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

                          E U R O P E

          Thursday, September 10, 2020, Vol. 21, No. 182

                           Headlines



F R A N C E

ELECTRICITE DE FRANCE: S&P Rates New Hybrid Instrument BB-


G E R M A N Y

K+S AG: Egan-Jones Lowers Senior Unsecured Ratings to B


I R E L A N D

IMH CAPITAL: Moody's Rates Proposed Loan Participation Notes B2
NEWHAVEN CLO: Moody's Confirms B2 Rating on Class F-R Notes
PHOENIX PARK: Moody's Confirms B2 Rating on Class E Notes
RICHMOND PARK: Moody's Downgrades Class F Notes to Caa1


I T A L Y

ATLANTIA SPA: Egan-Jones Lowers Senior Unsecured Ratings to B-
SUNRISE SPV 2017-2: DBRS Hikes Class E Notes Rating to BB (low)


L U X E M B O U R G

CPI PROPERTY: S&P Assigns 'BB+' Rating to New Hybrid Bond


N E T H E R L A N D S

DUTCH PROPERTY 2020-2: S&P Assigns Prelim 'BB' Rating to E Notes


U N I T E D   K I N G D O M

ED&F MAN: Restructures US$1.5BB Debt to Stave Off Funding Crunch
HAMMERSON PLC: Egan-Jones Lowers Senior Unsecured Ratings to BB
INTERNATIONAL GAME: Egan-Jones Cuts Sr. Unsecured Ratings to CCC+
NEW LOOK: Survival Hinges on CVA Approval by Landlords
PIZZA HUT: Plans to Close 29 Restaurants, In CVA Talks

ROANZA LTD: Bought Out of Administration by Estar Truck
TULLOW OIL: May Default on Debt if Liquidity Issues Not Resolved
TWIN BRIDGES 2019-1: Fitch Affirms BB+sf Rating on Class X1 Debt
VIRGIN MEDIA: Fitch Places B+ Financing Notes Rating on Watch Neg.
VMED O2: Fitch Assigns BB- LT IDR, Outlook Stable

VMED O2: Moody's Assigns Ba3 CFR, Outlook Stable

                           - - - - -


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F R A N C E
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ELECTRICITE DE FRANCE: S&P Rates New Hybrid Instrument BB-
----------------------------------------------------------
S&P Global Ratings assigned its 'BB-' long-term issue rating to the
proposed undated, optionally deferrable, and subordinated hybrid
capital securities to be issued by Electricite de France S.A. (EDF)
(BBB+/Stable/A-2). The hybrid amount remains subject to market
conditions, but S&P understands it will be at least EUR1.5 billion.
S&P anticipates that the total amount of outstanding hybrids will
thus increase from the current outstating amount of EUR9.2 billion
but will represent less than 15% of EDF's total capitalization. The
group intends to maintain its outstanding hybrids at least at this
revised level. The proceeds will be used for general corporate
purposes, and notably to finance its large inflexible capex
program.

S&P said, "We consider the proposed securities will have
intermediate equity content until the first reset date, which we
understand will fall no earlier than five years from issuance.
During this period, the securities meet our criteria in terms of
ability to absorb losses or conserve cash if needed.

"We derive our 'BB-' issue rating on the proposed securities by
notching down from our 'bb+' stand-alone credit profile on EDF and
not from our 'BBB+' long-term issuer credit rating on the group.
This is mainly because we do not think that the French government
will support this instrument in case of financial stress." As per
S&P's methodology, the two-notch differential reflects:

-- A one-notch deduction for subordination because the rating on
EDF is above 'BBB-'; and

-- An additional one-notch deduction to reflect payment
flexibility--the deferral of interest is optional.

S&P said, "The number of downward notches applied to the proposed
securities reflects our view that the issuer is relatively unlikely
to defer interest. Should our view change, we may deduct additional
notches to derive the issue rating.

"Furthermore, to capture our view of the intermediate equity
content of the proposed securities, we allocate 50% of the related
payments on these securities as a fixed charge and 50% as
equivalent to a common dividend, in line with our hybrid capital
criteria. The 50% treatment of principal and accrued interest also
applies to our adjustment of debt.

"EDF can redeem the securities for cash on any date in the three
months immediately prior to the first reset date (which we
understand will be no earlier than five years after issuance), then
on every interest payment date. Although the proposed securities
are long dated, they can be called at any time for events that we
deem external or remote (change in tax, accounting, rating, or a
substantial repurchase event). In our view, the statement of
intent, combined with EDF's commitment to reduce leverage,
mitigates the issuer's ability to repurchase the notes on the open
market. In addition, EDF has the ability to call the instrument any
time prior to the first call date at a make-whole premium
("make-whole call"). EDF stated its intention not to redeem the
instrument during this make-whole period, and we do not consider
that this type of make-whole clause creates an expectation that the
issue will be redeemed during the make-whole period. Accordingly,
we do not view it as a call feature in our hybrid analysis, even if
it is referred to as a make-whole call clause in the hybrid
documentation.

"EDF is contemplating issuing two euro-denominated tranches, the
first with a non-call period of 6.5 years after issuance and the
second with a non-call period of 10 years after issuance. In both
cases, we understand that the interest to be paid on the proposed
securities will increase by 25 basis points (bps) 10 years after
the issue date, then by an additional 75 bps at the second step-up
20 years after the first reset date. We view any step-up above 25
bps as presenting an economic incentive to redeem the instrument,
and therefore treat the date of the second step-up as the
instrument's effective maturity."

KEY FACTORS IN S&P's ASSESSMENT OF THE INSTRUMENT'S DEFERABILITY

S&P said, "In our view, EDF's option to defer payment on the
proposed securities is discretionary. This means that the issuer
may elect not to pay accrued interest on an interest payment date
because doing so is not an event of default. However, any
outstanding deferred interest payment will have to be settled in
cash if EDF declares or pays an equity dividend or interest on
equally ranking securities, and if the issuer redeems or
repurchases shares or equally ranking securities. We see this as a
negative factor. That said, this condition remains acceptable under
our methodology, because once the issuer has settled the deferred
amount, it can still choose to defer on the next interest payment
date."

KEY FACTORS IN OUR ASSESSMENT OF THE INSTRUMENT'S SUBORDINATION

The proposed securities (and coupons) are intended to constitute
EDF's direct, unsecured, and subordinated obligations, ranking
senior to their common shares. They will rank pari passu with all
outstanding hybrids.




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G E R M A N Y
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K+S AG: Egan-Jones Lowers Senior Unsecured Ratings to B
-------------------------------------------------------
Egan-Jones Ratings Company, on September 4, 2020, downgraded the
foreign currency and local currency senior unsecured ratings on
debt issued by K+S AG to B from B+.

K+S AG is a German chemical company headquartered in Kassel. The
company is Europe's largest supplier of potash for use in
fertilizer and, after the acquisition of Morton Salt, the world's
largest salt producer.




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I R E L A N D
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IMH CAPITAL: Moody's Rates Proposed Loan Participation Notes B2
---------------------------------------------------------------
Moody's Investors Service assigned a B2 senior unsecured rating to
the proposed loan participation notes to be issued by IMH Capital
D.A.C., a designated activity company incorporated under the laws
of Ireland, for the purpose of providing a loan to PJSC KOKS (KOKS,
B2 stable). Moody's has also assigned a stable outlook to IMH
Capital D.A.C., in line with KOKS outlook. KOKS intends to use the
loan proceeds for refinancing of its existing indebtedness,
including but not limited to the purchase and early redemption of
loan participation notes due 2022 and issued by Koks Finance D.A.C.
and the corresponding amounts under the loan made by Koks Finance
D.A.C. to KOKS with the proceeds of those notes, as well as for
general corporate purposes.

The proceeds from the issuance will be on-lent by IMH Capital
D.A.C. to KOKS. Therefore, the noteholders will be relying solely
on KOKS' credit quality to repay the debt. The loan will be
unconditionally and irrevocably guaranteed by the main operating
subsidiaries of KOKS: JSC Kombinat KMAruda, LLC Tikhova Mine, LLC
"Uchastok Koksovyi" and PJSC Tulachermet.

RATINGS RATIONALE

The proposed notes will be guaranteed by KOKS' principal operating
subsidiaries, which, together with KOKS, contributed more than 100%
to the company's reported consolidated EBITDA in the six months
ended June 30, 2020 and accounted for more than 80% of the
company's consolidated total assets as of June 30, 2020. The loan
provided by IMH Capital D.A.C. to KOKS will be a direct,
unconditional, unsubordinated and unsecured obligation of KOKS and
obligations under the loan will rank at least pari passu with all
other direct, unconditional, unsubordinated and unsecured
indebtedness of KOKS. The B2 senior unsecured rating of IMH Capital
D.A.C.'s notes is at the level of KOKS' corporate family rating
(CFR), which reflects the fact that less than 1% of KOKS'
consolidated debt is secured with fixed assets and, as such, ranks
senior to the notes.

KOKS' B2 rating takes into account (1) the company's status as one
of the leading merchant pig iron producers globally, with a fairly
diversified customer base and geography of sales; (2) the expected
growth in the company's coal and pig iron production; (3) the
company's low cost position, because of the weak rouble and
operational enhancements; (4) KOKS' significant degree of vertical
integration, with 50% and 67% self-sufficiency in coking coal and
iron ore, respectively; and (5) the company's healthy liquidity and
long-term debt maturity profile.

