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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 26, 2020, Vol. 21, No. 171

                           Headlines



G E R M A N Y

WIRECARD AG: Axes More Than Half of Remaining Staff in Germany


I R E L A N D

DEER PARK CLO: S&P Assigns Prelim B (sf) Rating to Class E Notes
DEER PARK: Fitch Gives B-(EXP)sf Rating to Class E Debt
PALMER SQUARE 2020-1: Fitch Rates Class F Notes B(EXP)sf


L U X E M B O U R G

CORESTATE CAPITAL: S&P Cuts Sr. Unsec. Debt Rating to BB


N E T H E R L A N D S

AURORUS 2020: DBRS Finalizes B Rating on Class F Notes


R U S S I A

HAMKORBANK JSCB: S&P Alters Outlook to Neg. & Affirms B+/B ICR


S W E D E N

SAS: Awaits Bondholder Approval for Recapitalization Plan


U N I T E D   K I N G D O M

EUROSAIL-UK 2007-6: Fitch Affirms B+sf Class B1a Notes
HURRICANE BIDCO: Fitch Gives GBP290M Sr. Sec. Notes Final B+ Rating
SEADRILL LTD: Debt Talks May Leave Shareholders with No Ownership
STRATTON MORTGAGE 2020-1: Fitch Gives Final Bsf Rating to F Notes
STRATTON MORTGAGE 2020-1: S&P Puts BB (sf) Rating to F-Dfrd Notes

TRAVELEX HOLDINGS: S&P Cuts ICR to D, Then Withdraws Rating
VIRGIN ATLANTIC: Creditors Support GBP1.2-Bil. Rescue Package
WARWICK FINANCE: DBRS Confirms BB (high) Rating on Class E Notes

                           - - - - -


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

WIRECARD AG: Axes More Than Half of Remaining Staff in Germany
--------------------------------------------------------------
Hans Seidenstuecker, Patricia Uhlig and Tom Sims at Reuters report
that the collapsed payments company Wirecard has let go more than
half of its remaining staff in Germany and terminated the contracts
of its management board members, its insolvency administrator
said.

News of the layoffs came as Wirecard's demise amid an accounting
scandal entered a new phase, with the official opening of
insolvency proceedings on Aug. 25, Reuters relates.

According to Reuters, Michael Jaffe, the insolvency administrator,
said "far-reaching" cuts were needed to keep Wirecard's core
business operational.

The company is laying off around 730 staff, while retaining 570 at
its base in Aschheim, Germany, Reuters discloses.

The three remaining board members whose contracts were terminated
included Chief Executive James Fries, who joined Wirecard only
recently to succeed Markus Braun, who remains in custody, Reuters
notes.

Wirecard was a rising star in corporate Germany, earning a spot as
one of 30 blue chips, but in a dramatic fall from grace, Wirecard
filed for insolvency owing creditors EUR4 billion (US$4.73 billion)
after disclosing a EUR1.9 billion hole in its accounts, Reuters
recounts.




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I R E L A N D
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DEER PARK CLO: S&P Assigns Prelim B (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Deer Park
CLO DAC's class X to E European cash flow CLO notes. At closing,
the issuer will issue unrated subordinated notes.

The preliminary ratings 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.

-- The transaction's legal structure, which S&P expects to be
bankruptcy remote.

-- The transaction's counterparty risks, which S&P expects to be
in line with its counterparty rating framework.

  Portfolio Benchmarks
                                                  Current
  S&P weighted-average rating factor             2,606.69
  Default rate dispersion                          691.37
  Weighted-average life (years)                      5.31
  Obligor diversity measure                        121.29
  Industry diversity measure                        18.13
  Regional diversity measure                         1.27

  Transaction Key Metrics
                                                  Current
  Portfolio weighted-average rating
   derived from our CDO evaluator                     'B'
  'CCC' category rated assets (%)                     1.8
  Covenanted 'AAA' weighted-average recovery (%)    37.50
  Covenanted weighted-average spread (%)             3.50
  Covenanted weighted-average coupon (%)             4.00

One notable feature in this transaction is the introduction of loss
mitigation loans. Loss mitigation loans allow the issuer to
participate in potential new financing initiatives by the borrower
in default. This feature aims to mitigate the risk of other market
participants taking advantage of CLO restrictions, which typically
do not allow the CLO to participate in a defaulted entity new
financing request, and hence increase the chance of increased
recovery for the CLO. Whilst the objective is positive, it can also
lead to par erosion, as additional funds will placed with an entity
that is under distress or in default. S&P said, "This may cause
greater volatility in our ratings if the positive effect of such
loans does not materialize. In our view, the restrictions on the
use of proceeds and the presence of a bucket for such loss
mitigation loans helps to mitigate the risk."

Loss mitigation loan mechanics

Under the transaction documents, the issuer can purchase loss
mitigation loans which are assets of an existing collateral
obligation held by the issuer offered in connection with
bankruptcy, workout, or restructuring of such obligation, to
improve the recovery value of such related collateral obligation.

The purchase of loss mitigation loans is not subject to the
reinvestment criteria or the eligibility criteria. It receives no
credit in the principal balance definition, although where the loss
mitigation loan meets the eligibility criteria with certain
exclusions, it is accorded defaulted treatment in the par coverage
tests. The cumulative exposure to loss mitigation loans is limited
to 10% of target par.

The issuer may purchase loss mitigation loans using either interest
proceeds, principal proceeds, or amounts standing to the credit of
the supplemental reserve account. The use of interest proceeds to
purchase loss mitigation loans are subject to (1) all the interest
and par coverage tests passing following the purchase, and (2) the
manager determining there are sufficient interest proceeds to pay
interest on all the rated notes on the upcoming payment date. The
usage of principal proceeds is subject to (1) passing par coverage
tests and the manager having built sufficient excess par in the
transaction so that (2) the principal collateral amount is equal to
or exceeding the portfolio's target par balance after the
reinvestment.

To protect the transaction from par erosion, any distributions
received from loss mitigation loans which are either (1) purchased
with the use of principal, or (2) purchased with interest or
amounts in the supplemental account, but which have been afforded
credit in the coverage test, will irrevocably form part of the
issuer's principal account proceeds and cannot be recharacterized
as interest.

Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately three years after
closing.

S&P said, "We understand that at closing the portfolio will be
well-diversified, primarily comprising broadly syndicated
speculative-grade senior-secured term loans and senior-secured
bonds. Therefore, we have conducted our credit and cash flow
analysis by applying our criteria for corporate cash flow CDOs.

"In our cash flow analysis, we used the EUR350 million target par
amount, the covenanted weighted-average spread (3.50%), the
reference weighted-average coupon (4.00%), and the target minimum
weighted-average recovery rate as indicated by the collateral
manager. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category."

The transaction includes an amortizing reinvestment target par
amount, which is a predetermined reduction in the value of the
transaction's target par amount unrelated to the principal payments
on the notes. This may allow for the principal proceeds to be
characterized as interest proceeds when the collateral par exceeds
this amount, subject to a limit, and affect the reinvestment
criteria, among others. This feature allows some excess par to be
released to equity during benign times, which may lead to a
reduction in the amount of losses that the transaction can sustain
during an economic downturn. Hence, in S&P's cash flow analysis, it
has considered scenarios in which the target par amount declined by
the maximum amount of reduction indicated by the arranger.

S&P said, "Under our structured finance sovereign risk criteria, we
consider that the transaction's exposure to country risk is
sufficiently mitigated at the assigned preliminary ratings.

