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

                          E U R O P E

          Wednesday, August 19, 2020, Vol. 21, No. 166

                           Headlines



F R A N C E

ACCOR SA: S&P Cuts LT ICR to BB+, Outlook Negative
SPIE SA: S&P Alters Outlook to Negative & Affirms BB Ratings


G E R M A N Y

TAKKO FASHION: Moody's Hikes CFR to Caa2, Alters Outlook to Stable
TELE COLUMBUS: S&P Affirms B- Rating, Off CreditWatch Negative


I R E L A N D

ACCUNIA EUROPEAN III: Fitch Affirms Class F Notes Rating at B-sf
ANCHORAGE CAPITAL 2: Fitch Affirms Class E Notes at BB-sf
ARBOUR CLO VIII: Fitch Gives Final BB-sf Rating to Class E Notes
ARBOUR CLO VIII: S&P Assigns BB- (sf) Rating to Class E Notes
BARDIN HILL 2019-1: Fitch Affirms Class F Notes Rating at B-sf

BLACK DIAMOND 2017-2: S&P Lowers Rating on Class F Notes to B-
BLACK DIAMOND 2019-1: S&P Cuts Rating on Cl. E Notes to B+ (sf)
CAIRN CLO VIII: S&P Affirms B- (sf) Rating on Class F Notes
CONTEGO CLO VI: Fitch Keeps B-sf Class F Notes Rating on Watch Neg.
GOLDENTREE LOAN 2: Moody's Confirms EUR9.9MM Cl. F Notes at B2(sf)

HARVEST CLO XVI: Fitch Affirms Class F-R Notes at B-sf
HARVEST CLO XXI: Fitch Affirms Class F Debt at B-sf
MAN GLG V: Fitch Affirms Class F Notes at B-sf, Off Watch Neg.
OAK HILL VI: Fitch Downgrades Class E Notes Rating to BB-sf
ST. PAUL'S X: Fitch Downgrades Class E Notes Rating to BB-sf

[*] IRELAND: Level of Corporate Insolvencies May Peak Next Year


L U X E M B O U R G

GLOBAL BLUE: Moody's Downgrades CFR to B3, Outlook Negative


N E T H E R L A N D S

AURORUS 2020: Moody's Assigns B1 Rating to EUR10.4MM Cl. F Notes


R U S S I A

BANCA INTESA: Fitch Affirms LT IDRs at BB+, Outlook Stable
PETROPAVLOVSK PLC: Fitch Hikes LT IDR & Sr. Unsec. Rating to B


S W E D E N

SAS: EU Competition Regulators Clear Recapitalization Plan


U N I T E D   K I N G D O M

AURORUS 2020: DBRS Upgrades Provisional Class F Notes Rating to B
CARLYLE GLOBAL 2014-1: Fitch Affirms Class F-RR Debt Rating at B-sf
NATIONAL COLLEGE: University of Birmingham Set to Take Over
POUNDSTRETCHER: Posts Closing Down Sale Signs in Newport
[*] UK: Corporate Insolvencies May Increase This Winter, R3 Says


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F R A N C E
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ACCOR SA: S&P Cuts LT ICR to BB+, Outlook Negative
--------------------------------------------------
S&P Global Ratings lowered its long- and short-term issuer credit
ratings on France-based hotel group Accor S.A. to 'BB+/B' from
'BBB-/A-3'. At the same time, S&P lowered its issue ratings on
Accor's unsecured debt to 'BB+' from 'BBB-' and on its hybrid
instrument to 'B+' from 'BB'. S&P also removed all the ratings from
CreditWatch negative, where it placed them on June 1, 2020.

S&P said, "We anticipate that the COVID-19 pandemic will have a
significant impact on the hotel and lodging sector in 2020, with a
gradual recovery in 2021 not exempt from the risk of further spikes
in infections.

"We expect that demand for hotel rooms could fall by about 50%-60%
in 2020. Europe has been affected more than other regions in the
first half of 2020 due to stricter lockdown measures, with
international travel only resuming gradually in the late summer
months. We also believe that the trajectory of the recovery in the
hotel and lodging industry in 2021 looks very slow, fragile, and
gradual, and we cannot completely rule out the risk of further
spikes in infections or of regional lockdowns.

"This is compounded by the impact of the pandemic on the economy,
which we expect to sap demand in the leisure sector. For hotels to
operate at breakeven from a cash perspective, we believe that the
minimum occupancy needed is on average at least 40%. This compares
with our expectation that demand for hotel rooms in Accor's
operating countries could drop by about 50% in 2020, followed by a
decline of 30% in 2021, compared to 2019 levels. Furthermore, we do
not expect demand to rebound to pre-pandemic levels before 2023. We
expect that regional hotels that focus on the economy and midscale
segments will likely rebound faster than hotels in urban areas and
the luxury and upscale segments.

"We expect that the pandemic will affect Accor's earnings, cash
flow, and credit metrics materially.  Accor benefits from
diversification by geography, segment, and customer, and has made
significant progress toward an asset-light model over the past few
years. This has reduced its capital intensity and provided it with
significant cash balances. However, Accor has not completed fully
its move to a full asset-light model, as it still owns Mantra, a
hotel operator owning significant real estate. Overall, Accor has
an owned and leased portfolio of 168 hotels and 30,071 rooms as of
the end of June 2020, which is more than some of its closest peers
own. Accor also has a sizable number of employees in France, where
labor laws relating to employee layoffs are not as flexible as in
other countries. In early April 2020, Accor announced cost-saving
plans of about EUR60 million, and we believe that the company's
success in restoring its credit metrics will be a function of its
ability to trim its cost base while maintaining the operating
flexibility to capitalize on any rebound.

"For the six-month period ending June 30, 2020, Accor reported
negative EBITDA of EUR227 million, with the majority of it coming
from the hotel services segment. Based on our revised base case, we
expect that Accor's EBITDA will likely be negative in 2020 and that
its S&P Global Ratings-adjusted leverage will likely spike well
above 5.0x in 2021. This is based on our assumption of a gradual
recovery for the hotel and lodging sector in 2021 and includes
about EUR300 million of restructuring costs for 2020, 2021, and
2022.

"We expect Accor to continue with its significant cost-saving
initiatives, asset disposals, and other financial policy decisions.
  As well as the EUR60 million cost-saving initiative that Accor
announced in April 2020, the company has announced various other
initiatives that it expects to save an additional EUR200 million by
2022. These include a reduction in sales, marketing, and IT costs.
Furthermore, we expect that Accor will reduce capital expenditures
(capex) by at least EUR60 million to about EUR140 million in 2020.
With management and franchise fee deferrals likely, alongside
subdued demand for hotel rooms, we expect negative working capital
outflows in 2020. Working capital outflows should reverse in 2021
when Accor would receive the portion of fees which had been
deferred from 2020 to 2021. However, we note that Accor will incur
sizable restructuring costs in 2021, translating into a significant
cash outflow. With all the cost-saving initiatives in place, we
estimate Accor's cash burn at about EUR960 million in 2020. We also
understand that Accor will continue its asset-disposal strategy,
having launched the disposal process of its head office building in
Paris, and avoid dividend payments and share buybacks until the
trading outlook improves significantly.

"We believe that Accor is well placed to withstand the pressures
thanks to its strong cash position.  The pandemic kicked in at a
point when Accor had accumulated high amounts of cash from the
disposals of large parts of its real estate to AccorInvest. This
liquidity should provide the company with some time and space to
fix its cost structure. In particular, the company has EUR2.7
billion of cash on the balance sheet and EUR1.76 billion of unused
revolving credit facilities (RCFs) with no covenant test before
June 2021."

S&P Global Ratings acknowledges a high degree of uncertainty about
the rate of spread and peak of the coronavirus outbreak.   Some
government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. S&P said, "We believe the measures adopted
to contain COVID-19 have pushed the global economy into recession.
As the situation evolves, we will update our assumptions and
estimates accordingly."

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

-- Social; and
-- Health and safety.

The negative outlook reflects the risk that an inadequate trading
recovery in the hotel and lodging sector, slow or insufficient
mitigating measures by Accor, or execution risk around asset
disposals could result in Accor being unable to show clear
operating and financial progress in the second half of 2020 and in
2021. This could result in Accor's inability to restore its
earnings, cash flows, and credit metrics in line with a 'BB+'
rating over the next 24 months. S&P said, "Our current base case
forecasts Accor's adjusted leverage staying well above 5.0x in 2020
and 2021, before decreasing below 5.0x by 2022. We forecast
negative earnings and cash flows in 2020, modestly positive free
operating cash flow (FOCF) generation in 2021, and FOCF to debt
comfortably above 15% in 2022."

S&P said, "We could lower the ratings if Accor's earnings and cash
flows did not recover as per our base-case assumptions below. These
assumptions include a gradual recovery of sales in the hotel and
lodging sector in the second half of 2020 and in 2021, and clear
progress on cost-cutting initiatives to limit margin degradation
and cash burn. We could also lower the ratings if Accor did not
show clear progress toward adjusted debt to EBITDA below 5.0x and
material FOCF in the next 24 months. This could be the case, if,
for example, there was a structural shift in the sector due to
changing consumer behavior, and/or a second wave of pandemic, such
that the occupancy rate did not recover, undermining our assessment
of the sector or of Accor itself. This could also be the case if
Accor were slow to implement its cash-conservation and cost-cutting
initiatives compared to our base case, and/or if we foresaw a
substantial increase in bad debt.

"We could revise the outlook to stable if we were confident that
demand had normalized in line with our base case and that the
recovery were robust enough to enable Accor to partly restore its
financial strength. For an upgrade to investment grade, this would
include adjusted leverage sustainably below 3.5x, alongside strong
FOCF generation and an adequate liquidity position. We would expect
this to be underpinned by prudent capital spending and shareholder
returns."


SPIE SA: S&P Alters Outlook to Negative & Affirms BB Ratings
------------------------------------------------------------
S&P Global Ratings revised its outlook to negative from stable and
affirmed its 'BB' ratings on Spie SA and its senior debt.

The company's 2019 results were somewhat below S&P's previous
expectations.   Spie saw revenue growth of 3.9% in 2019, primarily
driven by both its French and German/Central European divisions.
The company's S&P Global Ratings-adjusted EBITDA margin decreased
by about 10 basis points (bps) due to a weaker operating
performance, particularly in the U.K. where some clients'
investment decisions were delayed due to the uncertainty regarding
Brexit. In combination with higher debt due to increased pension
obligations following revised discount rates in various countries,
Spie's S&P Global Ratings-adjusted debt to EBITDA increased to
4.8x, significantly above our expectations of about 4.0x.

S&P said, "We expect a weaker performance in 2020 due to COVID-19
containment measures and the group's relatively high operating
leverage, which should be somewhat mitigated by the critical nature
of the group's services.  In March 2020, governments around the
world enacted measures to contain the spread of COVID-19, which
severely curtailed short-term economic activity in the countries
where Spie is present. As a result, the company was unable to
operate at some client sites, particularly in France, which endured
a strict lockdown. The difficult price environment in the oil and
gas industry also impacted activity in the first half of the year.
We therefore expect a mid-single-digit decline in Spie's revenue in
2020, helped by a fair recovery in the second half of the year
given the critical nature of the services provided by the company
and the backlog accumulated during the first six months of the
year. We expect Spie's S&P Global Ratings-adjusted EBITDA will
decrease more than revenue in 2020 due to the company's largely
incompressible fixed costs base, a loss of productivity of about
10% at sites because of social distancing and sanitary measures,
and extra costs related to the purchase of protection equipment for
employees.

"We expect little headroom for underperformance under Spie's credit
metrics for full-year 2020.  As a result of our lower forecast
operating performance for Spie in 2020, we expect its S&P Global
adjusted leverage will increase to above 5.0x. From 2021, we expect
low-single-digit growth for Spie's sales given by an improved
macroeconomic environment and its exposure to clients who will
likely benefit from post-COVID-19 plans regarding an energy
transition toward green sources. Driven by strong cash flow
generation, we expect debt to EBITDA will revert toward 4.5x in
2021. We forecast Spie will resume its mergers and acquisition
bolt-on activity from 2021 to strengthen its share in highly
fragmented markets, as well as dividend distribution, somewhat
preventing faster deleveraging.

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

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

-- Health and safety

S&P said, "The negative outlook reflects our view that we could
downgrade Spie in the next 12 months given its
slower-than-anticipated debt reduction in 2019 and weaker
expectations for 2020 due to COVID-19-related containment measures,
with limited headroom for any underperformance.

"We could lower the rating if the group does not deleverage as
expected, such that debt to EBITDA remains above 4.5x or FFO to
debt below 15% on a weighted-average basis." This could happen if:

-- The company prioritizes acquisitions or shareholder returns
over deleveraging to below these levels.

-- A resurgence of COVID-19 impacts Spie's ability to deliver on
its contracts and negatively affects EBITDA generation.

-- S&P could consider revising the outlook to stable if Spie
focuses on reducing its leverage while improving its operating
performance such that, on a sustained basis, debt to EBITDA
improves well below 4.5x and FFO to debt increases to comfortably



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G E R M A N Y
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TAKKO FASHION: Moody's Hikes CFR to Caa2, Alters Outlook to Stable
------------------------------------------------------------------
Moody's Investors Service has upgraded the corporate family rating
of German apparel retailer Takko Fashion S.a r.l. to Caa2 from
Caa3, and its probability of default rating to Caa2-PD from Ca-PD.
Moody's has also upgraded to Caa2 from Caa3 the rating on the
EUR510 million guaranteed senior secured notes due in November 2023
issued by Takko Luxembourg 2 S.C.A., a wholly owned subsidiary of
Takko. The outlook has been changed to stable from negative for
both entities.

"Our decision to upgrade Takko's rating reflects the company's
decision to resume the interest payment on its notes that was
previously suspended in May 2020, which suggests that the company's
liquidity profile is better than initially anticipated, and, as
such a debt restructuring is unlikely in the next 12 months", says
Guillaume Leglise, a Moody's Assistant Vice-President and lead
analyst for Takko. "At the same, the Caa2 rating incorporates the
uncertainty over the company's sales recovery in the current
challenging environment. This could mean that in due course a
further hit to cash flows and liquidity may make the capital
structure unsustainable," adds Mr Leglise.

RATINGS RATIONALE

The upgrade of Takko's CFR to Caa2 from Caa3 reflects the company's
announcement on August 3, 2020 that it will pay the interest on its
EUR285 million fixed rates notes and EUR225 million floating rate
notes, which were both suspended on May 15, 2020. This development
is credit positive because it demonstrates that the company now has
some improved capacity to pay its debt obligations when due.

In a liquidity update provided on the August 6, 2020 to investors,
the company announced that its own liquidity projections have
improved compared to the forecasts it provided to them on June 29,
and that as such an additional financing requirement is no longer
needed. In light of this, Moody's believes that a potential debt
restructuring is unlikely in the next 12 months. While the rating
agency acknowledges that liquidity currently appears adequate,
Moody's believes there are still downside risks to the
sustainability and pace of recovery in trading, which could lead to
a more stretched liquidity profile later in the year.