The rating also factors in KOKS' (1) limited scale and operational
and product diversification, although these factors will improve as
coal and pig iron production are gradually ramped up; (2) exposure
to the volatile prices of steel and feedstock on the back of the
economic fallout from the coronavirus pandemic; (3) high leverage;
(4) capital spending to implement expansionary projects, which will
continue to suppress free cash flow (FCF) generation and delay
deleveraging; and (5) concentrated ownership-related risks,
including significant loans provided to its shareholders' steel
project and a few ongoing legal disputes between the company's
shareholders.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE (ESG) CONSIDERATIONS

Steel is among the 11 sectors with a high credit exposure to
environmental risk, based on Moody's Environmental risks heat map.
The global steel sector continues to face pressure to reduce CO2
and air pollution emissions, and will likely incur costs to further
reduce these emissions, which could weigh on its profitability. In
addition, the shift to lighter-weight materials could lead to a
lower intensity of steel usage. KOKS takes responsibility for the
whole production chain and continues to improve the environmental
footprint of its segments. In 2017, KOKS launched enclosed fire
system to eliminate open combustion of coke gas and to reduce noise
and light negative footprint. In 2019, KOKS enhanced its electric
power station to improve coke gas usage in the production process.
In 2019, KOKS took leading positions in the annual environmental
and energy-efficiency rating by Interfax-ERA, and six enterprises
of the company were certified by ISO 14001.

Governance risks are an important consideration for all debt
issuers and are relevant to bondholders and banks because
governance weaknesses can lead to a deterioration in a company's
credit quality, while governance strengths can benefit a company's
credit profile. Similar to that of its domestic peers, KOKS has a
concentrated ownership structure, with 66% of the company's shares
controlled by Evgeny Zubitskiy. The concentrated ownership
structure creates the risk of rapid changes in the company's
strategy and development plans, revisions to its financial policy
and an increase in shareholder payouts, which could weaken the
company's credit quality. The corporate governance risks are
mitigated by the fact that KOKS is a listed company, which
demonstrates a good level of public information disclosure. The
company does not have a publicly available dividend policy. KOKS
has not paid any dividends since 2014. However, financing of
shareholders' Tula-Steel project via significant loans has delayed
KOKS' deleveraging over the last few years while the ongoing legal
disputes between the company's shareholders exacerbate corporate
governance risk.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook reflects the company's solid positioning within
the current rating category and Moody's expectation that it will
(1) maintain its Moody's-adjusted total debt/EBITDA below 3.5x on a
sustained basis; and (2) pursue prudent liquidity management,
including refinancing upcoming debt maturities in advance.

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

Moody's could upgrade KOKS' rating if the company were to (1)
reduce its Moody's-adjusted total debt/EBITDA below 3.0x on a
sustained basis; (2) ramp up its coal production capacities as
planned; and (3) maintain healthy liquidity and prudent liquidity
management, addressing upcoming debt maturities in a timely
fashion.

Moody's could downgrade the company's ratings if (1) its
Moody's-adjusted total debt/EBITDA rises above 4.0x on a sustained
basis; or (2) its liquidity or liquidity management deteriorates
significantly.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was Steel Industry
published in September 2017.

COMPANY PROFILE

KOKS is a Russia-based producer of pig iron, coke, coking coal and
iron ore. In 2019, the company produced 2.4 million tonnes (mt) of
pig iron (2018: 2.3 mt), 2.6 mt of coke (2018: 2.5 mt), 2.4 mt of
coking coal concentrate (2018: 2.5 mt) and 2.1 mt of iron ore
concentrate (2018: 2.2 mt). In 2019, the company generated revenue
of RUB86.8 billion (2018: RUB89.6 billion) and Moody's adjusted
EBITDA of RUB15.5 billion (2018: RUB19.0 billion). KOKS'
controlling shareholder is Evgeny Zubitskiy, who holds a 66% stake
in the company.

NEWHAVEN CLO: Moody's Confirms B2 Rating on Class F-R Notes
-----------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Newhaven CLO Designated Activity Company:

EUR18,600,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020
Baa2 (sf) Placed Under Review for Possible Downgrade

EUR20,400,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

EUR10,000,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at B2 (sf); previously on Jun 3, 2020 B2
(sf) Placed Under Review for Possible Downgrade

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

EUR205,900,000 Class A-1R Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Feb 16, 2017 Definitive
Rating Assigned Aaa (sf)

EUR10,000,000 Class A-2R Senior Secured Fixed Rate Notes due 2030,
Affirmed Aaa (sf); previously on Feb 16, 2017 Definitive Rating
Assigned Aaa (sf)

EUR35,000,000 Class B-R Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on Feb 16, 2017 Definitive
Rating Assigned Aa2 (sf)

EUR23,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed A2 (sf); previously on Feb 16, 2017
Definitive Rating Assigned A2 (sf)

Newhaven CLO Designated Activity Company, issued in November 2014,
is a collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Bain Capital Credit, Ltd. The transaction's reinvestment
period will end in February 2021.

The action concludes the rating review on the Class D-R, E-R and
F-R notes initiated on June 3, 2020 as a result of the
deterioration of the credit quality and/or the reduction of the par
amount of the portfolio following from the coronavirus outbreak.

RATINGS RATIONALE

The rating actions taken, rating confirmations on Classes D-R, E-R
and F-R and rating affirmations of Classes A-1R, A-2R, B-R and C-R,
reflect the expected losses of the notes continue to remain
consistent with their current ratings despite the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus outbreak.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated August 2020, the WARF
was 3471 [1], compared to value of 2970 [2] in February 2020.
Securities with ratings of Caa1 or lower currently make up
approximately 9.6% [1] of the underlying portfolio. In addition,
the over-collateralisation (OC) levels have weakened across the
capital structure. According to the trustee report of August 2020
the Class A-R/B-R, Class C-R, Class D-R, Class E-R and Class F-R OC
ratios are reported at 136.08% [1], 124.42% [1], 116.52% [1],
108.94% [1] and 105.57% [1] compared to February 2020 levels of
139.86% [2], 127.88% [2], 119.77% [2], 111.97% [2] and 108.51% [2]
respectively. Moody's notes that none of the OC tests are currently
in breach and the transaction remains in compliance with the
following collateral quality tests: Diversity Score, Weighted
Average Recovery Rate (WARR) and Weighted Average Spread (WAS).

Moody's analysed the CLO's latest portfolio and took into account
the recent trading activities as well as the full set of structural
features of the transaction.

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 343.9 million,
defaulted par of EUR 4.9 million, a weighted average default
probability of 26.3% (consistent with a WARF of 3522 over a
weighted average life of 4.7 years), a weighted average recovery
rate upon default of 44.8% for a Aaa liability target rating, a
diversity score of 54 and a weighted average spread of 3.67%.

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

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

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. 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
August 2020.

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. In particular, the length and severity of the
economic and credit shock precipitated by the global coronavirus
pandemic will have a significant impact on the performance of the
securities. CLO notes' performance may also be impacted either
positively or negatively by: (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.

PHOENIX PARK: Moody's Confirms B2 Rating on Class E Notes
---------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Phoenix Park CLO Designated Activity Company:

EUR26,800,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Baa3 (sf); previously on Jun 3, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

EUR20,200,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Ba3 (sf); previously on June 3, 2020 Ba3
(sf) Placed Under Review for Possible Downgrade

EUR11,800,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

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

EUR1,600,000 (current outstanding balance of EUR 200,000) Class X
Senior Secured Floating Rate Notes due 2031, Affirmed Aaa (sf);
previously on Oct 30, 2018 Definitive Rating Assigned Aaa (sf)´

EUR240,000,000 Class A-1A Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Oct 30, 2018 Definitive
Rating Assigned Aaa (sf)

EUR7,000,000 Class A-1B Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Oct 30, 2018 Definitive
Rating Assigned Aaa (sf)

EUR22,000,000 Class A-2A1 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Oct 30, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR10,000,000 Class A-2A2 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Oct 30, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR10,000,000 Class A-2B Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Oct 30, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR9,000,000 Class B-1 Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Oct 30, 2018
Definitive Rating Assigned A2 (sf)

EUR15,000,000 Class B-2 Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Oct 30, 2018
Definitive Rating Assigned A2 (sf)

Phoenix Park CLO Designated Activity Company, originally issued in
July 2014 and subsequently refinanced in October 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Blackstone/GSO Debt Funds Management Europe Ltd. The
transaction's reinvestment period will end in May 2023.

RATINGS RATIONALE

The action concludes the rating review on the Class C, D and E
notes initiated on June 3, 2020.

The confirmations of the ratings on the Classes C, D and E notes,
and the affirmations of the ratings on the Classes X, A-1A, A-1B,
A-2A1, A-2A2, A-2B, B-1 and B-2 notes are primarily a result of
consistent expected loss despite the credit quality deterioration
due to the coronavirus outbreak.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO. The deterioration in credit quality
of the portfolio is reflected in an increase in Weighted Average
Rating Factor (WARF) and in the proportion of securities from
issuers with ratings of Caa1 or lower. According to the trustee
reports dated August 2020 [1], the WARF was 3266 compared to a
value of 2989 as of March 2020 [2], which is over the covenant
level of 3196. Securities with ratings of Caa1 or lower currently
make up approximately 6.8% of the underlying portfolio according to
Trustee calculations [1], whereas Moody's calculates that
securities with default probability ratings of Caa1 or lower
currently make up approximately 15.3% of the underlying portfolio.
In addition, the over-collateralisation (OC) levels have weakened
across the capital structure. According to the trustee report of
August 2020 [1] the Class A, Class B, Class C, and D OC ratios are
reported at 138.0%, 127.4%, 117.4% and 110.8% compared to March
2020 [2] levels of 138.9%, 128.3%, 118.2% and 111.5% respectively.