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

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

"We expect the transaction's legal structure and framework to be
bankruptcy remote, in line with our legal criteria.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our preliminary ratings
are commensurate with the available credit enhancement for the
class X to E notes. Our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses
commensurate with the same or higher rating levels than those we
have assigned. However, as the CLO will be in its reinvestment
phase starting from closing, during which the transaction's credit
risk profile could deteriorate, we have capped our preliminary
ratings assigned to the notes.

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

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class 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 rate of spread and peak of the coronavirus outbreak. S&P said,
"Some government authorities estimate the pandemic will peak about
midyear, and we are using this assumption in assessing the economic
and credit implications. 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."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it will be managed by Blackstone/GSO
Debt Funds Management Europe Ltd.

  Ratings List

  Class   Prelim.   Prelim. amount  Interest  Credit
          Rating     (mil. EUR)     rate (%)   enhancement (%)
  X       AAA (sf)      1.40        3mE + 0.70     N/A
  A1      AAA (sf) 204.75      3mE + 1.45    41.50
  A2A     AA (sf)       25.10       3mE + 2.00    31.00
  A2B     AA (sf)       11.65       2.50          31.00
  B       A (sf))       24.15       3mE + 3.00    24.10
  C       BBB (sf)      21.35       3mE + 4.00    18.00
  D       BB (sf)       19.13       3mE + 6.05    12.53
  E       B (sf)        7.93        3mE + 8.10    10.27
  Subordinated NR 28.462      N/A            N/A

  NR--Not rated.
  N/A--Not applicable.
  3mE--Three-month Euro Interbank Offered Rate.


DEER PARK: Fitch Gives B-(EXP)sf Rating to Class E Debt
-------------------------------------------------------
Fitch Ratings has assigned Deer Park CLO DAC expected ratings.

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

RATING ACTIONS

Deer Park CLO DAC

Class A-1; LT AAA(EXP)sf; Expected Rating

Class A-2A; LT AA(EXP)sf; Expected Rating

Class A-2B; LT AA(EXP)sf; Expected Rating

Class B; LT A(EXP)sf; Expected Rating

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

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

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

Class X; LT AAA(EXP)sf; Expected Rating

TRANSACTION SUMMARY

Deer Park CLO DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of senior unsecured,
mezzanine, second-lien loans and high-yield bonds. Note proceeds
will be used to fund a portfolio with a target par of EUR350
million. The portfolio will be actively managed by Blackstone/GSO
Debt Funds Management Europe Limited. The collateralised loan
obligation (CLO) will have a 3.1-year reinvestment period and an
8.5-year weighted average life (WAL).

KEY RATING DRIVERS

'B+'/'B' Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors in the 'B+'/'B' category. The Fitch
weighted average rating factor (WARF) of the identified portfolio
is 31.21.

High Recovery Expectations: At least 90% of the portfolio will
comprise senior secured obligations. Fitch views the recovery
prospects for these assets as more favourable than for second-lien,
unsecured and mezzanine assets. The Fitch weighted average recovery
rate (WARR) of the identified portfolio is 65.44%.

Diversified Asset Portfolio: The transaction will have four Fitch
test matrices corresponding to two top- 10 obligors' concentration
limits at 15% and 25%; and two fixed-rate asset limits at 0% and
10%. The transaction also includes various concentration limits,
including at maximum exposure to the three largest (Fitch-defined)
industries in the portfolio at 40%. These covenants ensure the
asset portfolio will not be exposed to excessive concentration.

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

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

Deviation from Model-implied Ratings: The assigned ratings for the
class C, D, and E notes deviate from the model-implied ratings
under the new assumptions of the updated CLOs and Corporate CDOs
Rating Criteria, which was published on August 17, 2020 and
effective immediately for new ratings. The new assumptions mostly
affect recoveries and include the revision of the WARR calculation,
for names that are not rated by Fitch, which is now derived from
'BB' assumptions rather than 'B' assumptions previously.

The transaction's documentation does not reflect the new criteria.
Fitch has deviated by one notch above the model-implied ratings
since the impact on WARR in the magnitude of -1.5% was not deemed
material.

RATING SENSITIVITIES

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

A 25% decrease to the portfolio's mean default rate across all
rating levels, and a 25% increase of the recovery rate at all
rating levels, would lead to an upgrade of up to five notches,
while the class A notes' ratings are at the highest level on
Fitch's scale and therefore cannot be upgraded.

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

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

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

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

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

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

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

Coronavirus Downside Scenario: Fitch has added a sensitivity
analysis that contemplates a more severe and prolonged economic
stress caused by a re-emergence of infections in the major
economies, before a halting recovery begins in 2Q21. The downside
sensitivity incorporates the stresses of applying a notch downgrade
to all Fitch-derived ratings in the 'B' rating category and
applying a 0.85 recovery rating multiplier to all other assets in
the portfolio. Such a scenario would lead to a downgrade of up to
five notches for the rated notes.

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

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

DATA ADEQUACY

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

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

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

PALMER SQUARE 2020-1: Fitch Rates Class F Notes B(EXP)sf
--------------------------------------------------------
Fitch Ratings has assigned Palmer Square European CLO 2020-1 DAC
expected ratings.

RATING ACTIONS

Palmer Square European CLO 2020-1 DAC

Class A; LT AAA(EXP)sf Expected Rating

Class B; LT AA(EXP)sf Expected Rating

Class C; LT A(EXP)sf Expected Rating

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

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

Class F; LT B(EXP)sf Expected Rating

Sub. notes; LT NR(EXP)sf Expected Rating

TRANSACTION SUMMARY

Palmer Square European Loan Funding 2020-1 DAC (the issuer) is an
arbitrage cash flow collateralised loan obligation (CLO) that will
be serviced by Palmer Square Europe Capital Management LLC (Palmer
Square). Net proceeds from the issuance of the notes will be used
to purchase a static pool of primarily secured senior loans and
bonds with a component of mezzanine obligations and high yield
bonds, totalling approximately EUR200 million.

KEY RATING DRIVERS

'B+'/'B' Portfolio Credit Quality: Fitch considers the average
credit quality of obligors to be in the 'B+'/'B' category. The
Fitch weighted average rating factor (WARF) of the identified
portfolio is 30.9.

High Recovery Expectations: 97.6% of the identified 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 (WARR)
of the identified portfolio is 68.8%.

Diversified Portfolio Composition: The largest three industries
compose 34.8% of the portfolio balance in aggregate, the top 10
obligors represent 13.5% of the portfolio balance in aggregate and
there is no single obligor that represents more than 1.6% of the
portfolio.

Portfolio Management: The transaction does not have a reinvestment
period and discretionary sales are not permitted. Fitch's analysis
is based on the identified portfolio with the base-case scenario
stress described under "Coronavirus Baseline Scenario Impact".

The issuer is permitted to sell certain types of securities
(defaulted assets, exchange securities and credit impaired assets)
at any time. The sales proceeds will be deposited in the principal
account and disbursed according to the priorities of payment.

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

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

Deviation from Model-implied Ratings: The model-implied ratings
based off of the identified portfolio for the class D and E notes
were two notches higher and the class B, C and F notes were one
notch higher than the assigned expected ratings. However, the
current ratings reflect that as a static transaction, the servicer
has limited ability to address potential adverse selection as the
portfolio amortises or refinances and to manage the portfolio
through a potentially recessionary environment caused by the
coronavirus pandemic.

RATING SENSITIVITIES

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

  - A reduction of the default rate (RDR) at all rating levels by
25% of the mean RDR and an increase in the recovery rate (RRR) by
25% at all rating levels would result in an upgrade of at least one
notch but no more than five notches across the structure.