The Caa2 CFR incorporates (1) the company's uncertain recovery
prospects given the impact of the coronavirus crisis on consumer
purchasing power and sentiment, (2) the company's limited online
capabilities which could translate into heightened competition and
hence slower sales recovery in the current context of social
distancing measures in Europe, and (3) the company's historically
volatile sales performance which is seasonal and vulnerable to
weather conditions.

Takko is owned by Apax Partners which, as is often the case in
highly levered, private-equity sponsored deals, can have high
tolerance for leverage and governance can be comparatively less
transparent. The company's lack of transparency was evident in the
decision to suspend its bond interest payment in May 2020, and to
appoint financial advisors to support the company in its
negotiations with lenders for a potential debt restructuring.
Moody's also regards the coronavirus outbreak as a social risk
under its ESG framework, given the substantial implications for
public health and safety.

STRUCTURAL CONSIDERATIONS

The Caa2 rating on the senior secured notes is in line with the CFR
and reflects Moody's view on the uncertainty of the company's sales
and cash flow recovery prospects and ultimately on the
sustainability of the capital structure.

Takko's EUR510 million senior secured notes rank behind the EUR71.4
million super senior revolving credit facility. Moody's also
considers that trade payables would rank alongside the RCF, given
the support available to qualifying trade payables via the EUR185
million Letter of Credit facility.

Takko's RCF contains a single minimum EBITDA covenant set at EUR110
million, while the company's EBITDA (as adjusted by the company)
was EUR94 million in the 12 months ended April 30, 2020. The
company has obtained a temporary waiver for this covenant and
Moody's believes that Takko will likely secure a reset of this
covenant later this year, without which a further breach would be
likely in the rating agency's view.

Under the terms of the intercreditor agreement, the RCF and LC
facility rank ahead of the senior secured notes in an enforcement
payment waterfall, despite sharing the same guarantors and
first-priority security package.

RATIONALE FOR STABLE OUTLOOK

The stable outlook reflects Moody's view that Takko's operating
results will gradually recover over the next 12-18 months, which
should support a gradual improvement in the company's credit
metrics and allow the company to maintain an adequate liquidity
profile.

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

Upward pressure could arise over time if Takko's operating
performance improves and it appears evident that consumer sentiment
and social distancing measures have not materially affected demand
for Takko's products. An upgrade would also require an improvement
in the liquidity profile of the company together with a debt/EBITDA
ratio (as adjusted by Moody's) sustainably below 5.5x.

Conversely, Moody's would consider a downgrade of the current
ratings in case Takko's liquidity deteriorates or if there is
evidence that a debt restructuring, or a distressed exchange is
considered.

PRINCIPAL METHODOLOGY

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

COMPANY PROFILE

Founded in 1982, Takko Fashion S.a r.l. is a German discount
fashion retailer, offering a range of own-label apparel products
and accessories for women, men and children. Takko operates a
portfolio of 1,955 retail stores, principally in out-of-town
locations. For the 12 months ended April 30, 2020, Takko reported
net sales of around EUR1.0 billion and company-adjusted EBITDA of
EUR94 million. The company is mostly present in Germany (around 62%
of sales) and also has a presence in 16 other European countries,
including Austria, the Netherlands, the Czech Republic, Hungary,
Romania, Poland, Slovakia and Italy.

TELE COLUMBUS: S&P Affirms B- Rating, Off CreditWatch Negative
--------------------------------------------------------------
S&P Global Ratings took its rating on Tele Columbus AG (TC) off
CreditWatch with negative implications and affirmed it at 'B-'.

The binding agreement TC entered into with its banks on Aug. 7,
2020, for EUR50 million new facilities to replace its maturing
revolving credit facility (RCF), will strengthen its liquidity.

S&P said, "We forecast TC's liquidity sources will exceed uses by
about 1.3x because of the new facility, compared with about 1x in
our previous base case. In our view, this makes TC less susceptible
to adverse events and operational setbacks and ensures that it will
have sufficient flexibility to continue its network upgrade and
expand the number of internet users it serves."

TC is now on track to meet its full-year targets, as lower
nonrecurring costs and capex enable its operational performance to
recover.

TC's reported EBITDA increased by about 17% in the first quarter of
2020, despite a 1.4% revenue decline, mainly because its
nonrecurring costs were lower. In 2020, S&P predicts that the fall
in nonrecurring costs, combined with a shift away from lower-margin
construction revenue, will allow TC's S&P Global Ratings-adjusted
EBITDA margin to expand by about 600 basis points. TC has
increasingly focused on making the best use of its investments in
network infrastructure, which comprised about 45% of total capex in
the first quarter of 2020. As a result, capex in the first quarter
was about 12% lower in 2020 than in the same period of 2019. S&P
thinks TC is on track to meet its full-year guidance and will be
cash flow positive (after leasing payment) in 2020. By contrast, it
saw a cash burn of about EUR84 million in 2018 and EUR27 million in
2019.

TC faces a structural decline in its TV revenue, combined with the
need to invest heavily in the infrastructure to grow the number of
internet users.

TC's TV business still contributes about 50% of its total revenue,
but this has been steadily declining since 2016. S&P said, "We
anticipate that this trend will continue in the medium term because
of growing competition from the merged Vodafone and Unitymedia, and
the popularity of over the top (OTT) video services. Therefore, we
expect TC will need to accelerate growth in the broadband segment
to offset its shrinking TV business and so secure its
profitability, reduce its leverage, and maintain a sustainable
capital structure." Expanding in the broadband segment will require
significant spending on its network upgrade, to maintain a speed
advantage over the competition; this will weigh on cash flow.

The stable outlook indicates that TC's like-for-like revenue
(excluding construction revenue) will be largely flat in 2020-2021.
However, strong EBITDA growth on the back of lower nonrecurring
costs will help TC reduce its leverage to 6.5x-6.8x from 7.2x in
2019.

S&P could lower the rating if TC experienced ongoing cash burn or
even tighter covenant headroom as a result of unexpected subscriber
losses, much higher nonrecurring costs, or aggressive capex.

In S&P's view, an upgrade is remote because of TC's highly
leveraged capital structure and subdued cash flow. However, it
could raise the rating if TC's adjusted debt to EBITDA remains
sustainably below 6.5x and FOCF to debt above 5%.




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ACCUNIA EUROPEAN III: Fitch Affirms Class F Notes Rating at B-sf
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Fitch Ratings has revised the Outlook on Accunia European CLO III
DAC's class D, E and F notes to Negative from Stable and affirmed
all tranches.

Accunia European CLO III DAC

  - Class A XS1847612204; LT AAAsf; Affirmed

  - Class B-1 XS1847612972; LT AAsf; Affirmed

  - Class B-2 XS1847613608; LT AAsf; Affirmed

  - Class C XS1847614242; LT Asf; Affirmed

  - Class D XS1847614911; LT BBBsf; Affirmed

  - Class E XS1847615132; LT BB-sf; Affirmed

  - Class F XS1847615561; LT B-sf; Affirmed

TRANSACTION SUMMARY

This 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

Coronavirus Baseline Sensitivity Analysis: The revision of the
Outlook on the class D, E and F tranches to Negative from Stable is
a result of the sensitivity analysis Fitch ran in light of the
coronavirus pandemic. Fitch has notched down the ratings for all
assets with corporate issuers with a Negative Outlook regardless of
sector. This scenario demonstrates the resilience of the ratings of
the class A, B and C notes with cushions. The class D shows a small
cushion, which may erode quickly even with modest portfolio
deterioration, while class E and F notes show sizeable shortfalls.

The Negative Outlooks reflects the risk of credit deterioration
over the longer term, due to the economic fallout from the
pandemic. The Stable Outlooks on the remaining notes reflect that
the respective tranches can withstand the coronavirus baseline
sensitivity analysis.

Portfolio Performance Deterioration: The Fitch-calculated weighted
average rating factor of the portfolio was slightly weaker at 34.62
at August 8, 2020 compared with the trustee-reported WARF of 33.62
owing to rating migration. The 'CCCsf' or below category assets,
according to Fitch's calculation, is 5.11% (excluding the unrated
assets) and 8.67% (including the unrated assets). The transaction
is above target par. All tests, including the overcollateralisation
and interest coverage tests, are passing.

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

High Recovery Expectations: 94.9% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch-calculated weighted average recovery
rate of the current portfolio is 63.75%.

Portfolio Composition: The portfolio is well-diversified across
obligors, countries and industries. Exposure to the top 10 obligors
is 17.73% and no obligor represents more than 2.3% of the portfolio
balance. As per Fitch's calculation the largest industry is
business services at 15.01% of the portfolio balance and the three
largest industries represent 33.04%, against limits of 17.50% and
40.00%, respectively.

As of the last investor report, the percentage of obligations
paying semi-annually was around 42.1%. 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 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 the 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-expected portfolio credit
quality and deal performance, leading to higher notes' CE and
excess spread available to cover for losses on the remaining
portfolio. For more information on Fitch's Stressed Portfolio and
initial model-implied rating sensitivities for the transaction, see
the new issue report.

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

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 halting recovery begins in 2Q21. The downside
sensitivity incorporates the following stresses: applying a notch
downgrade to all Fitch-derived ratings in the 'B' rating category
and applying a 0.85 recovery rate multiplier to all other assets in
the portfolio. For typical European CLOs this scenario results in a
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
upon 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.

ANCHORAGE CAPITAL 2: Fitch Affirms Class E Notes at BB-sf
---------------------------------------------------------
Fitch Ratings has revised the Outlook on Anchorage Capital Europe
CLO 2 DAC 's class D-1, D-2, E and F notes to Negative from Stable
and affirmed all ratings.

Anchorage Capital Europe CLO 2

  - Class A-1 XS1875262567; LT AAAsf; Affirmed

  - Class A-2 XS1875263458; LT AAAsf; Affirmed

  - Class B XS1875263961; LT AAsf; Affirmed

  - Class C XS1875264696; LT Asf; Affirmed

  - Class D-1 XS1875265230; LT BBBsf; Affirmed

  - Class D-2 XS1875265669; LT BBBsf; Affirmed

  - Class E XS1875266121; LT BB-sf; Affirmed

  - Class F XS1875266550; LT B-sf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis:

Fitch has revised the Outlooks on the class D-1, D-2, E and F notes
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 Stable Outlooks on the remaining
tranches reflect that they can withstand the coronavirus baseline
sensitivity analysis.

Portfolio Performance Deterioration:

Based on the trustee report dated July 10 the Fitch-weighted
average rating factor of 33.72 is in compliance with its test.
However, based on updated asset ratings as of August 8, 2020 the
Fitch-calculated WARF of the portfolio has increased to 34.36. As
per the trustee report dated July 10, 2020, the aggregate
collateral balance was slightly below par by 20bp.

In this transaction, rather than the Fitch matrix point being
selected by the manager, the fixed-rate obligation threshold, WARF
and weighted average spread covenants are set at their respective
current values. The transaction is not in compliance with its
current covenants and trading should be carried out according to
maintain and improve reinvestment criteria.

'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
38.95, after applying the coronavirus stress.

High Recovery Expectations:

Senior secured obligations make up 92.5% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The
Fitch-calculated weighted average recovery rate of the current
portfolio is 64.21%.

Portfolio Composition:

The portfolio is well-diversified across obligors, countries and
industries. Exposure to the top-10 obligors is 20.25% and no
obligor represents more than 2.81% of the portfolio balance. The
largest industry is business services at 20.06% of the portfolio
balance, followed by healthcare at 10.8% and telecommunications at
9.57%. A frequency switch event has not yet occurred.

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 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 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.

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.

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 notch
downgrade to all Fitch-derived ratings in the 'B' rating category
and applying a 0.85 recovery rate multiplier to all other assets in
the portfolio. 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.

ARBOUR CLO VIII: Fitch Gives Final BB-sf Rating to Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned Arbour CLO VIII Designated Activity
Company final ratings.

Arbour CLO VIII DAC

  - Class A; LT AAAsf New Rating   

  - Class B-1; LT AAsf New Rating   

  - Class B-2; LT AAsf New Rating   

  - Class C; LT Asf New Rating   

  - Class D; LT BBB-sf New Rating   

  - Class E; LT BB-sf New Rating   

  - Class M; LT NRsf New Rating   

  - Subordinate Notes; LT NRsf New Rating   

  - Class X; LT AAAsf New Rating   

TRANSACTION SUMMARY

Arbour CLO VIII DAC is a securitisation of mainly senior secured
obligations (at least 92.5%) with a component of senior unsecured,
mezzanine, second-lien loans, first-lien last-out loans and
high-yield bonds. Note proceeds will be used to fund a portfolio
with a target par of EUR300 million. The portfolio will be actively
managed by Oaktree Capital Management (Europe) LLP. The CLO has a
three-year reinvestment period and a seven-year weighted average
life.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors to be in the 'B'/'B-' rating category.
The Fitch weighted average rating factor of the identified
portfolio is 33.28.

High Recovery Expectations: At least 92.5% of the portfolio will
comprise senior secured obligations. Fitch views the recovery
prospects for these assets as more favourable than for second-lien,
unsecured and mezzanine assets. The Fitch weighted average recovery
rate of the identified portfolio is 64.55%.

Diversified Asset Portfolio: The transaction includes Fitch test
matrices corresponding to different top-10 obligors and fixed-rate
asset limits. The transaction also includes limits on maximum
industry exposure based on Fitch's industry definitions. The
maximum exposure to the three largest (Fitch-defined) industries in
the portfolio is covenanted at 40%. These covenants ensure that the
asset portfolio will not be exposed to excessive concentration.

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

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

The transaction was also modelled using the current portfolio and
the current portfolio with a coronavirus sensitivity analysis
applied. Fitch's 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 its criteria.

RATING SENSITIVITIES

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

  - A 25% reduction of the mean default rate across all ratings,
and a 25% increase of the recovery rate at all rating levels, would
lead to an upgrade of one to five notches for the rated notes,
except for the class X and A notes as their ratings are at the
highest level on Fitch's scale and cannot be upgraded.

  - The transaction features a reinvestment period and the
portfolio is actively managed. At closing, Fitch uses a
standardised stress portfolio (Fitch's Stress Portfolio) that is
customised to the specific portfolio limits for the transaction as
specified in the transaction documents. Even if the actual
portfolio shows lower defaults and smaller losses at all rating
levels than Fitch's Stress 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 by natural
credit migration, but also through reinvestments.

  - After the end of the reinvestment period, upgrades may occur if
there is better-than-Fitch-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:

  - A 25% increase of the mean default rate across all ratings, and
a 25% decrease of the recovery rate at all rating levels, would
lead to a downgrade of three to five notches for the rated notes,
except for Class X notes whose ratings are unchanged.