Moody's notes that none of the OC tests are currently 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). However, the WARF test is not passing as per the August
trustee report [1]. Furthermore, the portfolio contains defaulted
assets representing 0.25% of the aggregate principal balance.

Despite the deterioration in credit quality of the portfolio,
Moody's concluded that the expected losses on all rated notes
remain consistent with their current ratings following analysis of
the latest portfolio and taking into account the recent trading
activities as well as the full set of structural features of the
transaction. Consequently, Moody's has confirmed the ratings on the
Classes C, D and E notes and affirmed the ratings on the Classes X,
A-1A, A-1B, A-2A1, A-2A2, A-2B, B-1 and B-2 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 398.6 million,
a defaulted par of EUR 1.0 million, a weighted average default
probability of 27.1% (consistent with a WARF of 3281 over a
weighted average life of 5.8 years), a weighted average recovery
rate upon default of 45.2% for a Aaa liability target rating, a
diversity score of 57 and a weighted average spread of 3.6%.

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

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

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

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. In particular, the length and severity of the
economic and credit shock precipitated by the global coronavirus
pandemic will have a significant impact on the performance of the
securities. CLO notes' performance may also be impacted either
positively or negatively by 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.

RICHMOND PARK: Moody's Downgrades Class F Notes to Caa1
-------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Richmond Park CLO Designated Activity Company:

EUR31,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2031, Downgraded to Ba3 (sf); previously on Jun 3, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

EUR14,300,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2031, Downgraded to Caa1 (sf); previously on Jun 3, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Moody's has confirmed the rating on the following notes:

EUR22,800,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at Baa2 (sf); previously on Jun 3, 2020
Baa2 (sf) Placed Under Review for Possible Downgrade

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

EUR321,900,000 Class A Senior Secured Floating Rate Notes due 2031,
Affirmed Aaa (sf); previously on Jul 16, 2018 Definitive Rating
Assigned Aaa (sf)

EUR18,500,000 Class B-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Jul 16, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR15,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Jul 16, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR23,100,000 Class B-3 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Jul 16, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR13,000,000 Class C-1 Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Jul 16, 2018
Definitive Rating Assigned A2 (sf)

EUR21,000,000 Class C-2 Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Jul 16, 2018
Definitive Rating Assigned A2 (sf)

Richmond Park CLO Designated Activity Company, issued in January
2014, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured/mezzanine European
and US loans. The portfolio is managed by Blackstone/GSO Debt Funds
Management Europe Ltd. The transaction's reinvestment period will
end in July 2021.

The actions conclude the rating review on the Class D-R, E-R and F
notes initiated on June 3, 2020.

RATINGS RATIONALE

The affirmations on the ratings on the Class A, B and C notes and
also the confirmation on the rating of the Class D-R notes are
primarily a result of the expected losses of the notes remaining
consistent with their current ratings despite the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus outbreak.

The downgrades to the ratings on the Class E-R and F notes are due
to the risks posed by credit deterioration and loss of collateral
coverage observed in the underlying CLO portfolio, which have been
primarily prompted by economic shocks stemming from the coronavirus
outbreak.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF) and of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated July 2020 [1] the WARF
was 3288, compared to value of 2969 in January 2020 [2]. Securities
with ratings of Caa1 or lower currently make up approximately 5.88%
of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of July 2020 the Class
A/B, Class C, Class D, and Class E OC ratios are reported at
134.92%, 123.80%, 117.32% and 109.52% compared to January 2020
levels of 136.72%, 125.45%, 118.88% and 110.98% respectively.
Moody's notes that none of the OC tests are currently 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).

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

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 510.97
million, defaulted par of EUR 0.99 million, a weighted average
default probability of 24.94% (consistent with a WARF of 3277), a
weighted average recovery rate upon default of 45.39% for a Aaa
liability target rating, a diversity score of 58 and a weighted
average spread of 3.55%.

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

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

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the 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. In particular, the length and severity of the
economic and credit shock precipitated by the global coronavirus
pandemic will have a significant impact on the performance of the
securities. CLO notes' performance may also be impacted either
positively or negatively by: (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.

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.



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

ATLANTIA SPA: Egan-Jones Lowers Senior Unsecured Ratings to B-
--------------------------------------------------------------
Egan-Jones Ratings Company, on September 2, 2020, downgraded the
foreign currency and local currency senior unsecured ratings on
debt issued by Atlantia SpA to B- from B.

Headquartered in Rome, Italy, Atlantia SpA is a holding company
active in the infrastructure sector.


SUNRISE SPV 2017-2: DBRS Hikes Class E Notes Rating to BB (low)
---------------------------------------------------------------
DBRS Ratings GmbH confirmed and upgraded its ratings on the
following notes (the Rated Notes) issued by Sunrise SPV 20 S.r.l.-
Sunrise 2017-2 (the Issuer):

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

The ratings address the timely payment of interest and the ultimate
payment of principal on or before the legal final maturity date in
November 2041.

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 as of the July 2020 payment date;

-- Probability of default (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables;

-- Current available credit enhancement to the Rated 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 securitization of unsecured Italian consumer loan
receivables underwritten to retail clients and originated by Agos
Ducato S.p.A. (Agos), which also acts as the Servicer of the
transaction portfolio. The EUR 399.1 million portfolios, as of the
July 2020 payment date, comprised loans for new and used autos,
personal loans, furniture loans, and loans for other purposes. Of
the loans in the portfolio, 68.7% are flexible loans that allow the
borrower the option to skip one monthly installment per year (up to
a maximum of five times during the life of the loan) and to modify
the amount of the monthly installments. The transaction closed in
October 2017 and incorporated a 12-month revolving period.

PORTFOLIO PERFORMANCE

As of the July 2020 payment date, loans that were one-to-two months
and two-to-three months delinquent represented 1.7% and 1.1% of the
principal outstanding balance of the portfolio, respectively, while
loans that were more than three months delinquent represented 1.1%.
Gross cumulative defaults amounted to 2.1% of the aggregate
original portfolio balance, with cumulative recoveries of 5.1% to
date.

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 7.6% and 88.1%, respectively.

CREDIT ENHANCEMENT

The subordination of the respective junior obligations and the Cash
Reserve provides credit enhancement to the Rated Notes. As of the
July 2020 payment date, credit enhancements to the Class A, Class
B, Class C, Class D, and Class E notes were 81.4%, 41.4%, 26.2%,
19.1%, and 11.7%, up from 53.3%, 27.7%, 17.9%, 13.3%, and 8.6% one
year ago, respectively. The increased credit enhancements prompted
the rating upgrades.

The transaction benefits from several funded reserves. The
non-amortizing Payment Interruption Risk Reserve Account with a
current balance of EUR 4.46 million is available to cover senior
expenses and interest payments on the Rated Notes, providing
liquidity support to the transaction. Credit support is provided
through an amortizing cash reserve with a target balance equal to
3% of the outstanding performing collateral principal. The current
balance of the cash reserve is EUR 11.97 million, which can be used
to offset the principal losses of defaulted receivables. An
amortizing commingling reserve has also been funded, with a current
balance of EUR 7.22 million, which may become available to the
Issuer upon insolvency of the Servicer or any of the Servicer's
account banks. All reserves are currently at their target levels.

The transaction structure additionally provisions for a Rata
Posticipata cash reserve, which mitigates the liquidity risk
arising from flexible loans. This reserve will be only funded if,
for two consecutive payment dates, the outstanding balance of the
flexible loans in relation to which the debtors have exercised the
contractual right to postpone the payments is higher than 5% of the
outstanding balance of all flexible loans. As of the July 2020
payment date, this condition has not been breached.

Credit Agricole Corporate and Investment Bank S.A., Milan branch
(CACIB-Milan) acts as the account bank for the transaction. Based
on the DBRS Morningstar private rating of CACIB-Milan, 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 ratings assigned to the
Rated Notes, as described in DBRS Morningstar's "Legal Criteria for
European Structured Finance Transactions" methodology.

Credit Agricole Corporate and Investment Bank S.A. (CACIB) acts as
the swap counterparty for the transaction. DBRS Morningstar's
private rating of CACIB is above the First Rating Threshold as
described in DBRS Morningstar's "Derivative 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 ABS 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 applied an additional haircut to its
base case recovery rate and conducted an additional sensitivity
analysis to determine that the transaction benefits from sufficient
liquidity support to withstand potentially high payment holiday
levels in the portfolio.

Notes: All figures are in Euros unless otherwise noted.




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

CPI PROPERTY: S&P Assigns 'BB+' Rating to New Hybrid Bond
---------------------------------------------------------
S&P Global Ratings assigned its 'BB+' long-term issue rating to the
perpetual, optionally deferrable, and subordinated hybrid capital
security to be issued by CPI Property Group SA (BBB/Negative/--).
S&P understands the amount of the hybrid may reach EUR500 million,
but the definite amount remains subject to market conditions and
the amount that the company expects will be tendered by existing
investors on the November 2023 hybrid. The company plans to use the
proceeds to replace part or all of the existing EUR550 million
hybrid issued in May 2018, with the first call date in August 2023
(90 days in advance of the first reset date in November 2023). The
remaining proceeds will be used for repayment of unsecured debt.

S&P considers the proposed security to have intermediate equity
content until its first reset date. This is because it meets its
criteria in terms of subordination, ability to absorb losses or
conserve cash, and deferability at the company's discretion during
this period.

