portfolio is well-diversified across
obligors, countries and industries. The top- 10 obligors represent
13.3% of the portfolio balance, and no obligor represents more than
1.4% of the portfolio balance.

Cash Flow Analysis: Fitch used a customised proprietary cash flow
model to replicate the principal and interest waterfalls and the
various structural features of the transaction, as well as to
assess their effectiveness, including the structural protection
provided by excess spread diverted through the par value and
interest coverage tests. The transaction was modelled using the
current portfolio based on both the stable and rising interest-rate
scenarios and the front-, mid-, and back-loaded default timing
scenarios as outlined in Fitch's criteria. In addition, Fitch
tested the 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 that are not assumed to default (or to
be voluntarily terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stress Portfolio) that was customised to the portfolio limits as
specified in the transaction's 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 a better-than-expected portfolio credit
quality and deal performance, leading to higher credit enhancement
and excess spread available to cover for losses in the remaining
portfolio.

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

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

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the target portfolio to
determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario demonstrates the
resilience of the current ratings on the class A, B-1, B-2, and C
notes, whereas credit enhancement for the class D, E and F notes
may be eroded quickly alongside deterioration of the portfolio.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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.

PHOENIX PARK: Fitch Keeps B-sf Class E-R Notes Rating on Watch Neg.
-------------------------------------------------------------------
Fitch Ratings has maintained Phoenix Park CLO DAC's junior notes on
Rating Watch Negative and affirmed the rest.

Phoenix Park CLO DAC

  - Class A-1A-R-R XS1890615013; LT AAAsf; Affirmed

  - Class A-1B-R-R XS1892517340; LT AAAsf; Affirmed

  - Class A-2A1-R-R XS1890615799; LT AAsf; Affirmed

  - Class A-2A2-R-R XS1892517936; LT AAsf; Affirmed

  - Class A-2B-R-R XS1890616334; LT AAsf; Affirmed

  - Class B-1-R-R XS1890616920; LT Asf; Affirmed

  - Class B-2-R-R XS1892518587; LT Asf; Affirmed

  - Class C-R XS1890618462; LT BBB-sf; Affirmed

  - Class D-R XS1890617811; LT BBsf; Rating Watch Maintained

  - Class E-R XS1890618033; LT B-sf; Rating Watch Maintained

  - Class X XS1890617654; LT AAAsf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

The maintenance of RWN on the class D and E notes and Negative
Outlook on the class C notes reflects the portfolio's deterioration
following negative rating migration in light of the coronavirus
pandemic. The 'CCCsf' or below category assets (including non-rated
assets) represent, according to Fitch's calculation, 8.64% of the
collateral principal amount, which is above the 7.5% limit.

The transaction is below target par. The Fitch-calculated weighted
average rating factor of the portfolio increased to 34.29 at July
25, 2020 from the trustee-reported WARF of 33.94 dated June 10,
2020. As per the last trustee report all tests including the
overcollateralisation and interest coverage tests, were passing.
The transaction has one defaulted issuer, which is 0.25% of the
collateral principal amount.

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

High Recovery Expectations: Senior secured obligations comprise
97.95% 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 65.18%.

Portfolio Composition: The top-10 obligors' concentration is 13.09%
and no obligor represents more than 2% of the portfolio balance. As
per Fitch calculation the largest industry is business services at
13.38% of the portfolio balance, and the top-three largest
industries account for 37.82% versus 17.5% and 40%, respectively.

Semi-annual obligations represent 43.1% of the portfolio balance
although the frequency switch event has not yet occurred as the
senior interest coverage ratio remains greater than 120%.

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

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

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio ("Fitch's
Stress Portfolio") that was customised to the portfolio limits as
specified in the transaction's 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 a better-than-expected portfolio credit quality and deal
performance, leading to higher credit enhancement and excess spread
available to cover for losses in the remaining portfolio.

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

Downgrades may occur if the build-up of credit enhancement
following amortisation does not compensate for a larger loss
expectation than initially assumed due to 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 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 determine the
coronavirus baseline scenario. The agency notched down the ratings
for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario demonstrates the resilience of
the current ratings of the class X, A-1, A-2 and B notes. The class
C notes shows a small cushion, which may erode quickly even with
modest portfolio deterioration while the class D and E notes show
sizeable shortfalls.

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

ST. PAUL IV: Fitch Affirms Class C-RRR Debt Rating at BBsf
----------------------------------------------------------
Fitch Ratings has revised the Outlook of St. Paul's CLO IV DAC's
class C-RRR to Negative from Stable, while affirming all tranches.

St. Paul's CLO IV DAC

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

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

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

  - Class B-RRR XS1852565537; LT Asf; Affirmed

  - Class C-RRR XS1852566188; LT BBBsf; Affirmed

  - Class D-RRR XS1852567079; LT BBsf; Affirmed

  - Class E-RRR XS1852566857; LT B-sf; Affirmed

TRANSACTION SUMMARY

St. Paul's CLO IV DAC is a cash flow CLO mostly comprising senior
secured obligations. The transaction is still within its
reinvestment period and is actively managed by the collateral
manager.

KEY RATING DRIVERS

Portfolio Performance Deterioration

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

The portfolio is slightly below par and defaulted assets calculated
as a percentage of target par, are at 2.3%. As per the latest
trustee report, dated June 10, 2020, the Fitch weighted average
rating factor was 35.5 and in breach of the Fitch maximum WARF
test. Based on Fitch's latest calculation the WARF has since
remained at 35.5. Assets with a Fitch-derived rating of 'CCC'
category or below (including unrated assets) are at 13.3%, above
the covenant of 7.5%, while assets with a Fitch-derived rating
(FDR) on Outlook Negative are at 14.8%. All other tests, including
the over-collateralisation and interest coverage tests, were
reported as passing. Currently the transaction does not report the
percentage of frequency switch obligations or semi-annual
obligations.