  - Downgrades may occur if the build-up of credit enhancement
following amortisation does not compensate for larger loss
expectation than initially assumed by Fitch due to an unexpectedly
high level of default and portfolio deterioration. As the
disruptions to supply and demand due to the coronavirus pandemic
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
envisage the coronavirus baseline scenario. Fitch notched down the
ratings for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario shows resilience of the notes'
ratings, with cushions across all default timing scenarios.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ARBOUR CLO VIII: S&P Assigns BB- (sf) Rating to Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Arbour CLO VIII
DAC's class X, A, B-1, B-2, C, D, and E notes. At closing, the
issuer also issued unrated subordinated notes.

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

The portfolio's reinvestment period will end approximately three
years after closing.

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

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

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

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

  Portfolio Benchmarks
                                                Current
  S&P weighted-average rating factor      2,805.26
  Default rate dispersion                        649.76
  Weighted-average life (years)                    5.46
  Obligor diversity measure                      122.66
  Industry diversity measure                      18.83
  Regional diversity measure                       1.25

  Transaction Key Metrics
                                                Current
  Total par amount (mil. EUR)                       300
  Defaulted assets (mil. EUR)                         0
  Number of performing obligors                     155
  Portfolio weighted-average rating  
   derived from our CDO evaluator                   'B'
  'CCC' category rated assets (%)                  5.66
  Covenanted 'AAA' weighted-average recovery (%)  34.78
  Covenanted weighted-average spread (%)           3.70
  Covenanted weighted-average coupon (%)           4.00

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

S&P said, "In our cash flow analysis, we used the EUR300 million
par amount, the covenanted weighted-average spread of 3.70%, the
covenanted weighted-average coupon of 4.00%, and the covenanted
weighted-average recovery rates for all rating levels. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

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

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

"Following our review of the issuer, we concluded that the issuer
is bankruptcy remote, in line with our legal criteria.

"Our cash flow analysis considered scenarios where the underlying
pool comprises 100% of floating-rate assets (i.e., the fixed-rate
bucket is 0%) and where the fixed-rate bucket is fully utilized (in
this case 15.00%). In both scenarios, the class X to E notes
achieve break-even default rates that exceed their respective
scenario default rates, so all classes of notes have positive
cushions.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1 to E notes could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is in its reinvestment phase, during
which the transaction's credit risk profile could deteriorate, we
have capped our assigned ratings on the notes. In our view, the
portfolio is granular in nature, and well-diversified across
obligors, industries, and asset characteristics when compared with
other CLO transactions we have rated recently. As such, we have not
applied any additional scenario and sensitivity analysis when
assigning ratings on any classes of notes in this transaction.

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

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

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

  Ratings List
  Class   Rating    Amount      Credit      Stated interest rate*
                  (mil. EUR) enhancement(%)
  X       AAA (sf)     2.00       NA        Three-month EURIBOR  
                                             plus 0.70%
  A       AAA (sf)   174.70    41.77        Three-month EURIBOR
                                             plus 1.45%
  B-1     AA (sf)     20.00    31.50        2.55%
  B-2     AA (sf)     10.80    31.50        Three-month EURIBOR
                                             plus 2.10%
  C       A (sf)      21.50    24.33        Three-month EURIBOR
                                             plus 2.90%
  D       BBB (sf)    17.80    18.40        Three-month EURIBOR
                                             plus 4.00%
  E       BB- (sf)    15.30    13.30        Three-month EURIBOR
                                             plus 6.13%
  M       NR           0.25    Variable     N/A
  Sub     NR          33.70    Excess       N/A

  *Applicable at all times and following the occurrence of a
frequency switch event it will switch to, six-month EURIBOR plus
the stated margin.
  EURIBOR--Euro Interbank Offered Rate.
  NR--Not rated.
  N/A--Not applicable.


BARDIN HILL 2019-1: Fitch Affirms Class F Notes Rating at B-sf
--------------------------------------------------------------
Fitch Ratings has affirmed Bardin Hill Loan Advisors European
Funding 2019-1 DAC and revised the Outlook on the class D notes to
Negative from Stable and removed the class E and F notes from
Rating Watch Negative.

Bardin Hill Loan Advisors European Funding 2019-1 DAC

  - Class A XS1975727014; LT AAAsf; Affirmed

  - Class B-1 XS1975727444; LT AAsf; Affirmed

  - Class B-2 XS1975727790; LT AAsf; Affirmed

  - Class C-1 XS1975727956; LT Asf; Affirmed

  - Class C-2 XS1980183419; LT Asf; Affirmed

  - Class D XS1975728251; LT BBB-sf; Affirmed

  - Class E XS1975728848; LT BB-sf; Affirmed

  - Class F XS1975730406; LT B-sf; Affirmed

  - Class X XS1975726800; LT AAAsf; Affirmed

TRANSACTION SUMMARY

Bardin Hill Loan Advisors European Funding 2019-1 DAC is a cash
flow collateralised loan obligation of mostly European leveraged
loans and bonds. The transaction is in the reinvestment period and
the portfolio is actively managed by Bardin Hill Loan Advisors (UK)
LLP.

KEY RATING DRIVERS

Portfolio Performance: As per the trustee report dated July 8,
2020, the aggregate collateral balance is below par by 38bp and
there is one defaulted asset in the portfolio, accounting for 0.29%
of the aggregate collateral balance. The trustee-reported Fitch
weighted average rating factor of 35.6 is in breach of its test.
Assets with a Fitch derived rating of 'CCC' category or below
represent 10.5% (including three unrated assets representing
approximately 1.5% of the portfolio) exceeding the 7.5% limit.
Assets with a FDR on Negative Outlook represent 37.7% of the
portfolio balance.

Coronavirus Baseline Scenario Impact: Fitch carried out a
sensitivity analysis on the target portfolio to determine the
coronavirus baseline scenario. The agency notched down the ratings
for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario demonstrates the resilience of
the ratings of the class X, A, B-1, B-2, C-1 and C-2 notes with
cushions. While the class D, E and F notes still show sizeable
shortfalls, Fitch believes 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, Fitch has removed the class E and F notes from RWN,
affirmed them, and assigned Negative Outlooks, while the Outlook on
the class D has been revised to Negative from Stable. The Negative
Outlooks on all three classes reflects 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 to be in the 'B'/'B-' category.
The Fitch WARF of the current portfolio is 35.71, as per Fitch's
calculation on August 8, 2020.

Asset Security: High Recovery Expectations: Over 99% of the
portfolio comprises senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate of the current portfolio is 65.14%, as per
Fitch's calculation on August 8, 2020.

Portfolio Composition: The portfolio is reasonably diversified
across obligors, countries and industries. The exposure to the top
10 obligors and the largest obligor is 14.6% and 1.7%,
respectively. The top three industry exposure is at about 30.8%. As
of July 8, 2020, no frequency switch event had occurred.

Deviation from Model-Implied Rating: The model-implied rating for
the class E and F notes is one notch below their respective current
ratings. Fitch has deviated from the model-implied ratings on the
class E notes as they were driven by the back-loaded default timing
scenario only. The model-implied rating for the class F notes is
'CCCsf' and is also driven by the back-loaded default timing
scenario only. However, Fitch has deviated from the model-implied
rating in this case as well, after taking into account the rating
definitions, as 'B-sf' indicates a material risk of default is
present but with a limited margin of safety while a 'CCCsf' rating
indicates that default is a real possibility. These ratings are in
line with the majority of Fitch-rated EMEA CLOs.

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

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed Portfolio) 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 on
better-than-expected portfolio credit quality and transaction
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 the notes' credit
enhancement following amortisation does not compensate for a higher
loss expectation than initially assumed due to unexpected high
levels of defaults and portfolio deterioration. As the disruptions
to supply and demand due to the COVID-19 disruption become apparent
for other sectors, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the view of Fitch's Leveraged Finance team.

Coronavirus 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 notch downgrade to all Fitch-derived ratings in the 'B'
rating category and applying a 0.85 recovery rate multiplier to all
other assets in the portfolio. For typical European CLOs this
scenario results in a rating category change for all ratings For
more information on Fitch's stressed portfolio and initial
model-implied rating sensitivities for the transaction, see the new
issue report.

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.

BLACK DIAMOND 2017-2: S&P Lowers Rating on Class F Notes to B-
--------------------------------------------------------------
S&P Global Ratings lowered and removed from CreditWatch negative
its credit rating on Black Diamond CLO 2017-2 DAC's class F notes.
At the same time, S&P has affirmed its ratings on all other classes
of notes.

S&P said, "On June 9, 2020, we placed on CreditWatch negative our
rating on the class F notes following a number of negative rating
actions on corporates with loans held in Black Diamond 2017-2
driven by coronavirus-related concerns and the current economic
dislocation.

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

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

  Table 1

  Credit Analysis Results

  Class   Current amount   Credit enhancement  Credit enhancement
            (mil. EUR)     as of August 2020      at previous
                            (based on July         review (%)
                           trustee report; %)
  A-1       EUR142.00            40.94                42.00
  A-2          $55.80            40.94                42.00
  A-3        EUR30.00            40.94                42.00
  A-4          $15.00            40.94                42.00
  B          EUR56.00            26.68                28.00
  C          EUR30.90            18.81                20.28
  D          EUR23.00            12.96                14.53
  E          EUR18.00             8.38                10.03
  F          EUR12.10             5.30                 7.00
  M-1 - Sub notes   EUR21.50       N/A                  N/A
  M-2 - Sub notes     $23.60       N/A                  N/A

  *In S&P's analysis, it has assumed a U.S. dollar to euro rate of
1.18 at closing.
  N/A--Not applicable.

S&P said, "Since our previous review, the portfolio's credit
quality has deteriorated due to the increase in 'CCC' rated assets
to about EUR28 million from EUR0. Additionally, we placed on
CreditWatch negative our ratings on more than 7% of the pool, up
from 0% previously, and assets with negative outlooks also
increased, reaching more than 40%."

  Table 2

  Transaction Key Metrics

                              As of August 2020      At S&P's
                 (based on July trustee report)  previous review
  SPWARF                           3,009.54         2,488.91
  Default rate dispersion (%)        628.32           580.11
  Weighted-average life (years)        4.68             6.11
  Obligor diversity measure          132.13           126.51
  Industry diversity measure          19.88            29.13
  Regional diversity measure           1.72             1.74
  Total collateral amount
    incl. cash (mil. EUR)            392.81           400.00
  Defaulted assets (mil. EUR)         10.40                0
  Number of performing obligors         170              158
  'AAA' WARR (%)                      38.07            36.00

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

S&P said, "Following the application of our criteria, the class
A-1, A-2, A-3, A-4, D, and E notes are still able withstand the
stresses we apply at the currently assigned ratings, based on their
available credit enhancement levels. We have therefore affirmed our
ratings on these classes of notes.

"For class B and C notes, our credit and cash flow analysis
indicates that the available credit enhancement could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes. We
have therefore affirmed our ratings on these classes of notes."

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

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

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

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 27.77% (for a portfolio with a WAL of 4.67 years)
versus 14.48% if it was to consider a long-term sustainable default
rate of 3.1% for 4.67 years.

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

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

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

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

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

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

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

"In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile may affect a portfolio's credit quality in the near
term. This is consistent with paragraph 15 of our criteria for
analyzing CLOs. To do this, we typically review the likelihood of
near-term changes to the portfolio's credit profile by evaluating
the transaction's specific risk factors. For this transaction, we
took into account 'CCC' and 'B-' rated assets and assets with
ratings on CreditWatch negative."

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

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


BLACK DIAMOND 2019-1: S&P Cuts Rating on Cl. E Notes to B+ (sf)
---------------------------------------------------------------
S&P Global Ratings lowered and removed from CreditWatch negative
its credit ratings on Black Diamond CLO 2019-1 DAC's class D and E
notes. At the same time, S&P has affirmed its ratings on all other
classes of notes.

S&P said, "On June 9, 2020, we placed on CreditWatch negative our
ratings on the class D and E notes following a number of negative
rating actions on corporates with loans held in Black Diamond
2019-1 driven by coronavirus-related concerns and the current
economic dislocation.

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

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

  Table 1

  Credit Analysis Results

  Class   Current amount   Credit enhancement  Credit enhancement
            (mil.)          as of August 2020      at previous
                            (based on July         review (%)
                           trustee report; %)
  X        EUR3.00              N/A N/A
  A-1      EUR187.00            39.69   40.00
  A-2      $34.36               39.69   40.00
  A-3      $25.00               39.69   40.00
  B-1      EUR27.00             26.63   27.00
  B-2      EUR25.00             26.63   27.00
  C        EUR22.00             21.10   21.50
  D        EUR25.00             14.81   15.25
  E        EUR22.00              9.29    9.75
  F        EUR11.00              6.52    7.00
  M1 - Sub notes  EUR24.50       N/A    N/A
  M2 – Sub notes  $8.512         N/A    N/A

  *In S&P's analysis, it has assumed a U.S. dollar to euro rate of
1.12 at closing.
  N/A--Not applicable.

S&P said, "Since our previous review, our scenario default rates
(SDRs) were negatively affected due to the increase in 'CCC' rated
assets to about EUR28.6 million from EUR4.9 million. Additionally,
we placed on CreditWatch negative our ratings on more than 4.7% of
the pool, up from 0% previously, and assets with negative outlooks
also increased, reaching almost 40%."

  Table 2

  Transaction Key Metrics

                              As of August 2020      At S&P's
              (based on August trustee report)  previous review
  SPWARF                            2,989.93       2,593.46
  Default rate dispersion (%)         610.54         543.10
  Weighted-average life (years)         4.85           5.64
  Obligor diversity measure           139.48         146.50
  Industry diversity measure           21.16          20.26
  Regional diversity measure            1.73           1.60
  Total collateral amount
   incl. cash (mil. EUR)              397.96         400.00
  Defaulted assets (mil. EUR)          0.881              0
  Number of performing obligors          169            167
  'AAA' WARR (%)                       37.41          42.00

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

S&P said, "Following the application of our criteria, the class X,
A-1, A-2, A-3, B-1, and B-2 notes are still able withstand the
stresses we apply at the currently assigned ratings, based on their
available credit enhancement levels. We have therefore affirmed our
ratings on these classes of notes.

"For the class C notes, our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses
commensurate with a higher rating than currently assigned. However,
as the CLO is still in its reinvestment phase, during which the
transaction's credit risk profile could deteriorate, we have capped
our assigned rating on the note. We have therefore affirmed our 'A
(sf)' rating on this class of notes.

"On a standalone basis, the results of the cash flow analysis
indicated lower ratings than those currently assigned for the class
D and E notes. The collateral portfolio's credit quality has
deteriorated since our previous review, specifically in terms of
'CCC' rated asset exposures and the proportion of assets on
CreditWatch negative. As a result, there was a significant increase
in the SDRs, which represent the level of defaults that is likely
to affect the portfolio in a given rating stress scenario. Coupled
with a decline in recoveries of about 5% across all rating levels
and the transaction's shorter weighted-average life, these factors
have resulted in lower break-even default rates (BDRs), which
represent the gross levels of defaults that the transaction may
withstand at each rating level. The fall in BDRs under our analysis
indicates that the next passing level for the class D notes is one
notch lower from its current rating level, at 'BBB- (sf)', and the
next passing level for the class E notes is two notches lower from
its current rating level, at 'B+ (sf)'. We have therefore lowered
to 'BBB- (sf)' from 'BBB (sf)' and removed from CreditWatch
negative our rating on the class D notes, and to 'B+ (sf)' from 'BB
(sf)' and removed from CreditWatch negative our rating on the class
E notes.