In parallel, CPI has launched a partial tender offer on the 4.375%
EUR550 million perpetual non-call hybrid instrument it issued in
2018. S&P said, "If CPI successfully issues the new security and
completes the liability management transaction, we will assign
minimal equity content to the repurchased amount on the EUR550
million hybrid issued in 2018), and maintain our intermediate
equity content assessment on the net amount that remains
outstanding following the transaction. This is because we believe
CPI has time to manage the remaining amount before the first call
date in 2023. In addition, we understand the proceeds will be
received on or before the buyback is settled."

S&P said, "We note that the proposed issuance would bring our
hybrid capitalization rate close to our threshold of 15% based on
pro forma fiscal year rolling twelve months June 30, 2020,
financials (assuming an issuance of up to EUR500 million). However,
we understand that the company is committed to maintaining its
exposure to hybrid capital below 15% of total capital at all times.
We will treat any amount exceeding the 15% threshold as debt and
its related dividends as interest in our adjusted credit metrics."

S&P understands that the company is committed to keeping
subordinated perpetual notes as a permanent part of its capital
structure.

S&P arrives at its 'BB+' issue rating on the proposed security by
deducting two notches from its 'BBB' issuer credit rating (ICR) on
CPI, reflecting:

-- One notch for subordination because our long-term ICR on CPI is
investment grade (that is, higher than 'BB+'); and

-- An additional notch for payment flexibility, to reflect that
the deferral of interest is optional.

The deduction captures our view that there is a relatively low
likelihood that the issuer will defer interest. Should S&P views
change, it may deduct additional notches to derive the issue
rating.

In addition, to reflect S&P's view of the intermediate equity
content of the proposed security, it allocates 50% of the related
payments on the security as a fixed charge and 50% as equivalent to
a common dividend. The 50% treatment of principal and accrued
interest also applies to our adjustment of debt.

Key factors in S&P's assessment of the security's ability to absorb
losses or conserve cash

CPI can redeem the security for cash at any time during the 90 days
before the first interest reset date, which we understand will be
at least six years from issuance and on every coupon payment date
thereafter. Although the proposed security is perpetual, it can be
called at any time for a tax, gross-up, rating, or accounting
event. If any of these events occurs, CPI intends, but is not
obliged, to replace the instruments.

S&P said, "In our view, this statement of intent mitigates CPI's
ability to repurchase the security on the open market. We
understand that the interest to be paid on the proposed security
will increase by 25 basis points (bps) 11 years from issuance, and
by a further 75 bps at least 20 years after its first reset date.
We consider the cumulative 100 bps to be a material step-up, which
is currently unmitigated by any binding commitment to replace the
instrument at that time. This step-up provides an incentive for the
issuer to redeem the instrument on its first reset date.

"Consequently, we will no longer recognize the instrument as having
intermediate equity content after its first reset date, because the
remaining period until its economic maturity would, by then, be
less than 20 years. However, we classify the instrument's equity
content as intermediate until its first reset date, as long as we
think that the loss of the beneficial intermediate equity content
treatment will not cause the issuer to call the instrument at that
point. CPI's willingness to maintain or replace the instrument in
the event of a reclassification of equity content to minimal is
underpinned by its statement of intent."




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

DUTCH PROPERTY 2020-2: S&P Assigns Prelim 'BB' Rating to E Notes
----------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Dutch
Property Finance 2020-2 B.V.'s class A, B-Dfrd, C-Dfrd, D-Dfrd, and
E-Dfrd notes. At closing, Dutch Property Finance 2020-2 will also
issue unrated class F and G notes.

S&P's preliminary ratings reflect timely receipt of interest and
ultimate repayment of principal for the class A notes. The
preliminary ratings assigned to the class B-Dfrd to E-Dfrd notes
are interest-deferred ratings and address the ultimate payment of
interest and principal. Interest payments on the class B-Dfrd to
E-Dfrd notes can be deferred until that class of notes becomes the
most-senior outstanding. Any deferred interest payments will accrue
interest at the applicable note coupon. Once a note becomes the
most-senior outstanding, previously deferred interest is not due
and payable immediately; the non-deferability is only applicable to
interest due in that period.

The transaction securitizes a pool of Dutch mortgage loans secured
on predominantly buy-to-let residential properties, mixed-use, and
commercial properties.

The preliminary pool of EUR325,575,249 comprises 966 loans granted
to 1,265 borrowers. Borrowers are further grouped into risk groups.
All borrowers within a risk group share an obligation to service
the entire debt of the risk group and are included in the
securitized pool (that is, there are no situations where within a
risk group some borrowers are part of the securitized portfolio and
some borrowers are not).

In the provisional pool, 35.5% of the portfolio by property value
(37.7% based on S&P Global Ratings' methodology) comprises
commercial/mixed-used properties. To account for this S&P has
applied its ratings to principles and its covered bond commercial
real estate criteria.

S&P said, "Specifically, we have applied our global residential
loans criteria adjustments for the calculation of the
weighted-average foreclosure frequency (WAFF). For the
weighted-average loss severity (WALS) analysis, we have used our
ratings to principles and our covered bond commercial real estate
criteria to apply higher market value decline (MVDs) assumptions to
mixed-use and commercial properties."

At closing, a reserve fund will be funded to 2.0% of the closing
balance of the class A to F notes. The reserve fund will be
nonamortizing and therefore the required balance will be 2.0% of
the initial balance of the class A to F notes.

S&P said, "Our preliminary 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. The transaction's structure
relies on a combination of subordination, excess spread, principal
receipts, and a reserve fund. Taking these factors into account, we
consider the available credit enhancement for the rated notes to be
commensurate with the preliminary ratings that we have assigned.

"There are no rating constraints under our operational risk,
counterparty, or structured finance sovereign risk criteria, and
legal risks are adequately mitigated, in our view."

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

  Ratings Assigned

  Class     Prelim. rating    Class size (%)
  A         AAA (sf)          82.75
  B-Dfrd    AA+ (sf)           3.55
  C-Dfrd    AA- (sf)           3.95
  D-Dfrd    BBB+ (sf)          5.30
  E-Dfrd    BB (sf)            1.45
  F         NR                 3.00
  G         NR                 2.00

  NR--Not rated.




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

ED&F MAN: Restructures US$1.5BB Debt to Stave Off Funding Crunch
----------------------------------------------------------------
Philip Stafford at The Financial Times reports that ED&F Man, one
of London's oldest commodities brokers, has restructured nearly
US$1.5 billion of debt and raised an extra US$320 million in
working capital from lenders, staving off a funding crunch.

According to the FT, a judge at the English High Court approved on
Sept. 9 the company's plan to switch its debt, held in credit
facilities that mature in the next two weeks, into new secured
loans and notes that come due over the next three years.

The changes will be made through a scheme of arrangement, the FT
notes.  The broker's 28 creditors and note holders, including the
Netherlands' Rabobank, approved the deal at a meeting last week,
the FT recounts.

The restructuring heads off fears that the broker was on the way to
insolvency, the FT states.  ED&F Man told the court it would be
unable to pay its creditors when several facilities matured over
the seven days to Sept. 22, the FT discloses.

The group, which acts as a middleman in global commodities markets,
had steadily drawn down its facilities in recent years to support
its trading, while trying to raise cash by selling off some assets
and shareholdings, the FT relays.

It blamed the coronavirus pandemic for ending any potential
interest in its assets, and had also been unable to find a larger
partner to provide financial backing, the FT notes.  A High Court
judge noted in August that "its financial position has worsened
considerably as a result of the pandemic", the FT recounts.

According to the FT, in approving the scheme on Sept. 9, Mr.
Justice Meade noted that the company was in "severe danger" of
going bust if the scheme were not put in place.  "It is very cogent
the scheme will provide a better chance for creditors."


HAMMERSON PLC: Egan-Jones Lowers Senior Unsecured Ratings to BB
---------------------------------------------------------------
Egan-Jones Ratings Company, on August 31, 2020, downgraded the
foreign currency and local currency senior unsecured ratings on
debt issued by Hammerson plc to BB from BB+.

Headquartered in London, United Kingdom, Hammerson plc invests in
and develops property.


INTERNATIONAL GAME: Egan-Jones Cuts Sr. Unsecured Ratings to CCC+
-----------------------------------------------------------------
Egan-Jones Ratings Company, on August 31, 2020, downgraded the
foreign currency and local currency senior unsecured ratings on
debt issued by International Game Technology to CCC+ from B-. EJR
also downgraded the rating on commercial paper issued by the
Company to C from B.

Headquartered in London, United Kingdom, International Game
Technology PLC (IGT), formerly Gtech S.p.A. and Lottomatica S.p.A.,
is a multinational gambling company that produces slot machines and
other gambling technology.


NEW LOOK: Survival Hinges on CVA Approval by Landlords
------------------------------------------------------
Laura Onita at The Telegraph reports that New Look has warned it
could collapse if landlords do not agree to a controversial
restructuring deal to allow it to pay cheaper rents.

The retailer sounded the alarm after financial advisers at Perella
Weinberg failed to find a buyer for the whole business as part of a
separate process to help steady the ship, The Telegraph relates.

According to The Telegraph, the chain's future is contingent on
landlords approving a so-called company voluntary arrangement (CVA)
to pay rent on its 496 shops based on revenues for each site.

If the process is successful, it will safeguard 12,000 jobs and
help New Look wipe out GBP440 million of debt, The Telegraph
states.  The chain said otherwise it will have to consider "less
favourable alternatives", The Telegraph notes.

Its fate will be decided on Sept 15, two years after it went ahead
with another CVA, The Telegraph discloses.  At the time, it won the
approval of almost all creditors and landlords but was forced to
make 980 jobs redundant, The Telegraph recounts.