Coronavirus Baseline Scenario Impact

Fitch has carried out a sensitivity analysis on the current
portfolio for its coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience with
cushions for the current ratings of the class A-1-RRR, A-2A-RRR,
A-2B-RRR, and B-RRR notes as underlined by its affirmation with a
Stable Outlook. The Negative Outlook on the three junior tranches
reflects their shortfalls in the coronavirus sensitivity scenario.

'B'/'B-' Category Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category.

High Recovery Expectations

Senior secured obligations comprise 99.3%% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The
Fitch-calculated weighted average recovery rate of the current
portfolio is 65.1.

Portfolio Composition

The portfolio is well-diversified across obligors, countries and
industries. The top- 10 obligor exposure is 16.8% of the portfolio
balance while no obligor representing more than 2.5%. The largest
industry exposure is businesses and services, at 15.7%, while the
second- and third-largest industries are chemicals and healthcare
at 11.3% and 11.2%, 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 scenarios and the
front-, mid- and back-loaded default timing scenarios 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'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 that are not assumed to default (or to
be voluntarily terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
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 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 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 unexpected high
levels 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 also come
under pressure. Fitch will update the sensitivity scenarios in line
with the views of its leveraged finance team.

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
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 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.



=============
M O L D O V A
=============

MOLDOVA: Moody's Affirms LT Issuer Ratings at B3, Outlook Stable
----------------------------------------------------------------
Moody's Investors Service has affirmed the Government of Moldova's
B3 long-term foreign and local currency issuer ratings. The outlook
remains stable.

The decision to affirm the ratings and maintain the stable outlook
balances the following key rating factors:

(1) Moldova's low shock absorption capacity due to limited
economic resilience reflecting low wealth levels and a narrow
economic base as well as low institutional strength; Moody's
considers institutional strength a governance factor under its ESG
framework;

(2) Fiscal strength supported by a moderate debt level and high
debt affordability despite the anticipated rise in debt-to-GDP
induced by the coronavirus shock;

(3) Susceptibility to event risk remains driven by political risk,
while external support helps to contain banking sector, liquidity
and external vulnerability risks.

Moldova's long-term foreign currency bond and deposit ceilings
remain unchanged at B2 and Caa1, respectively. The local currency
bond and deposit ceilings remain unchanged at B2. The short-term
foreign currency bond ceiling and short-term foreign currency
deposit ceiling remain at Not Prime.

RATINGS RATIONALE

FIRST DRIVER: LOW SHOCK ABSORPTION CAPACITY DUE TO LIMITED ECONOMIC
RESILIENCE

The first driver for the rating affirmation at B3 is Moldova's
limited shock absorption capacity, constrained by low economic
resilience and institutional strength, which makes the sovereign
vulnerable to macroeconomic shocks. Moldova's low economic
resilience reflects a low GDP per-capita (estimated at $7703 (PPP)
in 2019) compared with European B-rated peers, volatile growth
dynamics and a narrow economic base. Moreover, a high reliance on
the agricultural sector exposes the economy to adverse climatic
conditions as exemplified by the recent drought.

Moldova is also highly dependent on remittances -- a key driver of
private consumption -- that, albeit recovering, have been
significantly affected by the coronavirus outbreak. In the medium
term, structural challenges, including labor shortage due to
emigration, also constrain economic strength. Moody's projects real
GDP to contract by 4.5% in 2020, compared with 3.6% growth in 2019.
Growth is expected to recover in 2021 to around 4% assuming that
the spread of virus will be contained.

Limited institutional strength also weighs on Moldova's shock
absorption capacity. Despite recent improvements, institutional
strength, as measured by the Worldwide Governance Indicators,
remains weak, particularly as concerns control of corruption. The
completion of the IMF programme in March 2020 reflects the
country's commitment to reform implementation despite the volatile
political conditions and led to significant progress on banking
sector reforms that helped to restore macroeconomic and financial
stability.

The recent staff-level agreement between the authorities and the
IMF on a new funded three-year programme with a proposed financing
of $558 million that focuses on supporting economic recovery after
the coronavirus shock and advancing institutional reforms signals
the willingness of the authorities to sustain the reform momentum.
The agreement will be considered by the IMF Board in September,
subject to the authorities' implementation of a number of prior
actions focusing on the central bank independence, financial sector
oversight and fiscal transparency.

The envisaged new programme will preserve macroeconomic stability
and progress achieved under the previous programme, and ensure that
further structural reforms are implemented. Reforms will be
particularly focused on governance and institutions. While policy
credibility has been strengthened in the context of the successful
completion of the IMF programme earlier this year, governance
challenges and low policy predictability persist against the
backdrop of Moldova's volatile political landscape, and continue to
be a key risk to the continuation of structural reforms.

SECOND DRIVER: FAVORABLE METRICS SUPPORT FISCAL STRENGTH DESPITE
DETERIORATION INDUCED BY THE PANDEMIC

The second driver of the affirmation of the B3 rating relates to
Moldova's fiscal metrics, which -- despite the expected
deterioration in the context of the coronavirus crisis -- remain
relatively favorable compared with rating peers.

Moldova's public debt burden stood at 27.4% of GDP at end-2019,
well below the B-rated median of 53.6% of GDP. As a result of a
large fiscal deficit and the economic contraction foreseen this
year, Moody's expects public debt to rise significantly to about
36% of GDP by the end of 2020. That said, the debt trajectory
remains exposed to the risk of weaker than expected growth and
exchange rate depreciation given the large share of foreign
currency denominated debt.

