/raid1/www/Hosts/bankrupt/TCREUR_Public/201008.mbx        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, October 8, 2020, Vol. 21, No. 202

                           Headlines



G E R M A N Y

CHEPLAPHARM ARZNEIMITTEL: S&P Affirms 'B' ICR, Outlook Stable
THYSSENKRUPP AG: Egan-Jones Lowers Sr. Unsecured Debt Ratings to B-
THYSSENKRUPP AG: S&P Alters Outlook to Stable & Affirms 'BB-' Ratin


I R E L A N D

BLUEMOUNTAIN FUJI III: Fitch Affirms B-sf Rating on Class F Notes
BLUEMOUNTAIN FUJI IV: Fitch Affirms B-sf Rating on Class F Notes
BNPP AM 2019: Fitch Affirms B-sf Rating on Class F Notes
BOSPHOROUS CLO V: Fitch Affirms B-sf Rating on Class F Notes
JUBILEE CLO 2018-XX: Moody's Confirms B2 Rating on Class F Notes

JUBILEE CLO 2018-XXI: Moody's Confirms B2 Rating on Class F Notes
PALMER SQUARE 2020-1: Fitch Gives Bsf Rating on Class F Notes
PALMER SQUARE 2020-1: S&P Assigns 'B-(sf)' Rating on Class F Notes
PALMERSTON PARK: Fitch Affirms 'B-sf' Rating on Class E Debt
ST. PAUL'S III-R: Fitch Maintains B-sf Rating on Class F-R Notes

ST. PAUL'S VII: Fitch Affirms B-sf Rating on Class F-R Notes


L U X E M B O U R G

AURIS LUXEMBOURG: Fitch Corrects Sept. 30 Ratings Release


N E T H E R L A N D S

ARES EUROPEAN XII: Fitch Affirms 'B-sf' Rating on Class F Notes
BNPP AM 2017: Fitch Affirms 'B-sf' Rating on Class F Debt
DRYDEN 46 2016: S&P Lowers Class F Notes Rating to 'BB-'


R U S S I A

GAZ FINANCE: Moody's Rates Proposed USD Hybrid Notes 'Ba1'
GAZPROM PJSC: Fitch Rates Hybrid LPNs 'BB+(EXP)'
GAZPROM PJSC: S&P Rates New Inaugural Sub. Hybrid Notes 'BB'
NIZHNEKAMSKNEFTEKHIM PJSC: Moody's Cuts CFR to B1, Outlook Stable
URALKALI PJSC: Fitch Alters Outlook on 'BB-' LT IDR to Stable



S L O V E N I A

POLZELA: Sirekar Opens New Shop in Ljubljana


S P A I N

AYT GENOVA X: Fitch Cuts Class D Notes to 'B-sf'
BANCO SANTANDER: Fitch Cuts Legacy Hybrid Pref. Securities to CCC


T U R K E Y

NUSR-ET: Owner In Talks with Lenders to Delay Debt Repayments


U K R A I N E

KERNEL HOLDING: S&P Upgrades ICR to 'B+' on Sound Credit Metrics
WILLIAM HILL: Moody's Places Ba3 CFR on Review for Downgrade


U N I T E D   K I N G D O M

BBD PARENTCO: Fitch Alters Outlook on 'B-' IDR to Stable
CAPRI ACQUISITIONS: Moody's Withdraws B3 CFR & B3-PD PDR
CINEWORLD GROUP: Fitch Cuts LT IDR & Senior Secured Rating to CCC-
CINEWORLD GROUP: Lenders Call in Advisers for Talks on Debt Pile
CLARKS: Mulls Dozens of Permanent Store Closures Through CVA

EVORA CONSTRUCTION: Enters Administration Amid Pandemic
FINABLR: Prism Advance Solutions Makes Takeover Offer
JAGUAR LAND: Fitch Rates Proposed Unsecured Notes 'B(EXP)'
JAGUAR LAND: Moody's Rates New $500MM Unsec. Notes Due 2025 'B1'
JAGUAR LAND: S&P Rates New Unsecured Notes 'B'

RICHMOND PARK: Fitch Affirms 'B-sf' Rating on Class F-RR Debt
SIG PLC: Egan-Jones Cuts Senior Unsecured Ratings to B+
TORO PRIVATE I: Fitch Raises LongTerm Issuer Default Rating to CCC+
WILLIAM HILL: S&P Places 'B' LT ICR on CreditWatch Negative

                           - - - - -


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G E R M A N Y
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CHEPLAPHARM ARZNEIMITTEL: S&P Affirms 'B' ICR, Outlook Stable
-------------------------------------------------------------
S&P Global Ratings affirmed its 'B' long-term issuer credit rating
on off-patent branded pharmaceutical company Cheplapharm
Arzneimittel GmbH (Cheplapharm), on its existing term loan B, and
on its existing senior secured notes, and assigned its 'B' issue
rating to the proposed EUR1 billion senior secured notes.

S&P said, "The stable outlook indicates that we expect the
company's disciplined acquisition strategy to enable it to
successfully integrate the targeted assets. That said, we see
limited headroom for integration setbacks or additional
discretionary debt-funded acquisitions over the next 12 months, at
the current rating."

Cheplapharm intends to issue EUR1 billion of senior secured notes
to secure the acquisition of four product portfolios.

The planned series of acquisition could significantly increase
Cheplapharm's scale and product diversification.  The firm plans to
acquire four portfolios of products in the fourth quarter of 2020.
S&P said, "We expect these new products will significantly increase
the scale of Cheplapharm--the company's EBITDA is forecast to grow
to about EUR580 million-EUR600 million in 2021. We forecast it
would be about EUR330 million-EUR350 million in 2020."
Additionally, this series of acquisitions will likely improve
Cheplapharm's product portfolio diversification. Once the new
products have been integrated, the Top 5 products should contribute
only about 27%-29%, rather than about 40%-42%, as they did in the
first half of 2020.

S&P said, "We expect Cheplapharm's disciplined buying strategy will
enable it to integrate the portfolios of products it is acquiring,
despite some execution risk.  The integration of new assets carries
execution risks associated with the need for the timely transfer of
marketing authorizations (MA), the seamless integration of products
in Cheplapharm's network of contract manufacturing organization,
and the realization of targeted gross margins from new products.
That said, Cheplapharm has taken a proactive approach to increasing
its staff count, to 364 in June 2020from 321 in December 2019,
which should help it manage the transfer of MAs for the new
products in each country. We take into account Cheplapharm's
successful track record of transferring MAs and integrating
acquired drugs into its network of manufacturing partners within
the timeframe it has agreed with the seller. Moreover, Cheplapharm
has historically been disciplined regarding the price it has paid
for new products. It has also been careful to acquire branded
products that do not require marketing efforts to realize the
expected gross profit. We expect Cheplapharm to continue applying
its disciplined acquisition policy and therefore manage execution
risks.

"We anticipate that Cheplapharm will continue to generate
substantial free operating cash flow (FOCF) thanks to its strong
profitability and limited capital expenditure (capex) requirements.
Cheplapharm operates with an asset-light business model focused on
a buy-and-build strategy. The company primarily focuses on
acquiring the right target and subsequently outsources
manufacturing, distribution, and marketing activities to its
external networks. Additionally, the company does not have in-house
research and development costs. Cheplapharm primarily implements
its experience of managing product life cycles. This results in
strong profitability and we anticipate an S&P Global
Ratings-adjusted EBITDA margin of 48%-53% over the next 12-18
months. Given the asset-light business model and our expectation
that the company will continue to manage its working capital
requirements well, we project that it will generate annual FOCF of
EUR220 million-EUR250 million over the same period. We also assume
that the company will utilize internally generated cash for future
acquisitions.

"We expect Cheplapharm's financial policy of using external debt
and internally generated cash to finance the acquisition of new
drugs is likely to result in debt-leverage ratios of about 5.0x, on
average.  Cheplapharm's product portfolio primarily comprises niche
and older legacy products that have lost their patent protection.
These products are exposed to price erosion and their revenue
declines naturally by 3%-5% a year. The business model solely
focuses on sourcing assets from outside, financed by internally
generated liquidity and external debt. In our view, Cheplapharm's
geographic diversification and positive track record in
transferring MAs makes the company a preferred partner for large
pharmaceutical companies and gives it an advantage in the bidding
process. We expect that the company will continue to use a
combination of internally generated cash and external debt to
acquire new products and offset the natural decline in revenue. As
such, we forecast that Cheplapharm's debt-leverage ratio is likely
to continue to average 5.0x-5.5x.

"The stable outlook indicates that Cheplapharm's operating
performance is likely to remain resilient. The company is forecast
to generate EBITDA margin of about 48%-53% in the next 12-18
months, reflecting a seamless integration of new assets. We
forecast that Cheplapharm will generate EBITDA of about EUR580
million-EUR600 million and annual FOCF of about EUR220
million-EUR250 million in the next 12-18 months. Given the large
amount of debt when the transaction closes, we expect Cheplapharm
to continue generating substantial annual FOCF under the current
rating.

"We could lower the rating if we observe a deterioration in
Cheplapharm's operating performance, such that its ability to
generate substantial annual FOCF is affected or it cannot improve
its debt-leverage ratio within the 12-18 months following the
latest acquisition. This would most likely occur if Cheplapharm
acquired a portfolio of drugs at high EBITDA multiples, or if it
faces setbacks in integrating the new assets."

S&P's downside scenario comprises the following triggers:

-- Annual FOCF of below EUR200 million; and

-- Inability to reduce adjusted debt-to-EBITDA ratio to about 5.0x
within the 12-18 months after the latest acquisition.

S&P could consider an upgrade if the company successfully achieves
a substantial improvement in scale and diversity, such that
declining sales from individual products had a diminishing effect
and newly acquired products contributed a smaller share of the
overall. This would most likely occur if recent acquisitions were
seamlessly integrated and the company continued to apply a
disciplined acquisition strategy. Under this scenario, S&P would
expect Cheplapharm to maintain its high level of profitability and
cash-flow conversion, in line with historical trends.

S&P's upside scenario comprises the following triggers:

-- Adjusted EBITDA margin of about 50%-55%;
-- FOCF sustainably exceeding EUR250 million; and
-- Adjusted debt-to-EBITDA ratio sustainably remaining below
5.0x.


THYSSENKRUPP AG: Egan-Jones Lowers Sr. Unsecured Debt Ratings to B-
-------------------------------------------------------------------
Egan-Jones Ratings Company, on October 1, 2020, downgraded the
foreign currency and local currency senior unsecured ratings on
debt issued by thyssenkrupp AG to B- from B.

Headquartered in Essen, Germany, thyssenkrupp AG manufactures
industrial components.


THYSSENKRUPP AG: S&P Alters Outlook to Stable & Affirms 'BB-' Ratin
-------------------------------------------------------------------
S&P Global Ratings revised its outlook on thyssenkrupp AG (tk) to
stable from positive, and affirmed the 'BB-' ratings on the company
and its debt.

S&P said, "The stable outlook reflects our view that the high cash
balance provides the company the resources it needs to restructure
its operations and refocus its strategy. We aim to review the
rating over the next three months when the company has reported its
full-year results, and provided more details on the its strategy
and a credible plan on how it will turn around the remaining
business and return to growth and higher profitability."

The global recession resulting from the COVID-19 pandemic has
materially affected tk's end-markets, in particular the automotive
industry, as well as its operating performance.  Production cuts
have led to depressed demand for the group's steel products and
automotive technologies segment. Additional demand for heavy-duty
engine components and undercarriages has significantly declined. As
a result, pro-forma revenue declined by more than 15% year over
year in the first nine months of fiscal 2020 (fiscal year ends
Sept. 30), and EBITDA margins turned negative 1.3% from 4.1% a year
earlier. Going forward S&P expects a gradual recovery as automotive
production has resumed, but S&P estimates it will not reach prior
levels before 2023 on a global basis.

Negative FOCF generation is significantly weaker than expected and
the group's transformative direction remains somewhat unclear.  
S&P said, "We now expect tk to report of negative EUR5.7 billion
FOCF in fiscal 2020, on an S&P Global Ratings' adjusted basis.
However, we note that about EUR2.5 billion relates to the reversal
of working capital measures, which will be not recurring. With the
gradual recovery in the economy and automotive production, we
estimate FOCF to improve to less than negative EUR1 billion in
fiscal 2021. We continue to view tk's inability to generate
positive FOCF as a key rating constraint and a lack of structural
improvement in 2021 will put additional pressure on the current
rating."

The strategy to define a group of companies that will belong to tk
going forward and a portfolio of activities (Multi Tracks) that it
will exit over time, provides only a limited view on the future
shape and scope of tk. The company is still evaluating strategic
options for the remaining activities, including an industrial
consolidation for its steel operations. S&P believes it will gain
more clarity on the strategic direction over the next three
months.

tk will use the proceeds to repay existing debt and build up assets
to cover its pension deficit.   S&P continues to believe the group
will use the majority of the proceeds to pay back its financial
debt at maturity and fund a contractual trust agreement (CTA) to
cover its pension obligations. tk already paid back a EUR750
million 1.75% note in September, the next maturity will be the
EUR850 million 2.75% note due in March 2021. The lower interest
supports the operating cash flow generation gradually over time.
Given the uncertain and volatile environment, we assume the funding
of its pension assets is delayed until the operating performance
has been normalized and the strategic direction has been clarified.
However, the reinvestment of EUR1.25 billion in its sold elevator
business as part of the transaction has been completed, which we
assume tk will likely hold against its pension deficit.

Management remains committed to reducing debt on the balance sheet,
restructuring the business, and improving the credit rating.   S&P
said, "We believe the management team continues to be committed to
a higher rating over the medium term. We therefore assume that
management will not take any shareholder-friendly measures such as
paying out an extraordinary dividend or initiating a share buyback
program. We also assume management will carefully consider cash
flow generation capacity before reinitiating a regular dividend."

Significant cash proceeds from the sale of its elevator business is
providing ample liquidity resources.   S&P estimates the group will
have more than EUR10 billion in cash and cash equivalents available
after paying back what it has drawn on its committed lines at the
end of fiscal 2020. Given the ample liquidity sources and
manageable upcoming debt maturities, we now asses the liquidity as
strong.

S&P said, "The stable outlook reflects our view that the high cash
balance provides the company the resources it needs to restructure
its operation and refocus its strategy. We aim to review the rating
over the next three months, when the company has reported its full
year results and provided more details on its strategy and a
credible plan how it will turn around the remaining business and
return to growth and higher profitability. The current rating
incorporates our expectation that the group will achieve an funds
from operations (FFO) to debt of about 20% in fiscal 2021.

"We could lower the ratings or revise the outlook, if we believe
the group cannot improve its FOCF generation on a structural basis
toward break-even levels over the next 12 to 18 months, or if the
strategic direction remains unclear. We could also lower our
ratings if its end markets, in particular automotive, would remain
depressed for a longer time than currently expected (because of
renewed global lockdowns, for example).

"Currently we see only limited upside for the group, reflecting the
expected negative FOCF generation over the next 12 months and
depressed profitability.

"We could raise the rating if the FOCF generation turns positive on
a structural basis and FFO to debt reaches 30% on a sustainable
basis."




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I R E L A N D
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BLUEMOUNTAIN FUJI III: Fitch Affirms B-sf Rating on Class F Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed BlueMountain Fuji Euro CLO III DAC and
removed the class E and F notes from Rating Watch Negative (RWN).

RATING ACTIONS

BlueMountain Fuji Euro CLO III

Class A-1 XS1861113113; LT AAAsf Affirmed; previously AAAsf

Class A-2 XS1861113469; LT AAAsf Affirmed; previously AAAsf

Class B XS1861113899; LT AAsf Affirmed; previously AAsf

Class C XS1861114277; LT Asf Affirmed; previously Asf

Class D XS1861114517; LT BBBsf Affirmed; previously BBBsf

Class E XS1861114863; LT BBsf Affirmed; previously BBsf

Class F XS1861116991; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The rating action is a result of a sensitivity analysis Fitch ran
considering the coronavirus pandemic. Fitch notched down the
ratings of all assets of corporate issuers with Negative Outlooks
(30.09% of the portfolio) regardless of sector. The class E and F
notes have a negative cushion under this stress.

Fitch believes the portfolio's negative credit migration has
slowed, making downgrades of the two junior tranches less likely in
the short term. As a result, the junior notes have been affirmed
and removed from RWN. The Negative Outlooks on the two junior
tranches reflect the risk of credit deterioration over the longer
term, due to the economic fallout from the pandemic. The Stable
Outlook on the remaining tranches reflect their rating resilience
under the coronavirus baseline sensitivity analysis with a large
cushion.

Adequate Portfolio Performance; Surveillance

The transaction is still in its reinvestment period, which ends in
July 2022, and the portfolio is actively managed by the collateral
manager. As of the latest investor report available dated August
18, 2020, the transaction was 41bp above par, though defaults have
occurred since the reporting date, which were incorporated into
Fitch's analysis. All portfolio profile tests, coverage tests and
Fitch's collateral quality tests were passing. Exposure to assets
with a Fitch-derived rating of 'CCC+' and below was 5.55% of the
portfolio and, including unrated assets, 7.33% as of September 26,
2020.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of obligors to be in the
'B'/'B-' category. The Fitch weighted average rating factor (WARF)
calculated by Fitch as of September 26, 2020 of the current
portfolio was 34.45 (assuming unrated assets are 'CCC' and
excluding defaulted assets) and the trustee-reported WARF was 34.62
as of August 18, 2020, both below the maximum covenant of 35. Under
the coronavirus baseline scenario, the Fitch WARF would increase to
38.4.

High Recovery Expectations

Senior secured obligations constitute 99.08% of the portfolio.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
The Fitch-calculated weighted average recovery rate (WARR) of the
current portfolio is 66.53% above the minimum covenant of 65.1%

Diversified Portfolio Composition

The portfolio is well-diversified across obligors, countries, and
industries. The top-10 obligors' concentration is 12.34% and no
obligor represents more than 1.41% of the portfolio balance.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

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

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

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

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

Coronavirus Downside Sensitivity

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

BLUEMOUNTAIN FUJI IV: Fitch Affirms B-sf Rating on Class F Notes
----------------------------------------------------------------
Fitch Ratings has affirmed BlueMountain Fuji EUR CLO IV DAC and
removed the class E and F notes from Rating Watch Negative (RWN).

RATING ACTIONS

BlueMountain Fuji EUR CLO IV DAC

Class A-1 XS1945241294; LT AAAsf Affirmed; previously AAAsf

Class A-2 XS1945241708; LT AAAsf Affirmed; previously AAAsf

Class B-1 XS1945242185; LT AAsf Affirmed; previously AAsf

Class B-2 XS1945242698; LT AAsf Affirmed; previously AAsf

Class C XS1945243076; LT Asf Affirmed; previously Asf

Class D XS1945243829; LT BBB-sf Affirmed; previously BBB-sf

Class E XS1945244637; LT BB-sf Affirmed; previously BB-sf

Class F XS1945244124; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Pandemic Baseline Sensitivity Analysis

Fitch removed the class E and F notes from RWN and assigned the
Negative Outlooks as a result of a sensitivity analysis it ran
considering the coronavirus pandemic. Fitch notched down the
ratings of all assets of corporate issuers with Negative Outlooks
(30.24% of the portfolio) regardless of sector. The class E and F
notes have a negative cushion under this stress.