"The class F notes' current BDR cushion is -6.03%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including our long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with our criteria." S&P's
analysis further reflects several factors, including:

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

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 28.27% (for a portfolio with a WAL of 4.85 years)
versus 15.04% if it was to consider a long-term sustainable default
rate of 3.1% for 4.85 years.

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

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

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

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

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

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

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

"In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile may affect a portfolio's credit quality in the near
term. This is consistent with paragraph 15 of our criteria for
analyzing CLOs. To do this, we typically review the likelihood of
near-term changes to the portfolio's credit profile by evaluating
the transaction's specific risk factors. For this transaction, we
took into account 'CCC' and 'B-' rated assets and assets with
ratings on CreditWatch negative."

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

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




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

On June 9, 2020, S&P placed on CreditWatch negative its rating on
the class E notes following a number of negative rating actions on
corporates with loans held in Cairn CLO VIII driven by
coronavirus-related concerns and the current economic dislocation.

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

Since S&P's previous full review of the transaction, our estimate
of the total collateral balance (performing assets, principal cash,
and expected recovery on defaulted assets) held by the CLO has not
changed. As a result, available credit enhancement has remained the
same.

  Table 1

  Credit Analysis Results

  Class   Current amount   Credit enhancement  Credit enhancement
            (mil. EUR)     as of August 2020      at previous
                            (based on July         review (%)
                           trustee report; %)
  A         214.40              38.75              38.74
  B-1        27.30              28.10              28.09
  B-2        10.00              28.10              28.09
  C          23.90              21.27              20.26
  D          18.50              15.98              15.97
  E          22.30               9.61               9.60
  F           9.30               6.96               6.94
  Sub        35.50               N/A                 N/A

  N/A--Not applicable.

S&P said, "In our view, the credit quality of the portfolio has
deteriorated since our previous review, for example, due to the
increase in 'CCC' rated assets to about EUR21 million.
Additionally, we placed on CreditWatch negative our ratings on more
than 8% of the pool, up from 0% previously, and assets with
negative outlooks also increased, reaching almost 43%."

  Table 2

  Transaction Key Metrics

                              As of August 2020      At S&P's
                 (based on July trustee report)  previous review
  SPWARF                          2,977.77            N/A
  Default rate dispersion (%)       648.25            N/A
  Weighted-average life (years)       4.78           6.31
  Obligor diversity measure          92.66          81.32
  Industry diversity measure         19.16          20.58
  Regional diversity measure          1.35           1.57
  Total collateral amount
    excluding cash (mil. EUR)       350.05         350.00
  Defaulted assets (mil. EUR)            0              0
  Number of performing obligors        121             92
  'AAA' WARR (%)                     36.20          35.85

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

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

"On a standalone basis, the results of the cash flow analysis
indicated a lower rating than that currently assigned for the class
E notes. The collateral portfolio's credit quality has deteriorated
since our previous review, specifically in terms of 'CCC' rated
asset exposures and the proportion of assets on CreditWatch
negative. The negative effect has been mitigated by the reduction
in the weighted-average life (WAL) to 4.8 years from 6.3 years. In
our view, this has led to a reduction in the level of excess spread
benefit available to the junior classes of notes in our cash flow
analysis and hence lower break-even default rates (BDRs) for the
class E notes. The fall in BDRs, which represent the gross levels
of defaults that the transaction may withstand at each rating
level, indicates that the next passing level for the class E notes
is one notch lower than its current rating level, at 'BB- (sf)'. We
have therefore lowered to 'BB- (sf)' from 'BB (sf)' our rating on
the class E notes.

"The class F notes' current BDR cushion is -1.37%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including our long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with our criteria". S&P's
analysis further reflects several factors, including:

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

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 27.95% (for a portfolio with a WAL of 4.78 years)
versus 14.8% if it was to consider a long-term sustainable default
rate of 3.1% for 4.78 years.

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

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

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

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

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

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

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

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

S&P said, "In light of the rapidly shifting credit dynamics within
CLO portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
(rated 'BB+' and lower) corporate loan issuers, we may make
qualitative adjustments to our analysis when rating CLO tranches to
reflect the likelihood that changes to the underlying assets'
credit profile may affect a portfolio's credit quality in the near
term. This is consistent with paragraph 15 of our criteria for
analyzing CLOs. To do this, we typically review the likelihood of
near-term changes to the portfolio's credit profile by evaluating
the transaction's specific risk factors. For this transaction, we
took into account 'CCC' and 'B-' rated assets and assets with
ratings on CreditWatch negative.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for all classes
of notes. We have therefore affirmed our 'AA (sf)' ratings on the
class B-1 and B-2, our 'A (sf)' rating on the class C, and our 'BBB
(sf)' rating on the class D notes."

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

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




CONTEGO CLO VI: Fitch Keeps B-sf Class F Notes Rating on Watch Neg.
-------------------------------------------------------------------
Fitch Ratings has affirmed all tranches of Contego CLO VI DAC,
except for the class E and F notes which remain on Rating Watch
Negative.

Contego CLO VI DAC

  - Class A-1 XS1899034216; LT AAAsf; Affirmed

  - Class A-2 XS1897118086; LT AAAsf; Affirmed

  - Class B-1 XS1897118755; LT AAsf; Affirmed

  - Class B-2 XS1897119308; LT AAsf; Affirmed

  - Class C XS1897119720; LT Asf; Affirmed

  - Class D XS1897120223; LT BBB-sf; Affirmed

  - Class E XS1897120496; LT BBsf; Rating Watch Maintained

  - Class F XS1897120900; LT B-sf; Rating Watch Maintained

  - Class X XS1897117518; LT AAAsf; Affirmed

TRANSACTION SUMMARY

Contego CLO VI 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

Portfolio Performance Largely Stable

The transaction performance has remained largely stable with a
minor shortfall of 53bp in the aggregate collateral balance as of
the July 3 investor report. As of the same investor report, no
assets were in default, and all portfolio profile tests, coverage
tests and collateral quality tests were passing, except the Moody's
weighted average rating factor test. Exposure to assets with a
Fitch-derived rating of 'CCC+' and below is 6.66%, excluding
un-rated assets, and 7.59%, including un-rated assets.

Coronavirus Baseline Sensitivity Analysis

Fitch is maintaining the Negative Outlook on the class D notes and
the RWN on the class E and F notes as a result of the sensitivity
analysis Fitch ran in light of the coronavirus pandemic. For the
sensitivity analysis, the agency notched down the ratings of all
assets with a corporate issuer on Negative Outlook (32.3% of the
portfolio). Under this analysis, the model-implied ratings for the
affected tranches under the coronavirus sensitivity test are below
the current ratings. Fitch will resolve the RWN on the notes over
the coming months as and when it observes rating actions on the
underlying loans.

The affirmations of the remaining tranches reflect the resilience
of the respective tranches' ratings under the coronavirus baseline
sensitivity analysis. This supports the Stable Outlook on these
ratings.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors to be in
the 'B'/'B-' category. The Fitch WARF of the current portfolio is
34.75 (assuming unrated assets are 'CCC'), and the trustee-reported
Fitch WARF is 34.54, both below the maximum covenant of 35. After
applying the coronavirus stress, the Fitch WARF would increase by
3.15.

High Recovery Expectations

Ninety-seven per cent 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 obligor concentration is 15.2%, and no
obligor represents more than 2% of the portfolio balance.
Forty-three per cent of the portfolio consists of semi-annual
obligations but no frequency switch has occurred, due to the high
interest coverage ratios.

Deviation from Model-Implied Ratings

The model-implied rating for the class E notes is 'B+sf' and the
class F notes is 'CCCsf', below the current ratings of 'BBsf' and
'B-sf'. Fitch has chosen to deviate from the model-implied ratings
for both classes because the model-implied ratings are driven by
the back-loaded default timing scenario only. In addition, for the
class F notes, a 'B-sf' rating is deemed more appropriate, which,
based on its rating definitions, indicates a material risk of
default but with a limited margin of safety, whereas 'CCCsf'
indicates that default is a real possibility. Both classes have
their RWN maintained due to shortfalls at the current ratings and
in the coronavirus sensitivity scenario.

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
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 on
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 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 X, A-1, A-2, B-1,
B-2 and C notes, whereas credit enhancement for the class D, E and
F notes may be eroded quickly with deterioration of the portfolio.

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 Fitch-derived
ratings in the 'B' rating category and applying 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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

GOLDENTREE LOAN 2: Moody's Confirms EUR9.9MM Cl. F Notes at B2(sf)
------------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Goldentree Loan Management EUR CLO 2 Designated
Activity Company:

EUR28,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2032, Confirmed at Baa3 (sf); previously on Apr 20, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

EUR24,300,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2032, Confirmed at Ba2 (sf); previously on Apr 20, 2020 Ba2
(sf) Placed Under Review for Possible Downgrade

EUR9,900,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2032, Confirmed at B2 (sf); previously on Apr 20, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

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

EUR2,000,000 Class X Senior Secured Floating Rate Notes due 2032,
Affirmed Aaa (sf); previously on Dec 21, 2018 Definitive Rating
Assigned Aaa (sf)

EUR240,000,000 Class A Senior Secured Floating Rate Notes due 2032,
Affirmed Aaa (sf); previously on Dec 21, 2018 Definitive Rating
Assigned Aaa (sf)

EUR10,500,000 Class B-1-A Senior Secured Floating Rate Notes due
2032, Affirmed Aa2 (sf); previously on Dec 21, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR12,000,000 Class B-1-B Senior Secured Floating Rate Notes due
2032, Affirmed Aa2 (sf); previously on Dec 21, 2018 Assigned Aa2
(sf)

EUR15,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032,
Affirmed Aa2 (sf); previously on Dec 21, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR15,700,000 Class C-1-A Senior Secured Deferrable Floating Rate
Notes due 2032, Affirmed A2 (sf); previously on Dec 21, 2018
Definitive Rating Assigned A2 (sf)

EUR12,000,000 Class C-1-B Senior Secured Deferrable Floating Rate
Notes due 2032, Affirmed A2 (sf); previously on Dec 21, 2018
Assigned A2 (sf)

Goldentree Loan Management EUR CLO 2 Designated Activity Company,
issued in December 2018, is a collateralised loan obligation (CLO)
backed by a portfolio of mostly high-yield senior secured European
loans. The portfolio is managed by GoldenTree Loan Management, LP.
The transaction's reinvestment period will end in July 2023.

RATINGS RATIONALE

The action concludes the rating review on the Class D, E and F
notes announced on April 20, 2020.

The credit quality of the portfolio has deteriorated as reflected
in the increase in the weighted average rating factor (WARF) and an
increase in the proportion of securities from issuers with ratings
of Caa1 or lower. According to the trustee report dated July 2020
[1], the WARF was 3487, compared with 2998 in the Feb 2020 [2]
report. Securities with ratings of Caa1 or lower currently make up
approximately 7.2% of the underlying portfolio, versus 3% in Feb
2020.

The over-collateralisation ratios of the rated notes have
deteriorated since February 2020. According to the trustee report
dated July 2020 [3], the Class A/B, Class C, Class D and Class E OC
ratios are reported at 140.19%, 127.46%, 116.75% and 108.82%
compared to February 2020 [4] levels of 144.08%, 131.00%, 119.99%
and 111.84%, respectively. Moody's notes none of the OC tests are
in breach and the transaction remains in compliance with the
following collateral quality tests: Diversity Score, Weighted
Average Recovery Rate (WARR), Weighted Average Spread (WAS) and
Weighted Average Life (WAL).

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the notes continue to be consistent with the current ratings after
taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation levels.
Consequently, Moody's has confirmed the ratings on the Classes D, E
and F notes and affirmed the ratings on the Classes X, A, B-1-A,
B-1-B, B-2, C-1-A, and C-1-B notes.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 390.0 million,
defaults of EUR 8.0 million, a weighted average default probability
of 29.1% (consistent with a WARF of 3484 over a weighted average
life of 5.98 years), a weighted average recovery rate upon default
of 45.72% for a Aaa liability target rating, a diversity score of
47 and a weighted average spread of 3.61%.

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

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

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

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

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, in light of uncertainty about credit conditions in the
general economy. CLO notes' performance may also be impacted either
positively or negatively by: (1) the manager's investment strategy
and behaviour; and (2) divergence in the legal interpretation of
CDO documentation by different transactional parties because of
embedded ambiguities.

Additional uncertainty about performance is due to the following:

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

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

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

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

HARVEST CLO XVI: Fitch Affirms Class F-R Notes at B-sf
------------------------------------------------------
Fitch Ratings has revised the Outlook on Harvest CLO XVI DAC class
D-R notes to Negative from Stable and affirmed all ratings. Two
tranches have been removed from Rating Watch Negative.

Harvest CLO XVI DAC

  - Class A-R XS1890814137; LT AAAsf; Affirmed

  - Class B-1-R XS1890814640; LT AAsf; Affirmed

  - Class B-2-R XS1890815373; LT AAsf; Affirmed

  - Class C-R XS1890815704; LT Asf; Affirmed

  - Class D-R XS1890816934; LT BBB-sf; Affirmed

  - Class E-R XS1890819011; LT BB-sf; Affirmed

  - Class F-R XS1890817585; LT B-sf; Affirmed

  - Class X XS1890813758; LT AAAsf; Affirmed

TRANSACTION SUMMARY

Harvest CLO XVI DAC is a cash flow collateralised loan obligation
of mostly European leveraged loans and bonds. The transaction is in
its reinvestment period and the portfolio is actively managed by
Investcorp Credit Management EU Limited.

KEY RATING DRIVERS

Weakening Portfolio Performance

As per the trustee report dated July 6, 2020, the aggregate
collateral balance was below par by 79bp. The trustee-reported
Fitch weighted average rating factor of 34.8 was in breach of its
test. Assets with a Fitch-derived rating of 'CCC' category or below
represented 9.35% (including six unrated assets representing
approximately 1.5% of the portfolio) of the portfolio, exceeding
the 7.5% limit. Assets with a FDR on Outlook Negative represented
35.9% of the portfolio balance.

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 demonstrates the resilience of
the ratings of the class X, A-R, B-1-R, B-2-R and C-R notes with
cushions. While the class D-R, E-R and F-R notes still show
sizeable shortfalls, the agency views that the portfolio's negative
rating migration is likely to slow and category-level downgrades on
these tranches are less likely in the short term.

As a result, the class E-R and F-R notes have been removed from
RWN, affirmed at their current ratings and assigned a Negative
Outlook. while the Outlook on the class D-R has been revised to
Negative. The Negative Outlook on all three classes reflects the
risk of credit deterioration over the longer-term, due to the
economic fallout from the pandemic.