Prior to the coronavirus outbreak, Moldova had a track record of
small fiscal deficits (averaging 1.4% of GDP over the past five
years) which in part reflected the under-execution of capital
expenditure. With the pandemic, Moody's expects the fiscal deficit
to temporarily increase, exceeding 8% of GDP in 2020 from 1.4% in
2019, as a result of the coronavirus' dampening impact on revenues
as well as newly introduced expenditure measures to mitigate the
impact of the pandemic.

Moldova's debt affordability metrics are strong and compare
favorably with rating peers. The government's interest payment
burden, with interest payments absorbing around 3% of revenue in
2019, is very low and compares favorably to the B-rated median (8%
of GDP in 2019), reflecting a high share of concessional debt with
low funding costs. Moody's expects debt affordability to also
remain strong this year and next, assuming most of the additional
financing will remain on concessional terms.

THIRD DRIVER: SUSCEPTIBILITY TO EVENT RISK IS DRIVEN BY POLITICAL
RISK WHILE EXTERNAL SUPPORT CONTAINS BANKING SECTOR, LIQUIDITY AND
EXTERNAL VULNERABILITY RISKS

The third key factor underpinning the affirmation of Moldova's B3
rating is the country's susceptibility to event risk, which is
predominantly driven by political risk. Moody's assessment of
Moldova's political risk reflects both the volatile domestic
political environment and the geopolitical risk related to the
unresolved Transnistria conflict.

After a period of relative stability, the domestic political
volatility has increased since the elections in February 2019. The
coalition that was formed after several months of post-election
uncertainty -- comprising the Party of Socialists of the Republic
of Moldova and the ACUM electoral bloc -- collapsed already in
November 2019. A PSRM-led government was formed shortly thereafter,
followed by the formation of a coalition with the Democratic Party.
That coalition lost recently its parliamentary majority.

The presidential election is expected for November and the recent
ruling of the country's constitutional court prevents the
parliament from being dissolved within six months before the
expiration of the president's mandate, making parliamentary
elections before the end of the year unlikely. An increase in
volatility of the domestic political environment in the context of
the upcoming presidential elections would carry liquidity and
external risks, as there is a risk that it could result in delay or
suspension of international financial assistance.

The banking sector risk remains contained given the substantial
progress made in addressing the vulnerabilities of the financial
sector under the IMF programme. The continued reform momentum is
expected to contribute to preserve financial stability. Moody's
expects government liquidity risk and external vulnerability risk
to remain contained as bilateral and multilateral financing are
expected to cover a significant share of the increasing fiscal and
external financing needs in 2020.

RATIONALE FOR STABLE OUTLOOK

The stable outlook balances Moldova's reform progress made under
the recently concluded IMF programme against structural economic
challenges that constrain the country's credit profile and limit
shock-absorption capacity, including with respect to the
coronavirus pandemic, and a volatile political landscape that could
derail the reform momentum or result in a less prudent fiscal
policy, limiting the financing options. The stable outlook also
reflects Moody's expectations that the support from the
international institutions will bolster Moldova's external and
liquidity profiles.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS

Moody's takes into account of the impact of environmental (E),
social (S) and governance (G) factors when assessing sovereign
issuers' economic, institutional and fiscal strength and their
susceptibility to event risk. In the case of Moldova, the
materiality of ESG to the credit profile is as follows.

Environmental considerations are relevant to Moldova's credit
profile as the significant reliance on the agricultural sector
makes the country vulnerable to climate change. Rural livelihoods
are dependent on agriculture, which accounted for more than 10% of
the gross value added and employed about 20% of the population. In
particular, droughts can create economic, fiscal and social costs
for the sovereign.

Social considerations are material to Moldova's rating, mainly
related to unfavourable demographics. Since Moldova gained
independence in 1991, around a third of the country's population
has emigrated, mainly because of a lack of job opportunities and
relatively higher poverty levels. According to UN forecasts, the
contraction in Moldova's working-age population is likely to
accelerate. Although the large amount of remittances has improved
recipients' welfare, the declining population will be a major
constraint on the economy as it weighs on labour input. Moody's
regards the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety.

Governance considerations are material to Moldova's credit profile
through relatively weak rule of law and high levels of corruption.
The country's scores are very low on institutional factors, as
measured by the WGIs, reflecting moderate government and policy
effectiveness.

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

WHAT COULD CHANGE THE RATING - UP

Evidence that progress on structural reforms continues, resulting
in a strengthening of the country's governance and institutional
profile, would exert upward pressure on the rating. Improving
longstanding structural economic impediments that weigh on economic
resilience, including the weak business climate and labour
shortage, would also support the emergence of upward rating
pressure.

WHAT COULD CHANGE THE RATING - DOWN

Moldova's government rating could be downgraded if there were an
increase in political risk that resulted in a slowdown or reversal
of the reform progress achieved under the IMF programme and/or in a
less prudent fiscal stance that could lead to a lasting erosion of
the government's fiscal metrics. The emergence of liquidity
pressures due to larger than projected financing needs or an
increase of external vulnerability risk due to a larger than
expected deterioration of the balance of payments position could
also result in downward rating pressure. Although not likely,
Moldova's rating could also be downgraded if conditions in the
Transnistria region were to deteriorate significantly.

GDP per capita (PPP basis, US$): 7,703 (2019 Actual) (also known as
Per Capita Income)

Real GDP growth (% change): 3.6% (2019 Actual) (also known as GDP
Growth)

Inflation Rate (CPI, % change Dec/Dec): 7.5% (2019 Actual)

Gen. Gov. Financial Balance/GDP: -1.4% (2019 Actual) (also known as
Fiscal Balance)

Current Account Balance/GDP: -9.7% (2019 Actual) (also known as
External Balance)

External debt/GDP: [not available]

Economic resiliency: b3

Default history: At least one default event (on bonds and/or loans)
has been recorded since 1983.