This time around some creditors are less supportive, The Telegraph
says.  Several of its largest institutional landlords and shopping
centre operators are on the fence about whether to back the
proposals or not, according to The Telegraph.

New Look has been criticized by the British Property Federation
(BPF) over alleged inaccuracies in how it has presented the
restructuring plan, The Telegraph notes.

The fashion brand's lenders are prepared to inject a further GBP40
million into the business to turn its fortunes around if landlords
are supportive, The Telegraph discloses.

According to The Telegraph, Chief executive Nigel Oddy, who used to
run House of Fraser, has blamed the sales hit on the pandemic.  Its
stores had to shut for almost three months, The Telegraph  relays.


The chain had been struggling for years, although there were green
shoots of recovery before coronavirus, The Telegraph  states.

Existing debt, coupled with future costs and an accelerated shift
from bricks-and-mortar to online, has forced it to seek a deal with
lenders, The Telegraph notes.


PIZZA HUT: Plans to Close 29 Restaurants, In CVA Talks
------------------------------------------------------
Rhiannon Curry at The Telegraph reports that Pizza Hut has
announced plans to shut 29 restaurants, putting 450 jobs at risk as
it becomes the latest chain to scale back in the wake of the
coronavirus pandemic.

The company, which has 244 restaurants in the UK, is in talks with
creditors over a Company Voluntary Arrangement (CVA) restructuring
deal after facing "significant disruption" in the last six months,
The Telegraph discloses.

Pizza Hut said it had decided to make the move as "sales are not
expected to fully bounce back until well into 2021" despite many of
its sites reopening quickly once restrictions were eased, The
Telegraph relates.

It is yet to confirm which branches are at risk, but said jobs and
operations at Pizza Hut Delivery or related franchises would not be
affected, The Telegraph notes.

It is reported to be seeking to switch to a turnover rent model via
the CVA, meaning it would pay its landlords based on the revenue
made by each outlet, The Telegraph relays, citing Sky News.

According to The Telegraph, a spokesman for Pizza Hut said: "We are
committed to doing the right thing, and in order to secure as many
jobs as possible and continue serving our communities, we are
working to reach an agreement with our creditors.

"While we are likely to see 29 Hut closures and 450 job losses, any
measures we take aim to protect about 5,000 jobs at our remaining
215 restaurants, as well as the longevity of the business.

"We understand this is a difficult time for everyone involved.  We
appreciate the support of our business partners and are doing
everything we can to help our team members during this process."

The pizza chain is the latest UK high street restaurant to face
closures despite the Government's eat out to help out scheme, The
Telegraph states.


ROANZA LTD: Bought Out of Administration by Estar Truck
-------------------------------------------------------
Business Sale reports that Warrington-based Mercedes Van and Truck
dealership Roanza Ltd has been acquired out of administration.

Sarah O'Toole and Jason Bell of Grant Thornton's Manchester office
were appointed as administrator to Roanza Ltd and its subsidiary
Premier Vehicle Rentals Ltd on September 8, 2020, and have now
overseen the sale of parts of the business to Estar Truck and Van
Limited, Business Sale relates.

According to Business Sale, Estar has secured the required
franchises with Mercedes and will now operate across five of these
sites: Trafford Park; Liverpool; Warrington; Deeside and
Stoke-on-Trent.  A total of 340 jobs will be saved, Business Sale
notes.

The administrators, as cited by Business Sale, said sale did not
include sites in Doncaster, East Manchester and one other Liverpool
site, which will immediately cease trading.  A total of 80
positions have been made redundant at these sites, Business Sale
discloses.

Premier Vehicles Rentals Ltd was also not included in the
acquisition, Business Sale states.

In its reports to the year ended December 31 2018, Roanza reported
turnover of GBP180 million, with gross profit of GBP20.6 million,
Business Sale relays.  Its net assets at the time were valued at
GBP6.3 million, according to Business Sale.  However, contraction
in the commercial vehicle sector saw the company record losses in
2019, a situation that was then exacerbated by the impact of the
COVID-19 lockdown, Business Sale recounts.


TULLOW OIL: May Default on Debt if Liquidity Issues Not Resolved
----------------------------------------------------------------
Nathalie Thomas at The Financial Times reports that Tullow Oil
warned it risked defaulting on a debt facility if it does not
resolve a potential liquidity shortfall, as the Africa-focused
explorer slumped to a US$1.4 billion pre-tax loss for the first
half of the year.

According to the FT, the London-listed company said on Sept. 9 that
a "potential liquidity shortfall" threatened its ability to satisfy
requirements at a "redetermination" next January of its
reserves-based lending facility.

The company said it was exploring "various refinancing
alternatives", the FT notes.

At the January redetermination of its RBL, Tullow must show
sufficient funds for the following 18 months, a period that
includes the falling due of US$650 million of debt in April 2022,
the FT discloses.

The company warned that if it was unable to show it had sufficient
funds for the 18 months to July 2022 or resolve the "forecast
liquidity shortfall" within 90 days of failing the January test,
"there will be an event of default under the RBL facility by the
end of April 2021", the FT relates.

It said actions under consideration to address the potential
shortfall included refinancing the senior notes due in April 2022
or convertible bonds due in July next year, the FT relays.

Other options under review include seeking to "secure new liquidity
from banks or capital markets investors", the FT discloses.

Tullow delivered the warning as its half-year results showed it had
fallen into the red for the six months to June 30, compared with a
US$268 million pre-tax profit during the same period last year, the
FT relates.

Its net debt pile also increased to US$3 billion from US$2.9
billion at the same point last year, while free cash flow was
negative, which the company blamed on factors such as redundancy
costs, tax and necessary capital expenditure, the FT discloses.

But the biggest hit to the results came from a US$941 million
writedown of its assets in Uganda--due to be sold to France's
Total--and in Kenya; plus US$418 million of impairments reflecting
lower long-term oil price assumptions, the FT states.


TWIN BRIDGES 2019-1: Fitch Affirms BB+sf Rating on Class X1 Debt
----------------------------------------------------------------
Fitch Ratings has affirmed Twin Bridges 2019-1 (TB 19-1) and Twin
Bridges 2019-2 (TB 19-2). All affected classes have been removed
from Rating Watch Negative (RWN).

RATING ACTIONS

Twin Bridges 2019-1 PLC

Class A XS1956175977; LT AAAsf Affirmed; previously AAAsf

Class B XS1956177916; LT AA+sf Affirmed; previously AA+sf

Class C XS1956178054; LT Asf Affirmed; previously Asf

Class D XS1956178302; LT BBB+sf Affirmed; previously BBB+sf

Class X1 XS1956178484; LT BB+sf Affirmed; previously BB+sf

Twin Bridges 2019-2

Class A XS2058878575; LT AAAsf Affirmed; previously AAAsf

Class B XS2058880472; LT AAsf Affirmed; previously AAsf

Class C XS2058880555; LT Asf Affirmed; previously Asf

Class D XS2058880639; LT BBB+sf Affirmed; previously BBB+sf

Class X1 XS2058880985; LT BBsf Affirmed; previously BBsf

TRANSACTION SUMMARY

The transactions are securitisations of residential mortgages
originated and serviced by Paratus AMC Limited (Paratus), an
experienced mortgage servicer that started originating buy-to-let
(BTL) mortgages in 2015. The loans are exclusively BTL and secured
against properties located in England and Wales.

KEY RATING DRIVERS

Removed From RWN

Fitch has removed notes from RWN where they were placed in April 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 Fitch considered all notes sufficiently robust to
affirm their ratings.

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 (FF), revised rating
multiples and arrears adjustment resulted in a multiple to the
current FF assumptions of 1.4x at 'Bsf' and 1.0x at 'AAAsf' in each
transaction. The coronavirus assumptions are more modest for higher
rating levels as the corresponding rating assumptions are already
meant to withstand more severe shocks.

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

Negative Outlooks

Fitch has assigned Negative Outlooks to the class C, D and X notes
in both transactions. Fitch considers these classes more vulnerable
to prolonged payment holidays or subsequent collateral
underperformance. Excess spread notes (the X1 notes in each
transaction) would be particularly vulnerable, for example in the
event of prolonged payment holidays. In assigning these Outlooks,
Fitch considered its downside sensitivity, a 15% increase in FF and
a 15% reduction in recovery rate (RR), which suggested the
possibility for downgrades should the economic outlook worsen
beyond its baseline expectations.

Impact of Payment Holidays

Around 20% of the borrowers in each portfolio were on payment
holidays as at end-June. In line with Financial Conduct Authority
guidance, Paratus granted payment holidays based on borrowers'
self-certification. Fitch expects providing borrowers with a
payment holiday of up to six months to have a temporary positive
impact on loan performance. However, the transactions may face some
liquidity constraints if a large number of borrowers opt for a
payment holiday. Fitch has tested the ability of the liquidity
reserves to cover senior fees, net swap payments and the class A
and B notes' interest, and found that payment interruption risk
would be sufficiently mitigated.

Libor Reversion

All loans revert to Libor at the end of their initial fixed-rate
period despite the expectation that Libor will be discontinued from
December 2021. The notes and fixed-floating swap in TB 19-1 also
reference Libor. The notes, swap and loans will need to switch to
an alternative index once Libor becomes unavailable, each of which
contain separate fallback provisions. Fitch has not made any
adjustment in its ratings analysis for any potential basis risk
following Libor's discontinuation. Fitch has assumed that the
replacement index in each instance is economically similar to Libor
and, in the case of TB 19-1, consistent across the transaction.
Fitch will update this assumption once any replacement index is
known.