Fitch believes the portfolio's negative credit migration is likely
to slow and downgrades of the two junior tranches are less likely
in the short term. As a result, it removed the junior notes from
RWN and affirmed with Negative Outlooks. The Negative Outlooks on
the two junior tranches reflect the risk of credit deterioration
over the longer term, due to the economic fallout from the
pandemic. The Stable Outlook on the remaining tranches reflect that
their resilience under the coronavirus baseline sensitivity
analysis with a large cushion.

Portfolio Performance; Surveillance

The transaction is still in its reinvestment period, which ends in
September 2023, and the portfolio is actively managed by the
collateral manager. As of the latest investor report available, the
transaction was 14bp above par, although defaults have occurred
since the reporting date in August 2020 that were incorporated into
Fitch's analysis. All portfolio profile tests, coverage tests and
Fitch's collateral quality tests were passing. Exposure to assets
with a Fitch-derived rating of 'CCC+' and below was 5.62% of the
portfolio and, including unrated assets, 7.47% as of September 26,
2020.

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

Fitch assesses the average credit quality of obligors as in the
'B'/'B-' category. The weighted average rating factor (WARF) of the
current portfolio calculated by Fitch as of September 26, 2020 is
34.46 (assuming unrated assets are 'CCC' and excluding defaulted
assets) and the trustee-reported WARF was 34.23 as of August 18,
2020, both below the maximum covenant of 35.0. Under the
coronavirus baseline scenario, the Fitch WARF would increase to
37.94.

High Recovery Expectations

Senior secured obligations constitute 99.07% of the portfolio.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
The Fitch-calculated weighted average recovery rate of the current
portfolio is 66.86%, above the minimum covenant of 66.55%.

Portfolio Composition

The portfolio is well diversified across obligors, countries, and
industries. The top 10 obligors' concentration is 12.03% and no
obligor represents more than 1.42% of the portfolio balance.

Cash Flow Analysis

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

The 'BB-' rating on the class E note deviates upward from the model
implied rating by a single notch. In Fitch's view the current
rating remains appropriate as only a marginal breakeven default
rate shortfall was present in a single, back-loaded default timing
scenario.

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

RATING SENSITIVITIES

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

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

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

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

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

Coronavirus Downside Sensitivity

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

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

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

BNPP AM 2019: Fitch Affirms B-sf Rating on Class F Notes
--------------------------------------------------------
Fitch Ratings has affirmed BNPP AM Euro CLO 2019 B.V. and removed
the class C, D, E and F notes from Rating Watch Negative (RWN).

RATING ACTIONS

BNPP AM Euro CLO 2019 B.V.

Class A XS2014456474; LT AAAsf Affirmed; previously AAAsf

Class B-1 XS2014457019; LT AAsf Affirmed; previously AAsf

Class B-2 XS2014457795; LT AAsf Affirmed; previously AAsf

Class C XS2014458330; LT A+sf Affirmed; previously A+sf

Class D XS2014458926; LT BBB-sf Affirmed; previously BBB-sf

Class E XS2014459148; LT BB-sf Affirmed; previously BB-sf

Class F XS2014459494; LT B-sf Affirmed; previously B-sf

Class X XS2014455740; LT AAAsf Affirmed; previously AAAsf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Pandemic Baseline Sensitivity Analysis

Fitch resolved the Rating Watch Negative on the class C,D, E and F
notes and assigned them a Negative Outlook as a result of a
sensitivity analysis Fitch ran in light of the coronavirus
pandemic. Fitch notched down the ratings of all assets of corporate
issuers with Negative Outlooks (36% of the portfolio), regardless
of sector. Class C, D, E and F exhibit a negative cushion under
this stress. Fitch believes the portfolio's negative credit
migration is likely to slow and category level downgrades on these
tranches are less likely in the short term.

The Negative Outlooks on the four junior tranches reflect the risk
of credit deterioration over the long term, due to the economic
fallout from the pandemic. The Stable Outlook on the remaining
tranches reflect the fact that their ratings show resilience under
the coronavirus baseline sensitivity analysis with a large
cushion.

Portfolio Performance; Surveillance

The transaction is still in its reinvestment period and the
portfolio is actively managed by the collateral manager. According
to the latest investor report available, the transaction was 33bp
above par, while most portfolio profile tests, coverage tests and
most collateral quality tests passed. Only the Fitch WARF test
failed as of the last investor report. The transaction holds no
defaulted assets. Exposure to assets with a Fitch-derived rating of
'CCC+' and below is 5.9% (assuming unrated assets are 'CCC') as of
September 26, 2020.

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

Fitch assesses the average credit quality of obligors to be in the
'B'/'B-' category. The Fitch-calculated weighted average rating
factor (WARF) of the current portfolio as of September 26, 2020 is
35.5 (assuming unrated assets are 'CCC' and excluding defaulted
assets). The trustee-reported WARF is 35.4. Both are above the
maximum covenant of 35. Under the coronavirus baseline scenario,
the Fitch WARF would increase to 39.6.

High Recovery Expectations

Senior secured obligations constitute 100% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The
Fitch-calculated weighted average recovery rate (WARR) of the
current portfolio is 63.79% below the minimum covenant of 63.8%.

Portfolio Composition

The portfolio is well diversified across obligors, countries, and
industries. Concentration of the top-10 obligors is 16.7% and no
obligor represents more than 2.1% of the portfolio balance.
Semi-annual obligations constitute 53% of the portfolio, but a
frequency switch has not occurred due to high interest coverage
ratios.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

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

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

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

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

Coronavirus Downside Sensitivity

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

BOSPHOROUS CLO V: Fitch Affirms B-sf Rating on Class F Notes
------------------------------------------------------------
Fitch Ratings has taken multiple rating actions on Bosphorus CLO V
DAC, including a revision of Outlook on the class D notes and the
removal from Rating Watch Negative (RWN) for the class E and F
notes.

RATING ACTIONS

BOSPHORUS CLO V DAC

Class A-1 XS2073812336; LT AAAsf Affirmed; previously AAAsf

Class A-2 XS2082334249; LT AAAsf Affirmed; previously AAAsf

Class B-1 XS2073813060; LT AAsf Affirmed; previously AAsf

Class B-2 XS2073813730; LT AAsf Affirmed; previously AAsf

Class C XS2073814381; LT A+sf Affirmed; previously A+sf

Class D XS2073814977; LT BBB-sf Affirmed; previously BBB-sf

Class E XS2073816162; LT BB-sf Affirmed; previously BB-sf

Class F XS2073816329; LT B-sf Affirmed; previously B-sf

Class X XS2073812252; LT AAAsf Affirmed; previously AAAsf

TRANSACTION SUMMARY

The transaction is an arbitrage cash flow collateralized loan
obligation. It is in its reinvestment period and the portfolio is
actively managed by Commerzbank AG (London).

KEY RATING DRIVERS

Stable Portfolio Performance

Portfolio performance has stabilised since the beginning of the
pandemic, when the class E and F notes were placed under RWN. The
transaction is just above target par by 0.1%.

The Fitch weighted average rating factor (WARF) test was reported
at 34.01 in the September 2, 2020 trustee report against a
covenanted maximum of 33.75. Fitch's updated calculation as of
September 26, 2020 shows a WARF of 35.16 (including unrated names
which the agency conservatively assumes a 'CCC' rating in line with
its methodology while the manager may classify up to 10% of the
portfolio at 'B-'). The 'CCC' category or below assets represented
5.5% (or 6.3% including unrated names) as of September 26, 2020,
compared with its 7.5% limit.

All other tests, including the over-collateralisation and interest
coverage tests, were reported as passing.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
for its coronavirus baseline scenario. The agency notched down the
ratings for all assets with corporate issuers on Negative Outlook
regardless of sector, which represent 28.7% of the portfolio
balance. This scenario shows sizeable shortfalls for the class D, E
and F notes. Fitch expects negative rating migration to slow down,
making a rating-category downgrade of the class E and F notes less
likely in the short term. As a result, both tranches have been
affirmed and removed from RWN. The Negative Outlook on both classes
and the class D notes, however, reflects the risk of credit
deterioration over the long term, due to the economic fallout from
the pandemic. For the other notes, this coronavirus scenario
demonstrates the resilience of their ratings.

'B'/'B-' Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch weighted average WARF calculated by
the agency would increase to 38.47 under the coronavirus baseline
scenario from 35.16 as of September 26, 2020.

High Recovery Expectations

Nearly all the portfolio (98.8%) comprises senior secured
obligations. Fitch views the recovery prospects for these assets as
more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch weighted recovery rate is 64.3%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries, and
industries. The top-10 obligor exposure is 17.7% of the portfolio
balance and no obligor represents more than 2%. Fifty-seven per
cent of the portfolio repay on a semi-annual basis.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

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

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

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

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

Coronavirus Downside Sensitivity

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

JUBILEE CLO 2018-XX: Moody's Confirms B2 Rating on Class F Notes
----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Jubilee CLO 2018-XX B.V.:

EUR20,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2031, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2 (sf)
Placed Under Review for Possible Downgrade

EUR26,300,000 Class E Deferrable Junior Floating Rate Notes due
2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR10,800,000 Class F Deferrable Junior 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:

EUR2,000,000 (Current Outstanding amount EUR 0.3M) Class X Senior
Secured Floating Rate Notes due 2031, Affirmed Aaa (sf); previously
on Jul 20, 2018 Definitive Rating Assigned Aaa (sf)

EUR236,000,000 Class A Senior Secured Floating Rate Notes due 2031,
Affirmed Aaa (sf); previously on Jul 20, 2018 Definitive Rating
Assigned Aaa (sf)

EUR16,200,000 Class B-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Jul 20, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Jul 20, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR25,000,000 Class B-3 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Jul 20, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR12,800,000 Class C-1 Deferrable Mezzanine Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Jul 20, 2018 Definitive
Rating Assigned A2 (sf)

EUR15,000,000 Class C-2 Deferrable Mezzanine Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Jul 20, 2018 Definitive
Rating Assigned A2 (sf)

Jubilee CLO 2018-XX B.V., issued in July 2018, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured European loans. The portfolio is managed by Alcentra
Limited. The transaction's reinvestment period will end in July
2022.

The actions conclude the rating review on the Class D, E and F
notes initiated on June 3, 2020, "Moody's places ratings on 234
securities from 77 EMEA CLOs on review for possible downgrade".

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and the
rating affirmations on the Class X, A, B-1, B-2, B-3, C-1 and C-2
notes reflect the expected losses of the notes continuing to remain
consistent with their current ratings despite the risks posed by
credit deterioration. Moody's analysed the CLO's latest portfolio
and considered the recent trading activities as well as the full
set of structural features.

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 September 2020 [1],
the WARF was 3245, compared to value of 2980 in February 2020 [2].
Securities with ratings of Caa1 or lower currently make up
approximately 4.2% of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of September 2020 [1]
the Class A/B, Class C, Class D, Class E and Class F OC ratios are
reported at 138.3%, 126.1%, 118.6%, 110.0% and 106.8% compared to
February 2020 [2] levels of 139.4%, 127.1%, 119.6%, 110.9% and
107.6% 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).

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 395.5 million,
a weighted average default probability of 27.0% (consistent with a
WARF of 3273 over a weighted average life of 5.8 years), a weighted
average recovery rate upon default of 44.9% for a Aaa liability
target rating, a diversity score of 55 and a weighted average
spread of 3.7%.

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.


JUBILEE CLO 2018-XXI: Moody's Confirms B2 Rating on Class F Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Jubilee CLO 2018-XXI B.V.:

EUR24,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2032, Confirmed at Baa3 (sf); previously on Jun 3, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

EUR21,900,000 Class E Deferrable Junior Floating Rate Notes due
2032, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR12,000,000 Class F Deferrable Junior Floating Rate Notes due
2032, 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:

EUR244,000,000 Class A Senior Secured Floating Rate Notes due 2032,
Affirmed Aaa (sf); previously on Dec 14, 2018 Definitive Rating
Assigned Aaa (sf)

EUR5,000,000 Class B-1 Senior Secured Floating Rate Notes due 2032,
Affirmed Aa2 (sf); previously on Dec 14, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR37,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032,
Affirmed Aa2 (sf); previously on Dec 14, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR13,000,000 Class C-1 Deferrable Mezzanine Floating Rate Notes
due 2032, Affirmed A2 (sf); previously on Dec 14, 2018 Definitive
Rating Assigned A2 (sf)

EUR15,000,000 Class C-2 Deferrable Mezzanine Floating Rate Notes
due 2032, Affirmed A2 (sf); previously on Dec 14, 2018 Assigned A2
(sf)

Jubilee CLO 2018-XXI B.V., issued in December 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Alcentra Limited. The transaction's reinvestment period
will end in July 2023.

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

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and rating
affirmations on the Class A, B-1, B-2, C-1 and C-2 notes reflects
the expected losses of the notes continuing 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. Moody's
analysed the CLO's latest portfolio and considered the recent
trading activities as well as the full set of structural features.

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 September 2020 the
WARF was 3277 [1], compared to value of 2964 [2] as of February
2020. Securities with ratings of Caa1 or lower currently make up
approximately 5.0% [1] of the underlying portfolio, compared to
1.5% [2] in February 2020. In addition, the over-collateralisation
(OC) levels have slightly weakened across the capital structure.
According to the trustee report of September 2020 [1] the Class
A/B, Class C, Class D, Class E and Class F OC ratios are reported
at 139.4%, 127.0%, 118.0%, 110.8% and 107.2% compared to February
2020 [2] levels of 139.9%, 127.4%, 118.4%, 111.2% and 107.6%
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).

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 397.8 million,
a defaulted par of EUR 2 million, a weighted average default
probability of 27.7% (consistent with a WARF of 3313 over a
weighted average life of 6.0 years), a weighted average recovery
rate upon default of 45.2% for a Aaa liability target rating, a
diversity score of 56 and a weighted average spread of 3.65%.

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 several 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 and swap provider,
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. However, as part of the base
case, Moody's considered spread and coupon levels higher than the
covenant levels because of the large difference between the
reported and 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.


PALMER SQUARE 2020-1: Fitch Gives Bsf Rating on Class F Notes
-------------------------------------------------------------
Fitch Ratings has assigned Palmer Square European CLO 2020-1 DAC
final ratings.

RATING ACTIONS

Palmer Square European CLO 2020-1 DAC

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

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

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

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

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

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

Sub. notes; LT NRsf New Rating; previously at NR(EXP)sf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

'B+'/'B' Portfolio Credit Quality: Fitch places the average credit
quality of obligors in the 'B+'/'B' category. The Fitch weighted
average rating factor (WARF) of the ramped-up portfolio is 30.5.

High Recovery Expectations: 98.5% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted average recovery rate (WARR)
of the ramped portfolio is 69.3%.

Diversified Portfolio Composition: The three-largest industries
comprise 33.7% of the portfolio balance in aggregate, the top 10
obligors represent 13.9% of the portfolio balance in aggregate and
no single obligor accounts for more than 1.7% of the portfolio.

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

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

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

Deviation from Model-Implied Ratings: The model-implied ratings
based on the ramped-up portfolio for the class D, E and F notes
were one notch higher than the assigned ratings. However, the
current ratings reflect that as a static transaction, the servicer
has limited ability to address potential credit migration as the
portfolio amortises or refinances and to manage the portfolio
through a potentially recessionary environment caused by the
coronavirus pandemic.

RATING SENSITIVITIES

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

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

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

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

  - An increase of the RDR at all rating levels by 25% of the mean
RDR and a decrease of the RRR by 25% at all rating levels will
result in downgrades of one to five notches across the structure.

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

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to envisage the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. They represent 26% of the portfolio
balance. This scenario shows resilience of the ratings of all the
classes of notes.

Coronavirus Downside Scenario

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


PALMER SQUARE 2020-1: S&P Assigns 'B-(sf)' Rating on Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Palmer Square
European Loan Funding 2020-1 DAC's class A, B, C, D, E, and F
notes. At closing, the issuer also issued unrated subordinated
notes.

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

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

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

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

-- The portfolio's static nature, where the CLO manager is only
allowed to sell assets and use proceeds to pay down the notes in
order of seniority.

  Portfolio Benchmarks
                                          Current
  S&P weighted-average rating factor     2,451.99
  Default rate dispersion                  763.90
  Weighted-average life (years)              5.26
  Obligor diversity measure                101.22
  Industry diversity measure                18.43
  Regional diversity measure                 1.68

  Transaction Key Metrics
                                         Current
  Number of Assets                           112
  Number of Obligors                         111
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator          'B'
  'CCC' category rated assets (%)           0.00
  'AAA' weighted-average recovery (%)      40.06

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

"In our cash flow analysis, we used the target par amount, the
portfolio's weighted-average spread, and the weighted-average
recovery rates for all rating levels. We applied various cash flow
stress scenarios, using four different default patterns, in
conjunction with different interest rate stress scenarios for each
liability rating category."

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

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

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

"In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions on speculative-grade
corporate loan issuers, and in line with paragraph 15 of our global
corporate CLO criteria, we have considered a minimum cushion
between the break-even default rate (BDR) and the scenario default
rate (SDR) of 2%." This was motivated by the fact that the CLO
manager will have limited ability to actively manage the
portfolio's credit risk and weighted-average cost of debt (WACD) in
a downturn scenario.

S&P said, "In our view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently. This has resulted in lower SDRs and higher
weighted-average recovery rates. Consequently, our credit and cash
flow analysis indicates that the available credit enhancement for
the class B to F notes could withstand stresses commensurate with
higher rating levels than those we have assigned. Nevertheless, we
have assigned our 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB- (sf)',
'BB- (sf)', and 'B- (sf)' ratings to the class A, B, C, D, E, and F
notes, respectively, due to the portfolio's static nature and the
CLO manager's limited ability to effectively manage the WACD.

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

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

"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have not included the above scenario analysis results
for the class F notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The current consensus
among health experts is that COVID-19 will remain a threat until a
vaccine or effective treatment becomes widely available, which
could be around mid-2021. S&P said, "We are using this assumption
in assessing the economic and credit implications associated with
the pandemic. As the situation evolves, we will update our
assumptions and estimates accordingly."

  Ratings List

  Class   Rating    Amount     Spread       Credit enhancement(%)
                 (mil. EUR)
  A       AAA (sf)  129.00   Three-month EURIBOR + 1.15%    35.50
  B       AA (sf)    18.40   Three-month EURIBOR + 1.75%    26.30
  C       A (sf)     14.50   Three-month EURIBOR + 2.80%    19.05
  D       BBB- (sf)  11.00   Three-month EURIBOR + 4.00%    13.55
  E       BB- (sf)    8.30   Three-month EURIBOR + 6.39%     9.40
  F       B- (sf)     3.20   Three-month EURIBOR + 7.70%     7.80
  Sub     NR         14.30   Excess                          N/A

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


PALMERSTON PARK: Fitch Affirms 'B-sf' Rating on Class E Debt
------------------------------------------------------------
Fitch Ratings has affirmed Palmerston Park CLO Designated Activity
Company and removed the sub-investment-grade tranche from Rating
Watch Negative (RWN).