On July 28, 2020, a rating committee was called to discuss the
rating of the Moldova, Government of. The main points raised during
the discussion were: The issuer's economic fundamentals, including
its economic strength, have not materially changed. The issuer's
institutions and governance strength, have not materially changed.
The issuer's fiscal or financial strength, including its debt
profile, has not materially changed. The issuer's susceptibility to
event risks has not materially changed.

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

The weighting of all rating factors is described in the methodology
used in this credit rating action, if applicable.



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

ARES EUROPEAN XIII: Fitch Keeps B-sf Class F Notes on Watch Neg.
----------------------------------------------------------------
Fitch Ratings has maintained Ares European CLO XIII B.V.'s class E
and F notes on Rating Watch Negative and affirmed the rest.

Ares European CLO XIII B.V.

  - Class A XS2084071807; LT AAAsf; Affirmed

  - Class B-1 XS2084072367; LT AAsf; Affirmed

  - Class B-2 XS2084073092; LT AAsf; Affirmed

  - Class C-1 XS2084073688; LT Asf; Affirmed

  - Class C-2 XS2084074140; LT Asf; Affirmed

  - Class D XS2084074900; LT BBB-sf; Affirmed

  - Class E XS2084075626; LT BBsf; Rating Watch Maintained

  - Class F XS2084076194; LT B-sf; Rating Watch Maintained

  - Class X XS2084071633; LT AAAsf; Affirmed

TRANSACTION SUMMARY

The transaction is a cash flow CLO mostly comprising senior secured
obligations. The transaction is in the reinvestment period and the
portfolio is actively managed by the asset manager.

KEY RATING DRIVERS

Coronavirus Baseline Scenario Impact

Fitch has carried out a sensitivity analysis on the current
portfolio for its coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience of the
current ratings of the class X to B notes with cushions, as
underlined by the affirmation with a Stable Outlook for these
tranches. The class C notes show reasonable cushion at its current
rating but a marginal failure in the coronavirus sensitivity
analysis. Given that its performance has been in line with its
expectation, the relatively senior position of this tranche and its
expectation of slow negative portfolio rating migration, the notes
are also affirmed with Stable Outlook.

Ratings on the class D to F notes are passing under its current
portfolio analysis but show a shortfall under the coronavirus
sensitivity analysis. Given the moderate shortfall on the class D
notes in the coronavirus sensitivity analysis and the stabilisation
of the portfolio credit quality, a downgrade of this tranche to a
lower category is unlikely in the short term. This supports the
Negative Outlook on the class D notes. On the other hand, the class
E and F notes show limited cushion based on the current portfolio
analysis and a notable shortfall in the sensitivity analysis due to
the higher portion of assets with Fitch-derived rating on Negative
Outlook.

Portfolio Performance Stabilising

The underlying portfolio's quality has shown early signs of
stabilisation with the weighted average rating factor calculated by
Fitch at 34.7 as of July 25, 2020, down from 35.1 at end-June 2020.
The transaction is currently slightly above par. Assets with a FDR
of 'CCC' category or below, excluding defaults, represent 4.5%,
while assets with a FDR on Negative Outlook is high at 32% of the
portfolio balance. However, no frequency switch event has occurred
and all tests including the coverage tests are passing.

'B'/'B-' Category Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category.

High Recovery Expectations

Almost 100% of the portfolios comprise senior secured obligations.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
The Fitch-calculated weighted average recovery rate of the current
portfolio is 65%.

Portfolio Composition

The portfolio is reasonably diversified with the exposure to the
top-10 obligors and the largest obligor at about 16.9% and 2.3%
respectively. The top three three-industry exposure is at about
33.4%. All the portfolio profile tests are passing.

Cash Flow Analysis

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

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 that are not assumed to default (or to
be voluntarily terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed 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 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 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 unexpectedly high
levels of default and portfolio deterioration. As the disruptions
to supply and demand due to COVID-19 become apparent for other
sectors, loan ratings in those sectors would also come under
pressure. Fitch will update the sensitivity scenarios in line with
the view of its Leveraged Finance team. Should the transaction
deteriorate materially within a short period and not be offset by
the deleveraging of the transaction, the class D to F notes may be
downgraded.

Coronavirus Downside Sensitivity

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before halting recovery begins
in 2Q21. The downside sensitivity incorporates the following
stresses: applying a single-notch downgrade to all FDRs in the 'B'
rating category and a 0.85 recovery rate multiplier to all other
assets in the portfolio. 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.

INTERCEMENT FINANCIAL: Fitch Withdraws CCC+(EXP) Notes Rating
-------------------------------------------------------------
Fitch Ratings has withdrawn the 'CCC+(EXP)'/'RR4' expected rating
for InterCement Financial Operations BV's proposed 2027 secured
notes.

InterCement previously proposed a tender offer to exchange its
unsecured notes due in 2024 for secured notes due in 2027, which
expired without meeting participation thresholds.

The expected rating rating on the 2027 notes was withdrawn as it is
no longer expected to convert to a final rating.

KEY RATING DRIVERS

InterCement launched an exchange offer for its unsecured notes due
in 2024 for new secured notes due in 2027 in June. The offer
expired without meeting the minimum 85% participation threshold. As
a result, the expected rating on the 2027 notes was withdrawn as it
is no longer expected to convert to a final rating.

BEST/WORST CASE RATING SCENARIO

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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



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

TRANSFIN-M PC: S&P Affirms B/B Ratings, Outlook Negative
--------------------------------------------------------
S&P Global Ratings affirmed its 'B/B' ratings on Russian freight
transportation company Transfin-M PC (TFM) and removed them from
CreditWatch, where it placed them with developing implications on
Jan. 29, 2020.