  - Except for the class A notes, which are already at the highest
'AAAsf' rating, upgrades may occur in case of better than expected
portfolio credit quality and deal performance, leading to higher
credit enhancement and excess spread available to cover for losses
on the remaining portfolio. If the asset prepayment speed is faster
than expected and outweigh the negative pressure of the portfolio
migration, this may increase credit enhancement and potentially add
upgrade pressure on the 'AAsf' rated notes. However, upgrades are
not expected in the near-term in light of the coronavirus
pandemic.

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

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

  - 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 level
of default and portfolio deterioration. As the disruptions to
supply and demand due to COVID-19 become apparent for other
vulnerable sectors, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the view of its Leveraged Finance team.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the 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. They represent 29% of the portfolio
balance. This scenario shows resilience of the expected ratings of
all the classes of notes.

Coronavirus Downside Scenario

In addition to the base scenario Fitch has defined a downside
scenario for the current crisis, where by all ratings in the 'Bsf'
category would be downgraded by one notch and recoveries would be
lower by a haircut factor of 15%. This scenario results in a rating
change of one to two notches.

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.



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

CORESTATE CAPITAL: S&P Cuts Sr. Unsec. Debt Rating to BB
--------------------------------------------------------
S&P Global Ratings lowered its ratings on CORESTATE Capital Holding
(Corestate) and its senior unsecured debt to 'BB' from 'BB+'.

Corestate's first-half 2020 results are worse than expected with
weaker performance prospects for the full year.   S&P said, "The
downgrade follows our review of Corestate's business developments
and forecasts in light of the COVID-19 pandemic and economic
slowdown, four months after our previous rating action. We assume a
50% haircut of Corestate's revenue from warehousing and other
volatile sources in our forecasts, but results in the first half of
2020 proved substantially weaker than these relatively conservative
assumptions. Amid the pandemic, transaction-related revenue from
warehousing, alignment capital, and other higher-risk asset
segments were much lower than Corestate's guidance. Consequently,
our EBITDA projections for the full year are now 50% lower, with
leverage increasing and cash flow prospects worsening, despite
continued stable fee income from asset and property management.
However, we expect a meaningful rebound of revenue and EBITDA in
2021 and 2022, assuming the economy rebounds, although results are
unlikely to exceed those in 2018-2019."

S&P said, "We now forecast leverage at 6x-7x by year-end 2020.  Our
net debt to EBITDA ratio for Corestate is likely to spike at 6x-7x
by the year-end 2020 but to recover rapidly in 2021 to 3.0x-3.5x,
which is still worse than our pre-COVID forecasts. At the same
time, we now believe the company's publicly stated leverage
guidance of 2.0x-3.0x may be difficult to achieve and sustain
before late 2022 or early 2023 from the earnings side perspective.
This is despite Corestate's recently demonstrated flexibility in
dividend distribution, since we believe payouts will resume in
2021. On the cash flow side, we assume funds from operations to net
debt will rebound to slightly over 20% in 2021, in line with our
view that Corestate's financial risk profile is now significant
rather than intermediate."

There are no maintenance covenants but approaching 2022 debt
maturities may create liquidity pressure.  Corestate is subject to
a debt incurrence limit but no debt maintenance covenant. This
means the debt to EBITDA threshold of 3.5x is relevant for the
issuance of new debt only. However, leverage will become
increasingly important closer to the maturity of EUR200 million of
debt in 2022, especially since if S&P foresees pressure on
Corestate's liquidity assessment if repayment or refinancing is not
addressed early enough. Currently, Corestate has a solid liquidity
buffer, with liquidity sources covering uses by 1.7x over the next
12 months.

Focus on less volatile segments may mean lower profitability but
cost efficiency programs could bear fruit,   Corestate is striving
for higher cost efficiency and more stable earnings through the
cycle than in the first half of this year, partly through targeting
more core assets and stable real estate segments such as logistics.
These segments may help smooth Corestate's profitability, but the
associated drop in margins could be partly counterbalanced by a
reduction of operating costs in the next 12-24 months to below 40%
of revenues from over 50% estimated for 2020.

Longer-term residential property market prospects may help
Corestate recover from the current stress.  S&P said, "We still
expect Corestate's residential niche to remain relatively low-risk
due to persistent structural supply shortages. This is although
micro-living or serviced apartments may currently be under more
stress than typically longer-term lease residential assets.
Overall, we don't expect a material correction of the residential
real estate markets in Germany or other countries where Corestate
operates. We expect that Corestate can benefit from strong
undersupply in the residential market and the low-interest-rate
environment, which should fuel construction activity in the medium
term at least." This is particularly relevant for Germany,
Corestate's main market, which represents over 75% of invested
assets under management.

S&P said, "The negative outlook reflects the risks to our base case
expectation of significant deleveraging in 2021 and 2022. This is
because parts of Corestate business and revenue mix may suffer
long-term effects from the pandemic and therefore not recover as
quickly as economic activity. There is a risk that leverage would
not sustainably improve, also due to further significant EBITDA
volatility and cost pressures.

"We may downgrade Corestate if, despite management's initiatives,
we don't expect leverage will decrease sustainably to 3.0x-3.5x or
lower by the end 2021. This could happen if revenue, notably from
transactions, remain depressed for longer than we anticipate due to
the COVID-19-related economic downturn or Corestate's inability to
reduce costs to mitigate the negative effect on the bottom line.

"We could revise our outlook to stable if the revenue weakness
proved temporary and Corestate sustainably decreased leverage to
3.0x-3.5x over the next 12 months, while generating significantly
higher and more stable revenue and EBITDA."




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

AURORUS 2020: DBRS Finalizes B Rating on Class F Notes
------------------------------------------------------
DBRS Ratings Limited finalized its provisional ratings on the notes
issued by Aurorus 2020 B.V. (the Issuer) as follows:

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

DBRS Morningstar did not rate the Class G Notes, Class X Notes, or
Class RS Notes issued in this transaction.

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 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 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
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 has been funded through the issuance proceeds of
the Class X and Class RS notes. The balance of the reserve is
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.

Notes: All figures are in Euros unless otherwise noted.




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

HAMKORBANK JSCB: S&P Alters Outlook to Neg. & Affirms B+/B ICR
--------------------------------------------------------------
S&P Global Ratings revised its outlook on Uzbekistan-based
Hamkorbank JSCB to negative from stable. S&P affirmed its 'B+/B'
long- and short-term issuer credit ratings on the bank.

S&P said, "The outlook revision reflects our view that potential
increase of problem loans and currently low provisioning coverage
ratio may put pressure on Hamkorbank's risk profile and capital
position.

"We think that the bank's problem assets may substantially increase
and exceed those of peers due to COVID-19-related challenges and
considering the significant share of borrowers who are on payment
holidays. As of mid-2020, the bank provided customers with payment
holidays to amounting to UZS4.0 billion, or 59% of its loan
portfolio, which is higher than for other banks, both state owned
and private. Although, we expect that most of the bank's borrowers
will return to a normal servicing of their debt, the high share of
restructured loans will likely give way to a pronounced increase of
problem loans by year-end 2020. This reflects a significant
exposure of the bank's loan portfolio to retail, private
entrepreneurs, and SME (about 68% as of year-end 2019)--the
segments most vulnerable to COVID-19 lockdown and expected economic
slowdown. In our base case, we expect that the bank's problem
assets (those in Stage 3 and repossessed collateral) could increase
to 17% of total loans by year-end 2020. However, we cannot exclude
that COVID-19 impacts on the bank's asset quality may be greater or
lesser depending on the toll lockdown measures take on the
borrowers' creditworthiness.