RATING SENSITIVITIES

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 introduced
a suspension on tenant evictions for three months and mortgage
payment holidays, also for up to three months. Fitch acknowledges
the uncertainty of the path of coronavirus-related containment
measures and has therefore considered more severe economic
scenarios.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases", Fitch considers a more severe downside coronavirus
scenario for sensitivity purposes whereby a more severe and
prolonged period of stress is assumed with a halting recovery from
2Q21. Under this scenario, Fitch assumed a 15% increase in WAFF and
a 15% decrease in WARR. The results indicate up to two notches
adverse rating impact in both TB 19-1 and TB 19-2.

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

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

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and potential
upgrades. Fitch tested an additional rating sensitivity scenario by
applying a decrease in the FF of 15% and an increase in the RR of
15%. The ratings on the notes could be upgraded by up to two
notches in TB 19-1 and TB 19-2.

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

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

DATA ADEQUACY

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

Prior to the transactions' closing, Fitch reviewed the results of a
third-party assessment conducted on the asset portfolio information
and concluded that there were no findings that affected the rating
analysis.

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

Overall and together with the assumptions referred, 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

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).

VIRGIN MEDIA: Fitch Places B+ Financing Notes Rating on Watch Neg.
------------------------------------------------------------------
Fitch Ratings has placed the 'B+' instrument ratings of the Virgin
Media group's vendor financing notes on Rating Watch Negative
(RWN). The RWN affects instruments at Virgin Media Vendor Financing
Notes III Designated Activity Company and Virgin Media Vendor
Financing Notes IV Designated Activity Company.

The rating watch reflects the potential of lower recoveries at the
group's vendor financing debt class (VF debt class), following the
first-time rating and funding being arranged at VMED O2 UK Limited,
the proposed joint venture (JV) of Virgin Media Inc's (VMED;
BB-/Stable) UK cable operations and Telefonica SA's (BBB/Stable) UK
mobile business. The RWN reflects the increased amount of secured
debt that is now expected to sit ahead of the VF debt once the JV's
funding exercise has been finalised. In addition to outstanding
VMED debt, which will be undisturbed by the merger, the JV is
raising about GBP5.7 billion of new secured debt.

Fitch expects to downgrade the VF debt class to 'B'/RR6 in line
with the group's senior notes and according to Fitch's notching
criteria, as recoveries are described as "poor". The VF debt class
remains structurally senior to claims of senior noteholders.
However, its assessment of recoveries suggests that recoveries at
both debt classes will be undifferentiated from each other in value
terms. The rating watch will be resolved upon the completion of the
JV, which is subject to regulatory clearance.

The ratings were withdrawn with the following reason Bonds Were
Prefunded/Called/Redeemed/Exchanged/Cancelled/Repaid Early

KEY RATING DRIVERS

Solid Business Profile: VMED's ratings are supported by its strong
business profile, well built-out cable network and solid
performance metrics. In a market with a strong propensity for high
capacity broadband and premium TV content, the company is well
positioned to meet these demands. VMED is the second-largest
operator in the broadband market and the in-franchise market
leader, and provides the widest access among the country's TV
platforms, to premium pay-TV content.

Currently operating as a virtual mobile network operator in mobile,
the proposed merger with Telefonica's O2 UK operations will bring
VMED together with the country's largest mobile network operator.
The JV will benefit from significantly enhanced scale, a strong
position to offer fixed-mobile convergence and sizeable operating
synergies. Fitch has assigned a rating of 'BB-'/Stable to the JV
(see 'Fitch Assigns First-Time Rating of 'BB-' to VMED O2 UK
Limited; Outlook Stable').

VF Recoveries: The VN debt sits between VMED's senior secured debt
rated at 'BB+' and its unsecured notes, rated 'B'. While its
position in the group's waterfall of creditors is unchanged by the
proposed JV funding, the prospect of any recovery is tangibly
diminished by the amount of debt, both new and existing, which will
have priority ranking. As at end-June 2020, VMED's net debt (before
hedging) was GBP12.6 billion, of which about GBP9 billion was
secured. The JV financing in the market will add a further GBP5.7
billion of secured debt to the structure, with the weighting of
secured debt pushing expected recoveries of the VF debt to levels
comparable with the unsecured notes.

DERIVATION SUMMARY

VMED has a larger absolute scale than peer cable operators with
strong mobile franchises, such as VodafoneZiggo Group B.V.
(B+/Stable) in the Netherlands or Telenet Group Holding N.V.
(BB-/Stable) in Belgium. It has significantly stronger broadband
and mobile market shares than UPC Holding BV (BB-/Negative), itself
in the process of a merger with Sunrise Communications Group AG
(BBB-/RWN), which operates as a challenger in its home markets.
However, the UK market is more structurally challenging than most
European markets, with four facilities-based mobile operators,
several strong broadband players offering convergent offers, and
content, in particular sports, being a strong driver of consumer
preferences.

A merger with TEF UK would make VMED a stronger competitor for BT
Group plc (BBB/Stable), although the latter benefits from wider
broadband coverage and stronger B2B market presence, which allows
BT to have more leverage capacity at its 'BBB' rating level versus
an enlarged VMED.

KEY ASSUMPTIONS

Revenue decline of 1% in FY20 as a result of the pandemic (e.g.
decline in subscription following the sports event cancellation
during the lockdown) as well as some regulatory headwinds
(regulated introduction of end-of-contract notifications).

Flat revenue dynamics in FY21 on the back of delayed price rise.
Thereafter, Fitch expects revenue to slightly grow supported by
project lightning and price increases.

Decline in EBITDA margin in FY20 to 41.3% as a result of the
pandemic with some negative headwinds from programming costs and
regulatory changes. Thereafter, Fitch expects modest margin
improvements to 42.8% by FY23.

Capex intensity of about 25% in FY20-24.

RATING SENSITIVITIES

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

A firm commitment by VMED to a more conservative financial policy,
e.g. FFO net leverage of 4.5x.

Continued sound operational performance, as evidenced by key
performance indicators (KPIs) trends and progress in both
investment and consumer take-up with respect to Project Lightning.

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

FFO net leverage expected to remain above 5.2x (2019: 5.2x) on a
sustained basis.

FFO fixed charge interest cover expected to remain below 2.5x 3.0x
(2019: 3.2x) on a sustained basis.

Material decline in operational metrics, as evidenced by declining
KPIs such as customer penetration, revenue-generating units per
subscriber and ARPUs. Evidence that investment in Project Lightning
is being scaled to proven demand will be an important driver.

LIQUIDITY AND DEBT STRUCTURE

Sufficient Liquidity: In Fitch's view, the liquidity profile is
sufficient on the basis of expected positive free cash flow during
2020-2024, full availability under VMED's GBP1 billion revolving
credit facility as of end-1H20 and unrestricted cash and cash
equivalents at end-1H20 of GBP26 million. Liberty Global, VMED's
parent, manages liquidity across its portfolio on a flexible basis
and would be expected to provide support to or reduce shareholder
payments from VMED if necessary. Reported short-term maturities at
end-1H20 include about GBP1.8 billion of vendor financing-related
debt. Nonetheless, liquidity is managed more tightly than at other
LG portfolio businesses.

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).

RATING ACTIONS

Virgin Media SFA Finance Limited

senior secured; LT BB+ Affirmed

Virgin Media Bristol LLC

senior secured; LT BB+ Affirmed

Virgin Media Investment Holdings Limited

senior secured; LT BB+ Affirmed

Virgin Media Secured Finance Plc

senior secured; LT BB+ Affirmed

Virgin Media Vendor Financing Notes IV Designated Activity Company

Structured; LT B+ Rating Watch on

Virgin Media Receivables Financing Notes I Designated Activity
Company

Structured; LT WD Withdrawn; previously B+

Virgin Media Vendor Financing Notes III Designated Activity
Company

Structured; LT B+ Rating Watch on

Virgin Media Inc.

LT IDR; BB- Affirmed; previously BB-

ST IDR; B Affirmed; previously B

Virgin Media Finance PLC

senior unsecured; LT B Affirmed

VMED O2: Fitch Assigns BB- LT IDR, Outlook Stable
-------------------------------------------------
Fitch has assigned a first-time Long-Term Issuer Default Rating of
'BB-' to VMED O2 UK Limited, the proposed joint venture (JV) of
Virgin Media Inc.'s (VMED; BB-/Stable) UK cable operations and
Telefonica SA's (Telefonica; BBB/Stable) UK mobile business. The
Outlook is Stable. Fitch has assigned expected instrument ratings
of 'BB+(EXP)'/'RR1' to the JV's senior secured notes being raised
by VMED O2 UK Financing I and the secured term loans being raised
by VMED O2 Holdco 4 and Virgin Media Bristol.

The ratings reflect the group's enhanced business profile, with the
merger making it the UK's second-largest telecoms carrier after the
incumbent BT Group plc (BBB/Stable). The merger roughly doubles the
group's revenue scale and positions it with a strong convergent
position at a time when the UK is at a more nascent stage in
fixed-mobile development than some European markets. The
combination brings together the solid brand positions of VMED and
O2 UK in fixed and mobile services, respectively, which should help
drive revenue opportunities over time.

The near- to- medium-term potential to deliver targeted cost
synergies is expected to underpin solid cash-flow generation. A
financial policy expected to see net debt/EBITDA leverage managed
towards the upper end of a 4x-5x range, combined with visible cash
flow, anchors the rating at 'BB-' level. The consistency with which
leverage at other Liberty Global plc (VMED's shareholder) ventures
is managed and a tendency to upstream available free cash flow
(FCF) by way of shareholder distributions provide clarity over
anticipated capitalisation.