Following the acquisition of a 40,000 rolling stock portfolio, TFM
will become Russia's third-largest freight rail transportation
company by the size of its asset base.

In December 2019, TFM announced that, together with state
development corporation VEB.RF, it had created a unified railway
operator via its subsidiary Atlant LLC. S&P understands that VEB.RF
will transfer about 40,000 freight railcars to Atlant. The deal
will make TFM one of the largest freight railway operators in
Russia with about 72,000 railcars in total, including gondola cars,
boxcars, cisterns, and fitting platforms. It will also enhance
TFM's solid position in the Russian freight rail transport market,
given the size and diversity of its asset portfolio, and relatively
new fleet (averaging 10-11 years). Operating risk and the potential
for long idle periods are mitigated by VEB.RF's plan to transfer
the assets with the existing customer contracts, while it continues
to operate the fleet. Like its rated Russian peers, TFM faces high
country risk in Russia, including from a weak domestic financial
market and politicized legal system.

S&P said, "We anticipate a substantial increase in leverage by the
end of 2020, due to the primarily debt-funded acquisition of
rolling stock expected in the second half of the year.

"The details of the deal are not public. But according to our base
case, following the acquisition, TMF will be highly leveraged over
2020-2021. While the final terms are not yet available, we
understand that the deal with VEB.RF might be funded by a mix of
external debt, capital contribution from shareholders, and TFM's
own funds. We anticipate that the company will only proceed with
the deal once it has an agreement with the bank, so the acquisition
should not jeopardize TFM's liquidity position. In our analysis, we
evaluate TFM's leverage and financial metrics at the consolidated
level, including the parent. We understand that the parent has no
external debt and holds a Russian ruble (RUB) 24 billion bond
issued by TFM. We expect weak credit metrics in 2020 due to
increasing debt, while the assets will only generate part of the
annual EBITDA because the deal is scheduled for completion in the
second half of the year. Although we see TFM's post-transaction
capital structure as aggressive, the terms of its current debt
agreements restrict dividend payouts outside the consolidated
TFM-Garant group. Under the acquisition agreement, TFM will remain
a controlling owner with a 75% stake, while VEB.RF will hold a 25%
stake in Atlant. Any dividend payments have to be approved by a
bank and we anticipate in our base case that TFM's shareholders
will retain earnings to bolster the group's financial position."

The transaction will make freight transportation services core
activities for the group, with synergies from other business
lines.

S&P expects that, from 2021, the rail freight transportation
segment will generate about 60% of the group's consolidated
revenues. Besides this, the TFM-Garant group also provides
operating leases (about 20% of revenue) and a range of engineering
and construction services (about 20%) to for mining companies in
Novosibirsk Oblast, Kemerovo Oblast, and Sakhalin. As a result, the
group offers its customers a bespoke product, including services at
mining sites, leasing of special equipment, and railway cargo
transportation to the final destination. The group's strategy is to
increase synergies from complementary business lines.

S&P expects revenues to increase more than twofold in 2020, but the
economic impact of COVID-19 could affect growth.

TFM currently operates about 44,000 railcars (including 15,000 of
40,000 from VEB.RF compared with 29,000 at the beginning of this
year. Given the gradual transition from VEB.RF, TFM's cash inflows
will increase gradually. S&P said, "We expect the group's revenues
will reach to RUB35 billion-RUB40 billion in 2020 and RUB44
billion-RUB49 billion in 2021, translating into EBITDA of RUB15
billion-RUB18 billion and RUB18 billion-21 billion in those years,
respectively. We forecast materially negative free operating cash
flow in 2020, turning neutral in 2021. Still, we see risks that the
company's operating performance and cash flow generation would be
weaker than we expect, due to the challenging market conditions.
This is because of the strong correlation with economic activity
and expected recessionary pressures due to COVID-19, as well as the
company's exposure to inherently volatile commodities, primarily
coal, which represents more than half of freight transportation
volumes by gondola cars. We also see a risk related to the
structural decline in coal in the power generation mix, but we
understand management is working on increasing the proportion of
other cargo types to reduce this risk in the medium term."

S&P said, "The negative outlook reflects uncertainties related to
the final terms of the acquisition and risks that the group's
operating performance and cash flow generation could be weaker than
we expect due to the challenging market conditions. We assume that
the COVID-19 pandemic will weigh on TFM's operating performance due
to economic downturn and volatile demand. In our base case, the
company's business will withstand the difficult macroeconomic
environment and successfully complete its business transformation.
We expect a moderate improvement in credit ratios in 2021."

S&P would lower the rating if:

-- TFM's EBITDA generation were significantly below S&P's
base-case forecast, with no signs of a rapid recovery.

-- Liquidity were weaker than S&P currently expects, with sources
to uses lower than 1x.

-- Debt leverage were materially higher than S&P currently
forecasts, with weighted average debt to EBITDA exceeding 7x, for
example due to significant changes to the preliminary terms of the
deal or its funding structure.

-- Financial policy were more aggressive than S&P expects,
including other significant acquisition plans or dividends
payments.

S&P said, "Audited financial statements for 2020 revealed any
material factors we do not currently incorporate in our base case.
The company is transforming its business model, so there's no track
record of its operations and we base our rating on the forecasts.

"We will revise our outlook to stable once we have more visibility
regarding the final terms of the deal and the resulting capital
structure and liquidity position. We would also require some track
record of operating performance, once financial information for the
transformed business is available."