'B'/'B-' Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors in the 'B'/'B-' category. The Fitch WARF
of the current portfolio was 35.53, as per Fitch's calculation, on
August 8, 2020.

High Recovery Expectations

Approximately 98% of the portfolios comprise senior secured
obligations. Fitch views the recovery prospects for these assets as
more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch weighted average recovery rate of the current
portfolio was 64.67%, as per Fitch's calculation, on August 8,
2020.

Diversified Portfolio

The portfolio is reasonably diversified across obligors, countries
and industries. Exposure to the top-10 obligors and the largest
obligor is 14.5% and 1.7%, respectively. The top-three industry
exposures accounted for about 39%. As of July 6, 2020, no frequency
switch event occurred.

Deviation from Model-Implied Ratings

The model-implied rating for the class F-R notes is 'CCCsf' and is
driven by the back-loaded default timing scenario only. However,
Fitch decided to deviate from the model-implied rating, after
taking into account the rating definitions, as 'B-sf' indicates a
material risk of default but with a limited margin of safety while
a 'CCCsf' rating indicates that default is a real possibility. This
rating is in line with the majority of Fitch-rated EMEA CLOs.

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.

Upgrades may occur after the end of the reinvestment period on
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 unexpected high level 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.

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 Fitch-derived
ratings in the 'B' rating category and applying 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 the
agency 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 XXI: Fitch Affirms Class F Debt at B-sf
---------------------------------------------------
Fitch Ratings has affirmed Harvest CLO XXI DAC and removed two
tranches from Rating Watch Negative. Fitch has also maintained two
tranches of Harvest CLO XX DAC on RWN and affirmed the other
tranches.

Harvest CLO XXI DAC

  - Class A-1 XS1951928552; LT AAAsf; Affirmed

  - Class A-2 XS1951928800; LT AAAsf; Affirmed

  - Class B XS1951929105; LT AAsf; Affirmed

  - Class B2 XS1951929444; LT AAsf; Affirmed

  - Class C XS1951929873; LT Asf; Affirmed

  - Class D XS1951930293; LT BBB-sf; Affirmed

  - Class E XS1951930533; LT BB-sf; Affirmed

  - Class F XS1951930616; LT B-sf; Affirmed

  - Class X XS1951928479; LT AAAsf; Affirmed

Harvest CLO XX DAC

  - Class A XS1843454809; LT AAAsf; Affirmed

  - Class B-1 XS1843454122; LT AAsf; Affirmed

  - Class B-2 XS1843453405; LT AAsf; Affirmed

  - Class C XS1843452852; LT Asf; Affirmed

  - Class D XS1843452183; LT BBBsf; Affirmed

  - Class E XS1843451532; LT BBsf; Rating Watch Maintained

  - Class F XS1843451375; LT B-sf; Rating Watch Maintained

  - Class X XS1843454981; LT AAAsf; Affirmed

TRANSACTION SUMMARY

The transactions are cash flow CLOs mostly comprising senior
secured obligations. They are still within their reinvestment
periods and are actively managed by the collateral manager.

KEY RATING DRIVERS

Portfolio Performance Stabilisation

The affirmation of all tranches in Harvest CLO XX DAC as well as
Harvest CLO XXI DAC reflects the portfolio performance
stabilisation.

Both transactions are slightly below par with no defaulted assets
in their current portfolios and do not report any collateral
quality test breaches. According to Fitch's calculation, the Fitch
weighted average rating factor of the portfolios has increased to
34.9 from a reported 34.3 at July 8, 2020 in Harvest CLO XX DAC,
and to 33.6 from a reported 33.4 at July 3, 2020 in Harvest CLO XXI
DAC.

In Harvest CLO XX DAC, assets with a Fitch-derived rating of 'CCC'
category or below, including unrated assets, are above the covenant
of 7.5% as they represent 8.4% (or 6.0% excluding unrated assets).
Assets with a FDR on Negative Outlook are at 20.0% in Harvest CLO
XX DAC and at 18.8% in Harvest CLO XXI DAC. All other tests,
including the overcollateralisation and interest coverage tests,
were reported as passing in both transactions.

The model-implied ratings would be 'B+sf' and 'CCCsf' for the class
E and F notes, respectively, in both transactions. The agency
deviated from these MIRs because in Fitch's view the credit quality
of these tranches is more in line with their current ratings at
'BBsf' (Harvest CLO XX DAC) 'BB-sf' (Harvest CLO XXI DAC) and
'B-sf', respectively, as these tranches still show a limited margin
of safety due to their current credit enhancements of 9.4% and 6.4%
in Harvest CLO XX DAC and 9.4% and 7.0% in Harvest CLO XXI DAC.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to envisage the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience with
cushions for the current ratings of the class X, A, B-1, B-2, and C
notes in Harvest CLO XX DAC and the class X, A-1, A-2, B, B2, C,
and D notes in Harvest CLO XXI DAC. This supports the affirmation
and Stable Outlook for these tranches.

The RWN on two tranches in Harvest CLO XX DAC as well as the
Negative Outlook on one tranche in Harvest CLO XX DAC and two
tranches in Harvest CLO XXI DAC reflect the shortfalls these
tranches experiences in the coronavirus sensitivity scenario. For
the class E and F notes in Harvest CLO XXI DAC, the shortfalls are
still sizable. However, the agency views 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, Fitch has removed these tranches from RWN and assigned
Negative Outlooks.

The Negative Outlook on one tranche of Harvest CLO XX DAC and two
tranches of Harvest CLO XXI DAC reflects the risk of credit
deterioration over the longer term due the economic fallout from
the pandemic.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The WARF of the current portfolio is 34.9 in Harvest CLO XX DAC and
33.6 in Harvest CLO XXI DAC.

Asset Security

High Recovery Expectations

Senior secured obligations comprise 98.9% of Harvest CLO XX DAC's
portfolio and 98.7% of Harvest CLO XXI DAC. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate of the current portfolio is 64.7 in Harvest
CLO XX DAC and 64.9 in Harvest CLO XXI DAC.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligor exposure is at 16.3% in of the
portfolio balance in Harvest CLO XX DAC and at 14.8% in Harvest CLO
XXI DAC, while no obligor represents more than 2.4% and 1.4%,
respectively. In both transactions, the largest industry exposure
is businesses and services, comprising 21.9% and 22.7%,
respectively, while the second and third largest industries are
healthcare and chemicals at 14.7% and 9.3% in Harvest CLO XX DAC
and 12.2% and 8.9% in Harvest CLO XXI DAC. While Harvest CLO XXI's
current portfolio does not contain any semi-annual obligations,
these assets comprise 51% of Harvest CLO XX DAC's portfolio
balance. Due to high interest coverage ratios in both CLOs, a
frequency switch event is currently not in effect in either
transaction.

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.

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 notch
downgrade to all FDRs in the 'B' rating category and applying a
0.85 recovery rate multiplier to all other assets in the portfolio.
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.

MAN GLG V: Fitch Affirms Class F Notes at B-sf, Off Watch Neg.
--------------------------------------------------------------
Fitch Ratings has affirmed all tranches of Man GLG Euro CLO V and
removed the class E and F notes from Rating Watch Negative.

Man GLG Euro CLO V

  - Class A-1 XS1881730045; LT AAAsf; Affirmed

  - Class A-2 XS1881730474; LT AAAsf; Affirmed

  - Class B-1 XS1881730805; LT AAsf; Affirmed

  - Class B-2 XS1881731100; LT AAsf; Affirmed

  - Class B-3 XS1885674447; LT AAsf; Affirmed

  - Class C-1 XS1881731449; LT Asf; Affirmed

  - Class C-2 XS1885674876; LT Asf; Affirmed

  - Class C-3 XS1885675170; LT Asf; Affirmed

  - Class D-1 XS1881731951; LT BBBsf; Affirmed

  - Class D-2 XS1885675410; LT BBBsf; Affirmed

  - Class E XS1881732256; LT BB-sf; Affirmed

  - Class F XS1881732330; LT B-sf; Affirmed

TRANSACTION SUMMARY

This 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

Stable Portfolio Performance

The rating actions reflect the stabilisation of the portfolio's
performance. The transaction is above target par. As at August 8,
2020 the Fitch-calculated weighted average rating factor of the
portfolio was slightly weaker, at 35.49, than the trustee-reported
WARF of July 8, 2020 of 35.06, owing to rating migration. The
'CCCsf' or below category assets represent, according to Fitch's
calculation, is 6.45% (excluding unrated assets) and 7.57%
(including unrated assets). As per the trustee report, the Fitch
WARF was failing marginally. However, all other tests, including
the overcollateralisation and interest coverage tests, were
passing. The transaction has one defaulted asset, which represents
0.25% of the portfolio notional.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the target portfolio to
determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario demonstrates the
resilience of the ratings of the class A, B and C notes with
cushions. While the class D, E and F notes still show sizeable
shortfalls, the agency views that the portfolio's negative rating
migration is likely to slow and category-level downgrades on these
tranches are less likely in the short term. As a result, the RWN
has been removed on the class E and F and these classes are
affirmed at their current ratings. The Negative Outlook on the
class E and F notes reflects the risk of credit deterioration over
the longer term, due to the economic fallout from the pandemic.

'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 98.94% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate of the current portfolio is 64.27%.

Portfolio Composition

The top 10 obligors' concentration is 14.3% and no obligor
represents more than 2% of the portfolio balance. As per Fitch
calculation the largest industry is business services at 14.9% of
the portfolio balance and the three-largest industries represent
33.54%, against limits of 15% and 40%, respectively.

As of the last trustee report, the percentage of obligations paying
less frequently than quarterly is around 38%; 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
based on both 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 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 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
expectation than initially assumed due to an unexpected 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 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 halting recovery begins in 2Q21. The downside
sensitivity incorporates the following stresses: applying a notch
downgrade to all Fitch-derived ratings in the 'B' rating category
and applying a 0.85 recovery rate multiplier to all other assets in
the portfolio. 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
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.

OAK HILL VI: Fitch Downgrades Class E Notes Rating to BB-sf
-----------------------------------------------------------
Fitch Ratings has downgraded Oak Hill European Credit Partners VI
DAC's class E notes and removed the class F notes from Rating Watch
Negative. Fitch has also revised the Outlook on Oak Hill European
Credit Partners IV DAC's class D notes to Negative from Stable and
maintained the class E and F notes on RWN. All other tranches in
both transactions have been affirmed.

Oak Hill European Credit Partners VI DAC

  - Class A-1 XS1720167664; LT AAAsf; Affirmed

  - Class A-2 XS1720609434; LT AAAsf; Affirmed

  - Class B-1 XS1720168043; LT AAsf; Affirmed

  - Class B-2 XS1720168399; LT AAsf; Affirmed

  - Class C XS1720168712; LT Asf; Affirmed

  - Class D XS1720169017; LT BBBsf; Affirmed

  - Class E XS1720169520; LT BB-sf; Downgrade

  - Class F XS1720169876; LT B-sf; Affirmed

Oak Hill European Credit Partners IV DAC

  - Class A-1-R XS1736667640; LT AAAsf; Affirmed

  - Class A-2-R XS1736668457; LT AAAsf; Affirmed

  - Class B-1-R XS1736668960; LT AAsf; Affirmed

  - Class B-2-R XS1736669778; LT AAsf; Affirmed

  - Class C-R XS1736670602; LT Asf; Affirmed

  - Class D-R XS1736671162; LT BBBsf; Affirmed

  - Class E-R XS1736671592; LT BBsf; Rating Watch Maintained

  - Class F-R XS1736671915; LT B-sf; Rating Watch Maintained

TRANSACTION SUMMARY

The transactions are cash flow CLOs mainly comprising senior
secured euro obligations. Both transactions are within their
reinvestment period and are actively managed by Oak Hill Advisors
(Europe), LLP.

KEY RATING DRIVERS

Deterioration in Portfolio Performance

As per the trustee reports dated 0July 6, 2020, Oak Hill IV is
failing the Fitch weighted average rating factor, minimum weighted
average spread and 'CCC' limit test. The transaction is below its
target par 135bp and defaulted assets are 115bp of target par. The
Fitch calculated WARF of the portfolio as of August 8, 2020
increased to 35.58 from a reported 34.76. The Fitch calculated
'CCC' category or below assets (including unrated assets)
represented 9.43% of the portfolio against the 7.50% limit.

For Oak Hill VI, the downgrade of the class E notes reflects the
deterioration in the portfolio in in the light of the coronavirus
pandemic. The trustee reported Fitch WARF, Fitch weighted average
recovery and 'CCC' limit tests are failing. The transaction is
below par by 113bp and defaulted assets are 22bp of target par. As
of August 8, 2020, the Fitch calculated WARF increased to 35.84
from the reported WARF 35.07 and 'CCC' or below assets (including
unrated assets) represented 9.97%of the portfolio against the 7.50%
limit.

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. Such assets represent around 30% of
the portfolio in both deals.

For this scenario in Oak Hill IV, the class E and F notes show
sizeable shortfalls and the class D notes show a marginal cushion.
As a result, Fitch has maintained the two junior tranches on RWN
and revised the Outlook on the class D notes to Negative from
Stable. Fitch will resolve the RWN over the coming months as it
observes rating actions on the underlying loans.

In Oak Hill VI, the class E notes after downgrade and the class F
notes show significant shortfalls. However, Fitch 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.
The Negative Outlooks reflect the risk of credit deterioration over
the longer term, due to the economic fallout from the pandemic.

For both transactions the tranches affirmed with Stable Outlooks
demonstrate the resilience in this scenario at the current rating
with cushions.

'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 portfolios is 35.58 and
35.84, respectively.

Asset Security

High Recovery Expectations: At least 90% of the portfolios comprise
senior secured obligations. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch recovery rate of the portfolios is
65.38% and 64.35, respectively.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. For both transactions, the top 10 obligors represent
around 15.5% of the portfolio and no single obligor represents more
than 2.13% of the portfolio balance. The top Fitch industry and top
three industries are also within the defined limits of 17.5% and
40.0%, respectively.

Both deals have around 47% of assets with semi-annual payment
frequency. However, no frequency switch event has occurred and the
transaction has a good cushion on the senior interest coverage
ratio compared with the frequency switch event ICR threshold of
100%.

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 coronavirus sensitivity analysis was based on the
stable interest rate scenario only but includes the front-, mid-
and back-loaded default timing scenarios as outlined in Fitch's
criteria.

For Oak Hill VI, the model-implied rating for the class E notes is
two notches below the current rating and for the class F is one
notch below the current rating. However, Fitch has deviated from
the model implied rating by one notch as the shortfalls for both
tranches were driven by the back-loaded default timing scenario.
Moreover, Fitch has affirmed the class F notes given the shortfall
was marginal for a category level downgrade and there is a limited
margin of safety is 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 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:

Both transactions are still in their reinvestment periods and are
actively managed. At closing, Fitch uses a standardised 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.