RATING ACTIONS

Palmerston Park CLO DAC

Class A-1AR XS2068992630; LT AAAsf Affirmed; previously AAAsf

Class A-1BR XS2068993281; LT AAAsf Affirmed; previously AAAsf

Class A-2A XS1566961618; LT AAsf Affirmed; previously AAsf

Class A-2B XS1566962269; LT AAsf Affirmed; previously AAsf

Class B-1R XS2068993950; LT Asf Affirmed; previously Asf

Class B-2R XS2068994503; LT Asf Affirmed; previously Asf

Class C XS1566964125; LT BBBsf Affirmed; previously BBBsf

Class D XS1566965106; LT BBsf Affirmed; previously BBsf

Class E XS1566965015; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Palmerston Park CLO Designated Activity Company is a securitisation
of mainly senior secured loans (at least 90%) with a component of
senior unsecured, mezzanine and second-lien loans. The portfolio is
managed by Blackstone/GSO Debt Funds Management Europe Limited. The
reinvestment period ends in April 2021.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The rating actions are a result of a sensitivity analysis Fitch ran
considering the coronavirus pandemic. For the sensitivity analysis,
Fitch notched down the ratings for all assets with corporate
issuers on Negative Outlook regardless of sector. Under this
scenario, the class D and class E notes show a shortfall.

Fitch believes that the portfolio's negative rating migration is
likely to slow down, making a rating category downgrade of the
class D and E notes less likely in the short term. As a result,
both tranches have been affirmed and removed from RWN. The Negative
Outlook on the class D and E notes reflects the risk of credit
deterioration over the longer term, due to the economic fallout
from the pandemic. The Stable Outlooks on the remaining tranches
reflect the resilience of their ratings under the coronavirus
baseline sensitivity analysis.

Portfolio Performance Stabilises

As of the latest investor report dated September 10, 2020, the
transaction was 0.17% below par and all portfolio profile tests,
coverage tests and collateral quality tests were passing, except
for the Fitch weighted average rating factor (WARF) and 'CCC'
portfolio profile test. As of the same report, the transaction had
one defaulted asset with an exposure of EUR1 million. Exposure to
assets with a Fitch-derived rating (FDR) of 'CCC+' and below was
8.28%. Assets with a FDR on Negative Outlook were 21.05% of the
portfolio balance.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors in the
'B'/'B-' category. The Fitch WARF of the current portfolio is 34.55
(assuming unrated assets are 'CCC'), above the maximum covenant of
34, and the trustee-reported Fitch WARF was 34.5. After applying
the coronavirus stress, the Fitch WARF would increase by 3.16.

High Recovery Expectations

Senior secured obligations comprise 98.41% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries, and
industries. The top 10 obligors represent 12.72% of the portfolio
balance with no obligor accounting for more than 1.52%. Almost 50%
of the portfolio consists of semi-annual obligations but a
frequency switch has not occurred due to the transaction's high
interest coverage ratios.

Cash Flow Analysis

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

RATING SENSITIVITIES

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

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

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

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

Coronavirus Downside Sensitivity

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


ST. PAUL'S III-R: Fitch Maintains B-sf Rating on Class F-R Notes
----------------------------------------------------------------
Fitch Ratings has maintained St. Paul's CLO III-R DAC's Class E on
Rating Watch Negative (RWN) and removed the class F notes from RWN.
The Outlook on Class F is Negative.

RATING ACTIONS

St. Paul's CLO III-R DAC

Class A-R XS1758464090; LT AAAsf Affirmed; previously AAAsf

Class B-1-R XS1758464330; LT AAsf Affirmed; previously AAsf

Class B-2-R XS1758464686; LT AAsf Affirmed; previously AAsf

Class C-R XS1758464926; LT Asf Affirmed; previously Asf

Class D-R XS1758465220; LT BBBsf Affirmed; previously BBBsf

Class E-R XS1758465659; LT BBsf Rating Watch Maintained; previously
BBsf

Class F-R XS1758465816; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Baseline Scenario Impact

Fitch maintained the RWN on Class E and removed Class F from RWN
but with a Negative Outlook as a result of a sensitivity analysis
it ran considering the coronavirus pandemic. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario demonstrates the
resilience of the ratings of all the classes with cushions except
the Class E and F notes, which still have some shortfall.

Fitch believes the portfolio's negative credit migration is likely
to slow and category-level downgrades on Class F are less likely in
the short term. As a result, it removed Class F from RWN and
affirmed it at its current rating. The Negative Outlook on the
tranche reflects the risk of credit deterioration over the longer
term, due to the economic fallout from the pandemic. The Stable
Outlook on the remaining tranches reflects the fact that their
ratings show resilience under the coronavirus baseline sensitivity
analysis with a large cushion.

Portfolio Performance

The transaction is slightly below target par. At September 26, 2020
the Fitch-calculated weighted average rating factor (WARF) of the
portfolio was slightly weaker, at 36.53, than the trustee-reported
WARF of August 17, 2020 of 35.64, owing to rating migration and
considering unrated asset as 'CCC'.

The 'CCCsf' or below category assets represent, according to
Fitch's calculation, 10.94% (excluding unrated names) and 12.62%
(including unrated assets) as against the 7.5% limit. The trustee
report states that the Fitch WARF, Fitch 'CCC', Class E Par Value
Test and Reinvestment Par Value Test were failing marginally.
However, all other tests were passing. The trustee report also said
the portfolio has four defaulted assets comprising of 4.6% of
aggregate collateral balance.

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B'/'B-'
range.

High Recovery Expectations

Senior secured obligations comprise 98.6% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate of the current portfolio is 66.06%.

Portfolio Composition

The top 10 obligors' concentration is 14.7% and no obligor
represents more than 1.88% of the portfolio balance. Fitch's
calculation indicates that the largest industry is business
services at 12.99% of the portfolio balance, and the three largest
industries represent 34.90%, against limits of 17.5% and 40%,
respectively.

The percentage of obligations paying less frequently than quarterly
is around 38.5% according to the most recent trustee report;
however, no frequency switch event has occurred as the class A/B
interest coverage test still has significant headroom.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

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

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

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

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

Coronavirus Downside Scenario

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


ST. PAUL'S VII: Fitch Affirms B-sf Rating on Class F-R Notes
------------------------------------------------------------
Fitch Ratings has affirmed St. Paul's CLO VII DAC and removed the
classes D, E and F notes from Rating Watch Negative (RWN). The
Outlook for Class C is revised from Stable to Negative.

RATING ACTIONS

St. Paul's CLO VII DAC

Class A-1-R XS1853371208; LT AAAsf Affirmed; previously AAAsf

Class A-2-R XS1853372438; LT AAAsf Affirmed; previously AAAsf

Class B-1-R XS1853372784; LT AAsf Affirmed; previously AAsf

Class B-2-R XS1853373329; LT AAsf Affirmed; previously AAsf

Class B-3-R XS1853374053; LT AAsf Affirmed; previously AAsf

Class C-1-R XS1853374996; LT Asf Affirmed; previously Asf

Class C-2-R XS1853375886; LT Asf Affirmed; previously Asf

Class D-R XS1853376421; LT BBBsf Affirmed; previously BBBsf

Class E-R XS1853376009; LT BB-sf Affirmed; previously BB-sf

Class F-R XS1853376777; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Baseline Scenario Impact

Fitch has resolved the Rating Watch on classes D, E and F and
changed their outlook to Negative. Fitch has affirmed all the
ratings and has revised the Outlook on Class C to Negative while
the Outlook on Class B is maintained at Negative. These rating
actions are as a result of a sensitivity analysis it ran in light
of the coronavirus pandemic. The agency notched down the ratings of
all assets of corporate issuers with Negative Outlooks regardless
of sector. Classes B, C, D, E and F showed negative cushions under
this stress analysis. Fitch believes the portfolio's negative
credit migration is likely to slow and category-level downgrades on
these tranches are less likely in the short term. As a result, the
RWN has been removed on classes D, E and F and the classes are
affirmed at their current ratings. The Negative Outlooks on the
tranches reflect the risk of credit deterioration over the longer
term due to the economic fallout from the pandemic. The Stable
Outlook on the remaining tranches reflect the fact that their
ratings show resilience under the coronavirus baseline sensitivity
analysis with a large cushion.

Portfolio Performance; Surveillance

The transaction is slightly below target par. At September 26, 2020
the Fitch-calculated weighted average rating factor (WARF) of the
portfolio was slightly weaker, at 35.14, than the trustee-reported
WARF of 20 Aug 2020 of 34.73, owing to rating migration and one
unrated asset considered as CCC. The 'CCCsf' or below category
assets represent, according to Fitch's calculation, 11.45%
(excluding unrated names) and 11.71% (including unrated assets) as
against the 7.5% limit. According to the trustee report, the Fitch
WARF, Fitch WAL, and Fitch CCC were failing marginally. However,
all other tests, including the overcollateralisation and interest
coverage tests, were passing. According to the Trustee report, the
portfolio has four defaulted assets comprising 3.39% of the
Aggregate Collateral Balance.

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B'/'B-'
range.

High Recovery Expectations

Senior secured obligations comprise 99.1% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The
Fitch-weighted average recovery rate (WARR) of the current
portfolio is 65.25%.

Portfolio Composition

The top 10 obligors' concentration is 16.23% and no obligor
represents more than 2.02% of the portfolio balance. Under Fitch's
calculation the largest industry is business services at 18.3% of
the portfolio balance and the three-largest industries represent
41.74%, against limits of 17.5% and 40% respectively.

As of the last trustee report, the percentage of obligations paying
less frequently than quarterly is around 15.1%.

Cash Flow Analysis

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

RATING SENSITIVITIES

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

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

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

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

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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




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

AURIS LUXEMBOURG: Fitch Corrects Sept. 30 Ratings Release
---------------------------------------------------------
Fitch Ratings replaced a ratings release on Auris Luxembourg II
S.A. published on Sept. 30, 2020 to correct the name of the obligor
for the bonds.

The amended ratings release is as follows:

Fitch Ratings has downgraded Auris Luxembourg II S.A.'s (WSA)
Long-Term Issuer Default Rating (IDR) to 'B-' from 'B'. The Outlook
is Stable. Fitch also downgraded Auris Luxembourg III S.a.r.l.'s
term loan B (TLB) and revolving credit facility (RCF) to 'B' from
'B+', maintaining a single-notch uplift to the Long-Term IDR. WSA
is the result of a merger between Widex and Sivantos.

The downgrade reflects deterioration of WSA's leverage profile and
Fitch-projected reduced financial flexibility in FY20-FY21 as
post-merger synergies will now take longer to realise. The Stable
Outlook remains underpinned by healthy sector fundamentals as well
as retained free cash flow (FCF) generation capacity. Fitch expects
credit metrics to improve to levels that are commensurate with
current rating, following post-pandemic recovery and the full
realisation of post-merger synergies.

KEY RATING DRIVERS

Deleveraging Further Delayed: Deleveraging will be delayed, with
funds from operations (FFO) gross leverage expected to remain above
9.0x by end-financial year to September 2022, and likely above 8.0x
at the time of TLB and RCF refinancing in 2025. Fitch expects that
long-term market growth potential and competitive pressures will
require continued investment in R&D, bolt-on M&A and marketing
efforts, leaving WSA with limited cash flow for potential debt
prepayment over the next three years.

Profitability Yet to Improve: For FY20, Fitch expects WSA's
profitability to be under heavy pressure from the fixed nature of a
material portion of its costs, as well as R&D and marketing
expenses related to the finalisation of its new products' rollout.
Promising pre-pandemic results of WSA's new product range should
help profitability recovery, as should the post-merger synergies
have identified by WSA. Its forecast assumes profitability
improvement of 90bps during FY21-FY23, although faster realisation
of synergies could support even higher margins.

Tighter but Satisfactory Liquidity: Extraordinary expenditures and
negative working capital movements related to new product launches
led to a EUR40 million drawdown of the RCF in late 2019, causing
Fitch to reassess liquidity to satisfactory from adequate. Amount
available under the RCF totalled EUR85 million as of 3QFY20.
Additional liquidity has been provided in FY20 through a EUR100
million new TLB loan and an equity injection of EUR50 million. WSA
must comply with a minimum liquidity covenant of EUR50 million,
tested monthly in its loan facilities. Fitch notes that recent
compliance certificates demonstrate sufficient and slightly
improving liquidity.

Moderate Revenue Exposure to Pandemic: Despite being materially
affected by lockdowns in Europe and the U.S., revenues showed a
gradual recovery in the summer. Although its forecasts for FY20
sales have been lowered by around 10%, strong pre-pandemic revenue
dynamics and limited demand elasticity in the hearing aid market in
the longer term should allow revenue to recover by FY22 to 97% of
levels forecast during its last review in March 2020. EBITDA margin
improvement is expected to slow, with pandemic impact offsetting
strong results seen up to February.

FCF Generation Capacity Remains: Mid-to-high single digit FFO
margins and moderate control over capex still drive a positive-FCF
business profile that can sustain high interest costs. Fitch
expects FCF margin to average 2% over FY22-FY24, which is slightly
below its forecasts of March 2020, due to lower profitability
expectations and higher interest rate costs. Execution risk
remains, as most of the identified synergies have yet to
materialise.

Deferred Execution of Merger Efficiencies: WSA is facing a delay in
realising the announced synergies identified in the merger between
Sivantos and Widex. This has been caused by the postponement of the
merger completion, which was concluded in August 2019 after
setbacks in execution and authorities' approvals, by the
acquisitions of Clearwater Clinical and HCS and by finalising debt
structure add-ons. Fitch has thus lowered its forecast for realised
synergies in FY20 by EUR10 million to reflect lower
volume-dependent synergies.

Sector Trends Still Strong: The global hearing aid industry is
rapidly evolving, has consistently grown 5% since the mid-2000s,
and shown resilience through the cycle, despite its predominantly
discretionary spending nature. Fitch expects the sector's customer
base to expand, driven by penetration in new markets, including
China and South America, by demographic shifts in advanced
economies and, mainly, by a higher percentage of hearing-impaired
individuals adopting the device solution. WSA's footprint, products
portfolio and competitive position allow the company to capture
these prevailing growth trends.

DERIVATION SUMMARY

WSA ranks as one of the top manufacturers and distributors in the
hearing aids industry, benefiting from significant scale, a large
portfolio of brands and widespread geographical coverage. The
business profile is a crossover between a strong medical devices'
provider, supported by resilient health-driven demand, and a
consumer goods manufacturer. Worldwide state- and private
insurance-led reimbursement regimes are rapidly developing;
however, most of the expense for such devices remains
discretionary.

Its business profile is assessed at 'BB' to a low 'BBB' but high
leverage and an aggressive financial policy constrain the credit
profile to 'B-' with FFO gross leverage expected to remain above
9.0x up to FY24. This is weaker than wholesale and retail players
in similar sectors such as Rodenstock Holding GMBH (B-/Stable) and
3AB Optique Developpement S.A.S. (Afflelou, B/Negative), and other
healthcare LBO issuers such as Nidda BondCo GmbH (Stada, B/Stable),
CAB Selas (CAB, B/Negative) and Synlab Unsecured Bondco PLC
(Synlab, B/Stable).

KEY ASSUMPTIONS

  - Revenues to increase 4.4% in FY20 due to COVID-19 impact,
followed by growth of 15.2% in FY21 and 5% p.a. until FY23;

  - EBITDA margin to bottom out in FY20 at 17.3% and trending
towards 19% by FY23;

  - Capex of EUR110 million in FY20, followed by 5%-4.5% of sales
in FY21-FY23;

  - No additional spending on acquisitions in 4QFY20, followed by
EUR10 million per annum of bolt-on acquisition in FY21-FY23; and

  - No dividends over the next four years.

KEY RECOVERY RATING ASSUMPTIONS

  - The recovery analysis assumes that WSA would be considered a
going concern in bankruptcy, and that it would be reorganised
rather than liquidated, given the inherent value behind its product
portfolio, brands, retail network and clients

  - A 10% administrative claim

Going-Concern (GC) Approach

  - Fitch assesses WSA's going-concern EBITDA at about EUR300
million. Fitch estimates that, at this level of EBITDA, after
undertaking corrective measures, the company would generate
moderately positive FCF.

  - A distressed situation, leading to a restructuring process, may
be the result of adverse market dynamics driven by new technologies
in the hearing aid market or by a widespread diffusion of
value-for-money devices, both potentially generating a loss of
pricing power under the entire portfolio of WSA brands, reducing
gross margins and overall profitability.

  - Fitch believes that, in consideration of WSA's elevated
leverage, restructuring will primarily be triggered by an increase
in leverage associated with financial distress, leading to
above-average debt multiples. This is likely to materialise at
EBITDA levels still potentially able to generate mildly positive or
neutral FCF.

  - An enterprise value (EV) multiple of 6.5x EBITDA is applied to
the GC EBITDA to calculate a post-reorganisation EV. The multiple
is at the high-end of the range of multiples used for other
healthcare-focused credit opinions and ratings in the 'B' category,
reflecting a partial uplift led by the synergistic potential of the
combined entities as well as the scale factor.

  - Since its review in March 2020, the company has issued a new
euro TLB sidecar facility of EUR 100 million and repaid EUR11
million on its US dollar TLB, which Fitch has incorporated in its
new waterfall analysis.

  - Its waterfall analysis generated a ranked recovery in the 'RR3'
band, indicating a 'B' instrument rating for the senior secured
TLB1 and TLB2 and RCF. The latter ranks pari passu with the TLB,
and which Fitch assumes to be fully drawn upon default. The
waterfall analysis based on current metrics and assumptions yields
recoveries of 51% for the senior secured debt (previously 53%).

RATING SENSITIVITIES

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

  - FCF margin in mid-single digits on a sustained basis

  - FFO interest cover above 2.0x on a sustained basis

  - FFO gross leverage below 8.0x on a sustained basis

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

  - Liquidity deterioration along with neutral-to-negative FCF

  - Unsustainable capital structure with highly elevated leverage
metrics on approach to TLB and RCF debt maturity

  - FFO interest cover below 1.5x on a sustained basis

LIQUIDITY AND DEBT STRUCTURE

Satisfactory Liquidity: According to the minimum liquidity
certificate issued on September 17, 2020, WSA had as of end-August
2020 EUR216.3 million cash on balance sheet, EUR84.5 million
available in RCF out of a EUR260 million total commitment and
expected positive FCF generation from FY22 onwards. All this should
support contractual TLB amortisations, leading to a satisfactory
liquidity assessment.




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

ARES EUROPEAN XII: Fitch Affirms 'B-sf' Rating on Class F Notes
---------------------------------------------------------------
Fitch Ratings has affirmed Ares European CLO XII BV, removed the
class E and F notes from Rating Watch Negative (RWN) and assigned
these two classes a Negative Outlook. The Outlook on the class D
notes has been revised to Negative from Stable.

RATING ACTIONS

Ares European CLO XII B.V.