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

CODERE GROUP: S&P Rates EUR85MM Notes CCC-, On Watch Positive
-------------------------------------------------------------
S&P Global Ratings affirmed its 'CC' issuer credit rating on Codere
Group and 'CC' issue ratings on the existing EUR500 million and
$300 million senior secured notes. S&P assigned a 'CCC-' issue
rating to the new EUR85 million super senior notes and placed them
on CreditWatch positive, and assigned a preliminary 'CCC+' issue
rating to the proposed EUR165 million notes. S&P rated the first
EUR85 million notes under the group's current capital structure
because of the impending issuance of the debt, whereas it rated the
EUR165 million notes on a preliminary basis because it expects the
scheme will successfully complete.

The negative outlook on the long-term issuer rating indicates that
S&P would downgrade Codere and the existing notes to 'SD'
(selective default) and 'D' (default), respectively, if the
transaction completes.

Codere has reached the minimum consent required for the lock-up
agreement and consequently issued the first EUR85 million of the
EUR250 million proposed super senior secured notes.  Codere has
achieved greater than the required 75% of consents to the lock-up
agreement and therefore will be seeking to implement a scheme of
arrangement to complete the proposed debt restructuring.

As part of the proposed transaction, Codere issued EUR85 million of
the proposed EUR250 million super senior secured notes on July 28,
preponed to support the group's liquidity position. The company
plans to issue the second EUR165 million drawing once the scheme of
arrangement is completed and subject to meeting usual and customary
conditions precedent, which S&P expects by end-September or early
October 2020.

The issue rating on the first EUR85 million drawing is based on the
current capital structure, while the preliminary issue rating on
the second EUR165 million drawing is based on the expected future
capital structure after scheme completion.  S&P said, "We assigned
a 'CCC-' issue level rating and '2' recovery rating to the new
EUR85 million super senior secured notes due 2023. We have placed
the rating on CreditWatch positive, reflecting the likelihood of an
upgrade in the next three months upon the completion of the debt
restructuring."

S&P said, "We assigned a preliminary 'CCC+' issue level rating and
'2' recovery rating to Codere's proposed EUR165 million super
senior secured notes due 2023. This rating reflects our view of the
future capital structure, based on the likely successful completion
on the scheme. Should the scheme of arrangement not be completed as
expected, or the final terms on the second EUR165 million draw be
significantly different than currently expected, we could withdraw
or revise our preliminary issue rating accordingly."




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

DIGNITY FINANCE: S&P Lowers Rating on Class B Notes to B+(sf)
--------------------------------------------------------------
S&P Global Ratings lowered to 'B+ (sf)' from 'BB- (sf)' its credit
rating on the class B notes issued by Dignity Finance PLC. At the
same time, S&P has affirmed its 'A- (sf)' rating on the class A
notes.

Dignity Finance is a corporate securitization of the U.K. operating
business of the funeral service provider Dignity (2002) Ltd.
(Dignity 2002 or the borrower). It originally closed in April 2003
and was last tapped in October 2014.

The transaction features two classes of fixed-rate notes (A and B),
the proceeds of which have been on-lent by the issuer to Dignity
2002 via issuer-borrower loans. The operating cash flows generated
by Dignity 2002 are available to repay its borrowings from the
issuer that, in turn, uses those proceeds to service the notes.

The transaction will likely qualify for the appointment of an
administrative receiver under the U.K. insolvency regime. An
obligor default would allow the noteholders to gain substantial
control over the charged assets prior to an administrator's
appointment without necessarily accelerating the secured debt, both
at the issuer and at the borrower level.

S&P said, "Following our review of Dignity 2002's performance, we
have affirmed our rating on the class A notes and lowered by one
notch our rating on the class B notes.

"While our business risk assessment remains unchanged, these rating
actions reflect continued long-term uncertainty amid challenging
competitive conditions and potential regulatory developments that
may affect Dignity's pricing and product mix."

Dignity Finance's primary sources of funds for principal and
interest payments on the notes are the loans' interest and
principal payments from the borrower and any amounts available
under the GBP55 million tranched liquidity facility.

S&P's ratings address the timely payment of interest and principal
due on the notes. They are based primarily on our ongoing
assessment of the borrowing group's underlying business risk
profile (BRP), the integrity of the transaction's legal and tax
structure, and the robustness of operating cash flows supported by
structural enhancements.


DRAYTON MANOR: Bought Out of Administration by Looping Group
------------------------------------------------------------
BBC News reports that Drayton Manor, a family-run theme park, says
it has entered administration after being hit by Storm Dennis and
then coronavirus.

Drayton Manor, in Tamworth, has been run by three generations of
the Bryan family since opening in 1950.

According to BBC, it has been sold to Looping Group which runs a
number of attractions in Europe and the UK, including West Midlands
Safari Park and Pleasurewood Hills.

The administrators said about 600 people were employed at the
Staffordshire Park and their jobs have been protected, BBC
relates.

The Drayton Manor group, which owns a catering and hotels company
alongside the theme park, has been facing "exceptionally
challenging conditions," BBC quotes Mike Denny, from administrators
PwC, as saying.

"In February, Storm Dennis forced the park to close unexpectedly
whilst its planned reopening in March was delayed due to Covid-19,"
he said, adding that these factors had "exacerbated" cash flow
problems.

With the takeover by Looping Group, administrators said the park
and its facilities would operate as usual and existing bookings
were being honoured, BBC notes.

The theme park recently reopened with modifications after national
coronavirus lockdown restrictions were eased, BBC discloses.


DW SPORTS: To Enter Administration, 1,700 Jobs at Risk
------------------------------------------------------
BBC News reports that DW Sports, a gym and sports retailer, has
said it will enter administration, putting 1,700 jobs at risk.

The company, founded by former Wigan Athletic owner Dave Whelan,
operated 73 gyms and 75 stores across the UK.

All of its stores are to close, but DW said it would work with
administrators BDO to save as many gyms as possible, BBC relates.