An upgrade of Oak Hill IV's class E notes, although not expected in
the near term, may occur during the reinvestment period if the
transaction's performance improves materially for a sustained
period. 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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ST. PAUL'S X: Fitch Downgrades Class E Notes Rating to BB-sf
------------------------------------------------------------
Fitch Ratings has taken multiple rating actions on St. Paul's CLO X
DAC, including downgrading one tranche, revising Outlooks to
Negative, and removing the Rating Watch Negative on the junior
tranches.

St. Paul's CLO X DAC

  - Class A XS1956170077; LT AAAsf; Affirmed

  - Class B-1 XS1956171398; LT AAsf; Affirmed

  - Class B-2 XS1956171802; LT AAsf; Affirmed

  - Class C-1 XS1956172446; LT Asf; Affirmed

  - Class C-2 XS1956173097; LT Asf; Affirmed

  - Class D XS1956173683; LT BBB-sf; Affirmed

  - Class E XS1956174228; LT BB-sf; Downgrade

  - Class F XS1956174905; LT B-sf; Affirmed

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Portfolio Performance Deteriorates

The downgrade of the class E notes reflects deterioration in the
portfolio as a result of negative rating migration of the
underlying assets. Based on the trustee report dated July 10, 2020
the Fitch-weighted average rating factor of 35.1 is in breach of
its test and, based on updated asset ratings as of August 8, 2020
the Fitch-calculated WARF of the portfolio deteriorated to 35.19.
By Fitch's calculations the manager could not bring the test into
compliance by shifting its Fitch Tests Matrix point. As per the
trustee report dated July 10, 2020, the aggregate collateral
balance was marginally below par by 3bp.

The manager carried out credit-positive trading activity during the
month to July 10, 2020, but this was not sufficient to prevent the
overall deterioration in asset quality due to negative credit
migration. Trading activity in the monthly report dated July 10,
2020 indicates the manager aims to improve the quality of the
portfolio. The WARF and weighted average rating recovery of
purchases for the period was 30.7 and 72.07% respectively, whereas
the WARF and WARR of sales was 36.39 and 44.5% and all assets sold
were "credit-risk" assets. This aligns with the transaction's
maintain- or-improve reinvestment conditions with respect to
collateral quality tests.

Coronavirus Baseline Sensitivity Analysis

The revision of the Outlook to Negative on the class C-1, C-2, D,
notes and the assignment of Negative Outlook to the class E and F
notes reflect 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 portfolio includes almost EUR137.5 million
of assets with a Fitch-derived rating on Negative Outlook, which
amount to 33.1% of the transaction's aggregate collateral balance.
The Fitch WARF increases to 39.17 after the coronavirus baseline
sensitivity analysis.

Its analysis shows the senior notes' rating resilience against its
coronavirus baseline. The RWN status has been removed from the
class E and F notes, following the downgrade of the former and
reflecting the lower likelihood of downgrade for the latter as
leveraged loan rating migration has stabilised.

'B'/'B-' Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. As of August 8, 2020, the Fitch-calculated 'CCC'
and below category assets represented 7.17% of the portfolio and
7.57% including un-rated assets. The latter may be privately rated
by another rating agency and are considered 'B-' by the manager for
the purpose of calculating the WARF, subject to certain
conditions.

High Recovery Expectations

Nearly 100% 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-calculated WARR of the current portfolio is 64.3%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. No obligor represents more than 2.3% of the portfolio
balance. The largest industry is business services at 16.74% of the
portfolio balance, followed by industrial and manufacturing at
12.06%. No frequency switch has occurred, which is expected to
remain so on the next payment date.

Deviation from Model-Implied Ratings

Fitch has downgraded the class E notes by one notch to the lowest
rating in the respective rating category. Nevertheless, the
model-implied rating for the class E is still one notch below the
current rating. The deviation is due to the implied rating being
driven only by the back-loaded default timing scenario. The
model-implied rating for the class F notes is 'CCCsf' and is also
driven by the back-loaded default timing scenario only. However,
Fitch decided to deviate from the model-implied rating in this case
as well, as 'B-sf' indicates a material risk of default but with a
limited margin of safety while a 'CCCsf' rating indicates that
default is a real possibility. These ratings are in line with the
majority of Fitch-rated EMEA CLOs. Both classes have a Negative
Outlook due to shortfalls at the current ratings and in the
coronavirus sensitivity scenario.

Cash Flow Analysis

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

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

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

RATING SENSITIVITIES

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

At closing, Fitch 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. Upgrade of
the class E notes, though not expected in the near term, may occur
during the reinvestment period if the transaction performance
improves materially for a sustainable period.

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 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 coronavirus for other sectors become
apparent, loan ratings in such sectors would also come under
pressure.

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 Fitch-derived
ratings in the 'B' rating category and applying 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

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.

[*] IRELAND: Level of Corporate Insolvencies May Peak Next Year
---------------------------------------------------------------
Joe Brennan at The Irish Times reports that the level of corporate
insolvencies in Ireland may peak next year at levels last seen at
the end of the financial crisis as the real cost of the Covid-19
economic shock on businesses becomes apparent, according to a
leading insolvency expert.

"In the short-term my prediction is that insolvency numbers will
return in 2021 to the worst numbers of the last recession," The
Irish Times quotes Neil Hughes, insolvency practitioner and
managing partner of Baker Tilly Chartered Accountants in Ireland,
as saying. "However, I expect them to drop back down sharply again
in 2022."

Corporate insolvencies reached a crisis-era high of 1,684 in 2012,
the year in which the Republic was the subject of an international
bailout following the collapse of the property market, The Irish
Times discloses.  At the time the government was also in the middle
of a EUR30 billion austerity drive that would last over six years
to the end of 2014, The Irish Times notes.

Covid-19 restrictions served as a catalyst for some high-profile
business collapses in the second quarter of the year, with
department store chain Debenhams Ireland, the Irish arms of fashion
outlets Oasis and Warehouse, and the Usit travel group among local
names succumbing to liquidation, The Irish Times states.

However, insolvencies fell 12% in the first half of this year to
273, Deloitte said last month, as firms, particularly in the retail
and hospitality sectors, were supported by government salary
support schemes and the freezing of certain fixed costs even as the
economy went into lockdown in March, according to The Irish Times.

Yet analysts expect that the level of companies going under will
start to creep up in the second half of this year despite the
cushioning effect from the Government's EUR7.4 billion stimulus
plan, which was unveiled last month, The Irish Times relays.  They
said insolvencies are expected to peak in 2021 even if the wider
economy is in recovery mode, The Irish Times notes.




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

GLOBAL BLUE: Moody's Downgrades CFR to B3, Outlook Negative
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of Global Blue
Finance S.a r.l., the indirect holding company of Global Blue
Acquisition B.V., to B3 from B2, including Global Blue's corporate
family rating and the senior secured instrument ratings issued at
Global Blue Acquisition B.V., a fully-owned and guaranteed
subsidiary of Global Blue, as well as Global Blue's probability of
default rating to B3-PD from B2-PD. The rating outlook for all
ratings is negative.

RATINGS RATIONALE

Its rating action reflects Global Blue's continued weak performance
due to coronavirus, consistent with companies operating within the
travel, retail, and international shopping sectors. This is coupled
with Moody's expectations for slower recovery in international
travel, as well as Global Blue's highly elevated credit metrics.
Moody's further notes that over time, the company's liquidity could
be negatively impacted by covenant pressures under the existing
debt facilities.

This rating action follows the filing of Far Point Acquisition
Corporation's (NYSE: FPAC) definitive proxy statement in relation
to Global Blue Group AG's (the ultimate parent of Global Blue
Finance S.a r.l.) merger with FPAC to be voted on by the
shareholders on 24 August 2020 following an earlier change in the
recommendation of the Board of FPAC for shareholders to vote
against the merger in the wake of coronavirus and its negative
impact on Global Blue's business. Closing of the merger as outlined
would allow Global Blue to refinance its existing debt comprised of
an EUR80 million revolving credit facility due December 2021 and a
EUR630 million term loan B due December 2022 with new debt
facilities due 2025, thereby extending the company's maturities.

In Moody's view, the challenges to the company's business from the
lockdowns and travel restrictions in the wake of coronavirus are
more important for Global Blue's credit profile than the slightly
positive effects of the merger. Following stable performance in
fiscal year 2020 (fiscal year ending in March 2020, which already
included two months of coronavirus impact), with a 2% increase in
revenue and a flat Moody's adjusted EBITDA, Global Blue experienced
a 92% decline in revenues in the first quarter of fiscal year 2021.


The company posted negative EBITDA in the first quarter of fiscal
2021 as international travel largely ceased following the
quarantines and border closures in the wake of coronavirus.
Although a number of countries are gradually reducing their
quarantine measures and relaxing restrictions on tourism, Moody's
does not anticipate a quick recovery for the international travel
segment that is the key driver of Global Blue's tax-free shopping
business, in line with the agency's expectations for passenger
airlines.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE CONSIDERATIONS

The rapid spread of the coronavirus outbreak, deteriorating global
economic outlook, low oil prices and high asset price volatility
have created an unprecedented credit shock across a range of
sectors and regions. Moody's regards the coronavirus outbreak as a
social risk under its ESG framework, given the substantial
implications for public health and safety. Its action reflects the
deterioration of Global Blue's credit quality, resulting from its
exposure to the travel sector which has left it vulnerable to
shifts in market sentiment in current operating environment.

LIQUIDITY

Global Blue's liquidity is underpinned by EUR309 million of cash
and cash equivalents as of June 2020 including the EUR79 million
drawn on its EUR80 million revolver. Positively, the company has
reduced its cash burn to approximately EUR12 million per month
suggesting that its existing liquidity resources should allow it to
withstand the current weak market conditions for a fairly extended
period of time. If the merger with FPAC closes as planned, the
company will have access to a new EUR100 million revolver, in
addition to a refinanced term loan, both maturing in five years.
Also, the shareholders of Global Blue agreed to provide an
additional $75 million facility to the merged entity, post-closing,
if additional liquidity is required.

Global Blue's existing debt facilities contain a net leverage
covenant set at 6.50:1.00 and tested quarterly; it could come under
pressure over time if the company's performance does not recover
and the merger with FPAC is not approved. Also, in a non-approval
scenario, Global Blue would be facing near-term maturities of its
EUR80 million (EUR79 million drawn) RCF in December 2021 and its
EUR630 million TLB in December 2022.

STRUCTURAL CONSIDERATIONS

Moody's rates the EUR630 million senior secured Term Loan B and the
EUR80 million revolving credit facility issued by Global Blue
Acquisition B.V., a subsidiary of Global Blue Finance S.a r.l.,
(which is the indirect holding company of the operating
subsidiaries and the entity to which the CFR is assigned), at B3 in
line with the CFR. If the merger closes as outlined, this debt is
expected to be refinanced.

RATIONALE FOR NEGATIVE OUTLOOK

The negative rating outlook reflects Moody's expectations of a
severe downturn in the travel, retail, and international shopping
sectors that will significantly pressure Global Blue's credit
metrics and the considerable uncertainty as to when the impacts of
the downturn will subside and Global Blue will recover to a more
stable credit profile.

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

Although considered unlikely in the near term, Moody's could revise
the rating outlook to stable if Global Blue (1) sustains an
adequate liquidity profile and (2) once there is greater clarity
with respect to a recovery in travel, retail, and international
shopping segments demand.

Moody's could downgrade the ratings if Global Blue's liquidity
profile weakens or if the company fails to evidence recovery in
demand.

PRINCIPAL METHODOLOGY

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

Global Blue Finance S.a r.l., which is domiciled in Luxembourg, is
a holding company of the Global Blue group. The group is a leading
provider of VAT and Goods and Service Tax refunds to travelers, as
well as added-value payment solutions, such as currency conversion
services. For FY2020 (ended March 31, 2020), the company reported
revenue and EBITDA (as adjusted by the company) of approximately
EUR420 million and EUR171 million, respectively.



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

AURORUS 2020: Moody's Assigns B1 Rating to EUR10.4MM Cl. F Notes
----------------------------------------------------------------
Moody's Investors Service assigned the following definitive ratings
to Notes issued by Aurorus 2020 B.V.:

EUR220.8M Class A Floating Rate Notes due August 2046, Definitive
Rating Assigned Aaa (sf)

EUR41.4M Class B Floating Rate Notes due August 2046, Definitive
Rating Assigned Aa1 (sf)

EUR25.8M Class C Floating Rate Notes due August 2046, Definitive
Rating Assigned Aa3 (sf)

EUR17.3M Class D Floating Rate Notes due August 2046, Definitive
Rating Assigned Baa1 (sf)

EUR8.6M Class E Floating Rate Notes due August 2046, Definitive
Rating Assigned Ba2 (sf)

EUR10.4M Class F Floating Rate Notes due August 2046, Definitive
Rating Assigned B1 (sf)

Moody's has not assigned ratings to the EUR 20.7M Class G Floating
Rate Notes due August 2046 and the EUR 7.8M Class X Floating Rate
Notes due August 2046, which have been issued at the closing of the
transaction.

RATINGS RATIONALE

The transaction is a revolving cash securitisation of unsecured
consumer loans extended by Qander Consumer Finance B.V. (not rated)
to obligors in the Netherlands. The originator will also act as the
servicer of the portfolio during the life of the transaction.

As of July 31, 2020, the portfolio shows 97.9% non-delinquent
contracts with a weighted average seasoning of around 4.7 years.
The portfolio consists for the majority of amortising loans
(53.2%), which have equal instalments during the life of the loan.
The remainder of the portfolio consists of revolving loans
(46.8%).

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of consumer assets from the collapse
in Dutch 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.

According to Moody's, the transaction benefits from credit
strengths such as: (i) a granular portfolio; (ii) an experienced
originator/servicer and a back-up servicer; and (iii) appropriate
credit enhancement levels. Furthermore, the Notes benefit from a
non-amortising cash reserve funded at closing at 0.9% of the
initial notes balance of Class A to D Notes. The cash reserve will
build up to 1.5% of Class A to D Notes after the end of the
revolving period in October 2023 using excess spread before payment
of interest on Class E and F. This mechanism will result in
approximately two months of deferred interest on Class E and F. The
reserve will provide liquidity during the life of the transaction
to pay senior expenses, hedging costs and the coupon on the Class A
to D Notes (Class B to D only when no PDL is recorded). When Class
A to D Notes are fully redeemed, the cash reserve covers interest
of the most senior Class of Notes outstanding.

However, Moody's notes that the transaction features some credit
weaknesses such as: (i) a revolving period of 3 years; (ii) loans
with a revolving nature and the ability to redraw amounts up to a
defined credit limit for up to 3 years; (iii) a slow amortization
of the portfolio leading to loan maturities of up to 15 years; and
(iv) limited liquidity available to pay interest on Classes E and F
Notes for approximately two months at the beginning of the
amortization period.