Class A XS2034050497; LT AAAsf Affirmed; previously AAAsf

Class B-1 XS2034051032; LT AAsf Affirmed; previously AAsf

Class B-2 XS2034051461; LT AAsf Affirmed; previously AAsf

Class C XS2034051974; LT Asf Affirmed; previously Asf

Class D XS2034052436; LT BBB-sf Affirmed; previously BBB-sf

Class E XS2034052865; LT BB-sf Affirmed; previously BB-sf

Class F XS2034054135; LT B-sf Affirmed; previously B-sf

Class X XS2034310313; LT AAAsf Affirmed; previously AAAsf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The rating actions follow the sensitivity analysis Fitch ran
considering the coronavirus pandemic. For the sensitivity analysis
Fitch notched down the ratings for all assets with corporate
issuers with a Negative Outlook (36.6% of the portfolio) regardless
of sector. The model-implied ratings for the affected tranches
under the coronavirus sensitivity test are below the current
ratings. This is reflected in the Negative Outlook on the three
most junior tranches to highlight the risk of credit deterioration
over the long term due to the economic fallout from the pandemic.

The removal of RWN on the bottom two tranches reflects its view
that while the shortfalls for the class E and F notes are material
under the coronavirus baseline sensitivity, Fitch believes the
portfolio's negative credit migration is likely to slow, making
category-level downgrades on these tranches less likely in the
short term.

The Stable Outlook on the remaining tranches reflects the
resilience of their ratings under the coronavirus baseline
sensitivity analysis with a cushion.

Stabilising Portfolio Performance

The transaction is above par by 17bp as of the September 8, 2020
investor report. All portfolio profile tests and coverage tests are
passing. All collateral quality tests are passing other than
another agencies and Fitch's weighted average rating factor test
(WARF; 35.2 versus a maximum Fitch WARF of 34.5). The transaction
had no defaulted assets as of the same report date. Exposure to
assets with a Fitch-derived rating of 'CCC+' and below was 5.19%.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors to be in
the 'B'/'B-' category. The Fitch-calculated WARF of the current
portfolio was 34.88 as of September 26, 2020 (assuming unrated
assets are 'CCC') The Fitch WARF would increase by 4.27 after
applying the coronavirus stress.

High Recovery Expectations

Within the portfolio, 99.3% is senior secured obligations. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets.

Diversified Portfolio

The portfolio is well diversified across obligors, countries, and
industries. The top-10 obligor concentration is 15.6%, and no
obligor represents more than 1.9% of the portfolio balance. Of the
portfolio, 45.4% consists of semi-annual obligations but a
frequency switch has not occurred due to high interest coverage
ratios.

Cash Flow Analysis

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

The transaction was modelled using the current portfolio based on
both the stable and rising interest -rate scenarios and the front-,
mid-, and back-loaded default timing scenarios as outlined in
Fitch's criteria. Fitch also tested the current portfolio with a
coronavirus sensitivity analysis to estimate the resilience of the
notes' ratings. The coronavirus sensitivity analysis was only based
on the stable interest -rate scenario but included all default
timing scenarios.

RATING SENSITIVITIES

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

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

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

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

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

Coronavirus Downside Sensitivity

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

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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


BNPP AM 2017: Fitch Affirms 'B-sf' Rating on Class F Debt
---------------------------------------------------------
Fitch Ratings has affirmed all tranches of BNPP AM Euro CLO 2017
B.V. and 2018 B.V. For both transactions junior tranches have been
removed from Rating Watch Negative (RWN) and placed on Outlook
Negative. Fitch has also revised BNPP 2017's class D notes outlook
to Negative from Stable.

RATING ACTIONS

BNPP AM Euro CLO 2017 B.V.

Class A-R XS2060921223; LT AAAsf Affirmed; previously AAAsf

Class B XS1646366663; LT AAsf Affirmed; previously AAsf

Class C XS1646367711; LT Asf Affirmed; previously Asf

Class D XS1646368016; LT BBBsf Affirmed; previously BBBsf

Class E XS1646368289; LT BBsf Affirmed; previously BBsf

Class F XS1646368362; LT B-sf Affirmed; previously B-sf

BNPP AM Euro CLO 2018 B.V.

Class A XS1857677287; LT AAAsf Affirmed; previously AAAsf

Class B XS1857677790; LT AAsf Affirmed; previously AAsf

Class C XS1857678681; LT Asf Affirmed; previously Asf

Class D XS1857678848; LT BBB-sf Affirmed; previously BBB-sf

Class E XS1857679499; LT BB-sf Affirmed; previously BB-sf

Class F XS1857679655; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Both transactions are cash flow collateralised loan obligations
(CLO), comprising mostly senior secured obligations. The deals are
within their reinvestment period and are actively managed by BNPP
Asset Management.

KEY RATING DRIVERS

Stable Portfolio Performance

According to the trustee reports dated August 31, 2020, BNPP 2017
is below par by 67bp and there is one defaulted asset comprising
162bp of target par. The Fitch-weighted average rating factor
(WARF) of the portfolio at September 26, 2020 stood at 35.08
compared to the trustee reported WARF of 35.14. The
Fitch-calculated 'CCC' category or below assets (including unrated
assets) represented 5.68% of the portfolio against the 7.50%
limit.

For BNPP 2018, the transaction is above target par by 7bp, and one
defaulted asset comprises 50bp of target par. The Fitch WARF at
September 26, 2020 increased marginally to 35.55 compared to the
trustee-reported WARF of 35.16 (at August 31, 2020), and
Fitch-calculated 'CCC', or below, assets (including unrated assets)
represented 6.19% of the portfolio against the 7.50% limit.

For both deals trustee-reported Fitch collateral quality tests,
portfolio profile tests and coverage tests are passing.

Coronavirus Sensitivity Analysis

Fitch carried out a sensitivity analysis on the target portfolio to
determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. Such assets represent around 31% of
the portfolio in both deals.

For BNPP 2017, the class E notes shows a shortfall, and for class F
and class D notes the cushions are marginal and remain volatile. As
a result, Class D notes have been revised to Outlook Negative from
Stable. For class E and class F notes, the agency expects that the
portfolio's negative rating migration is likely to slow down and
any downgrades of these tranches are less likely in the short term.
As a result, the junior notes have been removed from RWN and
affirmed with Negative Outlooks.

For BNPP 2018 this scenario shows the resilience of the ratings for
class A and class B notes only. For class C notes there is a small
failure and for classes D, E and F the shortfalls remain sizeable.
But no category level downgrades are expected in the short term
and, as a result, the three junior tranches have been removed from
RWN and affirmed with Negative Outlooks.

For both deals, the Negative Outlooks on the tranches reflect the
risk of credit deterioration over the longer term, due to the
economic fallout from the pandemic.

B'/'B-' Category Portfolio Credit Quality

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

High Recovery Expectations

Senior secured obligations comprise at least 90% of the portfolio.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
The Fitch- weighted average recovery rate (WARR) of the current
portfolio is 64.80 and 64.50% respectively.

Portfolio Composition

The portfolios are well diversified across obligors, countries, and
industries. For both transactions, the top 10 obligors represent
around 15.0% of the portfolio and no single obligor represents more
than 2.0% of the portfolio balance. The top Fitch industry and top
three industries are around 20.0% and 46.0% compared to the limits
of 17.5% and 40.0% respectively. However, the trustee reported
Fitch industry limit tests are passing.

Both deals have around 50.0% of assets with semi-annual payment
frequency. However, no frequency switch event has occurred, and the
transaction has a good cushion on the senior interest coverage
ratio (ICR) compared with the frequency switch event ICR threshold
of 120%.

Cash Flow Analysis

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

RATING SENSITIVITIES

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

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

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

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

Coronavirus Downside Scenario

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


DRYDEN 46 2016: S&P Lowers Class F Notes Rating to 'BB-'
--------------------------------------------------------
S&P Global Ratings lowered to 'BB- (sf)' from 'BB (sf)' and removed
from CreditWatch negative its credit rating on Dryden 46 Euro CLO
2016 B.V.'s class E notes. At the same time, S&P has affirmed its
'AAA (sf)' ratings on the class A-1R and A-2R notes, 'AA (sf)'
ratings on the class B-1R and B-2 notes, 'A (sf)' rating on the
class C-R notes, 'BBB (sf)' rating on the class D-R notes, and 'B-
(sf)' rating on the class F notes.

S&P said, "On July 24, 2020, we placed on CreditWatch negative our
rating on the class E notes following a number of negative rating
actions on corporates with loans held in Dryden 46 driven by
coronavirus-related concerns and the current economic dislocation.

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

"Since our previous full review of the transaction, at closing in
June 2019, our estimate of the total collateral balance (performing
assets, principal cash, and expected recovery on defaulted assets)
held by the CLO has slightly increased, mainly due to par built. As
a result, available credit enhancement has increased for all rated
notes."

  Table 1

  Credit Analysis Results

  Class   Current amount   Credit enhancement Credit enhancement
           (mil. EUR)      as of October 2020   at previous review
                          (based on August      (at closing in
                           trustee report; %)    June 2019; %)
  A-1R       236.50              40.55              40.00
  A-2R        33.50              40.55              40.00
  B-1R        44.51              27.92              27.25
  B-2         12.87              27.92              27.25
  C-R         25.43              22.32              21.60
  D-R         24.08              17.02              16.25
  E           26.90              11.10              10.27
  F           13.28               8.17               7.32
  Sub         54.11               N/A                 N/A

  N/A--Not applicable.

S&P said, "Since June 2019, our scenario default rates (SDRs) were
negatively affected due to the increase in 'CCC' rated assets to
about EUR46 million from EUR7 million. Additionally, we placed on
CreditWatch negative our ratings on more than 4% of the pool, up
from 0% previously, and assets with negative outlooks also
increased, reaching almost 49%."

  Table 2

  Transaction Key Metrics   As of October 2020  At S&P's previous
                               (based on August       review
                               trustee report)  (at closing in
                                                     June 2019)
  SPWARF                            2,998.06            N/A
  Default rate dispersion (%)         665.45            N/A
  Weighted-average life (years)         5.06           5.11
  Obligor diversity measure            99.37          92.64
  Industry diversity measure           18.70          18.48
  Regional diversity measure            1.31           1.47
  Total collateral amount
   excluding cash (mil. EUR)          448.40         446.60
  Defaulted assets (mil. EUR)           0.86              0
  Number of performing obligors          158            148
  'AAA' WARR (%)                       34.35          37.50

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

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

"On a standalone basis, the results of the cash flow analysis
indicated a lower rating than currently assigned for the class E
notes. The collateral portfolio's credit quality has deteriorated
since our previous review, specifically in terms of 'CCC' rated
asset exposures and the proportion of assets on CreditWatch
negative. As a result, there was a significant increase in the
SDRs, which represent the level of defaults that is likely to
affect the portfolio in a given rating stress scenario. Coupled
with a decline in recoveries of about 3% to 4% across all rating
levels, these factors have resulted in lower break-even default
rates (BDRs), which represent the gross levels of defaults that the
transaction may withstand at each rating level. The fall in BDRs
under our analysis indicates that the next passing level for the
class E notes is one notch lower than its current rating level, at
'BB- (sf)'. We have therefore lowered to 'BB- (sf)' from 'BB (sf)'
and removed from CreditWatch negative our rating on the class E
notes."

The class F notes' current BDR cushion is -2.47%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including S&P's long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with its criteria. S&P's
analysis further reflects several factors, including:

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

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 29.14% (for a portfolio with a weighted-average
life of 5.11 years) versus 15.7% if S&P was to consider a long-term
sustainable default rate of 3.1% for 5.05 years.

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

-- If there is a one-in-two chance for this class of notes to
default.

-- If we envision this tranche to default in the next 12-18
months.

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

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

-- Counterparty, operational, and legal risks are adequately
mitigated in line with S&P's criteria.

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

Dryden 46 is a cash flow CLO transaction backed by a portfolio of
leveraged loans and managed by PGIM Ltd. In S&P's view, the
portfolio is granular in nature, and well-diversified across
obligors, industries, and asset characteristics when compared to
other CLO transactions we have rated recently. S&P has therefore
not performed any additional scenario analyses.

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

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, and taking into account other
qualitative factors as applicable, we believe that the ratings are
commensurate with the available credit enhancement for all classes
of notes."

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The current consensus
among health experts is that COVID-19 will remain a threat until a
vaccine or effective treatment becomes widely available, which
could be around mid-2021. S&P said, "We are using this assumption
in assessing the economic and credit implications associated with
the pandemic. As the situation evolves, we will update our
assumptions and estimates accordingly."

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




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

GAZ FINANCE: Moody's Rates Proposed USD Hybrid Notes 'Ba1'
----------------------------------------------------------
Moody's Investors Service assigned a Ba1 rating to the proposed
junior subordinated ("hybrid") US dollar-denominated loan
participation notes to be issued by, but with limited recourse to,
Gaz Finance Plc, a public company with limited liability
incorporated in England and Wales. Gaz Finance Plc will in turn
on-lend the proceeds to Gazprom, PJSC (Gazprom, Baa2 stable), which
will use them for general corporate purposes. Therefore, the
noteholders will rely solely on Gazprom's credit quality to service
and repay the debt. The notes will be issued as Series 4 under the
existing EUR30 billion multicurrency medium-term note programme
(unrated) for issuing loan participation notes.

The existing ratings and outlooks of Gazprom, Gaz Capital S.A. and
Gaz Finance Plc remain unchanged.

RATINGS RATIONALE

The Ba1 rating assigned to the proposed hybrid notes is two notches
below Gazprom's baa2 baseline credit assessment (BCA) and its Baa2
long-term issuer rating, which reflects Moody's view that the notes
will be deeply subordinated to the senior unsecured obligations of
Gazprom group and will rank senior only to Gazprom's common shares
and pari passu with its preferred shares (Gazprom currently does
not have any outstanding preferred shares). The notes will be
perpetual and there will be no events of default. The issuer may
opt to defer coupon payments on a cumulative basis.

The proposed hybrid notes will qualify for the "basket C" and a 50%
equity treatment of the borrowing for the calculation of credit
ratios by Moody's.

Gazprom's Baa2 long-term issuer rating is on par with Russia's
(Baa3 stable) country ceiling for foreign-currency debt. The rating
remains supported by the company's strong business fundamentals,
including its (1) vast natural gas reserves; (2) diversification in
oil business; (3) status as a core strategic holding of Russia,
benefiting from a high level of government support; (4) position as
Russia's largest producer and monopoly exporter of pipeline gas,
and owner and operator of the world's largest gas transportation
and storage system; (5) solid market position as Europe's largest
gas supplier; (6) low production costs; and (7) significant
portfolio of long-term take-or-pay gas export contracts with
oil-pegged or hub-indexed prices. Gazprom's rating factors in
Moody's expectation that the company's credit metrics will
deteriorate in 2020 because of the weak prices and demand for gas
in Europe amid the coronavirus pandemic, but the company will be
able to restore its credit metrics over a 18-24-month period after
the pandemic and its macroeconomic and market effects have passed.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook reflects Moody's expectation that the
deterioration in Gazprom's credit metrics will be temporary, and
that the company will be able to restore its credit metrics over a
18-24-month period after the coronavirus pandemic and its
macroeconomic and market effects have passed.

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

As the rating of the hybrid notes is positioned relative to
Gazprom's BCA, which is a starting point for rating junior
instruments issued by a government-related issuer, and Gazprom's
issuer rating, the rating of the hybrid notes could be impacted by
a change in the baa2 BCA and Baa2 issuer rating of Gazprom, or by a
re-evaluation of its relative notching by Moody's.

Moody's could upgrade Gazprom's rating if it were to upgrade
Russia's sovereign rating and raise the foreign-currency bond
country ceiling, provided the company retains its solid credit
metrics on a sustainable basis and maintains its strong operating
performance, market position and liquidity. Gazprom's long-term
issuer rating is unlikely to exceed Russia's sovereign rating by
more than one notch because of the company's close credit linkages
with the government.

Moody's could downgrade Gazprom's rating if it were to downgrade
Russia's sovereign rating or lower Russia's foreign-currency bond
country ceiling, or the company's operating performance, market
position, financial metrics or liquidity were to deteriorate
significantly on a sustained basis.

PRINCIPAL METHODOLOGY

The methodologies used in this rating were Integrated Oil and Gas
Methodology published in September 2019, and Government-Related
Issuers Methodology published in February 2020.

COMPANY PROFILE

Headquartered in Russia, Gazprom, PJSC is one of the world's
largest integrated oil and gas companies. It is focused on the
exploration, production and refining of gas and oil, as well as the
transportation and distribution of gas to domestic, former Soviet
Union (FSU) and other export markets. Gazprom also owns and
operates the Unified Gas Supply System in Russia, and it is the
leading exporter of pipeline gas to Western Europe.

As of December 31, 2019, Gazprom had proved total oil and gas
reserves of 126.1 billion barrels of oil equivalent, with proved
gas reserves of 17.7 trillion cubic metres in accordance with the
Petroleum Resources Management System standards, equivalent to
around one-sixth of the world's total reserves. In 2019, Gazprom
produced 501.2 billion cubic metres (bcm) of natural gas.
Hydrocarbon production by its subsidiary Gazprom Neft PJSC (Baa2
stable) amounted to 63.3 million tonnes (mt) of crude oil and gas
condensate, and 22.9 bcm of gas in 2019. In 2019, Gazprom generated
revenue of RUB7.7 trillion and Moody's-adjusted EBITDA of RUB2.2
trillion. The Russian state controls 50.23% of Gazprom's shares.


GAZPROM PJSC: Fitch Rates Hybrid LPNs 'BB+(EXP)'
------------------------------------------------
Fitch Ratings has assigned PJSC Gazprom's euro- and US
dollar-denominated subordinated loan participation notes (LPNs) -
issued by Gaz Finance Plc - expected 'BB+(EXP)' ratings. The final
ratings are contingent upon the receipt of final documentation
conforming materially to information already received and details
regarding the amount and tenor.

The planned notes are issued under Gaz Finance's EUR30 billion debt
issuance programme. The LPNs are issued on a limited recourse basis
for the sole purpose of funding a subordinated loan from Gaz
Finance to Gazprom. The noteholders will rely solely on Gazprom's
credit and financial standing for the payment of obligations under
the notes.

The notes are rated two notches below Gazprom's 'BBB' Issuer
Default Rating (IDR) which reflects the going-concern loss
absorption capacity of the notes and their highly subordinated
nature. The notes will be extinguished and have no recovery
prospects under certain insolvency scenarios, but this is mitigated
by its general expectations of very low recoveries for most of the
hybrid debt in case of insolvency. The notes do not have features
that could typically merit wider than two-notches difference with
IDR such as permanent write-down of principal on a going concern
basis or easily activated going-concern loss absorption.

The instruments are consistent with 50% equity credit (EC)
allocation as per Fitch's criteria which implies that 50% of the
loan from Gazprom Finance to Gazprom will be removed from the
latter's debt. EC was allocated due to structural equity-like
characteristics of the instruments including maturity in excess of
five years and deferrable coupon payments. EC is limited to 50%
given that deferred coupons are cumulative, which is a more
debt-like feature of the notes.

KEY RATING DRIVERS

KEY RATING DRIVERS FOR THE NOTES

Ratings Reflect Deep Subordination: The notes are rated two notches
below Gazprom's 'BBB' IDR given the highly subordinated nature of
the notes, which are considered to have very low recovery prospects
in a liquidation or bankruptcy scenario. The notes will be
extinguished and have zero recovery in an insolvency if it involves
a Russian court initiating supervision or liquidation procedures
against Gazprom. They rank senior only to the claims of equity
shareholders.