KEY RATING DRIVERS

Stronger Operating Profile: The merger of VMED and the largest UK
mobile operator Telefonica UK creates a stronger competitor in the
UK market and has a clear strategic rationale, in its view. The JV
would become the second-largest convergent player in the UK market
and a closer peer to incumbent BT that owns mobile operator EE. It
would be the largest player in the UK's mobile market with a
subscriber market share of 38% and a broadband subscriber market
share of 20% as of 3Q19 and a pay-TV market share of 23% as of
4Q19. Telefonica UK has been able to sustainably maintain its
market shares, and the combined entity is likely to improve its
competitive positions after the deal, including in the B2B
segment.

Convergence, Network Strategic Flexibility: Fitch believes the
combined entity would improve its strategic positions with regards
to convergent product offerings and network development compared
with a business model where either fixed or mobile elements are
provided through third-party facilities. The enlarged operator
would benefit from the joint network use, while also facing
brighter cross- and up-selling opportunities. A wider proliferation
of converged offers would likely lead to lower churn rates and
subscriber acquisition and retention savings.

However, Fitch does not expect the operating profile of the cable
company to change dramatically in the short to medium term as VMED
already operates as a mobile virtual network operator (MVNO)
offering bundled services and is planning to add 5G services in
4Q20 under the new MVNO agreement with Vodafone.

Sizeable Merger Synergies: The merger would allow achieving cost,
capex and revenue synergies, which the company estimates to be
GBP0.5 billion on an annual basis. Cost and capex synergies include
savings from Virgin's MVNO switch to the Telefonica UK's network,
SG&A and network and IT cost reduction, including from moving to a
single core network. Revenue synergies would be driven by the
cross- and up-selling opportunities supported by the enlarged
operator's ability to offer an enhanced value proposition.

Both Liberty Global and Telefonica have a good record of managing
telecoms businesses across Europe; experience Fitch believes helps
underpin the industrial logic of the merger. Performance of the
VodafoneZiggo Group B.V. (B+/Stable) in the Netherlands is a good
example of the synergy and cash flow potential of combinations of
this nature

Integration Benefits Timing: The bulk of expected synergies are
forecast in 2022-2023, while integration costs (including capex)
will put some pressure on the profitability and leverage profile of
the combined company in the next two to three years. The company
expects the total integration costs to be about GBP700 million with
the majority of these costs coming in FY21-FY23.

Fitch believes cost and capex synergies should be deliverable; its
rating case assumes that 75% of planned cost and capex synergies
are realised. Fitch only reflects 30% of management revenue
synergies in its forecast given higher execution risk, lower
visibility and a view that the scope for material enhancements to
product offers will take longer to develop.

COVID-19 Impact Manageable: Fitch expects that the telecom industry
will not be significantly affected by the pandemic. However,
deteriorating macroeconomic conditions in the short term will
affect the consumer purchasing power. This could slow down
operators' ongoing subscriber migration to more premium services.
Therefore, Fitch expects flat revenue dynamics in FY20-FY21 with
revenues starting to grow at a low single-digit growth rate,
thereafter.

Leverage Policy: Fitch estimates FFO net leverage pro-forma for the
acquisition to be at 5.2x at end-2020 (5.2x at end-2019 for VMED
standalone) declining to 4.8x by end-2022. An expectation that
leverage will be managed at or below 5.2x FFO net leverage by 2021
underpins the Stable Outlook. Fitch believes leverage is likely to
be managed closer to the higher end of the targeted 4.0x-5.0x net
debt/last 12 months EBITDA (company definition) range as either
shareholder may unilaterally trigger a re-capitalisation up to 5.0x
as long as the JV is (as Fitch expects) FCF positive. This leverage
policy may help mitigate leverage spikes driven by operating needs,
such as spectrum payments.

DERIVATION SUMMARY

VMED has a larger absolute scale than peer cable operators with
strong mobile franchises such as VodafoneZiggo (B+/Stable) in the
Netherlands or Telenet Group Holding N.V (BB-/Stable) in Belgium.
It has significantly stronger broadband and mobile market shares
than UPC Holding BV (BB-/Negative), currently in the process of
acquiring Sunrise Communications Group AG (BBB-/Rating Watch
Negative) and operates as a challenger in its home markets. The UK
market is more structurally challenging than most European markets,
with four facilities-based mobile operators, a number of strong
broadband players offering convergent offers, and content with
sports, in particular, a strong driver of consumer preferences.

A merger with O2 UK makes VMED a stronger competitor to the
incumbent BT. However, the latter benefits from wider broadband
coverage and stronger B2B market presence, which allows BT to have
more leverage capacity at its 'BBB' rating level versus an enlarged
VMED.

KEY ASSUMPTIONS

The JV transaction achieves regulatory clearance and closes with
the capitalisation currently contemplated by management.

Revenue decline of 6.8% in 2020 reflecting a modest decline in
like-for like revenues as a result of the pandemic (eg a decline in
subscription following the sports event cancellation during the
lockdown and decline in roaming revenues) some regulatory
challenges (regulated introduction of end-of-contract
notifications), plus the exclusion of VMED's operations in Ireland
from the business perimeter.

Slightly negative revenue dynamics in 2021 on the back of delayed
price rise. Thereafter, Fitch expects revenue to slightly grow
supported by revenue synergies coming from cross-selling
opportunities.

Fitch expects EBITDA margin to be 31.4%-32.2% in 2020-2021
improving to 34.5%-36.2% in FY22-FY24 on the back of increasing
cost synergies.

Capex intensity of 17%-19% in 2020-2021. Fitch assumes 5G spectrum
payments to be GBP1.2 million split over 2022-2023, in line with
Fitch's assumptions on the UK telecom peers.

Dividends equal to the pre-dividend FCF. For 2020, total dividends
also include recapitalisation dividends.

RATING SENSITIVITIES

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

FFO net leverage below 4.5x on a sustainable basis.

A more conservative financial policy with strong and stable FCF
generation, reflecting a stable competitive and regulatory
environment.

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

FFO net leverage consistently above 5.2x.

FFO interest cover is expected to remain below 3.0x on a sustained
basis.

Material decline in key operating and financial metrics, reflecting
intensified competitive pressures.

LIQUIDITY AND DEBT STRUCTURE

Satisfactory Liquidity: The combined entity's liquidity is
supported by the expected positive pre-dividend FCF and undrawn
revolving credit facility of GBP1 billion. This will provide VMED
O2 with sufficient cover for short-term debt as well as payments
due in 2021.

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).

VMED O2: Moody's Assigns Ba3 CFR, Outlook Stable
------------------------------------------------
Moody's Investors Service assigned a Ba3 corporate family rating
and Ba3-PD probability of default rating (PDR) to VMED O2 UK
Limited. Concurrently, Moody's has assigned a Ba3 instrument rating
to the new GBP2.45 billion (equivalent) senior secured notes due
2031 (except for GBP tranche due 2029) to be issued by VMED O2 UK
Financing I plc, to the new GBP1.5 billion term loan A (Facility P)
due 2026 to be raised by VMED O2 UK Holdco 4 Limited, and to the
GBP1.75 billion (equivalent) Term Loan B to be split into a
Facility Q and a Facility R due 2029 to be raised by Virgin Media
Bristol LLC and VMED O2 UK Holdco 4 Limited, respectively, all
entities being subsidiaries of VMED O2 UK Limited. The outlook on
the ratings is stable.

Moody's has affirmed all the ratings of Virgin Media Inc. and its
subsidiaries with the exception of the vendor financing notes
raised by Virgin Media VFN IV DAC and Virgin Media Vendor Financing
Notes III. Moody's has downgraded the the vendor financing notes
issued by Virgin Media VFN IV DAC and Virgin Media Vendor Financing
Notes III to B2 from B1. The outlook on all the ratings of Virgin
Media Inc. and its subsidiaries has been changed to stable from
negative.

On May 7, 2020, Liberty Global plc (Liberty Global) (Ba3 stable)
and Telefonica S.A. (Telefonica) (Baa3 stable) announced that they
entered into an agreement to form a 50:50 joint venture combining
the UK's operations of Virgin Media Inc. with O2 Holdings Limited.
Virgin Media Inc.'s operations in Ireland will thus not be a part
of the joint venture. VMED O2 UK Limited. will be the consolidating
and reporting entity of the joint venture. The joint venture
transaction will not constitute a change of control under Virgin
Media Inc.'s existing indebtedness which will be contributed to the
joint venture. O2 Holdings Limited will be contributed by
Telefonica into the joint venture debt-free. The joint venture will
use the proceeds from the issuance of the new instruments to pay
dividends to its shareholders. However, the proceeds from the
senior secured notes will be placed into escrow and the new term
loans will remain undrawn until the completion of the joint venture
which is subject to regulatory approval, including competition
clearance approval by the European Commission and, if applicable,
the merger control authorities of the U.K. It is anticipated that
the joint venture will close around the middle of 2021. Neither
Telefonica nor Liberty Global will consolidate the joint venture
after the closing.

RATINGS RATIONALE

Virgin Media O2's Ba3 CFR reflects (1) the large scale of the joint
venture which creates a fully converged fixed and mobile
communications operator in the UK to compete more effectively with
incumbent BT Group Plc (rated under British Telecommunications Plc
[Baa2 negative] and EE Limited [Baa2 negative]), (2) the good
quality of the joint venture's fixed and mobile networks, (3) the
significant cost and capital expenditures savings and revenue
synergies to be realized from the merger of Virgin Media and O2,
and (4) the good liquidity of the joint venture supported by a
large undrawn revolving credit facility and increasing cash flow
generation before dividends driven by a lower capital intensity at
Virgin Media.