Moody's analysis focused, among other factors, on: (i) an
evaluation of the underlying portfolio of financing agreements;
(ii) the macroeconomic environment; (iii) historical performance
information; (iv) the credit enhancement provided by subordination
and cash reserve; (v) the liquidity support available in the
transaction through the reserve fund; and (vi) the legal and
structural integrity of the transaction.

MAIN MODEL ASSUMPTIONS

Moody's determined the portfolio lifetime expected defaults of
7.0%, a recovery rate of 15.0% and Aaa portfolio credit enhancement
("PCE") of 25.0% related to the underlying loans. The expected
defaults and recoveries capture its expectations of performance
considering the current economic outlook, while the PCE captures
the loss Moody's expects the portfolio to suffer in the event of a
severe recession scenario. Expected defaults, recoveries and PCE
are parameters used by Moody's to calibrate its lognormal portfolio
loss distribution curve and to associate a probability with each
potential future loss scenario in the ABSROM cash flow model to
rate Consumer ABS.

Portfolio expected defaults of 7.0% are higher than the EMEA
Consumer ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account: (i) historic
performance of the loan book of the originator; (ii) benchmark
transactions; and (iii) other qualitative considerations, such as
the revolving nature of nearly half of the loans in the pool.

Portfolio expected recoveries of 15.0% are in line with the EMEA
Consumer ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account: (i) historic
performance of the loan book of the originator; (ii) benchmark
transactions; and (iii) other qualitative considerations.

PCE of 25.0% is slightly higher than the EMEA Consumer ABS average
and is based on: (i) Moody's assessment of the borrower credit
quality; (ii) the replenishment period of the transaction; and
(iii) the revolving feature combined with a long maturity of some
loan products. The PCE level of 25.0% results in an implied
coefficient of variation ("CoV") of 39%.

PRINCIPAL METHODOLOGY

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

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

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

Factors that may cause a downgrade of the ratings include a decline
in the overall performance of the portfolio and a meaningful
deterioration of the credit profile of the originator and servicer
Qander Consumer Finance B.V.



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

BANCA INTESA: Fitch Affirms LT IDRs at BB+, Outlook Stable
----------------------------------------------------------
Fitch Ratings has affirmed Banca Intesa Russia's Long-Term Issuer
Default Ratings at 'BB+' with a Stable Outlook. At the same time
Fitch has affirmed the bank's Viability Rating at 'b+'.

KEY RATING DRIVERS

IDRs AND SUPPORT RATING

BIR's IDRs of 'BB+' and Support Rating of '3' are driven by its
view of a moderate probability of support from the bank's ultimate
parent, Intesa Sanpaolo S.p.A. (ISP, BBB-/Stable), in case of need.
This reflects its view of the bank's strategic importance to ISP,
strong synergies, high level of management and operational
integration with the parent and the high reputational risk to ISP
should the subsidiary bank default. Fitch believes that any
required support would be immaterial relative to the parent's
ability to provide it. The Stable Outlook on BIR mirrors that on
ISP.

VR

BIR's VR captures the bank's limited franchise and weak
profitability metrics, but also reflects adequate asset-quality
metrics to date, reasonable capitalisation, and a stable funding
and liquidity profile. Fitch expects the bank's standalone
financial profile to be under pressure from the coronavirus
pandemic and as a result of the economic downturn in Russia.

Its share of impaired loans (Stage 3 and POCI loans under IFRS 9)
declined to 9.3% of gross loans at end-1Q20 from 10.8% at end-2019,
helped by loan book growth. Impaired loans were 77% covered by loan
loss allowances, which is reasonable in its view given potential
recoveries through sale of collateral. The unreserved share of
impaired loans accounted for a low 9% of Fitch Core Capital at
end-1Q20. Fitch expects asset quality to deteriorate in 2020-2021
due to slower economic activity, weaker consumer demand and lower
household income.

BIR's profitability is a weakness for the bank's VR. The ratio of
operating profit/risk-weighted assets was a low 0.7% in 1Q20 due to
only moderate fee income and weak operating efficiency as reflected
by a high cost/income ratio of 89%. Cost of risk was a low 0.5% in
2019 (negative in 1Q20 due to some recoveries). Fitch expects
earnings to weaken due to potentially higher loan impairment
charges, subdued growth prospects and narrower margins.

Capitalisation is reasonable with a 12.8% FCC ratio at end-1Q20.
However, the bank's pre-impairment operating profitability (1.7% of
average loans in 2019) provides only moderate cushion against
higher LICs, without putting pressure on BIR's capital.

Customer funding made up 52% of BIR's liabilities at end-1Q20, down
from 68% at end-2019 due to the account closure of few large
depositors. Related-party funding accounted for a further 38% of
liabilities, including subordinated borrowings (6%). Liquidity
buffers (cash, short-term interbank placements and unpledged
securities eligible for repo with the Russian Central Bank) covered
a notable 61% of customer deposits at end-5M20 and accounted for
26% of the bank's assets.

RATING SENSITIVITIES

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

BIR's Long-Term IDRs would likely be downgraded if the parent is
downgraded. They are also sensitive to a weakening of the parent's
propensity to provide support, which Fitch views as unlikely.

The VR could be downgraded if the economic recession caused by the
coronavirus pandemic turns out to be significantly worse than
anticipated by Fitch and if it results in a marked deterioration in
BIR's asset quality or profitability leading to capital erosion,
assuming this is not promptly addressed by the shareholder.

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

BIR's IDRs and SR could be upgraded if ISP is upgraded.

The potential for a VR upgrade is currently limited given the
economic recession and challenging operating environment.

BEST/WORST CASE RATING SCENARIO

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

BIR's Long-Term IDRs and SR are linked to the IDR of ISP.

ESG CONSIDERATIONS

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

PETROPAVLOVSK PLC: Fitch Hikes LT IDR & Sr. Unsec. Rating to B
--------------------------------------------------------------
Fitch Ratings has upgraded Petropavlovsk plc's Long-Term Issuer
Default Rating and senior unsecured rating to 'B' from 'B-'. The
Outlook is Stable. Fitch has also upgraded the guaranteed notes
issued by Petropavlovsk 2016 Limited, the group's main financing
vehicle subsidiary, to 'B' from 'B-'. The notes' Recovery Rating is
'RR4'.

The upgrade reflects significant strengthening in Petropavlovsk's
financial profile following improved operational results, strong
gold pricing and a partial convertible bond conversion resulting in
deleveraging. The agency now expects funds from operations gross
leverage to decline to 2.5x in 2020 (2019: 4.3x) and to average
3.0x in 2020-2023.

The frequent and currently ongoing changes in the structure of
shareholders, Board of Directors and management limit its
visibility of the company's future strategy and financial policies
and constrain the rating as captured by the Stable Outlook.

The forecast strengthening in the financial profile would need to
coincide with the improvement of corporate governance practices and
their track record and refinancing plans for the USD500 million
bonds due in November 2022 to underpin a further positive rating
momentum.

KEY RATING DRIVERS

POX Hub Fully Operational: Petropavlovsk's POX hub at the
Pokrovskiy mine in Russia's Far East region successfully ramped up
its output in 2019 following its commissioning in November 2018,
and contributed 179.5koz (thousand ounces), or 35% of the company's
total 2019 output. The POX hub consists of four autoclaves, all
fully operational and run independently, each with up to 125,000
tonnes of refractory ore annual processing capacity. The overall
capacity sits in the range of 400-500koz and depends on the sulphur
content of the refractory ores.

In 2020, Petropavlovsk targets processing 300kt-330kt (thousand
tonnes) of ore (2019: 188kt) at its POX hub, using around 180kt of
refractory ores from Malomir and Pioneer and 120kt-150kt for
higher-grade ores from third parties. Its post-2020 plan is to
further boost ore processing volumes to the 370kt-430kt range while
increasingly replacing third-party ore with Malomir and Pioneer
refractory ores. The latter is linked to the 3.6mt (million tonnes)
flotation plant project at Pioneer and a 3.6mt capacity addition at
Malomir on top of the current capacity of 1.8mt. These projects are
scheduled to commence in 4Q20 and late 2021/early 2022,
respectively, depending on financing availability and the timing of
Board approval.

POX Hub Unlocked Refractory Reserves: The launch of the POX hub is
a transformative event for Petropavlovsk as it allows the facility
to treat refractory ores, representing 99% of reserves at Malomir
and 76% at Pioneer, or 71% of YE19 reserves across all three
producing mines. The POX hub will allow Petropavlovsk to maintain
production using refractory ores, as YE19 mine life for
nonrefractory ores is less than two years for Malomir and five
years for Pioneer. Refractory ores boost the overall group's mine
life to 18 years based on 2019 production levels (excluding
third-party concentrate) processed at the POX hub.

Costs Position Stabilising: Petropavlovsk guides total cash costs
(TCC; excluding third-party concentrate) within the
USD700-USD800/oz range in 2020, on par with the USD749/oz level in
2019, with all-in sustaining costs (2019: USD1,020/oz) broadly
following TCC dynamics. Fitch expects post-2020 TCC to remain
broadly within the USD700-USD800/oz range, as Pioneer's rising
output and improving grades offset the falling grades of Malomir's
depleting refractory ores.

The POX hub's use of third-party concentrate is EBITDA-accretive
but will dilute margins and boost the group's TCC, especially in
2020-2021, when third-party concentrate will account for 30%-33% of
the group's gold sales before reducing to around 25% in 2022 and
decreasing further thereafter.

Convertible Conversion: Through multiple conversion events, USD80
million of USD125 million convertible notes due in 2024 have
converted to ordinary shares. Several parties chose to increase
their voting rights through the conversion before a requisitioned
general meeting on August 10, 2020. Fitch views the conversion as
credit positive due to its positive impact on leverage and
reduction of interest payments.

Prepayment Facilities Treated as Debt: As of December 31, 2019,
Petropavlovsk had gold prepayment facilities of USD187 million
outstanding with Gazprombank and Sberbank, two major Russian banks.
Petropavlovsk has relied on these gold prepayments to procure
liquidity for i) bridge loans to IRC that were required to avoid
using the guarantee; and ii) capex for the POX hub facility. This
type of working capital funding is generally permitted under the
Eurobond indenture.

Fitch reclassifies gold prepayments received as financial debt and
includes them in its leverage ratios. The agency expects
Petropavlovsk to redeem these prepayment facilities by delivering
gold over the next 24 months.

Sale of IRC Ongoing: On March 18, 2020, Petropavlovsk reached an
agreement with Stocken Board AG to sell a 29.9% stake in IRC (not
rated) for a cash consideration of USD10 million. The sale is
conditional upon Gazprombank agreeing to release Petropavlovsk from
its obligation to guarantee IRC's debt. Fitch views the successful
release of the guarantee as a credit positive but does not include
it in its base case. The agency views the likelihood of these
guarantees becoming payable by Petropavlovsk as low. Fitch includes
USD160 million of guarantees in gross debt for 2019 and on a more
conservative basis than guarantees schedule for the forecast
period.

Strong Deleveraging: Improved operational profile and solid market
fundamentals support its forecast for material deleveraging.
However, the forecast credit metrics are subject to the new
strategy and financial policy to be determined following the
ongoing change in the board composition, shareholding and
management structure.

As of YE19, the group reported FFO gross leverage of 4.3x, down
from 7.9x as of YE18, including the off-balance sheet guarantee.
Fitch expects Petropavlovsk's FFO gross leverage to improve to
about 2.5x by YE20, which is much stronger than the 4.0x figure it
previously forecast.

The deleveraging is driven by a projected increase in FFO due to
higher production volumes, as demonstrated by strong 1H20
production of 321 koz (2019: 225 koz), which in turn is driven by
solid mining operations and significant sourcing of third-party
ores that accounted for 107 koz of gold production in 1H20. Higher
production volumes and corresponding lower TCCs in 2020-2023 are
expected to result in stable leverage despite a declining price
deck. Fitch forecasts FFO gross leverage to fluctuate around 3x
over 2021-2023.

Corporate Governance in Focus: In February 2020, Petropavlovsk's
major shareholder changed once again, as Uzhuralzoloto (not rated),
which is controlled by Konstantin Strukov, bought the stake held by
Roman Trotsenko. The annual general meeting and subsequent
requisitioned general meeting subsequently led to the removal of
several board members and an investigation into the related party
transaction.

Disagreements among major shareholders have previously led to
changes in management and board members, sometimes with a negative
impact on the company's operating performance. The current
iteration of boardroom and management changes is less likely to
have an impact on operations but remains a contingent risk.

As a result, Fitch maintained the ESG scores of 4 for Management
Strategy and Governance Structure sub-factors. While Fitch believes
the company's, operational profile may be more resilient to the
ongoing corporate governance pressures, lack of sustainable
improvement in governance practices, including the establishment of
stable board and management structure and consistent financial
policy, is a rating constraint. This is reflected in the Stable
Outlook despite forecast deleveraging.

DERIVATION SUMMARY

Petropavlovsk is smaller in scale and asset diversification than
higher rated Nord Gold SE (BB/Stable). Its scale is relatively
large for the 'B' category, but it lacks diversification across
mines. Its cost position is in the third quartile of the global
gold cost curve and comparable to that of Nord Gold. Petropavlovsk
is substantially larger than GeoProMining Investment Limited
(B+/Stable) but has no diversification across metals, a higher cost
position and higher leverage. Petropavlovsk is significantly
smaller than First Quantum Minerals Ltd (B-/Stable), but has
stronger leverage profile despite weaker margins.

KEY ASSUMPTIONS

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

  -- A gold price of USD1,600/oz in 2020, including hedges and YTD
performance. Prices of USD1,318/oz in 2021 and USD1,200/oz in
2022-2023, based on Fitch's gold price deck and adjusted by
outstanding hedges.

  -- Total gold production of 640 koz on average in 2020-2023,
including third-party ores.

  -- TCC of USD770/oz on average during 2020-2023, excluding
third-party ores.

  -- Capex of USD77 million in 2020, USD84 million in 2021, USD56
million in 2022 and USD42 million in 2023.

  -- Dividend payments of USD30 million in 2021-2022 and USD20
million in 2023.

Key Recovery Analysis Assumptions:

The recovery analysis assumes that Petropavlovsk would be
considered a going-concern in bankruptcy and that the company would
be reorganized rather than liquidated.

Petropavlovsk's recovery analysis assumes a post-reorganisation
EBITDA at USD175 million, or 25% below its 2019 EBITDA to reflect
mid-cycle price assumption.

A distressed EV/EBITDA multiple of 4.0x has been used to calculate
post-reorganisation valuation and reflects the company's corporate
governance pressures compared to peers and higher third quartile
cost position on the global gold cost curve.

After deduction of 10% for administrative claims and taking into
account Fitch's Country-Specific Treatment of Recovery Ratings
Rating Criteria, its waterfall analysis generated a ranked recovery
in the RR4 band, indicating a 'B' rating for the USD500 million
notes. The waterfall analysis output percentage on current metrics
and assumptions was 50%.