Equity Treatment: The securities qualify for 50% EC as they meet
Fitch's criteria regarding deep subordination, remaining effective
maturity of at least five years, full discretion to defer coupons
for at least five years and limited events of default. These are
key equity-like characteristics, providing Gazprom with greater
financial flexibility. EC is limited to 50% given the cumulative
coupon deferrals, a feature that is more debt-like in nature.

Subordinated Loan: Gaz Finance will apply the proceeds from each
tranche of the subordinated notes solely for financing the
corresponding subordinated loan to Gazprom. The loan will mirror
all main terms of the notes except for maturity. While the notes
are perpetual, the loan will be due in at least 60.25 years or 55
years from the first coupon reset date and can be extended at
Gazprom's option. The notes will be redeemed by Gazprom if the loan
is repaid.

Effective Maturity Date: Although the loan has initial maturity in
at least 60.25 years, Fitch deems the effective maturity to be in
25.25 years from issue or 20 years from the first coupon reset
date. From this date, the coupon step-up is within Fitch's
aggregate threshold rate of 100bp, but the issuer will no longer be
subject to replacement language, which expresses the company's
intent to redeem the instrument at its reset date with the proceeds
of a similar instrument or with equity. According to Fitch's
criteria, the 50% EC would change to 0% five years before the
effective maturity date. The issuer has the option to redeem the
notes at least five years from the issue, three months prior to the
first coupon reset date.

Cumulative Coupon Limits Equity Treatment: Coupon deferrals are
cumulative, which results in 50% equity treatment and 50% debt
treatment of the hybrid instruments by Fitch. Despite the 50%
equity treatment, Fitch treats coupon payments as 100% interest,
which is reflected in the coverage metrics. The company will be
obliged to make a mandatory settlement of deferred interest
payments under certain circumstances, including the declaration of
a cash dividend. This is a feature like debt-like securities and
reduces the company's financial flexibility.

No Change of Control: Terms of the hybrid notes do not require
Gazprom to repurchase them in the event of a change of control and
do not contain material affirmative or negative covenants. This
supports the 50% EC allocated to the notes.

KEY RATING DRIVERS FOR GAZPROM

Rating Constrained by Sovereign: Gazprom's IDR is constrained by
that of Russia (BBB/Stable), the energy company's ultimate
controlling shareholder, based on Fitch's Government-Related
Entities (GRE) Rating Criteria and Parent and Subsidiary Linkage
(PSL) Rating Criteria. Fitch assesses the Standalone Credit Profile
(SCP) of Gazprom at 'a-', considering its strong operational and
financial profiles as well as operating environment and corporate
governance risks. Fitch views the overall linkage between Gazprom
and the state as strong by assessing the status, ownership, and
control; support track record and expectations as well as
socio-political and financial implications of the company's default
in accordance with Fitch's GRE Rating Criteria.

Resilient Market Share, Lower Prices: Fitch believes Gazprom will
remain the largest gas supplier to Europe, its key market despite
competition from renewable energy sources in the medium term. Fitch
projects the company's profitability of European exports to drop
fivefold in 2020 relative to 2019 before rebounding in 2021 as gas
and oil prices recover from 2020 lows. Fitch has recently cut its
medium- and long-term gas price assumptions and no longer expect
Gazprom's European gas exports to reach the high profitability of
2018-2019. Continued oversupply in the European gas market puts
pressure on the company's credit metrics and SCP.

Pressure from LNG Glut: LNG imports into Europe increased 47
billion cubic metres (bcm), or 69%, yoy in 2019 and remained high
until May 2020. US LNG feed gas intake, however, dropped by a third
in late May 2020 relative to early mid-March levels due to low sale
prices in both Asia and Europe. US LNG global exports were at 3.1
billion cubic feet per day (bcf/d) in July against total capacity
of 10 bcf/d, but feed gas delivered for liquefaction increased to
above 7 bcf/d in early October as Asian and European spot and
forward prices rose. Assuming no new strict lockdowns, Fitch
expects LNG oversupply to ease but to still affect Gazprom's gas
export volumes and prices at least in 2020-2021.

Leverage to Rise Temporarily: Fitch expects lower gas and oil
prices and volumes will drive Gazprom's funds from operations (FFO)
net leverage higher to 3.2x in 2020 from 1.4x in 2019 - the first
time it will be exceeding 1.7x since 2007. Fitch projects EBITDA to
decline to USD16 billion in 2020 from USD29 billion in 2019. Fitch
forecsts FFO net leverage to decrease to 2.2x in 2021 and 1.9x in
2022. This compares with management's aim to keep net
debt-to-EBITDA below 2.5x in 2020 and below 2.0x thereafter.

Nord Stream 2 Construction: The US imposed sanctions related to the
55bcm Nord Stream 2 pipeline project at end-2019 and is considering
further sanctions. The Danish part of the pipeline has not been
completed by Gazprom. The project has been subject to considerable
public and political attention in recent years. Fitch
conservatively excludes all Nord Stream 2-related cost savings from
Gazprom's forecast until Fitch gains more clarity on the project's
future. Fitch assesses that potentially lost annual value from a
project delay could amount to 3%-4% of Gazprom's EBITDA.

DERIVATION SUMMARY

Gazprom's rating is constrained by that of the sovereign as the
company has strong ties with Russia. Gazprom's SCP of 'a-'
incorporates the strength of its business and financial profiles
along with risks related to the operating environment in Russia and
corporate governance.

The company's scale is large by global standards. Gazprom's 2019
EBITDA (USD29 billion) was smaller than that of Royal Dutch Shell
plc (AA-/Stable; USD45 billion) but comparable with that of BP plc
(A/Stable; USD32 billion) and Total SE (AA-/Stable; USD31 billion).
Gazprom has one of the world's largest hydrocarbon reserves and
produces 8.9 mmboe/d of gas and 1.3 mmboe/d of liquids, excluding
equity affiliates', which are substantially more than its peers'.

Gazprom is Russia's major state-owned energy company, engaged in
natural gas production, transportation, and distribution, as well
as oil production and refining, plus heat and electricity
generation. It benefits from monopoly rights for pipeline gas
exports from Russia. Its assets are primarily located in a single
country, Russia, and its export sale volumes highly depend on gas
demand in Europe; these two factors negatively affect Gazprom's
business profile.

Gazprom's financial profile is also strong with end-2019 FFO net
leverage at 1.4x, on a par with Shell's and Total's and lower than
BP's. Fitch expects net leverage to spike in 2020 but to start
normalising in 2021.

Among state-owned oil and gas companies the ratings of China
National Petroleum Corporation (CNPC, A+/Stable), Saudi Arabian Oil
Company (Saudi Aramco, A/Stable), Abu Dhabi National Oil Company
(ADNOC, AA/Stable), and Petroleo Brasileiro S.A. (Petrobras,
BB-/Negative) are constrained by those of the sovereigns, like
Gazprom.

KEY ASSUMPTIONS

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

  - Brent oil price at USD41/b in 2020, USD45/b in 2021, USD50/b in
2022, and USD53/b thereafter

  - Average USD/RUB exchange rates at 71.5 in 2020, 70.9 in 2021,
69.5 in 2022, 67 thereafter

  - Gazprom's European export prices at USD121/kcm in 2020,
USD145/kcm in 2021, USD165/kcm in 2022 and USD180/kcm in 2023

  - Export volumes to Europe at 163bcm in 2020, increasing to
190bcm by 2021 and slightly growing thereafter

  - Capex of RUB1,200 billion per annum in 2020 and 2021, and
RUB1,400 billion per annum until 2023

  - Gradual transition to a 50% dividend payout

RATING SENSITIVITIES

Developments That May, Individually or Collectively, Lead to
Positive Rating Action/Upgrade

  - An upgrade of Russia, provided Gazprom's SCP does not weaken
and links with Russia remain strong

Developments That May, Individually or Collectively, Lead to
Negative Rating Action/Downgrade

  - Negative rating action on Russia

  - FFO net leverage sustained above 2.0x may be negative for the
SCP but not necessarily the IDR

For the sovereign rating of Russia, Gazprom's ultimate majority
shareholder, Fitch outlined the following sensitivities in its
rating action commentary of August 7, 2020:

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

  - Macro: Higher and sustained real GDP growth above peers, for
example stemming from the implementation of a reform strategy
addressing structural constrains to growth, while preserving
improved macroeconomic stability.

  - Structural: Improvement of structural indicators, for example
in terms of governance standards including rule of law, voice and
accountability and control of corruption.

  - Public Finances: Significant additional strengthening of fiscal
and external savings buffers compared with Fitch's current
projections, for example, through sustained high oil prices and
windfall revenues.

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

  - Macro: Changes in the policy framework that undermine policy
credibility or increase the impact of oil price volatility on the
economy, for example in response to an extended period of economic
weakness due to the COVID-19 pandemic.

  - Structural: Imposition of additional sanctions that undermine
macroeconomic and financial stability, or impede debt service
payments.

  - Public Finances: Sustained erosion of the sovereign balance
sheet, including from the materialisation of contingent liabilities
from the large public sector.

LIQUIDITY AND DEBT STRUCTURE

Sufficient Liquidity: As at 30 June 2020 Gazprom had RUB1.15
trillion in cash and other liquid financial assets, which was
sufficient to cover RUB0.7 trillion of short-term debt and RUB0.4
trillion Fitch-projected negative free cash flow (FCF) in 2020. The
company has raised around RUB0.4 trillion so far this year and will
need to raise additional debt to replenish cash reserves.

Access to International Markets: A large part of Gazprom's RUB4.4
trillion (USD63 billion) debt portfolio was represented by
international bonds and loans. The share of debt in foreign
currency was 78%. Gazprom is not subject to US or EU financial
sanctions.

SUMMARY OF FINANCIAL ADJUSTMENTS

  - Gazprom's EBITDA reduced by RUB56 billion to deduct
right-of-use assets depreciation and lease-related interest expense
in 2019. At the same time, its lease liabilities were removed from
debt.

  - Fitch added RUB714billion of bank deposits and other financial
instruments to the company's end-2019 readily available cash. Fitch
also removed RUB123 billion of the decrease in short-term deposits
from Gazprom's working capital, which led to a fall in its 2019 FCF
by the same amount

  - Fitch removed RUB189billion of settlement with Naftogaz from
2019 FCF

  - Fitch included RUB75billion of financial guarantees provided by
Gazprom in its end-2019 debt

  - Fitch removed dividends paid to minority shareholders from
total dividends paid and subtracted them from Gazprom's FFO

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

Gazprom's Long-term IDR is constrained by the sovereigns.

ESG CONSIDERATIONS

Fitch does not provide separate ESG scores for Gazprom as its
ratings and ESG scores are derived from its parent.


GAZPROM PJSC: S&P Rates New Inaugural Sub. Hybrid Notes 'BB'
------------------------------------------------------------
S&P Global Ratings assigned its 'BB' rating to the proposed
optionally deferrable and subordinated loan participation notes to
be issued by Gaz Finance PLC (not rated). The sole purpose of the
issuance is to fund a loan with matching terms and conditions to
the parent company Gazprom PJSC (local currency BBB/Negative/A-2;
foreign currency BBB-/Stable/A-3). The proposed issue has a 60.25
year term, extendable at Gazprom's option in five year increments.

S&P said, "We consider that the proposed securities will have
intermediate equity content until the first reset date, which we
understand will be in 5.25 years from issuance. This is because the
notes meet our conditions for rating hybrid capital in terms of
their subordination, permanence, and optional deferability until
then. Considering a 25 basis-point (bp) step-up in 10.25 years and
a cumulative step-up of 100 bps in 25.25 years, we assess the
effective maturity as 25.25 years, therefore exceeding our 20-year
benchmark for an investment-grade issuer.

"We understand that management views the instrument as a long-term
part of the capital structure, even though the replacement capital
language in the documentation is nonbinding. Moreover, we
understand that the transaction currency is U.S. dollars and euros,
and the amount of the hybrid issue is subject to market conditions
but will be a small part of Gazprom's adjusted capitalization. We
understand that the proceeds will be used for general corporate
purposes, including financing of Gazprom's large, long-term
investment projects.

"We derive our 'BB' issue rating on the proposed securities by
notching down from our 'bbb-' stand-alone credit profile on
Gazprom. Although our long-term issuer credit ratings on Gazprom
include an uplift for an extremely high likelihood of support from
the Russian government, Gazprom's controlling shareholder, we do
not necessarily think the Russian government will support the
hybrid instrument if Gazprom is in financial difficulty." In line
with S&P's methodology, the two-notch differential reflects the
deduction of:

-- One notch for contractual subordination, and
-- One notch for the optional deferral of interest.

S&P said, "We view the proposed debt as having intermediate equity
content because we treat 50% of the instrument and accrued interest
as debt and the remaining 50% as equity. Also, we allocate 50% of
the payments related to these securities as a fixed charge and 50%
as equivalent to common dividends.

"The proposed hybrids are loan participation notes, similar to
Gazprom's currently outstanding rated Eurobonds. We believe these
structures are widely used by Russian issuers for tax and
regulatory reasons. Although such instruments can be subject to a
potential change in tax status, they have been in the market for a
long time. We understand that the proposed notes are backed by
Gazprom's obligations, which will have equivalent payment terms,
and that Gaz Finance is a strategic vehicle set up solely to raise
financing on behalf of the Gazprom group. We believe that Gazprom
is willing and able to support Gaz Finance to ensure full and
timely payment of interest and principal on the proposed notes when
due, including related expenses."

The rating on the proposed hybrid notes is based on draft
documentation as of Sept. 24, 2020. Should the final documentation
differ substantially from the draft, the rating could change.

Key factors in S&P's assessment of the instrument's permanence

S&P said, "We will view the proposed hybrid notes as having
intermediate equity content before the first reset date in 5.25
years. The proposed notes have a 60.25 years tenor, subject to
Gazprom's option to extend by five years every five years. The
instrument can be redeemed early for tax and rating agency
methodology reasons, which is acceptable under our criteria."

The first call date is in 5.25 years (2025). The first step-up of
25 bps occurs in 10.25 years (five years after the first reset
date). The second step up of 75 bps (cumulative 100 bps) occurs in
25.25 years (20 years after the first reset date). S&P siad, "We
consider the cumulative 100 bps to be a material step-up, which is
currently unmitigated by any commitment to replace the instruments
at that time. Therefore, we assess the instrument's effective tenor
as 25.25 years."

S&P said, "We understand that the coupon rate for the first 5.25
years is to be set during the placement. We will monitor the actual
coupon rate but our current assumption is that the coupon rate
should not create an incentive for early redemption.

"We assume that management views the instrument as a long-term part
of its capital structure, even though the replacement capital
language is nonbinding. We understand the company intends to
replace the instrument during the 25.25 year term, but is not
obliged to do so, to the extent that the equity credit of the notes
to be redeemed or repurchased does not exceed the equity credit of
the replacement instrument."

Key factors in S&P's assessment of the instrument's deferability

S&P said, "We understand that Gazprom can indefinitely defer
interest at its discretion, without any specific triggers such as
dividend stoppers, and doing so would not qualify as an event of
default. We also understand that all accrued deferred interest will
become payable if Gazprom resolves to pay, or declares, a dividend
or distribution on any junior securities (including common
dividends or repurchase of common stock), or if Gazprom repurchases
any of the notes or parity securities. We see this as a negative
factor in our assessment of equity content, but acceptable under
our methodology. We believe this may create an incentive to avoid
interest deferral in light of Gazprom's recently adopted policy to
gradually increase dividend payout to 50% of net income. Still, we
understand that Gazprom's dividend policy enables the board to stop
dividends if the group's consolidated ratio of reported net debt to
EBITDA is above 2.5x, and that in line with the documentation,
Gazprom could settle the amount of accrued interest and upcoming
common dividend, and choose to defer the next coupon again."

Key factors in S&P's assessment of the instrument's subordination

The proposed hybrid notes are unsecured, subordinated, and rank
junior to all other debt obligations by Gazprom. Although Russian
law does not recognize subordinated corporate debt, the proposed
hybrid notes and the underlying loan are governed by English law.
Under the issue documents, in the event of Gazprom's insolvency,
the obligations under the notes and the underlying loan are
extinguished, which effectively makes the instrument deeply
subordinated. S&P understands such a mechanism is relatively new
and has not been used by Russian issuers before.


NIZHNEKAMSKNEFTEKHIM PJSC: Moody's Cuts CFR to B1, Outlook Stable
-----------------------------------------------------------------
Moody's Investors Service downgraded the corporate family rating
and probability of default rating of Nizhnekamskneftekhim PJSC
(NKNK) to B1 and B1-PD from Ba3 and Ba3-PD, respectively, on
expectations of material deterioration in the financial profile and
potential strain on liquidity as a result of covenant breach. The
outlook on the rating is stable.

The action concludes a review initiated by Moody's on June 26, 2020
in the wake of the coronavirus pandemic-related sharp deterioration
in the global polyolefins and rubbers markets conditions.

RATINGS RATIONALE

Moody's expects NKNK's EBITDA to decline by more than 40% in 2020
compared with 2019 and to recover to 70%-85% of 2019 levels by
end-2021. At the same time, NKNK will continue to build up its debt
levels to fund its investment programme. As a result, the company's
leverage measured by debt/EBITDA will rise to 5.0x or above in
2020-21 according to Moody's estimates, which is commensurate with
a mid-to-low B rating category. The company embarked on its new
EUR2.5 billion project consisting of a naphtha cracker with an
annual capacity of 600,000 tonnes of ethylene, power generation
unit, and polyethylene and polypropylene plants in 2018, with major
investments scheduled for 2020-22. Funding for the naphta cracker
and power generation unit has been arranged in full. The facility
will double NKNK's basic polymer production capacity. Moody's
expects NKNK to start deleveraging from 2024-25 when the project
comes on stream.

In addition, Moody's expects that the company will be in breach of
its tightest net debt/ EBITDA covenant which is embedded in its
debt documentation and is set at 3.5x for 2020-22. Failure to
obtain waivers from creditors would put strain on the company's
liquidity as it may constrain project-related disbursements and, in
the worst case, trigger acceleration of outstanding debt, in part
or in full. The agency believes that the company is well positioned
to obtain the waiver, however this may take time during which
Moody's will consider NKNK's liquidity to be under pressure.

On a more positive note, the agency recognizes the intrinsic
strength of NKNK's strong market positioning and its low-cost
operating profile which will benefit from the new production
capacity over time. The project should help to extract additional
synergies from NKNK's positioning in the oil refining cluster with
easy access to its key feedstock naphta.

The B1 corporate family rating considers NKNK's balanced product
mix; long-term contractual access to low-cost feedstock; and
significant share of export sales, which mitigates foreign-currency
risks. NKNK's rating is constrained by its susceptibility to risks
inherent to the volatile petrochemical industry; its exposure to
risks associated with the recently launched, predominantly
debt-funded, large olefin project; and vulnerabilities associated
with NKNK's single-site location and moderate size.

NKNK is exposed to the operating environment in Russia (Baa3
stable) and Republic of Tatarstan (Ba1 stable) because the company
generates half of its revenue in Russia, and all its production
facilities and some of its major raw materials suppliers are in
Tatarstan.