However the rating is constrained by (1) Virgin Media O2's high net
leverage at 5.0x pro forma for the transaction (based on debt
structure as of June 30, 2020 and last twelve months pro forma
EBITDA as of December 31, 2019 as reported by the company including
vendor financing but excluding off-balance sheet securitization
programmes at Virgin Media and O2), which is comparable to the
adjusted gross leverage as calculated by Moody's, (2) limited
de-leveraging prospects based on Moody's assumption that the joint
venture will maintain its net leverage at close to the higher end
of its 4.0x-5.0x target net leverage ratio to maximize
distributions to the parents through recapitalizations subject to
market and operating conditions, and (3) the highly competitive
nature of the UK telecom market and the increased pressure over the
medium-term from the rollout of fibre by the incumbent and
alternative network providers which will constrain revenue growth
at low single-digit rates over the medium-term.

The affirmation of the existing ratings of Virgin Media Inc. and
its subsidiaries (except for the vendor financing notes issued by
Virgin Media VFN IV DAC and Virgin Media Vendor Financing Notes
III) and the change in the outlook to stable reflects Moody's
expectation that the transaction will close and the existing rated
facilities will be contributed to the joint venture which will lead
to a de-leveraging of the joint venture compared to Virgin Media
Inc. on a standalone basis. The downgrade of the vendor financing
notes reflects the increased amount of senior secured debt ranking
ahead pro forma for the closing of the joint venture.

Upon the closing of the joint venture, Moody's expects to withdraw
the CFR and PDR on Virgin Media Inc.

Although the coronavirus outbreak will have a relatively limited
impact on Virgin Media and O2, it will contribute to a modest
decline in revenue and EBITDA for the combined group in 2020 before
a stabilization in 2021 and a return to moderate revenue growth
from 2022. Virgin Media (including Irish operations) reported a
decline in rebased revenue of 2.1% in the first six months of 2020
compared to the same period last year after having experienced only
a modest rebased revenue growth of 0.4% in 2019. O2's total revenue
declined by 1.1% in the first six months of 2020 due to the impact
of COVID-19 resulting in a significant lockdown-related decline in
Smart Metering Implementation Programme installations and mobile
revenues. Despite the modest projected revenue growth beyond 2021,
Moody's forecasts a strong growth in EBITDA supported by the GBP540
million synergy estimate comprised of approximately GBP350 million
of cost savings, GBP80 million of capital expenditure synergies and
GBP110 million of revenue synergies. Management has estimated
GBP700 million in integration and restructuring costs to deliver
those synergies.

The rating also takes into account the following environmental,
social and governance (ESG) considerations. From a corporate
governance perspective, in addition to the high level of leverage
at which Virgin Media O2 will operate, Moody's considers that the
delivery of the strategy of the joint venture is subject to
execution risk given the untested nature of the collaboration
between Liberty Global and Telefonica in a joint control
environment.

Moody's considers that Virgin Media O2 will benefit from an
adequate liquidity position supported by a large GBP1.0 billion
revolving credit facility which will be undrawn at the closing of
the transaction and will mitigate the projected modest cash balance
within the group. The joint venture will also enjoy a long-dated
maturity profile with no significant debt maturing before 2025.
Cash flow will be increasing over the medium-term as the joint
venture realizes the synergies while capital intensity at Virgin
Media will decrease following the upgrade of its DOCSIS network to
speeds of up to 1 Gbps. While Moody's assumes that all of the
excess cash flow will be up-streamed to Liberty Global and
Telefonica, the rating agency also considers that it represents a
buffer to support de-leveraging in a situation of pressure on
EBITDA.

STRUCTURAL CONSIDERATIONS

Virgin Media O2's and Virgin Media Inc.'s PDR of Ba3-PD is at the
same level as the company's CFR, reflecting the expected recovery
rate of 50%, which Moody's typically assumes for a capital
structure that consists of a mix of bank credit facilities and bond
debt.

The new senior secured notes will be issued by VMED O2 UK Financing
I plc, which will sit outside of the bank and restricted groups as
determined in the Virgin Media's credit facility agreement and
indentures governing Virgin Media's existing senior secured notes
and senior notes which will be contributed into the joint venture.
The proceeds from the issuance of the new senior secured notes will
be used by the issuer to fund Finco loans to be borrowed by VMED O2
UK Holdco 4 Limited, a new entity set up within the bank group
under the Virgin Media credit facility. The issuer of the new
senior secured notes will thus accede as a Virgin Media credit
facility lender under the Virgin Media credit facility and the new
Finco loans. The new Finco loans will be guaranteed on a senior
secured basis by the Virgin Media credit facility guarantors and
secured on a pari passu basis with all other outstanding loans
under the Virgin Media credit facility by all of the assets of the
bank group. The new term loans A and B will be raised by VMED O2 UK
Holdco 4 Limited and Virgin Media Bristol LLC. The Ba3 instrument
rating for the new senior secured notes reflects their pari passu
ranking through the Finco loans with the new term loans A and B and
existing Virgin Media's credit facilities and senior secured notes.
These instruments rank senior to Virgin Media's existing vendor
financing notes and senior notes, both rated B2.

RATING OUTLOOK

The stable outlook assumes the successful integration of the
business, with timely delivery of the expected synergies while the
integration costs will be contained within the envelope estimated
by management, and the joint venture's financial policy to maintain
net leverage (as reported by the company) between 4.0x to 5.0x. If
the transaction was to fail, Moody's would reassess the rating
positioning of Virgin Media Inc. on a standalone basis.

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

Downward pressure on the ratings is likely if (1) the operating
performance of the combined business weakens meaningfully during
the integration process due to intense competition in the market;
(2) the combined business fails to deliver the promised synergies
on a timely basis or integration costs are significantly larger
than expected; and/ or (3) Moody's adjusted Gross Debt/ EBITDA
ratio moves above 5.25x on a sustained basis.

Positive ratings pressure could develop over time if Virgin Media
O2 deliver a strong operating performance and solid revenue growth
while maintaining a conservative financial policy, such that
leverage, as measured by the Gross Debt/EBITDA ratio (as adjusted
by Moody's) falls towards 4.25x on a sustainable basis.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was
Telecommunications Service Providers published in January 2017.

COMPANY PROFILE

Virgin Media provides video, broadband internet and fixed-line
telephony services in the U.K. over its cable network and mobile
services as a mobile virtual network operator (MVNO). The Virgin
Media Group's revenue and Segment Adjusted EBITDA was GBP4.8
billion and GBP2.0 billion, respectively, for the year ended
December 31, 2019. O2 Holdings is the U.K.'s largest mobile
network. The O2 Group's revenue and operating income before
depreciation and amortisation (OIBDA) was GBP6.2 billion and GBP1.8
billion, respectively, for the year ended December 31, 2019.

Downgrades:

Issuer: Virgin Media Vendor Financing Notes III

Senior Secured Regular Bond/Debenture, Downgraded to B2 from B1

Issuer: Virgin Media VFN IV DAC

Senior Secured Regular Bond/Debenture, Downgraded to B2 from B1

Assignments:

Issuer: Virgin Media Bristol LLC

Senior Secured Bank Credit Facility, Assigned Ba3

Issuer: VMED O2 UK Financing I plc

Senior Secured Regular Bond/Debenture, Assigned Ba3

Issuer: VMED O2 UK Holdco 4 Limited

Senior Secured Bank Credit Facility, Assigned Ba3

Issuer: VMED O2 UK Limited

Probability of Default Rating, Assigned Ba3-PD

Corporate Family Rating, Assigned Ba3

Affirmations:

Issuer: Virgin Media Bristol LLC

Senior Secured Bank Credit Facility, Affirmed Ba3

Issuer: Virgin Media Finance PLC

Senior Unsecured Regular Bond/Debenture, Affirmed B2

Issuer: Virgin Media Inc.

Probability of Default Rating, Affirmed Ba3-PD

Corporate Family Rating, Affirmed Ba3

Issuer: Virgin Media Investment Holdings Ltd

Senior Secured Bank Credit Facility, Affirmed Ba3

Issuer: Virgin Media Secured Finance PLC

Senior Secured Regular Bond/Debenture, Affirmed Ba3

Issuer: Virgin Media SFA Finance Limited

Senior Secured Bank Credit Facility, Affirmed Ba3

Outlook Actions:

Issuer: Virgin Media Bristol LLC

Outlook, Changed To Stable From Negative

Issuer: Virgin Media Finance PLC

Outlook, Changed To Stable From Negative

Issuer: Virgin Media Inc.

Outlook, Changed To Stable From Negative

Issuer: Virgin Media Investment Holdings Ltd

Outlook, Changed To Stable From Negative

Issuer: Virgin Media Secured Finance PLC

Outlook, Changed To Stable From Negative

Issuer: Virgin Media SFA Finance Limited

Outlook, Changed To Stable From Negative

Issuer: Virgin Media Vendor Financing Notes III

Outlook, Changed To Stable From Negative

Issuer: Virgin Media VFN IV DAC

Outlook, Changed To Stable From Negative

Issuer: VMED O2 UK Financing I plc

Outlook, Assigned Stable

Issuer: VMED O2 UK Holdco 4 Limited

Outlook, Assigned Stable

Issuer: VMED O2 UK Limited

Outlook, Assigned Stable


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

Troubled Company Reporter-Europe is a daily newsletter co-
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