RATING SENSITIVITIES

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

  -- Improvement in corporate governance including stability in
board and management composition; and established management
strategy and financial policies translating into FFO gross leverage
remaining below 3.0x (2019: 4.3x) on a sustained basis.

  -- Petropavlovsk being released from its obligation to guarantee
IRC's debt from Gazprombank.

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

  -- FFO gross leverage above 4.0x on a sustained basis.

  -- Aggressive dividend policies or further deterioration of
corporate governance resulting in operational disruptions and/or
weakening of credit metrics.

  -- Deterioration in liquidity profile.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Strong Free Cash Flow Generation: Fitch expects Petropavlovsk's
liquidity position to be bolstered by positive FCF generation of
around USD247 million in 2020-2021 following an increase in
production and very strong pricing. Petropavlovsk faces maturities
in the next 12-18 months consisting of obligations under its
prepayment facilities that totalled USD121 million at the end of
June 2020.The company has a facility with Gazprombank totalling
approximately USD330 million (based on 392koz limit at USD1,200/oz
gold price and at 70% advance rate), available until May 2024.
Fitch classifies prepayment facilities as debt.

Refinancing risk for the USD500 million notes due in November 2022
has decreased due to stronger cash generation and improved credit
metrics. If Petropavlovsk deleverages more slowly than expected or
its corporate governance constitutes a credit concern, the bulky
nature of the Eurobond maturity would significantly expose the
company to market conditions. The USD45 million convertibles notes
due in 2024 do not attract equity credit but are likely to convert
before maturity, as they are currently deep in the money.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Petropavlovsk plc has an Environmental, Social and Governance
Relevance Scores of '4' for management strategy and governance
structure due to Fitch's view that its operational and financial
decisions might be influenced by frequent changes in senior
management, its majority ownership and board composition, which has
a negative impact on the credit profile and is relevant to the
ratings in conjunction with other factors.

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



===========
S W E D E N
===========

SAS: EU Competition Regulators Clear Recapitalization Plan
----------------------------------------------------------
Foo Yun Chee at Reuters reports that EU competition regulators on
Aug. 17 cleared a EUR1-billion (US$1.2 billion) (GBP915.40 million)
plan by Denmark and Sweden to recapitalize virus-hit SAS, saying
the measure would prevent the Scandinavian airline's insolvency.

According to Reuters, the plan is part of a larger recapitalization
package which will result in private investors holding a
significant stake in SAS following the conversion of outstanding
privately-held debt instruments into equity.

The European Commission said the measure will not exceed the
minimum needed to ensure the airline's viability and will not go
beyond restoring its capital position before the coronavirus,
Reuters relates.

Scandinavian Airlines, usually known as SAS, is the flag carrier of
Denmark, Norway and Sweden.  It is headquartered in Stockholm,
Sweden.





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

AURORUS 2020: DBRS Upgrades Provisional Class F Notes Rating to B
-----------------------------------------------------------------
DBRS Ratings Limited took the following rating actions on the
provisional ratings of the notes expected to be issued by Aurorus
2020 B.V. (the Issuer):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (sf)
-- Class C Notes confirmed at A (sf)
-- Class D Notes confirmed at BBB (sf)
-- Class E Notes confirmed to BB (sf)
-- Class F Notes upgraded to B (sf)

DBRS Morningstar did not assign provisional ratings to the Class G
Notes, Class X Notes, or Class RS Notes expected to be issued in
this transaction.

The rating actions follow the final pricing of the coupons on the
notes and the interest rate swap, which resulted in an overall
reduction in costs to the transaction of approximately 0.6%
compared with the initial assumptions used within DBRS
Morningstar's cash flow analysis at the time of assigning the
initial provisional ratings.

The ratings on the Class A Notes and Class B Notes address the
timely payment of scheduled interest and the ultimate repayment of
principal by the legal final maturity date. The ratings on the
Class C Notes, Class D Notes, Class E Notes, and Class F Notes
address the ultimate payment (then timely as most-senior class) of
interest and the ultimate repayment of principal by the legal final
maturity date, in accordance with the terms of the notes.

The provisional ratings are based on information provided to DBRS
Morningstar by the Issuer and its agents as of the date of this
press release. The ratings can be finalized upon review of final
information, data, legal opinions, and the executed version of the
governing transaction documents. To the extent that the information
or the documents provided to DBRS Morningstar as of this date
differ from the final information, DBRS Morningstar may assign
different final ratings to the rated notes.

The Class A to Class G Notes are collateralized by the receivables
of unsecured revolving loans, fixed-rate installment loans, and
credit cards originated and serviced by Qander Consumer Finance
B.V. (Qander or the Seller) in the Netherlands. The Class X Notes
are not collateralized by loan receivables and will be repaid
through the available excess spread.

The transaction includes a 38-month revolving period where the
receivables of new accounts can be added to the pool until October
2023, subject to the occurrence of an early amortization event.

DBRS Morningstar based its ratings on a review of the following
analytical considerations:

-- The transaction's capital structure, including form and
sufficiency of available credit enhancement;

-- Relevant credit enhancement in the form of subordination, a
reserve fund, and excess spread;

-- Credit-enhancement levels are sufficient to support DBRS
Morningstar's projected cumulative net loss assumption under
various stressed cash flow assumptions for the notes;

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested;

-- Qander's capabilities with regard to originations,
underwriting, and servicing as well as the availability of a named
backup servicer at closing;

-- The transaction parties' financial strength with regard to
their respective roles;

-- The credit quality of the collateral and historical and
projected performance of the Seller's portfolio;

-- The sovereign rating of the Kingdom of the Netherlands,
currently at AAA with a Stable trend; and

-- The expected consistency of the transaction's legal structure
with DBRS Morningstar's "Legal Criteria for European Structured
Finance Transactions" methodology and the presence of legal
opinions that are expected to address the true sale of the assets
to the Issuer.

TRANSACTION STRUCTURE

The transaction incorporates separate revenue and redemption
waterfalls that allocate the available funds including collections
representing interest, principal, and recoveries from defaulted
receivables. The notes amortize sequentially while the
transaction's revenue priority of payments incorporates a principal
deficiency ledger for each class of notes, whereby available
revenue funds are used to cover realized losses.

A reserve account will be funded through the issuance proceeds of
the Class X and Class RS notes. The balance of the reserve will be
initially equal to 0.9% of the original balance of the Class A,
Class B, Class C, and Class D Notes. Subsequently, following the
revolving period, the target increases to 1.5% of the Class A,
Class B, Class C, and Class D notes. It is nonamortizing, and,
following the redemption of the Class D Notes, it becomes available
to pay interest on the most senior class of notes outstanding
subject to no principal deficiency being recorded in the applicable
note-specific ledger.

The reserve account target is zero only upon the earlier of the
final maturity date and when the Class G Notes have been redeemed
in full. In the absence of liquidity support from the reserve
account and subject to principal deficiency ledger conditions,
principal funds can be used to pay interest on the Class A and
Class B notes. Following their redemption, and still subject to
principal deficiency ledger conditions, principal can be used to
pay interest on the most senior class of notes outstanding.

DBRS Morningstar analyzed the transaction cash flow structure in
Intex DealMaker.

COUNTERPARTIES

The Issuer collection account, reserve account, replenishment
account, and the swap cash collateral account are held by ABN AMRO
Bank N.V. DBRS Morningstar's Long-Term Issuer rating of ABN AMRO
Bank is at A (high) with a Stable trend. The transaction documents
contain downgrade provisions consistent with DBRS Morningstar
criteria.

BNP Paribas (BNPP) has been appointed as the interest rate swap
counterparty for the transaction. DBRS Morningstar has a Long-Term
Senior Debt rating of AA (low) and a Long Term Critical Obligations
Rating of AA (high) on BNPP. The hedging documents contain
downgrade provisions consistent with DBRS Morningstar criteria.

COVID-19 CONSIDERATIONS

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many ABS transactions, some
meaningfully. The ratings are based on additional analysis to
expected performance as a result of the global efforts to contain
the spread of the coronavirus.

The DBRS Morningstar analysis considered impacts consistent with
the moderate scenario in the referenced reports.

Notes: All figures are in Euros unless otherwise noted.


CARLYLE GLOBAL 2014-1: Fitch Affirms Class F-RR Debt Rating at B-sf
-------------------------------------------------------------------
Fitch Ratings has revised the Outlook of Carlyle Global Market
Strategies Euro CLO 2014-1 DAC's class D-RR, E-RR and F-RR to
Negative from Stable. All ratings have been affirmed.

Carlyle Global Market Strategies Euro CLO 2014-1 DAC

  - Class A-RR XS1839725378; LT AAAsf; Affirmed

  - Class B-1-RR XS1839725964; LT AAsf; Affirmed

  - Class B-2-RR XS1839726004; LT AAsf; Affirmed

  - Class B-3-RR XS1847616296; LT AAsf; Affirmed

  - Class C-1-RR XS1839726186; LT Asf; Affirmed

  - Class C-2-RR XS1847611495; LT Asf; Affirmed

  - Class D-RR XS1839726269; LT BBBsf; Affirmed

  - Class E-RR XS1839726343; LT BBsf; Affirmed

  - Class F-RR XS1839725295; LT B-sf; Affirmed

TRANSACTION SUMMARY

CGMS Euro CLO 2014-1 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 Outlook revision to Negative is a result of a sensitivity
analysis Fitch ran in light of the coronavirus pandemic. For the
sensitivity analysis, Fitch notched down the ratings for all assets
with corporate issuers on Negative Outlook regardless of the
sectors. Under this scenario, the class D-RR has a small cushion,
and the E-RR and F-RR notes have shortfalls. The Negative Outlook
reflects the risk of credit deterioration over the long term due to
the economic fallout from the pandemic.

The affirmations of the remaining tranches reflect the resilience
of their ratings under the coronavirus baseline sensitivity
analysis. This supports the Stable Outlook on these ratings.

Portfolio Performance Deteriorates

As of the latest investor report dated July 3, 2020 the transaction
was 1.06% below par and all portfolio profile tests, coverage tests
and most collateral quality tests were passing, except for the
Fitch weighted average rating factor test. As of the same report
the transaction had EUR9,639,259 in defaulted assets. Exposure to
assets with a Fitch-derived rating of 'CCC+' and below was 7.59%,
excluding unrated assets, and 9.03%, including unrated assets, and
the latter would increase by about 14% after applying the
coronavirus stress. Assets with a Fitch-derived rating on Negative
Outlook represent 33.2% of the portfolio balance.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors to be in
the 'B'/'B-' category. The Fitch WARF of the current portfolio is
36.99 (assuming unrated assets are 'CCC'), and the trustee-reported
Fitch WARF was 36.44, both above the maximum covenant of 36. After
applying the coronavirus stress, the Fitch WARF would increase by
4.38.

High Recovery Expectations

98.2% 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.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top-10 obligor is 12.4%, and no obligor represents
more than 1.3% of the portfolio balance. Nearly 40% of the
portfolio consists of semi-annual obligations but a frequency
switch has not occurred due to the transaction's high interest
coverage ratios.

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
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 on
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 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
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 demonstrates the resilience of
the current ratings on the class A-RR, B-1-RR, B-2-RR, B-3-RR,
C-1-RR, and C-2-RR notes, whereas credit enhancement for the class
D-RR, E-RR and F-RR notes may be eroded quickly with deterioration
of the portfolio.

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 Fitch-derived
ratings in the 'B' rating category and applying 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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

NATIONAL COLLEGE: University of Birmingham Set to Take Over
-----------------------------------------------------------
Fraser Whieldon at FEWeek reports that the national college for
High Speed 2 looks set to be taken over by a university as part of
a government review initiated after the FE commissioner warned it
faced potential insolvency.

According to FEWeek, the University of Birmingham has been
announced as the preferred bidder to take on the National College
for Advanced Transport and Infrastructure (NCATI), as part of a
structure and prospects appraisal (SPA) of the college.

The university has said it wishes to turn it into a "successful and
financially sustainable educational institution to support local,
regional and national economic growth", FEWeek relates.

Its bid, which includes partner organisations the National Skills
Academy for Rail, Network Rail and City & Guilds, will now be
scrutinised by the government, the commissioner and both the
college and university, FEWeek notes.

The University of Birmingham has added that all parties need to be
assured NCATI's "significant financial and educational
difficulties" can be "overcome" before the transfer can go ahead,
according to FEWeek.

A DfE-commissioned report on the national college programme found
NCATI had struggled with learner numbers due to delays in
announcing HS2 contractors, which meant employers were unable to
commit to the apprentice volumes they had originally anticipated,
FEWeek relays.

Following the commissioner's report, NCATI was placed in supervised
status and has been undertaking the appraisal with the
commissioner, FEWeek recounts.  As part of this, the college agreed
not to file completed 2018-19 financial statements until after the
appraisal's completion, FEWeek states.


POUNDSTRETCHER: Posts Closing Down Sale Signs in Newport
--------------------------------------------------------
Lucy Morgan at Isle of Wright County Press reports that Newport's
Poundstretcher has posted "closing down" sale signs in its High
Street windows, two months after the firm, which has 450 stores
across the UK, revealed financial troubles.

Earlier this year, Poundstretcher entered a company voluntary
arrangement (CVA) and warned landlords at more than 250 branches if
new rent agreements could not be reached, stores would close, Isle
of Wright County Press recounts.

According to Isle of Wright County Press, in June, restructuring
firm KMPG said: "One of the UK's best-known discount retailers,
Poundstretcher has suffered from significant impacts to
profitability on several fronts over a sustained period, which were
then further exacerbated by the impact of Covid-19 on footfall.

"Earlier this Spring, the Group engaged KPMG to undertake a
marketing process to explore all strategic options for business.
Regrettably, this process did not produce any solvent offers. Thus
the CVA seeks to safeguard the long-term future of the business,
across a smaller, more sustainable store estate."

A further 23 stores, trading as Poundstretcher Properties Limited,
went into administration, Isle of Wright County Press discloses.


[*] UK: Corporate Insolvencies May Increase This Winter, R3 Says
----------------------------------------------------------------
Scottish Legal News reports that corporate insolvencies may
increase this winter, with new research from the insolvency and
restructuring trade body R3 indicating that a steep rise may start
as early as this October.

According to Scottish Legal News, the R3 research--based on a
member survey of insolvency and restructuring
professionals--highlights that an overwhelming majority (93.7%) of
respondents expect corporate insolvency numbers to rise over the
next year, with nearly six-in-ten (56%) predicting that the
increase will occur between October and December 2020.

More than half (56.1%) of those surveyed said that they expected
corporate insolvency numbers would be significantly higher in 2020
than in 2019, while 37.6% thought they would be somewhat higher,
Scottish Legal News notes.

Respondents felt the main triggers for corporate insolvency advice
over the next 12 months would be rent payments or arrears (61.7%),
trade debts (49.7%), tax payments or arrears (48.1%), and wage
payments (35.5%), Scottish Legal News states.




                           *********


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

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

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

This material is copyrighted and any commercial use, resale or
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Information contained herein is obtained from sources believed to
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