LIQUIDITY

NKNK has a benign debt maturity profile with no material debt
repayments until 2024, with 60% of committed investment until Q3
2021 pre-funded with signed favourably -priced commercial loans and
export credit facilities (ECAs). NKNK's liquidity is supported by
RUB41.4 billion (around $540 million) cash balances as of the end
of June 2020. Covenant management risks however remain a concern
and will weaken liquidity assessement until resolved.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE (ESG) CONSIDERATIONS

Moody's characterizes the risk to the commodity chemical sector as
"Emerging -- Elevated Risk". Air, soil, and water pollution have
been and are likely to remain the primary environmental risks for
this sector. In 2019, within the frame of the ongoing 4th
Environmental Program, Nizhnekamskneftekhim PJSC carried out 73
nature protection measures with over 2.15 billion rubles funded. In
2019, the Company's environmental activities allowed to decrease
the consumption of river water by 2.03 million cubic meters, the
volume of wastewater - by more than 3.27 million cubic meters, air
emissions - by 586 tons, generation of nonutilizable waste products
- by 1.1 thousand tons.

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. Nizhnekamskneftekhim PJSC has a concentrated
ownership structure. AO TAIF and Telecom Management LLC own more
than 50% of NKNK. There are no other shareholders with more than
20% ownership. 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 that could weaken the company's credit quality.
Independent directors make up less than one-third of the Board of
Directors.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook assumes that the company will demonstrate good
liquidity and covenant management, including via obtaining
necessary waivers in due course, and maintains access to funding
despite higher leverage levels.

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

Upward pressure on NKNK's rating is unlikely given the expected
significant increase in leverage and the implementation risks of
the olefin project.

Moody's could downgrade NKNK in the event of 1) a multi-notch
downgrade of Russia's sovereign rating and Tatarstan's
sub-sovereign rating; 2) a significant deterioration in the
company's credit quality, with debt/EBITDA remaining above 5.5x and
RCF/debt below 10% on a sustained basis; and 3) deterioration in
liquidity (including covenants management) and failure to secure
funding for the olefin project.

Nizhnekamskneftekhim PJSC (NKNK) is a major Russian petrochemical
company located in the Republic of Tatarstan. NKNK's eight core
production units produce rubber, plastics, monomers, and other
petrochemicals, and they are located on two adjacent production
sites that have centralised transportation, energy, and
telecommunication infrastructure. In the last twelve months ended
June 30, 2020, the company reported sales of RUB156 billion and
adjusted EBITDA of RUB27.9 billion. The company derived around half
of its revenue from export activities. Of NKNK's ordinary shares,
81.16% (or 75.6% of the company's total equity) are held by the
TAIF group, a Tatarstan-based industrial group operating oil and
gas processing and petrochemical businesses, along with operations
in the telecommunication, construction, and banking sectors. The
rest of the equity is in free float. The Tatarstan government
retains the golden share of NKNK, which gives the government veto
power over certain major corporate decisions.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Chemical
Industry published in March 2019.


URALKALI PJSC: Fitch Alters Outlook on 'BB-' LT IDR to Stable
-------------------------------------------------------------
Fitch Ratings has revised Uralkali PJSC's Outlook to Stable from
Positive while affirming the chemicals group's Long-Term Issuer
Default Rating (IDR) at 'BB-'.

The Outlook revision reflects weaker-than-expected credit metrics
and a reassessment of the group's financial policy. Fitch now
expects the combination of the trough cycle in potash, increasing
operating costs, greater support to shareholders in the form of
loans and limited flexibility to cut capex to result in funds from
operations (FFO) net leverage of around 4x over the next four years
versus its previous expectations of 3.5x.

The rating reflects Uralkali's strong business profile with global
leadership in potash output and favourable cost position and
Fitch-adjusted EBITDA margins of above 48% through the cycle,
balanced against high leverage compared with similarly rated peers
and weak corporate governance.

KEY RATING DRIVERS

Leverage to Settle at 4x: Fitch expects FFO net leverage to rise to
4.2x in 2020 from 3.6x in 2019, as a result of lower EBITDA
margins, which fell to 42% in 1H20 from 57% in 1H19, because of
weaker potash prices since 2H19 and increased operating costs due
to higher export sales to China. Under Fitch potash price deck
(USD220/ tonne) Fitch expects EBITDA to amount to USD1.2
billion-USD1.3 billion over the next four years, down from USD1.5
billion in 2019. Weaker profitability, coupled with
higher-than-expected amount of loans to be up-streamed to
shareholders result in its new expectations of FFO net leverage of
around 4x in 2020-2023, in turn limiting rating headroom.

Weak Corporate Governance: Fitch expects the group to continue to
provide loans to its shareholders, instead of dividends. These
currently amount to USD743 million, and Fitch forecsts additional
cash to be up-streamed to shareholders up to 2023. Fitch assumes
that the total size of further loans will remain within the group's
maintenance covenant of 4x. Fitch assesses corporate governance as
weak due to complex transactions for the last five years at the
shareholder level, leading to significant cash-outflows at
Uralkali.

Possible Change in Shareholder Structure: In June 2020 the group
cancelled its treasury shares, increasing Uralchem's and Rinsoco's
respective stakes in the group to 46.29% and to 53.71%. Further
changes in the shareholding structure could lead to its
reassessment of the scope of consolidation and the relationship
between Uralkali and its parent-company under Fitch's Parent and
Subsidiary Linkage Rating Criteria.

Reduced Headroom Under Covenants: Headroom under Uralkali's
maintenance covenant of its pre-export facilities has reduced with
net debt-to-EBITDA for LTM to June 2020 of 3.6x approaching the
limit of 4x. Fitch would expect creditors to relax covenants if
required, as has happened in the past. As of 1H20 Uralkali was
above the limit of the incurrence covenant under its Eurobond (net
debt-to-EBITDA limit 3.5x). The impact is manageable as Uralkali
can refinance its existing debt and raise funds for its operations
under certain limits (USD150 million allowed for working capital
purposes).

Continued Potash Discipline Expected: Fitch expects muriate of
potash (MOP) prices (FOB Vancouver) to average USD220/tonne in 2020
and over the longer-term, down from around USD240/tonne in 1Q20 as
Chinese potash supply contracts were expectedly signed at much
lower price level of USD220/tonne. Fitch believes supply will be
disciplined at this level but sees potential for capacity to be
reactivated should the market tighten and prices rise. Potential
export disruptions at Belaruskali, the largest potash producer, due
to strikes or possible political sanctions against the government
could increase spot prices.

Limited Flexibility to Cut Capex: Historically, Fitch has assumed
that Uralkali is able to mitigate long-term pricing pressure
through delaying a portion of its expansionary capex (around USD200
million per year), which represents half of its total investments.
However, management sees most of the new investments as strategic
and indicated its unwillingness to delay such capex.

Emerging Markets and Industry Risks: The 'BB-' rating considers
Uralkali's exposure to the potash demand cycle, as well as the high
contribution of developing markets to its revenue generation. These
markets present strong growth potential, but they also tend to
exhibit more unpredictable demand patterns than mature agricultural
regions. Operational risks are also higher in potash mining than in
production of other fertilisers, as water-soluble salt deposits are
susceptible to flooding as evidenced by the issues at different
potash mines across the world, including Uralkali's Solikamsk 2
mine incident in 2014.

Mineral Extraction Tax: The Russian government is reviewing a
proposal to increase the mineral extraction tax (MET) on mining and
oil companies. The current MET rates are set at 3.8% and 5.5% for
potassium salts and magnesium salt respectively, and are expected
to increase by 3.5x if the proposal is adopted. The impact of the
tax is to be determined, but Fitch does not expect it to impair
Uralkali's competitiveness due to the position of most the group's
main assets in the first quartile of the MOP cost curve.

DERIVATION SUMMARY

The strong business profile of Uralkali is underpinned by its
leading cost position amid its potash peers, which supports
adjusted EBITDA margins of about 50% and positive free cash flow
(FCF) generation through the cycle. Its closest Fitch-rated EMEA
fertiliser peers include PJSC PhosAgro (BBB-/Stable) and OCP S.A.
(BB+/Negative), all with low-cost mining operations and strong
global market outreach. The Mosaic Company (BBB-/Stable) is one of
the largest producers of potash and phosphate in the world but
generates lower margins than Uralkali.

Uralkali's leverage has been driven by significant share buybacks
and loans provided to shareholders. This is unlike its similarly
rated leveraged peers, which have accumulated debt due to intensive
capex.

KEY ASSUMPTIONS

  - Fitch price deck for potash Free On-Board Vancouver:
USD220/tonne in 2020 and flat up to 2023

  - RUB/USD at 71.5 in 2020; 70.9 in 2021; 69.5 in 2022; 67 in
2023

  - EBITDA margin down at 43% in 2020, before progressively
recovering towards 50% by 2023

  - Capex at about 13% of revenue in 2020, followed by around 14%
in 2021-2023

  - Based on its assumptions Uralkali will continue to provide
support to shareholders and/or their affiliates in the form of
loans and/or other distributions (dividend pay-outs or share
buybacks). Fitch estimates the maximum amount of cash outflows that
it could absorb to remain within the maintenance covenant levels is
around USD2 billion in 2020-2023.

RATING SENSITIVITIES

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

  - Positive FCF coupled with FFO net leverage sustainably about or
below 3.5x.

  - Record of adherence to disciplined financial policy and
enhancement of corporate governance practices.

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

  - Further market pressure or an aggressive financial policy
resulting in sustained leverage pressure with FFO net leverage
significantly above 4x.

  - Aggressive shareholder actions that are detrimental to
Uralkali's credit profile, indicating weaker corporate governance.

LIQUIDITY AND DEBT STRUCTURE

Liquidity Adequate: As at end-June 2020, Uralkali had USD0.5
billion of cash and cash equivalent versus USD0.6 billion of
short-term debt. The group's liquidity is supported by a USD1.6
billion undrawn committed credit facility from Sberbank until
December 2021, of which half will be available from December 2020
and the other half from June 2021. Fitch expects positive FCF over
the next two years to further support liquidity.

Uralkali also benefited from substantial uncommitted lines of
USD1.4 billion in June 2020, which are not included in its
liquidity ratio.

Senior Unsecured Rating: Fitch continues to rate LPNs issued by
Uralkali Finance DAC in line with Uralkali's IDR as Fitch expects
prior ranking debt-to-EBITDA to remain below 2.5x in 2021-2023
following a temporary increase in 2020.

SUMMARY OF FINANCIAL ADJUSTMENTS

Fitch has treated USD5.1 million (USD3.4 million of depreciation &
amortisation on rights-of-use of assets, and USD1.7 million of
lease interests) as operating expense.

USD77 million of trade receivables sold in 2019 were added back to
end-2019 current assets and to liabilities as secured debt.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Fitch has revised Uralkali's ESG Relevance Score for Group
Structure to '4' from '3' due to its complex group structure,
limited transparency, and significant shareholders distributions,
including increasing loans to shareholders, which has a negative
impact on its credit profile and is relevant to the rating in
conjunction with other factors.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.




===============
S L O V E N I A
===============

POLZELA: Sirekar Opens New Shop in Ljubljana
--------------------------------------------
SeeNews reports that Estonian company Sirekar Hulgi Ou, which
acquired the trademark of Slovenia's troubled hosiery maker Polzela
in September 2018, opened a new Polzela shop in Ljubljana on Oct.
7, local media reported.

This is the sixth such shop in Slovenia, and Sirekar plans to open
by the end of the year four more shops in the country and in
neighbouring Croatia, state news agency STA reported, citing
information from the company, SeeNews notes.

Polzela went bankrupt in December 2016 and shut down production in
July 2018, SeeNews recounts.  Its brand name was sold to Sirekar
for the ask price of EUR390,000 (US$459,000), SeeNews discloses.

In January 2020, STA reported that Polzela bankruptcy receiver
Zlatko Hohnjec extended the deadline for completing the bankruptcy
procedure by a year, until the end of 2021, after failing to sell
all Polzela assets in the original timeframe, SeeNews relates.




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

AYT GENOVA X: Fitch Cuts Class D Notes to 'B-sf'
------------------------------------------------
Fitch Ratings has affirmed 18 tranches and downgraded one tranche
of five Ayt Genova Hipotecario Spanish RMBS transactions. Eight
tranches have been removed from Rating Watch Negative (RWN).

RATING ACTIONS

AyT Genova Hipotecario VI, FTH

Class A2 ES0312349014; LT AAAsf Affirmed; previously AAAsf

Class B ES0312349022; LT AA+sf Affirmed; previously AA+sf

Class C ES0312349030; LT Asf Affirmed; previously Asf

Class D ES0312349048; LT BBB+sf Affirmed; previously BBB+sf

AyT Genova Hipotecario VII, FTH

Class A2 ES0312343017; LT AAAsf Affirmed; previously AAAsf

Class B ES0312343025; LT AA-sf Affirmed; previously AA-sf

Class C ES0312343033; LT BB+sf Affirmed; previously BB+sf

AyT Genova Hipotecario X, FTH

Class A2 ES0312301015; LT A+sf Affirmed; previously A+sf

Class B ES0312301023; LT A+sf Affirmed; previously A+sf

Class C ES0312301031; LT BBB+sf Affirmed; previously BBB+sf

Class D ES0312301049; LT B-sf Downgrade; previously Bsf

AyT Genova Hipotecario IX, FTH

Class A2 ES0312300017; LT A+sf Affirmed; previously A+sf

Class B ES0312300025; LT Asf Affirmed; previously Asf

Class C ES0312300033; LT BBB+sf Affirmed; previously BBB+sf

Class D ES0312300041; LT Bsf Affirmed; previously Bsf

AyT Genova Hipotecario VIII, FTH

Class A2 ES0312344015; LT AAAsf Affirmed; previously AAAsf

Class B ES0312344023; LT AAsf Affirmed; previously AAsf

Class C ES0312344031; LT Asf Affirmed; previously Asf

Class D ES0312344049; LT Bsf Affirmed; previously Bsf

TRANSACTION SUMMARY

The transactions are backed by Spanish residential mortgages
serviced by CaixaBank, S.A. (BBB+/Negative/F2).

KEY RATING DRIVERS

Removed from RWN

The affirmation and removal from RWN with a Stable Outlook for
Genova 6 class C and D notes and Genova 7 and 8 and 9 class C notes
reflects its view that liquidity protection is sufficient to
mitigate the effects of payment holidays offered to vulnerable
borrowers and that credit enhancement (CE) ratios are sufficient to
mitigate the risks associated with the coronavirus crisis following
its sensitivity analysis.

The Negative Outlooks on Genova 8 and 9 and 10 class D notes
reflects the risk of a material worsening performance from the
pandemic triggering downgrades. The class D notes in Genova 10 have
been downgraded by one notch and the class D notes in Genova 8 and
9 have been affirmed.

Pandemic-Related Additional Stresses Assumptions

In its analysis of the transactions, Fitch has applied additional
stress scenario analysis in conjunction with its European RMBS
Rating Criteria in response to the coronavirus pandemic and the
recent legislative developments in Catalonia.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases - Update", published September 8, 2020, Fitch also
considers a downside coronavirus scenario for sensitivity purposes
whereby a more severe and prolonged period of stress is assumed.
Under this scenario, Fitch's analysis accommodates a further 15%
increase to the portfolio weighted average foreclosure frequency
(WAFF) and a 15% decrease to the WA recovery rates (WARR). See
Ratings Sensitivities.

Expected Asset Performance Deterioration

Fitch anticipates a generalised weakening of Spanish borrowers'
ability to keep up with mortgage payments linked to a spike in
unemployment and vulnerability for self-employed borrowers. As a
result, performance indicators such as the levels of arrears
(currently between 0.0% and 0.6% excluding defaulted assets) could
increase in the following months. Fitch has consequently performed
a sensitivity adjustment incorporating a 10% increase in WAFF
leading to the revision of the Outlook on Genova 10 class C notes
to Negative from Stable.

Rating Cap Due to Counterparty Risks

The ratings on Genova 6 and Genova 8 class C notes are capped at
the account bank provider's Long-Term Deposit Rating (Societe
Generale S.A., A(dr)) as the transactions' cash reserves held at
this entity represent a material source of CE for these notes. The
rating cap reflects the excessive counterparty dependence on the
SPV account bank holding the cash reserve as a sudden loss of these
funds would imply a downgrade of 10 or more notches of these notes
in accordance with Fitch's Structured Finance and Covered Bonds
Counterparty Rating Criteria.

Genova 9's maximum achievable ratings are capped at 'A+sf' as the
swap counterparty replacement triggers are set at 'BBB(dcr)', which
is insufficient to support 'AAsf' or 'AAAsf' ratings without the
posting of collateral.

Genova 10's maximum achievable ratings are capped at 'A+sf' as the
account bank replacement triggers are set at 'BBB+' and 'F2', which
are insufficient to support 'AAsf' or 'AAAsf' ratings.

Low Take-up Rates on Payment Holidays

Fitch does not expect the pandemic emergency support measures
introduced by the Spanish government for vulnerable borrowers to
negatively impact the SPV's liquidity positions, given the low
take-up rate of payment holidays in the transactions that range
between 1.7% and 4.3% of the portfolio balance as of July 2020
(versus the Spanish national average of around 9%). Additionally,
the high portfolio seasoning of around 14 years and the large share
of floating-rate loans that enjoy low interest rates are strong
mitigating factors against macroeconomic uncertainty.

Portfolio Adjustment Factor Floor

The transactions all display strong performance as measured by a
historically low default rate. In Fitch's analysis, the calculated
performance adjustment factor is below 30% for all transactions
which is less than the applicable floor. As a result, the floor is
used to derive the pool WAFF. The conditions set out in Fitch's
criteria are met to apply a floor of 50%; specifically, a period
since closing of at least seven years, a WA indexed loan to value
below 50% and demonstrated performance through a period of economic
stress.

ESG Considerations - Transaction Parties and Operational Risk

Genova 10 account bank triggers were amended after closing to
'BBB+' and 'F2', resulting in a cap of 'A+sf' and an ESG Relevance
Score of '5' for transaction parties and operational risks due to
counterparty risk.

RATING SENSITIVITIES

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

For Genova 9, modified swap counterparty eligibility rating
thresholds compatible with 'AAsf' or 'AAAsf' ratings as per the
agency's Structured Finance and Covered Bonds Counterparty Rating
Criteria. This is because the class A and B notes ratings are
capped at 'A+sf' due to the eligibility thresholds contractually
defined of 'BBB'(dcr) without collateral, which are insufficient to
support 'AAsf' or 'AAAsf' ratings.

For Genova 10, modified account bank minimum eligibility rating
thresholds compatible with 'AAsf' or 'AAAsf' ratings as per the
agency's Structured Finance and Covered Bonds Counterparty Rating
Criteria. This is because the class A and B notes ratings are
capped at 'A+sf' due to the eligibility thresholds contractually
defined of 'BBB+' and 'F2', which are insufficient to support
'AAsf' or 'AAAsf' ratings.