"In our view, a very low provisioning coverage ratio is a weakness
of the bank's risk position and may lead to higher provisioning
needs and profitability pressure. At year-end 2019, the bank's
provisioning coverage ratio was about 20%, versus 65%-70% for other
banks in the system. Although high collateral somewhat offsets the
lack of provisions, we think that the bank may face elevated
provisioning needs in the coming 12-18 months due to a simultaneous
decline of collateral value caused by economic slowdown and rising
problem loans.

"Nevertheless, we think that the bank's inherently strong earnings
power will enable it to absorb an anticipated high amount of credit
losses associated with COVID-19 and remain profit-making in
2020-2021. We also forecast that the bank will preserve its high
capital buffer with our risk-adjusted capital (RAC) ratio remaining
above 7.5% by year-end 2021. That said, downside risks to this
forecast remain acute considering negative trends related to
economic risk in Uzbekistan.

"We note that de facto restrictions imposed by the Central Bank of
Uzbekistan on lending interest rates in July 2020, coupled with our
anticipation of higher cost-of-risk of 4.2% in 2020 and about 2.0%
in 2021, will constrain the bank's profitability. We cannot exclude
that the bank may receive capital support in 2021 from the existing
or a new shareholder to counterbalance pressure on its capital
position and support growth, but it remains highly uncertain at
this time.

"In our view, the bank's sound and stable franchise in SME and
retail lending, sizable customer base, and diversified lending mix
will support its business position. We view that the presence of
international financial institutions among shareholders underpins
the bank's relatively good corporate governance and transparency,
which we consider to be better than for other Uzbek banks, on
average.

"Hamkorbank has adequate liquidity, in our view. At July 1, 2020,
the bank's highly liquid assets covered about 40% of its total
customer deposits. As of mid-2020, funds attracted from
international financial institutions dominate the bank's funding
mix and represent about 50% of its total liabilities. We view these
funds as relatively stable and long term, with maturity tied to the
maturity of provided loans. That said, we cannot exclude that the
bank may breach covenants on asset quality for some of the funds
this year. Nevertheless, we expect that most of the international
financial institutions will provide a waiver to the bank and will
not withdraw their funds. In our base-case scenario, we therefore
do not expect marked strain on the bank's liquidity.

"The negative outlook on Hamkorbank reflects our view that the
bank's creditworthiness may deteriorate in the next 12 months due
to a significant increase of problem loans and credit losses caused
by COVID-19 pandemic containment measures, which may weigh heavily
on its risk profile and capital buffer.

"We could downgrade Hamkorbank in the next 12 months if the share
of the bank's problem assets proves to be higher than we currently
expect, materially exceeding those of peers, and the bank's
provisioning coverage ratio remains low. We could also take a
negative rating action if the bank's currently solid capital
position materially deteriorates with our forecast RAC ratio going
well below 7.0% due to higher economic risks in Uzbekistan and
growing credit losses.

"We could revise the outlook to stable if the bank's share of
problem assets remains close to that of peers with similar lending
mix, and the bank materially improves its coverage of problem loans
by provisions. An outlook revision to stable is possible only if
the bank preserves its adequate capital buffer with our RAC ratio
sustainably higher than 7.0% and capital adequacy ratio exceeding
remaining at least 100 basis points above regulatory threshold."




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

SAS: Awaits Bondholder Approval for Recapitalization Plan
---------------------------------------------------------
Philip Georgiadis at The Financial Times reports that Scandinavian
airline SAS said it was waiting for bondholder approval for its
recapitalization plan as the pandemic rips into airline balance
sheets across Europe.

SAS reported a SEK2.07 billion (US$240 million) loss in its most
recent quarter, the FT relates.

According to the FT, Chief executive Rickard Gustafson told Reuters
that the airline would be in a "very, very serious situation" if
the debt-to-equity plan did not receive support next month.





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

EUROSAIL-UK 2007-6: Fitch Affirms B+sf Class B1a Notes
------------------------------------------------------
Fitch Ratings has affirmed 15 Eurosail UK tranches, upgraded two
and removed eight from Rating Watch Negative (RWN).

RATING ACTIONS

ENTITY/DEBTRATING

Eurosail-UK 2007-6 NC Plc

Class A3a XS0332285971; LT AA+sf Affirmed; previously AA+sf

Class B1a XS0332286862; LT B+sf Affirmed; previously B+sf

Class C1a XS0332287084; LT Bsf Affirmed; previously Bsf

Class D1a XS0332287597; LT CCCsf Affirmed; previously CCCsf

Eurosail-UK 2007-1 NC Plc

Class A3a XS0284931853; LT AAAsf Affirmed; previously AAAsf

Class A3c 298800AJ2; LT AAAsf Affirmed; previously AAAsf

Class B1a XS0284932315; LT AAsf Upgrade; previously A+sf

Class B1c XS0284947263; LT AAsf Upgrade; previously A+sf

Class C1a XS0284933719; LT BBBsf Affirmed; previously BBBsf

Class D1a XS0284935094; LT BB+sf Affirmed; previously BB+sf

Class D1c XS0284950994; LT BB+sf Affirmed; previously BB+sf

Class E1c XS0284956330; LT B+sf Affirmed; previously B+sf

Eurosail-UK 2007-5 NP Plc

Class A1a XS0328024608; LT B+sf Affirmed; previously B+sf

Class A1c XS0328025241; LT B+sf Affirmed; previously B+sf

Class B1c XS0328025324; LT Bsf Affirmed; previously Bsf

Class C1c XS0328025597; LT CCCsf Affirmed; previously CCCsf

Class D1c XS0328025670; LT CCCsf Affirmed; previously CCCsf

TRANSACTION SUMMARY

The transactions comprise non-conforming UK mortgage loans
originated by Southern Pacific Mortgage Limited (formerly wholly
owned subsidiaries of Lehman Brothers) and Alliance & Leicester.

KEY RATING DRIVERS

Off RWN

Fitch has removed the affected notes from RWN, where they were
placed in April 2020 in response to the coronavirus outbreak. Fitch
has now analysed the transactions under its coronavirus assumptions
(see EMEA RMBS: Criteria Assumptions Updated due to Impact of the
Coronavirus Pandemic) and considered the ratings sufficiently
robust to be affirmed.

Error Correction

The upgrades of the class B1a and B1c notes in Eurosail-UK 2007-1
NC Plc are due partly to a correction of an analytical error. In
its previous assignment of ratings Fitch incorrectly calculated the
constant default rate to be applied in the resiglobal asset model.
This resulted in greater foreclosure frequency being applied, with
the effect larger at higher rating levels. As a result, lower
model-implied ratings were derived for the class B1a and B1c
notes.

Coronavirus-related Assumptions

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

The combined application of revised 'Bsf' representative pool
weighted average foreclosure frequency (WAFF), revised rating
multiples and arrears adjustment for both the owner-occupied and
the buy-to-let sub-pools, resulted in a multiple to the current FF
assumptions ranging from 1.1x to 1.2x at 'Bsf' and of about 1.0x at
'AAAsf' in each transaction. The coronavirus assumptions are more
modest for higher rating levels as the corresponding rating
assumptions are already designed to withstand more severe shocks.