The firm said Fitness First and its 43 gyms, which are part of the
same group of companies, will not be affected, BBC notes.

"As a consequence of Covid-19, we found ourselves in a position
where we were mandated by government to close down both our retail
store portfolio and our gym chain in its entirety for a protracted
period, leaving us with a high fixed-cost base and zero income,"
BBC quotes chief executive Martin Long as saying.

"The decision to appoint administrators has not been taken lightly
but will give us the best chance to protect viable parts of the
business, return them to profitability, and secure as many jobs as
possible."

According to BBC, administrator BDO said its aim was to try and
sell as "much of DW Sports' business as can be achieved."

DW Sports had already closed 25 of its stores, and the firm said
its remaining 50 retail sites would "all be moving into closing
down sales from [Aug. 3]", BBC relays.

The DW Sports website will cease trading with immediate effect, BBC
states.


HAMMERSON: Prepares for GBP600MM Cash Call to Avert Collapse
------------------------------------------------------------
George Hammond at The Financial Times reports that Hammerson is
readying a GBP600 million cash call to help it through the next few
months, as the UK's largest shopping centre owner scrambles to plug
a hole left by unpaid rent and avoid the fate of its collapsed
rival Intu.

The shopping centre operator, which owns the Bullring in
Birmingham, Brent Cross in London and Victoria Gate in Leeds,
confirmed on Aug. 3 that it was considering raising new equity via
a rights issue, the FT relates.

According to the FT, a person familiar with the process said the
company was hoping to raise as much as GBP600 million, more than
its GBP490 million market capitalization based on the July 31
closing price.

Hammerson is aiming to further bolster its balance sheet with the
sale of its 50% stake in its European shopping outlet business, VIA
Outlets, to its partner in the venture, the Dutch pension fund
asset manager APG, the FT states.

The coronavirus crisis has hit the retail sector particularly hard,
keeping consumers away from high streets and shopping malls and
forcing a reckoning for retail property owners, the FT discloses.

MATALAN: To File Chapter 15 Court Protection in U.S.
----------------------------------------------------
Katie Linsell at Bloomberg News reports that U.K. discount retailer
Matalan will file for Chapter 15 court protection in the U.S. as
part of broader measures to buttress its balance sheet in the
aftermath of pandemic-inflicted closures.

The company will seek "certain interim relief" under Chapter 15 and
recognition for its debt restructuring in the U.K., Bloomberg
relays, citing a July 28 statement.  Chapter 15 of U.S. bankruptcy
law shields foreign companies from lawsuits by U.S. creditors while
they reorganize in another country.

The retailer used a U.K. court procedure known as a scheme of
arrangement. As part of the deal approved in London on July 27,
lower-ranking bondholders agreed to receive more debt as interest
instead of cash, Bloomberg relates.  The company has GBP474 million
(US$612 million) in net debt and as part of the agreement, it will
obtain GBP50 million in fresh financing, Bloomberg discloses.

According to Bloomberg, the Chapter 15 filing may also trigger the
payout of default insurance on the company's notes.  The
International Swaps & Derivatives Association said there is US$106
million of credit protection outstanding on Matalan's debt,
Bloomberg notes.

Matalan has been hard-hit by the measures taken to stem the spread
of coronavirus, Bloomberg recounts.


SCHOOL LETTING: Enters Administration Due to Covid-19 Outbreak
--------------------------------------------------------------
Freddie Whittaker at SchoolsWeek reports that Manchester-based
School Letting Solutions, which helps schools to rent out their
sports halls, football pitches and classrooms, is going into
administration after business stopped "overnight" because of the
Covid-19 outbreak.

The company previously worked with more than 300 schools to
generate additional income from their facilities, SchoolsWeek
discloses.

But the firm has had to call in administrators because of
"uncertainty" over its future business, and says 93 full-time and
890 casual roles will be lost, SchoolsWeek notes.

During partial closures, which came into force in March, schools
were told to limit who visited their sites, and most activities
taking place outside school hours, including the hire of school
facilities by third parties, were halted, SchoolsWeek relates.

According to SchoolsWeek, Daniel Taylor of Fortis Insolvency, who
has been appointed as administrator of SLS, said the company had to
close because of uncertainty "of when, and under what conditions,
the facilities it hires will re-open".



SMALL BUSINESS 2019-1: Moody's Cuts Class D Notes Rating to B2
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of Class D
Notes in Small Business Origination Loan Trust 2019-1 DAC, Small
Business Origination Loan Trust 2019-2 DAC and in Small Business
Origination Loan Trust 2019-3 DAC. The transactions are backed by
loans originated by marketplace lender Funding Circle Ltd and
granted to small- and medium- sized enterprises.

Issuer: Small Business Origination Loan Trust 2019-1 DAC

GBP118.97M (Current Outstanding Balance GBP55.16M) Class A Notes,
Affirmed Aa2 (sf); previously on Feb 5, 2020 Upgraded to Aa2 (sf)

GBP5.40M (Current Outstanding Balance GBP3.24M) Class B Notes,
Confirmed at A2 (sf); previously on May 1, 2020 A2 (sf) Placed
Under Review for Possible Downgrade

GBP12.61M (Current Outstanding Balance GBP7.57M) Class C Notes,
Confirmed at Baa2 (sf); previously on May 1, 2020 Baa2 (sf) Placed
Under Review for Possible Downgrade

GBP18.92M (Current Outstanding Balance GBP11.36M) Class D Notes,
Downgraded to B2 (sf); previously on May 1, 2020 Ba3 (sf) Placed
Under Review for Possible Downgrade