CE ratios increase as the transactions deleverage able to fully
compensate the credit losses and cash flow stresses commensurate
with higher rating scenarios, in addition to adequate counterparty
arrangements. Fitch tested an additional rating sensitivity
scenario by applying a decrease in the WAFF of 15% and an increase
in the WARR of 15%. Under this scenario the maximum impact could be
an upgrade of up to three notches.

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

A longer-than-expected coronavirus crisis that deteriorates
macroeconomic fundamentals and the mortgage market in Spain beyond
Fitch's current base case. CE ratios cannot fully compensate the
credit losses and cash flow stresses associated with the current
ratings scenarios, all else being equal. To approximate this
scenario, a rating sensitivity has been conducted by increasing
default rates by 15% and reducing recovery expectations by 15%,
which would imply downgrades of up to four notches

For Genova 6 classes C, a downgrade of Societe Generale's Long-Term
Deposit Rating as it is the issuer account bank provider, and the
notes' ratings are capped at the bank's rating due to excessive
counterparty risk exposure.

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. Fitch has not reviewed the results of
any third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring. Fitch did not undertake a review of the information
provided about the underlying asset pool ahead of the transactions'
initial closing. The subsequent performance of the transactions
over the years is consistent with the agency's expectations given
the operating environment and Fitch is therefore satisfied that the
asset pool information relied upon for its initial rating analysis
was adequately reliable. Overall, Fitch's assessment of the
information relied upon for the agency's rating analysis according
to its applicable rating methodologies indicates that it is
adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

AyT Genova Hipotecario X, FTH has an ESG Relevance Score of '5' for
Transaction Parties and Operational Risk due to counterparty risk,
which has a negative impact on the credit profile, and is highly
relevant to the rating, resulting in a rating cap of 'A+sf'.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


BANCO SANTANDER: Fitch Cuts Legacy Hybrid Pref. Securities to CCC
-----------------------------------------------------------------
Fitch Ratings has downgraded three of Banco Santander, S.A.'s
(A-/Negative) legacy hybrid preferred securities to 'CCC' from
'BB'. The downgrades reflect the heightened non-performing risks of
these securities due to their profit test trigger and its
expectation that the bank will report a net loss in the
unconsolidated accounts of the parent bank in 2020. The three notes
have the following ISINs: US05971K4067, XS0307728146 and
XS0202197694.

Santander's Issuer Default Ratings, Viability Rating and other debt
ratings are unaffected by this rating action.

KEY RATING DRIVERS

The notes' ratings reflect Fitch's view that there is a heightened
risk that these hybrid securities will become non-performing in
2021 as reported distributable profit, which excludes reserves
under the original terms of the notes, is a distribution trigger.
Therefore, a net loss reported in the unconsolidated accounts of
the parent bank would prevent Santander from paying coupons on
these securities under the terms and conditions of the notes.

Fitch expects that Santander will report a net loss in
unconsolidated accounts of the parent bank for 2020 as the result
of a sizeable one-off negative impact from impairments on
investments in some of its foreign subsidiaries recorded in 1H20.
In its view, Santander will not generate sufficient profit in 2H20
to offset these one-offs and will not be able to make coupon
payments on these legacy hybrid preferred securities.

The ratings on the securities reflect its expectation that the
economic losses to investors in these securities in case of
non-performance will be very low (below 10%) as the coupon payments
should resume in 2022, if the bank returns to profitability in 2021
as Fitch expects. In its view, Santander remains structurally
profitable, as reflected in its VR and earnings and profitability
score of 'a-', which is one of Santander's rating strengths.

RATING SENSITIVITIES

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

The securities' ratings are primarily sensitive to Santander
returning to profitability in 2021, which would allow the hybrid
securities to return to performing status. At that point, Fitch
will use the bank's VR as the anchor rating and Fitch expects that
these legacy hybrid preferred securities will likely be rated five
notches below Santander's VR to reflect higher loss severity risk
of these securities when compared with average recoveries (two
notches from the VR), as well as high risk of non-performance (an
additional three notches) due to a profit test.

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

The securities could be downgraded if Fitch expects that Santander
will continue to report losses on an unconsolidated basis at the
parent bank level in 2021 and beyond, resulting in a higher loss
severity for investors than Fitch currently expects.

ESG Considerations

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




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

NUSR-ET: Owner In Talks with Lenders to Delay Debt Repayments
-------------------------------------------------------------
Asli Kandemir, Kerim Karakaya and Ercan Ersoy at Bloomberg News
report that the owner of the Nusr-Et steakhouse, known by its
founder chef's meme Salt Bae, is negotiating with lenders to delay
repayments on EUR2.3 billion (US$2.7 billion) of debt that was
restructured last year.

Turkish billionaire Ferit Sahenk's Dogus Holding AS is in
preliminary talks with a group of banks after its cash flows took a
knock because of the coronavirus pandemic, Bloomberg relays, citing
people familiar with the matter.  

According to Bloomberg, two of the people said the Istanbul-based
group told the lenders it may miss repayments.

The company in April 2019 reorganized its debt through a six-year
facility with 12 banks and has since been hard hit by lockdowns
aimed at containing the spread of the Covid-19 outbreak, Bloomberg
recounts.

As part of that deal, the firm agreed to dispose of some assets and
sell shares in businesses ranging from restaurants, hotels and
entertainment outlets to marinas and car-distributors, Bloomberg
states.




=============
U K R A I N E
=============

KERNEL HOLDING: S&P Upgrades ICR to 'B+' on Sound Credit Metrics
----------------------------------------------------------------
S&P Global Ratings raised its long-term issuer and issue credit
ratings on Kernel Holding S.A., and its existing senior unsecured
notes, to 'B+' from 'B'. S&P also assigned its 'B+' issue rating to
its proposed senior unsecured notes.

The stable outlook reflects S&P's view that the low risk of
disruption on export volumes from the COVID-19 pandemic and
significantly lower capex in FY2022 should support cash flows.

Kernel Holding S.A. posted stronger-than-expected results for the
financial year ending June 30, 2020 (FY2020), with positive free
operating cash flow (FOCF) and adjusted leverage of about 3.0x,
thanks to a rebound in sunflower oil prices and increased grain
export capacity.

S&P said, "We forecast weaker credit metrics in FY2021, with
negative FOCF of up to $45 million-$55 million and adjusted
leverage metrics of around 3.4x-3.6x, as the company completes its
multi-year capital investment program; metrics we view as
supportive of a higher rating.

"We view positively that the group is launching new senior
unsecured notes to refinance notes due in January 2022, thus
improving its debt maturity profile. Kernel passes successfully our
sovereign stress test, which allows us to rate it one notch above
the foreign currency sovereign credit rating on Ukraine ('B').

"We anticipate the recent improvement in credit metrics to be
maintained, with limited effects from the COVID-19 pandemic.  A
rebound in sunflower oil prices, particularly toward the end of the
year, and higher grain exports from Ukraine following the
operational launch of a new transgrain terminal, contributed to
FY2020 being significantly better-than-expected for Kernel. Black
Sea sunflower oil prices, on a free-on-bard basis, exceeded $700
per ton, while the group also crushed a record amount of seeds
(3.44 million tons, up 8.6% year-on-year). These factors, alongside
a delay in the completion of the expansionary capex program,
resulted in Kernel posting strong positive FOCF of about $65
million and adjusted debt leverage of about 3.0x. These compare
with our base case of negative FOCF of about $80 million-$90
million and adjusted debt to EBITDA of around 3.7x. The lower
adjusted leverage was supported by a marked improvement in
profitability, with adjusted margins of about 11.4% (on an adjusted
basis, 9.8% in FY2019). Avere Commodities S.A., the group's
majority owned trading platform, also contributed very strongly
this year. FOCF generation was further supported by stronger global
grain prices, which boosted the group's working capital, thanks to
upward revaluation of biological assets.

"We anticipate ongoing capacity investments to continue to bolster
revenue growth of up to 6%-8% in FY2021-FY2022. We forecast that
margins will moderate, however, in FY2021 to below 10%, primarily
reflecting the likely lower harvest, following less favorable
weather conditions in the summer in central and eastern Ukraine;
lower yields; and higher grain trading needs. Credit metrics could
also exhibit volatility from Avere's trading operations. With total
planned capex of about $255 million-$260 million, we forecast
negative FOCF of up to $50 million-$60 million and adjusted debt to
EBITDA of about 3.4x-3.6x in FY2021. We understand that Kernel does
not expect any further supply delays, and that the company is on
course to complete its major capital investment program by the end
of FY2021.

"The COVID-19 outbreak should have a limited effect on the group's
performance, as Kernel maintained fully functioning operations
during the lockdown restriction measures implemented earlier in the
year. We also understand that to date, exports remain intact, with
steady demand across key exports markets thanks to the stability of
the wider consumer staples industry. We forecast overall credit
metrics to stabilize from FY2022, with strong positive FOCF of over
$100 million per year thanks to reduced capex needs of up to $70
million, assuming no further large growth capital investment
projects.

"In our FY2020 debt leverage calculation, we include about $300
million of reported lease obligations. We do not deduct cash
against debt, given our assessment of the group's business risk and
that no cash has been earmarked for debt repayment."

The proposed senior notes issuance will significantly prolong the
debt maturity profile.   The proceeds from the contemplated senior
unsecured notes, final amounts of which are subject to market
conditions, will be used to partially refinance Kernel's existing
$500 million notes due January 2022, through the planned launch of
a voluntary tender offer. Depending on the final acceptance, the
group intends to repay the remaining amount under the notes at
maturity with available cash balances. Following this transaction,
Kernel will enjoy a long-dated debt maturity profile, with no large
refinancing needs until October 2024 when its $300 million senior
unsecured notes are due.

S&P said, "We anticipate a capital allocation policy reset from
FY2021, but view the financial policy as supportive of the current
rating level.   We understand that no further large greenfield
projects are in the pipeline beyond FY2021." The group is adding
significant scale to its already largest industrial scale in
Ukraine through a new sunflower oilseed processing plant (to its
existing eight), a new and expanded transgrain terminal in the port
of Chornomorsk, and an expanded silo network. Its earnings should
also benefit from its green energy investments (selling electricity
to the national grid under a government-established scheme with
higher fixed feed-in tariffs than the market average), and complete
self-sufficiency in terms of the transportation network, boasting
the largest private railcar fleet in the country.

In addition, Ukraine's recently approved (March 31, 2020) land
reform bill-- ending about two decades of a sales ban on privately
owned agricultural land--is not a game changer in the short to
medium term for large agricultural corporations. Even though land
ownership remains an important long-term aim for large agroholdings
in Ukraine, such as Kernel, land sales for corporations are largely
restricted until at least 2024, and uncertainty remains over the
valuation and overall sales process.

S&P therefore believes that from FY2021, Kernel will likely deploy
its internally generated cash on dividends, or potentially
acquisitions.

S&P said, "That said, we note that Kernel has not exhibited
aggressive financial policy in the past, and in terms of medium
target leverage policy, it is targeting 2.0x reported net leverage
(2.2x as of June 30, 2020), which we view as prudent and supportive
of a 'B+' rating. The company also has to comply with financial
maintenance covenants under its secured bank debt.

"Kernel successfully passes our sovereign stress test, but the
rating is constrained by the geographical asset concentration.  
Our 'B+' rating on Kernel encompasses our view that the group
successfully passes our sovereign stress test, enabling us to rate
it one notch above the 'B' long-term sovereign foreign currency
rating on Ukraine. This is based on our analysis of the group under
our sovereign default stress test, which includes both economic
stress and potential currency devaluation.

"Kernel passes our stress test successfully because of its
export-oriented business (about 97% of total revenues),
corresponding very large share of earnings in hard-currency, and
sizable cash holdings in offshore accounts. We also note the
group's historical track record of unhindered operations and
performance, and that it did not require restructuring during the
most recent Ukrainian sovereign default in 2015. Our rating on
Kernel is capped at one notch above the foreign currency sovereign
credit rating on Ukraine, as virtually all of the group's physical
assets are located in the country, and operations can be
significantly affected by decisions beyond its control (for
example, government-imposed export restrictions).

"The stable outlook reflects our view that Kernel's operating
performance should remain resilient in the context of the ongoing
COVID-19 global pandemic, thanks to consistent demand in key
exports markets, and the non-discretionary nature of the global
consumer foods industry. Increased export capacity, despite higher
capex this year should enable the group to maintain adjusted debt
to EBITDA of below 4.0x and interest coverage of above 2.5x in the
next 12 months, as it works toward the completion of its
expansionary capex program. Our stable outlook also reflects our
view that the group should successfully refinance its upcoming
large debt maturity due January 2022.

"We would lower the ratings on Kernel if we took the same action on
Ukraine. Although the group has passed our stress test on a foreign
currency sovereign default, the long-term issuer credit rating on
the group is capped at one notch above the foreign currency
sovereign credit rating on Ukraine.

"We could also lower the rating on Kernel if, all else being equal,
on a stand-alone basis we observe marked deterioration in its
operating performance, such that adjusted debt to EBITDA exceeded
4.0x and EBITDA interest coverage fell close to 2.0x, with no
prospects for rapid improvement. This could occur if we observe
sharp and prolonged deterioration in global grain prices, if demand
across export markets fell markedly, or if the Ukrainian
authorities introduced export restrictions on key crops. We could
also lower the ratings on the group if it was unable to refinance
its large debt maturity due January 2022 in a timely fashion."

S&P could upgrade Kernel under the following two conditions:

-- S&P raised its foreign currency sovereign credit rating on
Ukraine; and

-- On a stand-alone basis, the group stabilized its profitability
with adjusted debt to EBITDA below 4.0x, track-record of positive
FOCF, and EBITDA interest coverage of above 3.0x.

The improvement on a stand-alone basis would most likely occur
under benign global grain price conditions, absent further large
growth investment projects and lower volatility in profitability
stemming from its enlarged asset base, supported by cost savings of
vertical integration and value accretive green energy investments.


WILLIAM HILL: Moody's Places Ba3 CFR on Review for Downgrade
------------------------------------------------------------
Moody's Investors Service placed William Hill plc's ratings on
review for downgrade, including the Ba3 corporate family rating
(CFR), Ba3-PD probability of default rating (PDR), as well as the
Ba3 rating assigned to the company's senior unsecured GBP350
million senior unsecured notes due 2026 and the GBP350 million
senior unsecured notes due 2023. The outlook has changed to ratings
under review from negative.

The placing of the ratings on review follows the announcement on
September 30, 2020 that William Hill and Caesars Entertainment,
Inc. (Caesars, B2 negative) have reached agreement on the terms of
a recommended GBP2.9 billion offer for the share capital of William
Hill. Caesars and William Hill currently operate a U.S. joint
venture with 20% and 80% ownership respectively, whereby William
Hill runs online and retail sports betting operations through
Caesars' and other properties in various states. The acquisition is
to be affected by means of a scheme of arrangement under Part 26 of
the UK Companies Act, which would require approval of at least 75%
of William Hill's shareholders. Expected to close in the second
half of 2021, the transaction is also subject to the approval of
various gaming regulators and anti-trust bodies.

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

The action was prompted by the expected deterioration in William
Hill's financial metrics as a result of Caesars' announcement.
Caesars' existing leverage (not expected to change materially
following this transaction) of around 7.5x (pro forma for the
Eldoraro/Caesars merger), is significantly higher than William
Hill's standalone leverage of 3.8x for LTM June 2020 (both on a
Moody's-adjusted basis). Additionally, interest coverage and
RCF/Debt would weaken. These negatives are partly counterbalanced
by the expected improvement in William Hill's business profile
because of the increased size and diversification into new
geographies, however Caesars plan is to focus on the existing joint
venture and divest the non-US segments of William Hill.

While the terms of the proposed transaction and details around
financing structure were not disclosed in the announcement,
Caesars' prospectus supplement dated September 28, 2020 indicates
the proposed financing of $5.46 billion including repayment of
William Hill's existing debt and transaction fees will consist of
(1) $1.712 billion share offering; (2) $1.278 billion cash on hand,
and; (3) a new $2 billion debt financing secured on William Hill's
non-US assets, expected to be reduced by William Hill cash on
balance sheet, up to GBP569.7 million available as of June 30,
2020. This would represent a significant increase in William Hill's
standalone debt from approximately GBP905 million as of June 30,
2020. The company's (Moody's-adjusted) gross debt/EBITDA thus
stands to rise meaningfully to a range of 4x-6x, depending on the
level of cash used to repay the new $2 billion loan, from current
expectations of around 3.2x to 4.5x in Moody's forward view.

The review process will be focusing on pro forma capital structure,
liquidity profile, expected use of free cash flow, and future
operating strategy and financial policy, following closing of the
transaction.

William Hill's existing Ba3 CFR benefits from the company's (1)
relatively strong positions in the UK retail betting industry; (2)
significant opportunity for online growth in Europe through MRG and
in North America as the number of US states to legalize sports
betting grows; (3) strong brand name and the retail segment's high
barriers to entry.

The Ba3 rating is constrained by (1) the elevated leverage of
expected for 2020 and into H1 2021 due to EBITDA decrease and
liquidity boost because of the coronavirus pandemic. Moody's
expects leverage to reduce below 4x as debt is repaid and EBITDA
improves; (2) its limited geographic diversity, with the UK
contributing 76% of net revenue in 2019, although this is reducing
with the US expansion, and European expansion through Mr. Green &
Co A.B. (MRG); (3) its mature land-based retail business which has
reduced by around 30% and weakened its competitive position; (4)
the volatility of sports results, and; (5) the ongoing risk of
adverse regulatory change and tax increases, particularly in the
UK.

LIQUIDITY

Moody's considers the company's liquidity profile as good for its
near-term needs. Unrestricted liquidity is around GBP570 million as
of June 30, 2020, including its partly drawn GBP425 million RCFs.
The covenants have been waived for 2020 and relaxed with
comfortable headroom for 2021. Moody's expects that liquidity will
also be supported by a c. GBP200 million VAT rebate from HMRC in Q3
2020. There are no material debt maturities before 2023.

Before the ratings were placed on review, Moody's had stated that:

The ratings are unlikely to be upgraded in the short term, but the
rating could be stabilized if the coronavirus outbreak is brought
under control, and licensed betting offices reopen without
restrictions and sporting events return to normal conditions.

Upward pressure on the ratings could occur if the company continues
to diversify and increase its revenues outside the UK, and if (1)
Moody's adjusted debt to EBITDA ratio is maintained sustainably
below 3.5x; (2) Moody's adjusted retained cash flow to debt stays
well above 10%, and; (3) the company generates consistent
meaningful free cash flow.

Downward pressure on the ratings could occur if (1) Moody's
adjusted debt to EBITDA increases sustainably above 4.5x; (2)
Moody's adjusted retained cash flow to debt declines sustainably
towards 5%, or; (3) if the company faces a deterioration in its
liquidity risk profile.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Gaming Industry
published in December 2017.

CORPORATE PROFILE

Established in 1934, William Hill plc is a leading sports betting
and gaming company that operates predominantly in the UK, a market
that provided approximately 76% of the company's net revenues in
fiscal year 2019.