Fitch also applied a payment holiday stress for the first six
months of projected collections, assuming 30% of interest
collections will be lost, and related principal receipts will be
delayed. This reflects the current payment holiday percentage data
provided by the servicer plus a small margin of safety. The payment
holiday percentage for these pools as of July 2, 2020 was 26.5% in
Eurosail 2007-1, 23.7% in Eurosail 2007-5 and 28.1% in Eurosail
2007-6.

Negative Outlook on Eight Tranches

Eurosail 2007-1's class D1a, D1c and E1c, Eurosail 2007-5's class
A1a, A1c and B1c and Eurosail 2007-6's class B1a and C1a notes have
been assigned Negative Outlooks. Fitch considers these classes
vulnerable to collateral underperformance given their limited
protection or to prolonged periods of pro-rata amortisation. The
notes with Negative Outlooks have a limited margin of safety at
their current ratings.

Sequential Payments to Continue

Fitch expects Eurosail 2007-1 to continue amortising sequentially.
Pro rata amortisation is being stopped by a breach of the 90 days
plus arrears trigger. Fitch does not expect this trigger to cure.

Eurosail 2007-6 breached the 90 days plus arrears trigger of 22.5%
as of June 2020, with the current value 23.5%. The sequential
amortisation reversed to pro-rata basis at the beginning of 3Q17.
The current breach is lower than 1%, meaning there may be
volatility around the trigger. If the payment basis switches to
pro-rata and it prevails until the 10% mandatory switch to
sequential is reached, the class B1a and C1a notes will be more
exposed to collateral underperformance than if the transaction
continues to amortise sequentially.

The servicer reports the balance of loans in arrears in terms of
loans with overdue monthly contractual payments, referred to as
delinquencies, and loans with overdue monthly contractual payments
and/or outstanding fees or other amounts due, known as amounts
outstanding. Fitch has used the balances of loans reported with
delinquencies in its analysis.

Tail Risk Not Mitigated

Fitch believes Eurosail 2007-5 will be exposed to significant tail
risk. In Fitch's back-loaded default distribution scenarios, the
transaction is likely to repay principal on a pro-rata basis until
the aggregate principal amount outstanding of the notes is less
than 10% of the original pool balance. At the same time, the
transaction's reserve fund will amortise and the fixed senior costs
the transaction must pay will deplete any excess spread available
to meet interest payments on the notes, as the pool balance
shrinks.

RATING SENSITIVITIES

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing credit enhancement and
potential upgrades. Fitch tested an additional rating sensitivity
scenario by applying a decrease in the FF of 15% and an increase in
the recovery rate (RR) of 15%. The ratings for the subordinated
notes could be upgraded by up to five notches in Eurosail 2007-1,
2007-5 and 2007-6.

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

The broader global economy remains under stress due to the
coronavirus pandemic, with surging unemployment and pressure on
businesses stemming from social-distancing guidelines. Recent
government measures related to the coronavirus pandemic initially
introduced a suspension on tenant evictions for three months and
mortgage payment holidays, also for up to three months. Fitch
acknowledges the uncertainty of the path of coronavirus-related
containment measures and has therefore considered more severe
economic scenarios.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases", Fitch considers a more severe downside coronavirus
scenario for sensitivity purposes whereby a more severe and
prolonged period of stress is assumed with a halting recovery from
2Q21. Under this scenario, Fitch assumed a 15% increase in the WAFF
and a 15% decrease in the weighted average recovery rating. The
results indicate downgrades of up to four notches in Eurosail
2007-1, 2007-5 and 2007-6.

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

Additionally, unanticipated declines in recoveries could also
result in lower net proceeds, which may make certain notes' ratings
susceptible to negative rating action depending on the extent of
the decline in recoveries. Fitch conducts sensitivity analyses by
stressing a transaction's base-case FF and RR assumptions, and
examining the rating implications for all classes of issued notes.

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

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

DATA ADEQUACY

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

Fitch did not undertake a review of the information provided about
the underlying asset pools ahead of the transactions' initial
closing. The subsequent performance of the transactions over the
years is consistent with the agency's expectations given the
operating environment and Fitch is therefore satisfied that the
asset pool information relied upon for its initial rating analysis
was adequately reliable.

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.

ESG CONSIDERATIONS

Eurosail-UK 2007-1 NC Plc: Customer Welfare - Fair Messaging,
Privacy & Data Security: 4, Human Rights, Community Relations,
Access & Affordability: 4

Eurosail-UK 2007-5 NP Plc: Customer Welfare - Fair Messaging,
Privacy & Data Security: 4, Human Rights, Community Relations,
Access & Affordability: 4

Eurosail-UK 2007-6 NC Plc: Customer Welfare - Fair Messaging,
Privacy & Data Security: 4, Human Rights, Community Relations,
Access & Affordability: 4

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

ES 2007-1, ES 2007-5 and ES 2007-6 have an ESG Relevance Score of 4
for "Human Rights, Community Relations, Access & Affordability" due
to a significant proportion of the pools containing owner-occupied
loans advanced with limited affordability checks, which has a
negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

ES 2007-1, ES 2007-5 and ES 2007-6 have an ESG Relevance Score of 4
for "Customer Welfare - Fair Messaging, Privacy & Data Security"
due to the pools exhibiting an interest-only maturity concentration
of legacy non-conforming owner-occupied loans of greater than 20%,
which has a negative impact on the credit profile, and is relevant
to the ratings in conjunction with other factors.

HURRICANE BIDCO: Fitch Gives GBP290M Sr. Sec. Notes Final B+ Rating
-------------------------------------------------------------------
Fitch Ratings has assigned Hurricane Bidco Ltd's (Paymentsense)
senior secured notes of GBP290 million a final rating of
'B+'/'RR3'/64% following receipt of the final documentation. The
notes are issued by its subsidiary Hurricane Finance Plc.

The ratings of Paymentsense (B/Stable) are constrained by its small
scale, limited geographic and value chain diversification and high
initial leverage with funds from operations (FFO) gross leverage,
which Fitch expects to peak at 7.1x by financial year to March
2021.

The ratings are supported by a strong growth profile in the UK
payments market, a recurring cash- generative business model, a
diversified SME customer base and supportive industry dynamics with
the continuing shift by consumers from cash to card payments.

Even in a low growth scenario, Fitch expects FY22 revenue to be
around GBP140 million (including a GBP15 million increase in
terminal revenues) with almost a 40% EBITDA margin, providing
Paymentsense with deleveraging capacity to reduce FFO gross
leverage to below 6.0x by FYE22.

KEY RATING DRIVERS

Small Scale, Limited Diversification: Paymentsense's limited
geographic and value chain diversification is underlined by a focus
on the SME segment, and on the UK and Ireland (where the company is
the third-largest merchant service provider). Paymentsense has been
growing rapidly over the last several years, successfully gaining
market share but with a card turnover of around GBP13 billion its
FY20 EBITDA of GBP32 million is small.

Ability to Gain Market Share: Paymentsense holds a number three
market position based on the number of customers. Its customer base
has been growing rapidly, supported by an SME bespoke distribution
strategy. Underpinned by independent payment consultants,
collaboration/integration with independent software vendors and
value-added resellers, the customer acquisition strategy allows
Paymentsense to economically win lifetime value (LTV) customers
with an attractive LTV/CAC (customer acquisition cost) multiple.
However, some execution risks remain in its ambition to rapidly
increase its market share and profitability.