Issuer: Small Business Origination Loan Trust 2019-2 DAC

GBP150.77M (Current Outstanding Balance GBP90.82M) Class A Notes,
Affirmed Aa3 (sf); previously on Jul 17, 2019 Definitive Rating
Assigned Aa3 (sf)

GBP3.48M (Current Outstanding Balance GBP2.10M) Class B Notes,
Affirmed A3 (sf); previously on Jul 17, 2019 Definitive Rating
Assigned A3 (sf)

GBP19.72M (Current Outstanding Balance GBP11.88M) Class C Notes,
Confirmed at Baa3 (sf); previously on May 1, 2020 Baa3 (sf) Placed
Under Review for Possible Downgrade

GBP22.04M (Current Outstanding Balance GBP13.27M) Class D Notes,
Downgraded to B1 (sf); previously on May 1, 2020 Ba3 (sf) Placed
Under Review for Possible Downgrade

Issuer: Small Business Origination Loan Trust 2019-3 DAC

GBP165.01M (Current Outstanding Balance GBP122.63M) Class A Notes,
Affirmed Aa3 (sf); previously on Nov 27, 2019 Definitive Rating
Assigned Aa3 (sf)

GBP7.50M (Current Outstanding Balance GBP5.57M) Class B Notes,
Affirmed A3 (sf); previously on Nov 27, 2019 Definitive Rating
Assigned A3 (sf)

GBP22.50M (Current Outstanding Balance GBP16.72M) Class C Notes,
Confirmed at Baa3 (sf); previously on May 1, 2020 Baa3 (sf) Placed
Under Review for Possible Downgrade

GBP26.25M (Current Outstanding Balance GBP19.51M) Class D Notes,
Downgraded to B2 (sf); previously on May 1, 2020 Ba3 (sf) Placed
Under Review for Possible Downgrade

RATINGS RATIONALE

Its action concludes the rating reviews initiated on May 1, 2020
resulting from the uncertainty around the possible further
deterioration of the portfolio due to the current macroeconomic
environment.

The performance of collateral backing the three transactions has
deteriorated as reflected, on average, in about 30 percentage point
increases in the total delinquent loans between the April 2020 and
July 2020 payment dates. Cumulative defaults as a percentage of
original pool balance increased by on average 2 percentage points
across the three transactions, and it is expected that there will
be a further increase in the short term upon materialization of
late-stage delinquencies as defaults.

In its base case, Moody's assumed elevated cumulative gross default
rates on the underlying portfolios to reflect the deterioration in
the portfolios' performance.

Moody's also considered a number of sensitivity scenarios
including:

(i) Defaults of a large proportion of the pools currently
classified as delinquent albeit with higher recovery rates to
reflect the support provided by payment plans;

(ii) Lower overall recovery rates for future defaults; and

(iii) A near term increase in prepayments from borrowers availing
of coronavirus related government guaranteed loans.

Following from this analysis, Moody's concluded that the expected
losses on rated notes other than Class D notes in all three
transactions remain consistent with their current ratings as the
structural features of the transaction mitigate the collateral
credit quality deterioration.

Consequently, Moody's has downgraded the ratings on the Class D
notes from SBOLT 2019-1, SBOLT 2019-2, and SBOLT 2019-3, and
confirmed the ratings on the Class C notes from SBOLT 2019-1, SBOLT
2019-2, and SBOLT 2019-3, and the Class B notes from SBOLT 2019-1.
Moody's has also affirmed the ratings on the Class B notes from
SBOLT 2019-2 and SBOLT 2019-3, as well as the class A notes from
SBOLT 2019-1, SBOLT 2019-2, and SBOLT 2019-3.

Moody's took into account the characteristics of the portfolio, the
utilization of the short term and medium-term payment plans
introduced by Funding Circle, as well as the current economic
environment and its potential impact on the portfolio's future
performance. Moody's notes that the default definitions within the
transactions may lead to borrowers who are performing under such
payment plans being classified as defaulted.

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 small businesses from the collapse
in UK economic activity in the second quarter and a gradual
recovery in the second half of the year.

However, that outcome depends on whether governments can reopen
their economies while also safeguarding public health and avoiding
a further surge in infections. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's regards
the coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

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

TRANSACTION ASSUMPTIONS

Moody´s has increased its base case default probability
assumptions to 17%, 19% and 17% of current balance for the three
transactions respectively. Moody's has maintained its fixed
recovery rate assumption at 20% and the portfolio credit
enhancement assumptions at 45%, 48% and 44.5% for the three
transactions respectively.

Methodology Underlying the Rating Action:

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

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

Factors or circumstances that could lead to an upgrade of the
ratings include:

(1) Performance of the underlying collateral that is better than
Moody's expected;

(2) Deleveraging of the capital structure; and

(3) Improvements in the credit quality of the transaction
counterparties.

Factors or circumstances that could lead to a downgrade of the
ratings include:

(1) Performance of the underlying collateral that is worse than
Moody's expected;

(2) Deterioration in the Notes' available credit enhancement;

(3) Deterioration in the credit quality of the transaction
counterparties; and

(4) An increase in sovereign risk.

UBB WASTE: Enters Into Administrative Receivership
--------------------------------------------------
Ryan Jennings at Echo reports that UBB Waste (Essex) Limited, the
operator of the controversial Tovi Eco Park plant in Basildon has
entered into administrative receivership, Essex County Council has
been informed.

The facility's operator had already--from June 29--suspended all
deliveries of waste into the facility, Echo notes.

The decision that the operator of the plant, currently in its
testing phase, should be placed in administrative receivership was
taken by the secured creditors of UBB Waste (Essex), Echo
discloses.

Essex County Council is hoping to open talks with the
administrative receivers, Echo states.

According to Echo, any remaining waste in the facility will be
taken to landfill.




                           *********


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-
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Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman,
Editors.

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

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