Beneficiary of Electronic Payments Shift: Paymentsense benefits
from the ongoing trend of cash-to-card migration. Cash payments in
the UK declined to under 30% of total payments in 2018 from around
60% in 2008, with card payments surpassing cash in 2017. Fitch
believes that the secular shift to card/electronic forms of payment
will continue to provide a revenue support for card payment
enablers and merchant acquirers such as Paymentsense, which provide
essential technology in the payment infrastructure.

COVID-19 Hit 1Q Sales: Paymentsense's operations are predominantly
in a face-to-face segment with cafe/restaurants/catering /pubs/bars
segment representing around 28% of FY20 revenue. In the quarter
ending June 2020, revenue declined 14% qoq due to the pandemic.
Fitch expects card turnover to recover to pre-lockdown levels in
the quarter ending September 2020, supporting an expected 11%
growth in FY21 versus the high double-digit growth in previous
years.

Pandemic Aids Payment Transition: The pandemic has accelerated the
cash-to-card shift with different sources reporting cash-to-card
displacement at between 9% and 30%. While not all of this
displacement may be sustained as the pandemic eases, Fitch expects
at least some increased adoption of card payments to persist.
Additionally, Fitch notes that the global financial crisis in
2008-2009 saw the number of SMEs increase in spite of economic
difficulties.

Limited Customer Concentration: As of FYE20 Paymentsense had a
portfolio of around 82,000 small- to medium-sized businesses spread
across the UK and Ireland. The SME sector is generally more
susceptible to economic down-cycles. However, Paymentsense's
clients are well-diversified by sector with the company's top-100
clients accounting for only 4% of total revenues.

Cash-Generative Business: More than 80% of Paymentsense's revenues
are recurring, which provides high cash flow visibility. Fitch
expects the company to generate positive free cash flow (FCF) in
FY22 even in its low-growth scenario, and low double-digit free
cash flow (FCF) margins in FY23-FY25 in its medium-growth base
case. Its strong FCF profile is supported by moderate
non-discretionary capex and low working capital requirements.

High Initial Leverage: Post-refinancing, Fitch estimates FFO gross
leverage to peak at 7.1x. Fitch expects Paymentsense to maintain
good capacity for organic deleveraging with FFO gross leverage
decreasing to 5.2x by FYE22 in its base case. The deleveraging
capacity is supported by decreasing capex intensity and assumes no
dividend payments or PIK loan repayments.

Long-term Disintermediation Risk: New payment technologies employed
by other participants in the payment ecosystem are a long-term
threat to disintermediate the current payment infrastructure
dominated by Visa and Mastercard. However, the decision by tech
giants and mobile pay companies such as Google and Apple to
collaborate with payment networks and merchant acquirers rather
than try and develop a proprietary system mitigates this risk in
the next five years.

DERIVATION SUMMARY

Paymentsense has a weaker operating profile than its peers Nets
Topco Lux 3 Sarl (B+/Stable) and Nexi S.p.A. (BB-/Stable), which
both hold leading positions in their markets. Nets is a market
leader in the Nordic payment industry with a full-service offering
across the entire payment value chain. Nexi is a leading merchant
acquirer and payment processer in the less mature Italian market.
Paymentsense's lower rating reflects the company's smaller scale,
limited geographic and value chain diversification compared with
these peers. This is partly mitigated by the company's strong
growth prospects, a similar cash flow-generative business model and
a better deleveraging profile.

KEY ASSUMPTIONS

  - Customer growth at 5% in FY21, constrained by the pandemic.
Customer growth at CAGR of 9% during FY22-FY25.

  - Card turnover to increase above customer growth for the next
four years, reflecting ongoing cash-to-card transition.

  - Processing charge on transactional revenue to improve as
customers on the core platform increase.

  - Excluding terminal revenues, underlying revenue to increase 9%
in FY21, constrained by the pandemic. Revenue to grow 22% in FY22,
supported by economic recovery and a 15pp increase in the
proportion of transactions that are card-based relative to FY20

  - Terminal revenue to rise 31% in FY21 and 81% in FY22,
reflecting an agreement to bring a terminal portfolio in-house, and
ongoing customer growth.

  - EBITDA margin to improve to 45% by FY23 (FY20: 32%).

  - Change in working capital at 2.4% of revenue over the next four
years.

  - Capex to peak at 21.7% of revenues in FY21, reflecting
investment in the core platform. Between 13% and 18% revenue in
FY22-FY25.

  - No dividends in FY21-FY25.

KEY RECOVERY RATING ASSUMPTIONS

  - The recovery analysis assumes that Paymentsense would be
considered as a going concern in a bankruptcy and that it would be
reorganised rather than liquidated. Fitch has assumed a 10%
administrative claim in the recovery analysis.

  - The analysis assumes a post-restructuring EBITDA of GBP40
million, which is 33% below FY22 EBITDA.

  - For its recovery analysis, Fitch applies a post restructuring
enterprise value (EV)/EBITDA multiple of 6.0x. This leads to an
approximately 64% recovery of the senior secured notes, based on
total senior debt of GBP290 million and a fully drawn GBP35 million
revolving credit facility (RCF).

  - PIK loan of GBP90 million is treated as equity.

RATING SENSITIVITIES

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

  - Successful execution of the business plan with an increasing
market share leading to continued revenue growth, in a stable
competitive and regulatory environment.

  - FFO gross leverage sustainably below 5.5x.

  - A sizable sustainable increase in FCF with double-digit FCF
margins.

  - FFO interest coverage sustainably above 3x.

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

  - Loss of market share due to intensified competition, leading to
lower revenue growth and EBITDA margin and weakening FCF.

  - FFO gross leverage remaining above 7.0x.

  - FFO interest coverage sustainably below 2x.

ESG CONSIDERATIONS

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

LIQUIDITY AND DEBT STRUCTURE

Satisfactory Liquidity: Paymentsense had GBP13.4 million of cash
and cash equivalents at FYE20. Post-refinancing, it will have
access to a GBP35 million RCF, which Fitch assumes to be undrawn
until FY25. Fitch expects Paymentsense to generate positive FCF
starting from FY22 on the back of improving revenue and decreasing
capex. It has no major maturities until 2025.

SEADRILL LTD: Debt Talks May Leave Shareholders with No Ownership
-----------------------------------------------------------------
Nerijus Adomaitis at Reuters reports that offfshore drilling rig
contractor Seadrill's ongoing attempt to restructure its massive
debt could leave current shareholders with minimal or no ownership
at all, the Oslo-listed company warned on Aug. 25.

According to Reuters, demand for exploration and drilling has
fallen further during the COVID-19 pandemic as oil firms seek to
preserve cash, idling more rigs and leading to further overcapacity
in the industry.

Seadrill, controlled by Norwegian-born tycoon John Fredriksen, said
it has failed to convince its 43 lenders to adjust the terms of its
US$5.7 billion bank debt, Reuters relates.

"As a consequence, we did not proceed with the bank consent and
have retained financial and legal advisors to prepare for a
comprehensive restructuring of our balance sheet, such a
restructuring may involve the use of a court-supervised process,"
Reuters quotes the company as saying.

The company had total debt and liabilities of US$7.3 billion at the
end of the second quarter, Reuters discloses.

                      About Seadrill Ltd.

Seadrill Limited is a deepwater drilling contractor providing
drilling services to the oil and gas industry. It is incorporated
in Bermuda and managed from London.  Seadrill and its affiliates
own or lease 51 drilling rigs, which represents more than 6% of the
world fleet.

On Sept. 12, 2017, Seadrill Limited and 85 affiliated debtors each
filed a voluntary petition for relief under Chapter 11 of the
United States Bankruptcy Code (Bankr. S.D. Tex. Lead Case No.
17-60079) after reaching terms of a reorganization plan that would
restructure $8 billion of funded debt.

Together with the chapter 11 proceedings, Seadrill, North Atlantic
Drilling Limited ("NADL") and Sevan Drilling Limited ("Sevan")
commenced liquidation proceedings in Bermuda to appoint joint
provisional liquidators and facilitate recognition and
implementation of the transactions contemplated by the RSA and
Investment Agreement.

On July 2, 2018, Seadrill emerged from U.S. Chapter 11 bankruptcy
protection.  Seadrill also commenced dissolution proceedings in
Bermuda in accordance with the confirmed Chapter 11 Plan.


STRATTON MORTGAGE 2020-1: Fitch Gives Final Bsf Rating to F Notes
-----------------------------------------------------------------
Fitch Ratings has assigned Stratton Mortgage Funding 2020-1 plc
final ratings.

RATING ACTIONS

Stratton Mortgage Funding 2020-1 PLC

Class A; LT AAAsf New Rating; previously AAA(EXP)sf

Class B; LT AA-sf New Rating; previously AA-(EXP)sf

Class C; LT Asf New Rating; previously A(EXP)sf

Class D; LT BBBsf New Rating; previously BBB(EXP)sf

Class E; LT BBsf New Rating; previously BB(EXP)sf

Class F; LT Bsf New Rating; previously B(EXP)sf

Class G; LT NRsf New Rating; previously NR(EXP)sf

Class Z1; LT NRsf New Rating; previously NR(EXP)sf

Class Z2; LT NRsf New Rating; previously NR(EXP)sf

Class X1; LT NRsf New Rating; previously NR(EXP)sf

Class X2; LT NRsf New Rating; previously NR(EXP)sf

TRANSACTION SUMMARY

Stratton Mortgage Funding 2020-1 plc (the issuer) is a
securitisation of non-prime owner-occupied (OO) and buy-to-let
(BTL) mortgages backed by properties in the UK. The mortgages were
originated primarily by GMAC-RFC LTD (46%), Edeus Mortgage Creators
Limited (37%), and Kensington Mortgage Company Limited (KMC, 16%).

The assets were previously securitised in the Alba 2006-1 and Alba
2015-1 transactions. These were purchased by Ertow Holdings VI
Designated Activity Company (the seller) and sold to the issuer.
Fitch only rated Alba 2006-1.

KEY RATING DRIVERS

Coronavirus-Related Additional Assumptions

Fitch expects a generalised weakening in borrowers' ability to keep
up with mortgage payments due to the economic impact of the
coronavirus pandemic and related containment measures. As a result,
Fitch applied updated criteria assumptions to Stratton's mortgage
portfolio (see EMEA RMBS: Criteria Assumptions Updated due to
Impact of the Coronavirus Pandemic).

The combined application of the representative pool's revised 'Bsf'
weighted average foreclosure frequency (WAFF), revised rating
multiples and arrears adjustment resulted in a 'Bsf' multiple of
1.23x for the current FF assumptions and 1.04x at 'AAAsf'. The
updated assumptions are more modest for higher ratings as the
corresponding rating assumptions are already meant to withstand
more severe shocks.

Seasoned Non-Prime Loans

The portfolio consists of seasoned loans, originated primarily
between 2005 and 2007. The OO loans (71.1% of the pool) contain a
high proportion of self-certified, interest-only, county court
judgements, restructured loan arrangements and loans in arrears.
Fitch therefore applied its non-conforming assumptions to this
sub-pool.

When setting the originator adjustment for the portfolio Fitch took
into account factors including the historical performance and
average annualised constant default rate since closing of the Alba
2006-1 and Alba 2015-1 transactions. This resulted in an originator
adjustment of 1.0x for the OO sub-pool and 1.5x for the BTL
sub-pool.

Impact of Payment Holidays

As at July 31, 2020, 11.4% of the portfolio's loans were on payment
holidays. In line with Financial Conduct Authority guidance, the
servicers grant payment holidays based on a borrower's
self-certification. Fitch expects providing borrowers with a
payment holiday of up to six months to have a temporary positive
impact on loan performance. However, the transaction may face some
liquidity constraints if a large number of borrowers opt for a
payment holiday.

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

Unhedged Basis Risk

The pool contains 70.3% loans linked to the Bank of England base
rate (BBR), 28.7% are linked to Libor and the remainder is linked
to the standard variable rate of Pepper (UK) Limited, the legal
title holder. As the notes pay daily compounded SONIA, the
transaction will be exposed to basis risk between the BBR and
SONIA. Fitch stressed the transaction cash flows for basis risk, in
line with its criteria.

Note Interest Cap

The interest-bearing notes from class B and below are subject to a
cap of compounded daily SONIA at 8.0%. The maximum interest amount
due will be equal to the cap plus the relevant margin (before or
after the step update). As the asset pool comprises floating rate
loans (linked mainly to BBR or Libor) and the cap does not apply to
the asset yield, Fitch views this this transaction feature as
credit positive in rising interest rate scenarios and neutral in
stable/decreasing interest rate scenarios.

This feature has been captured in Fitch's analysis in line with its
interest rate stresses rating criteria.

RATING SENSITIVITIES

Downgrade Rating Sensitivity to Coronavirus-Related Stresses

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

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

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

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

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

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

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

ESG CONSIDERATIONS

Stratton Mortgage Funding 2020-1 PLC: Customer Welfare - Fair
Messaging, Privacy & Data Security: 4, Human Rights, Community
Relations, Access & Affordability: 4, Data Transparency & Privacy:
4

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

STRATTON MORTGAGE 2020-1: S&P Puts BB (sf) Rating to F-Dfrd Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Stratton Mortgage
Funding 2020-1 PLC's class A, B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd and
F-Dfrd notes. At closing, Stratton Mortgage Funding 2020-1 also
issued unrated class G, X1, X2, Z1, and Z2 notes.

The note issuance is a U.K. RMBS transaction backed by
first-ranking nonconforming owner-occupied and buy-to-let mortgage
loans.

At closing, the issuer purchased the beneficial interest in an
initial portfolio of U.K. residential mortgages from the seller
(Ertow Holdings VI DAC), using the proceeds from the issuance of
the rated notes and the unrated G and Z1 notes. The class Z2 notes'
issuance funded the liquidity reserve's initial amount.

The issuer is an English special-purpose entity, which we assume to
be bankruptcy remote for our credit analysis. There are no rating
constraints in the transaction under our counterparty, operational
risk, or structured finance sovereign risk criteria.

Note interest is paid quarterly on the 12th of March, June,
September, and December, beginning in December 2020. The rated
notes pay interest equal to daily Sterling Overnight Index Average
(SONIA; capped at 8.0% for all rated tranches except the class A
notes) plus a class-specific margin with a further step up in
margin following the optional call date in June 2024. All of the
notes reach legal final maturity in March 2052. The unrated class
G, Z1, and Z2 notes bear zero coupon.

Of the borrowers in the pool, 11.4% have been granted payment
holidays as of July 31, 2020. This figure is broadly in line with
recent U.K. Finance estimates. S&P said, "We have considered the
potential repercussion of the COVID-19 outbreak in our credit and
cash flow analysis. Namely, we have factored a potential rollover
of loans with payment holidays into defaulted category in our
credit analysis. Additionally, our cash flow analysis incorporates
liquidity stresses to capture the risk of payment holidays and a
delayed recovery timing."

S&P said, "Our ratings address the timely payment of interest and
the ultimate payment of principal on the class A notes and the
ultimate payment of interest and principal on the other rated
notes. Our analysis confirms that, at the assigned ratings, the
class B-Dfrd, C-Dfrd, and D-Dfrd notes pay timely senior fees and
accrued interest (including interest that was previously deferred)
once the respective class becomes the most senior class
outstanding.

"Our ratings reflect our assessment of the transaction's payment
structure, cash flow mechanics, and the results of our cash flow
analysis to assess whether the notes would be repaid under stress
test scenarios. Subordination and excess spread provide credit
enhancement to the class A to F-Dfrd notes, which are senior to the
unrated notes and certificates. Taking these factors into account,
we consider that the available credit enhancement for the class A
to F-Dfrd notes is commensurate with the assigned ratings."

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

  Ratings List

  Class     Rating    Amount (mil. GBP)
  A         AAA (sf)    189.60
  B-Dfrd    AA (sf)      17.30
  C-Dfrd    A (sf)       12.40
  D-Dfrd    BBB+ (sf)     9.30
  E-Dfrd    BBB- (sf)     4.40
  F-Dfrd    BB (sf)       2.50
  G-Dfrd    NR            3.80
  Z1        NR            8.63
  Z2        NR            4.58
  X1        NR            1.75
  X2        NR            1.25
  
  NR--Not rated.


TRAVELEX HOLDINGS: S&P Cuts ICR to D, Then Withdraws Rating
-----------------------------------------------------------
S&P Global Ratings said that it lowered its long-term issuer credit
rating on Travelex Holdings Ltd. (Travelex) to 'D' (default) from
'SD' (selective default) on the completion of a debt restructuring.
S&P also lowered its issue rating on the GBP90 million revolving
credit facility (RCF) to 'D' from 'CCC'. The issue rating on the
EUR360 million senior secured notes remained unchanged at 'D'. S&P
subsequently withdrew all its ratings on Travelex at the issuer's
request.

As part of the restructuring, Travelex wrote off about two-thirds
of its debt, reducing the outstanding amount to GBP160 million from
GBP385 million. Travelex also amended the original terms of its RCF
and reinstated it as a term loan. S&P views this reinstatement as a
distressed exchange and therefore, tantamount to a default under
its criteria.

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

-- Health and safety
-- Risk management and internal controls
-- Transparency


VIRGIN ATLANTIC: Creditors Support GBP1.2-Bil. Rescue Package
-------------------------------------------------------------
Philip Georgiadis at The Financial Times reports that Virgin
Atlantic's creditors overwhelmingly backed a GBP1.2 billion rescue
package for the cash-strapped airline on Aug. 25 in a vote that
opens the door to a full recapitalization early next month.

According to the FT, a group of about 170 of companies voted to
accept a 20% "haircut" on debts owed as part of a High Court
restructuring process, and to receive the outstanding balance in a
staggered set of payments.

The airline had warned that it risked running out of money by late
September without the rescue deal, which was agreed in July and
includes a cash injection from Richard Branson's Virgin Group, the
FT recounts.

Ninety-nine per cent of the airline's trade creditors backed the
proposal, which also received the full support of shareholders,
aircraft lessors and creditors under the company's revolving credit
facility, the FT discloses.

Virgin Atlantic now expects the package of support to be
rubber-stamped in the UK and US courts before a full
recapitalization next week, the FT states.

It is the culmination of a months-long process, with the airline
scrambling to pull together a funding package after the coronavirus
pandemic brought commercial aviation to a standstill, the FT
notes.

The company has been hit by the near-closure of lucrative
transatlantic routes as demand for business travel has fallen and
strict immigration and quarantine rules in the US and UK have
stifled passenger numbers further, the FT relays.

Virgin Atlantic restarted flying in late July and its rescue
package will inject about GBP1.2 billion over the next 18 months,
the FT says.

Virgin Group, which owns a 51% stake in the airline, has committed
GBP200 million while US hedge fund Davidson Kempner Capital
Management will provide GBP170 million in debt funding, the FT
states.

The deal includes GBP400 million of fee deferrals from
shareholders, Virgin Group and Delta Air Lines, which owns 49%, the
FT notes.  Creditors have also agreed to postpone payments worth a
further GBP450 million, according to the FT.


WARWICK FINANCE: DBRS Confirms BB (high) Rating on Class E Notes
----------------------------------------------------------------
DBRS Ratings Limited confirmed its ratings of the notes issued by
Warwick Finance Residential Mortgages Number Four Plc (the Issuer)
as follows:

-- Class A notes at AAA (sf)
-- Class B notes at AA (sf)
-- Class C notes at A (low) (sf)
-- Class D notes at BBB (high) (sf)
-- Class E notes at BB (high) (sf)

The rating on the Class A notes addresses the timely payment of
interest and ultimate payment of principal on or before the legal
final maturity date in March 2042. The rating on the Class B notes
addresses the ultimate payment of interest and principal while
junior, and timely payment of interest while the senior-most class
outstanding. The ratings on Class C, Class D, and Class E notes
address the ultimate payment of interest and principal.

The rating actions follow an annual review of the transaction and
are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses.

-- Portfolio default rate (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables.

-- Current available credit enhancement to the notes to cover the
expected losses at their respective rating levels.

-- Current economic environment and an assessment of sustainable
performance, as a result of the Coronavirus Disease (COVID-19)
pandemic.

The Issuer is a bankruptcy-remote special-purpose vehicle
incorporated in the United Kingdom. The issued notes have been used
to fund the purchase of seasoned owner-occupied and buy-to-let
nonconforming portfolios of mortgages originated in the UK by
Platform Funding Limited, Verso Limited, Kensington Mortgage
Company Limited, Southern Pacific Mortgages Limited, and GMAC-RFC
Limited (now Paratus AMC Limited). The loans were sold to the
issuer at transaction close by The Co-operative Bank plc and are
serviced by Western Mortgages Services Limited.

PORTFOLIO PERFORMANCE

As of June 2020, loans two to three months in arrears represented
1.1% of the outstanding portfolio balance and the 90+ delinquency
ratio was 2.8%. As of the same date, the cumulative loss ratio was
0.1%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and has updated its base case PD and LGD
assumptions to 9.8% and 14.6% respectively.

CREDIT ENHANCEMENT

As of the June 2020 payment date, the credit enhancement available
to the Class A, Class B, Class C, Class D, and Class E notes were
16.2%, 11.3%, 8.0%, 6.4%, and 4.7%, respectively, up from 15.0%,
10.5%, 7.5%, 6.0%, and 4.5%, at the closing date, respectively.
Credit enhancement is provided by the subordination of junior
classes and the residual certificates.

The transaction benefits from a liquidity reserve fund of GBP 2.8
million, available to cover senior fees and interest on Class A and
B notes.

Citibank N.A., London Branch acts as the account bank for the
transaction. Based on the DBRS Morningstar private rating of
Citibank N.A., London Branch, the downgrade provisions outlined in
the transaction documents, and other mitigating factors inherent in
the transaction structure, DBRS Morningstar considers the risk
arising from the exposure to the account bank to be consistent with
the rating assigned to the Class A notes, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker.

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 RMBS transactions, some
meaningfully. The ratings are based on additional analysis and
adjustments to expected performance as a result of the global
efforts to contain the spread of the coronavirus.

For this transaction, DBRS Morningstar increased the expected
default rate for self-employed borrowers, assessed a potential
reduction in portfolio prepayment rates, and incorporated a
moderate reduction in residential property values.

Notes: All figures are in British pound sterling unless otherwise
noted.



                           *********


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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