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

BBD PARENTCO: Fitch Alters Outlook on 'B-' IDR to Stable
--------------------------------------------------------
Fitch Ratings has affirmed BBD Parentco Limited's Issuer Default
Rating (IDR) at 'B-' and revised the Outlook to Stable from
Negative. The Outlook revision reflects the BBD group's improved
liquidity position, including resumption of positive free cash flow
(FCF) and fully available revolving credit facilities to help
manage any further periods of disruption. It also reflects the
improvement in the group's earnings outlook since the last update
in April 2020 following the reopening of core business operations
and a successful transition to online-only auctions.

The 'B-' IDR reflects the group's high debt relative to earnings,
with FFO gross leverage projected to remain above 8.0x until at
least financial year ending March 2022 (FY22). Furthermore,
execution risk remains high during the pandemic, as operational
shutdowns can derail the group's deleveraging prospects and affect
liquidity due to the group's high fixed cost base.

Nonetheless, Fitch views the business model as sustainable with
market-leading positions as an integrated auto-service provider in
the UK and Europe. Operating company BCA's central position in the
used-car value chain provides multiple sources of fee income with
limited price risk and strong underlying FCF generation.

KEY RATING DRIVERS

Improved Trading: The group was able to recoup some of the earnings
lost in April and May following a post-lockdown boost in the summer
months, as second-hand vehicle transactions picked up driven by
pent-up demand and improving consumer sentiment. Earnings
generation was up in July and August, over 50% above the same
period the year before. Cash flow generation was higher than
expected during this period and has resulted in improved liquidity
supporting the Stable Outlook.

Leverage Spike: Fitch expects a decline in earnings of 25%-30% in
FY21 despite the better-than-expected financial performance in July
and August, and therefore anticipate FFO gross leverage to spike at
above 10x. Fitch also expects a protracted deleveraging, with
leverage remaining above the negative rating sensitivity of 8x
until at least FY22. Fitch expects a rebound in financial
performance in FY22 and FCF to be positive. Some pent-up demand is
likely if customers defer their purchases from FY21 but this may be
counterbalanced by weaker consumer demand and spending following
the pandemic.

Strong Market Position: BCA's market leading positions (around 2.5x
larger than its nearest competitor), density of auction networks
across the UK, large land requirements and in-house logistics
capabilities are strong competitive advantages against new
entrants.

BCA's integrated business model means the company benefits from
fees across the automotive value chain, generating diversified
revenue streams from preparation, logistics, vehicle-buying (WeBuy
Any Car) and financing of vehicles on top of the core fees
generated from operating car auctions. This positions BCA at the
centre of the used-car market and supports its stable cash flows,
while providing a large pool of vehicle data that informs BCA's
valuation models.

Shift to Online Auctions: BCA's swift transition to online auctions
during the lockdown period highlights the resilience of its
business model. Fitch expects the shift to online auctions to
remain following the pandemic, and Fitch anticipates limited impact
on underlying profitability margins as lower rental costs for
auction sites are counterbalanced by higher logistics costs.

Growing Used-Car Market: Fitch expects the automotive market in the
UK and Europe to remain solid despite the current interruption,
with expected growth in the total number of vehicles in the market
of around 1.5% a year in the medium term. Volatility is typically
lower in used-car sales than for new car sales (e.g. over
2008-2009, used-car sales fell only 6%, compared to a new car sales
fall of 19%).

Fitch believes BCA is well positioned to benefit as consumers
typically "trade down" from purchases of new to used cars during
the post-lockdown recessionary period. This was illustrated by BCA
increasing its volumes and EBITDA during the last downturn in
2008-2009. Platforms such as WeBuy Any Car are successful in
commoditising the used-car market for all participants.

DERIVATION SUMMARY

BCA benefits from a robust business model with a market-leading
position in the UK and focus on Europe. BCA is larger and
better-integrated across the value chain than peers in the
automotive service industry, which allows for diversified sources
of income and a more resilient financial profile. Its integration
of vehicle-buying, partner-finance and logistics services is unique
among direct peers and results in strong cash flow generation and
positive FCF.

The key rating constraint for BCA is its high gross leverage, which
Fitch expects to be above 8.0x until at least FY22. BCA's leverage
relates to a 'ccc+' financial structure factor rating according to
Fitch's generic navigator. Leverage is higher than 'B' category
business services peers such as Irel Bidco S.a.r.l. (B+/Stable),
which typically have a leverage of 5.0x to 6.5x.

KEY ASSUMPTIONS

  - Sales decline of 10% for the financial year ending March 2021
followed by a recovery to pre-pandemic levels by FY22 and 5%-7%
annual sales growth thereafter

  - EBITDA margins stable at 5.0%-5.5% over FY22-24

  - Neutral impact of movements in working capital

  - Capex intensity of around 1.3% of sales

  - Bolt-on M&A expenditure of around GBP15 million a year

  - No shareholder distributions

KEY RECOVERY ASSUMPTIONS

  - Its recovery analysis assumes BCA would be restructured as a
going concern rather than be liquidated in an event of default.

  - BCA's post-reorganisation, going-concern EBITDA reflects
Fitch's view of a sustainable EBITDA of GBP146 million. In such a
scenario, the stress on EBITDA would most likely result from loss
of market share or severe competitive pressure.

  - A distressed enterprise value (EV)/EBITDA multiple of 5.5x has
been applied to calculate a going-concern EV; this multiple
reflects BCA's leading market positions and logistics capabilities,
strong cash generation, and trusted brand.

  - The partner-finance facility ranks super senior in the recovery
analysis; it is assumed drawn down at its average level of
utilisation, of roughly GBP125 million.

Its calculations using the distressed EV result in a 'RR4'
assumption on Fitch's recovery scale, leading to an instrument
rating of 'B-', in line with the IDR.

RATING SENSITIVITIES

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

  -  FFO gross leverage sustainably below 8.0x

  - EBITDA margin above 5.5%

  - Positive FCF generation

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

  - FFO gross leverage remaining above 9.5x

  - Extension of pandemic-related closures leading to increasing
liquidity risk

  - Sustained free cash outflow

LIQUIDITY AND DEBT STRUCTURE

The group's liquidity position has stabilised following the
reopening of core business operations in June and since then,
positive FCF generation has added to the group's cash buffer. Fitch
considers total liquidity, of around GBP137 million, as of
end-August, plus a fully available revolving credit facility (RCF)
of GBP155 million as satisfactory to cover the group's internal
capital expenditure and group's working-capital requirements.

The debt structure is long-dated with the main debt maturities in
2026-2027. The partner financing facility, which extends credit to
car dealers for purchases of vehicles, is fully secured against the
value of the vehicles sold and personal guarantees obtained from
the owners of dealerships.

SUMMARY OF FINANCIAL ADJUSTMENTS

  - Operating leases capitalised at a multiple of 8.0x as the
company is based in the UK

  - Partner-finance facility treated as super senior debt

  - Preference shares sit outside the restricted group; assigned
equity-like credit

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


CAPRI ACQUISITIONS: Moody's Withdraws B3 CFR & B3-PD PDR
--------------------------------------------------------
Moody's Investors Service withdrawn the ratings of Capri
Acquisitions BidCo Limited including the B3 corporate family rating
and B3-PD probability of default rating. Concurrently Moody's has
withdrawn the instrument ratings of the debt issued by CPA.

RATINGS RATIONALE

Moody's has withdrawn the ratings and outlook of CPA as obligations
are no longer outstanding. CPA's rated debt was repaid on October
1, 2020, following the completion of the acquisition by Clarivate
Plc. At the time of the withdrawal the outlook was stable.

LIST OF AFFECTED RATINGS

Withdrawals:

Issuer: Capri Acquisitions BidCo Limited

LT Corporate Family Rating, Withdrawn, previously rated B3

Probability of Default Rating, Withdrawn, previously rated B3-PD

Senior Secured Bank Credit Facility, Withdrawn, previously rated
B2

Outlook Actions:

Issuer: Capri Acquisitions BidCo Limited

Outlook, Changed to Rating Withdrawn from Stable


CINEWORLD GROUP: Fitch Cuts LT IDR & Senior Secured Rating to CCC-
------------------------------------------------------------------
Fitch Ratings has downgraded Cineworld Group plc's (Cineworld)
Long-Term Issuer Default Rating (IDR) to 'CCC-' from 'B-' and
senior secured debt issued by its wholly owned subsidiary Crown
Finance US Inc. to 'CCC' from 'B'.

The downgrade reflects the temporary suspension of operations in
the US and UK, fast-depleting liquidity, and the continued,
significant uncertainty on the pace of recovery as a result of the
coronavirus pandemic. Lower-than-expected cinema attendance across
Cineworld's operating footprint is driving a longer and deeper
period of cash burn than Fitch originally anticipated. Its
base-case forecasts indicate that, the company's current liquidity
levels may only be sufficient until November to December 2020,
assuming no revolving credit facility (RCF) extensions.

The pace of Cineworld's recovery is highly dependent on cinema
attendance and new film releases. Both factors are not in
Cineworld's control and they remain susceptible to the current
increase coronavirus cases and the instigation of further lockdown
measures. Cineworld's scale and cash- generative business model is
supportive of a rapid recovery if sufficient cinema attendance
levels were to return. However, they now face insufficient
liquidity in the short term.

KEY RATING DRIVERS

US and UK Operations Closed: Cineworld announced that it will be
suspending operations at all its 536 Regal theatres in the US and
its 127 Cineworld and Picturehouse theatres in the UK from October
8, 2020. The suspension follows further delays in the release of
key movies that were scheduled in 4Q20.

Higher-than-Expected Cash Burn: Cineworld's 1H20 results reported a
cash balance of USD286 million with USD111 million of its USD573
million revolving credit facility (RCF) undrawn. The total level of
available liquidity of USD397 million at end-1H20 was about USD100
million lower than its base-case expectations. This was due
primarily to lower attendance levels and higher capex. The company
also indicated that its extension of RCF of USD110 million in May
2020 will end in December 2020.

Significant Attendance Uncertainty Remains: The resurgence of
coronavirus cases in the last months and the possibility of renewed
social-distancing and stronger government measures across
Cineworld's operating markets in the US, Europe and Israel create
significant uncertainty on attendance levels and reopening schedule
in the US and UK. While the pipeline of movie releases in 2021 is
encouraging, there is no clear visibility in the next six to nine
months on how health concerns will continue to affect the
business.

Approaching Short-Term Liquidity Crisis: Cineworld has announced
that it is assessing several sources of additional liquidity and
that all liquidity-raising options are being considered. Its
base-case forecasts indicate that Cineworld's current liquidity
levels are likely to be sufficient until November to December 2020,
after which new sources of liquidity are likely to be required.

Proceeds from CARES Act: Cineworld expects to receive USD200
million from Coronavirus Aid, Relief, and Economic Security Act in
2Q21. The probability of receiving these proceeds is high in its
opinion given the tax payments of the company's US operations in
the past. The receipt of these proceeds will make sizable positive
impact to the company's liquidity. However, the timing does not
help the company's shorter-term liquidity needs.

Covenant Breach Likely: Cineworld has indicated that it is in
discussion for covenant waivers for the December 2020 and June 2021
testing periods. Cineworld's RCF is subject to a 9x net
debt-to-EBITDA covenant, which is triggered at above 35%
utilisation, and the company's USD3.6 billion term loans also have
cross default provisions in respect of the covenant.

Capacity to Rapidly Recover: Cinema attendance levels in markets
such as China and Hungry indicate that once health concerns recede,
customer attendance can rapidly return to pre-pandemic levels.
Cineworld has one of the largest cinema portfolios in the world and
has a strongly cash-generative business model. This provides it
with the ability to start reducing debt within 12 months of
returning to normality. However, this is dependent on film releases
and attendance returning to normal levels. Its portfolio scale and
leading operational execution capability are also likely to be key
in obtaining continued support from landlords, film studios and
lenders.

Long-term Sectorial Shifts: The increased use and penetration of
subscription video on demand (SVOD) services such as Netflix and
the launch of similar platforms by other major movie studios create
uncertainty on long-term attendance patterns and the duration of
the 'theatrical window' that benefits cinema operators. This is the
time between when the movie is released in cinemas and on other
platforms. These trends could be offset by the symbiotic
relationship between cinema operators and the film studios, the
segmented nature of the customer base and the potential for higher
retained ticket revenues or other forms of revenue share if the
theatrical window narrows.

DERIVATION SUMMARY

The ratings of Cineworld reflect its strong position in its core
markets, its large scale and cash-generative business model.
Potential financial volatility within the sector from the
dependency on the success of film releases, changing secular trends
and exposure to discretionary consumer spend drive more
conservative leverage thresholds for the rating.

Cineworld has greater scale, diversification, and lower
emerging-market exposure than its peer Cinemark Holdings Inc.
(B+/Negative). Cineworld's lower rating primarily reflects higher
leverage and a weak liquidity position. The rating, when adjusted
for lower leverage and weak liquidity, is broadly in line with
other discretionary spending and consumer media peers in Fitch's
credit opinion portfolio, as well as publicly rated peers such as
Pinnacle Bidco plc (Pure Gym; B-/Negative).

KEY ASSUMPTIONS

Fitch's Key Assumptions within its Rating Case for Cineworld

Revenues of around USD880 million in 2020.

Fitch-defined IFRS 16 EBITDA of -USD670 million in 2020.

Proceeds from CARES act of USD200 million in 2Q21.

Capex of around USD266 million in 2020 and around USD100 million in
2021. This excludes any subsidies from landlords for
refurbishment.

Cash dividend of USD51 million in 2020 and no dividend payments in
2021.

No significant litigation liabilities as a result of the terminated
Cineplex transaction.

KEY RECOVERY RATING ASSUMPTIONS

Its expectation of recoveries of Cineworld's secured debt is 55%
/'RR3'.

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

The analysis assumes a post-restructuring EBITDA of around USD570
million, assuming normalised post-crisis operating conditions,
which is 34% lower than 2019 Fitch-adjusted EBITDA. This equates to
approximately 30% lower attendance levels, 10% lower average
revenue per customer and a 1pp improvement in margin as a result of
cost optimisation in the event of stress and potential gross margin
improvement that may occur with a narrowed theatrical window.

For its recovery analysis, Fitch applies a post-restructuring
enterprise value (EV)-to-EBITDA multiple of 5.0x.

Fitch calculates a recovery value of USD2.5 billion, representing
approximately 55% of total senior secured debt.

Fitch assumes the USD573 million RCF is fully drawn.

RATING SENSITIVITIES

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

  - The rating would be upgraded to 'CCC+' on sufficient
improvement in liquidity that enables the company to meet its
financial obligations for the next six to 12 months and provides
adequate headroom to manage a scenario of prolonged low cinema
attendance; and

  - Positive monthly FCF generation on a sustained basis.

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

  - Failure to strengthen Cineworld's liquidity in the next three
months either through internal cash generation, new debt facilities
or the issuance of equity; and

  - Higher-than-anticipated declines in attendance and or per-guest
concession spending or ticket prices leading to a sharper decline
in EBITDA or contraction in pre-dividend FCF.

  - Signs that Cineworld is heading towards debt restructuring.
These include any public statements regarding the hiring of
restructuring advisors or that a failure to reach agreement with
lenders may result in alternative restructuring paths including
court intervention would lead to further downgrade to 'CC'.

LIQUIDITY AND DEBT STRUCTURE

Poor Liquidity: Cineworld reported USD285 million of unrestricted
cash and cash equivalents as well as USD111 million in undrawn RCF.
Its base case indicates this is likely to be sufficient until
November to December 2020. The maturity of USD110 million RCF at
end-December 2020 will create a liquidity crisis unless extended.
Proceeds from the CARES Act of USD200 million in 2Q20 will
significantly improve the company's liquidity but Cineworld needs
liquidity to traverse the interim period while visibility on
attendance levels remains low and liquidity headroom is
insufficient to cover a worst-case scenario.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


CINEWORLD GROUP: Lenders Call in Advisers for Talks on Debt Pile
----------------------------------------------------------------
Frank Prenesti at ShareCast reports that lenders to Cineworld Group
have called in advisers for urgent talks on the company's GBP6.2
billion debt mountain as it announced the shuttering of 663 cinemas
on both sides of the Atlantic.

According to ShareCast, Sky News, citing unnamed sources, reported
that a syndicate of banks has appointed FTI Consulting to negotiate
with the stricken multiplex operator following a pitch process last
week.

The report stated the move, which sent shares in the troubled chain
plunging by more than 50%, was likely to presage a formal debt
restructuring, ShareCast notes.

Lenders were reportedly also expected to raise the prospect of a
company voluntary arrangement, an insolvency mechanism that would
pave the way for some permanent closures, ShareCast discloses.

Cinema operators have been hit hard by the length of the
coronavirus crisis, with the delay to key film releases seen as a
tipping point for the industry's finances, ShareCast relays.

AJ Bell investment director Russ Mould said the the GBP1.6 billion
debt pile it inherited with the GBP2.3 billion 2018 purchase of
Regal was now "crushing the group", ShareCast notes.

"While no-one could have foreseen a pandemic, its duration or its
impact upon major leisure groups, Cineworld was already facing the
threat of streamed content from Netflix, Amazon and others.  As a
result of the Regal deal it doubled-down and increased its exposure
to unpredictable film release schedules that had themselves become
increasingly reliant upon a few smash-hit franchises, such as
Marvel's super-hero series and Star Wars," ShareCast quotes Mr.
Mould as saying.


CLARKS: Mulls Dozens of Permanent Store Closures Through CVA
------------------------------------------------------------
Mark Kleinman at Sky News reports that Clarks, one of Britain's
oldest shoe retailers, is preparing for dozens of permanent store
closures by deploying an insolvency mechanism that it had
previously denied was under consideration.

Sky News has learnt that a rescue deal for Clarks led by LionRock
Capital, a Hong Kong-based private equity firm, is contingent upon
the approval by creditors of a company voluntary arrangement
(CVA).

According to Sky News, sources said that a CVA could involve as
many as 50 shop closures and a switch to a turnover rent model for
which the fashion retailer New Look recently won narrow approval.

The axing of scores of stores would entail hundreds of job cuts,
although the precise figures were unclear on Oct. 6, Sky News
notes.

A private equity source confirmed that LionRock's injection of
funds into Clarks, which is likely to involve more than GBP100
million of new money, would only take place if a CVA was approved,
Sky News states.

Sky News revealed last week that LionRock was in detailed talks
with Clarks, with the company's pension trustees also in
negotiations about the deal.

The wrangling over Clarks' future comes as the COVID-19 panic
continues to wreak havoc on Britain's high streets, with numerous
businesses having collapsed or been forced into swingeing job cuts,
Sky News relays.

Clarks trades from about 345 stores in the UK, employing thousands
of people, many of whom were furloughed thousands of its store
staff under the government's Coronavirus Job Retention Scheme, Sky
News notes.

In the last year for which figures are available, Clarks reported a
post-tax loss of more than GBP80 million, Sky News discloses.


EVORA CONSTRUCTION: Enters Administration Amid Pandemic
-------------------------------------------------------
Mike Laycock at The Press reports that Evora Construction, a York
construction firm, has gone into administration, halting building
projects and leaving contractors heavily out of pocket.

The demise of Evora Construction comes less than five months after
it said it had secured new contracts worth GBP4 million despite the
pandemic, including a new GP surgery, a convenience store and a
family stand at a football club, The Press notes.

According to The Press, Evora's website states that the company's
affairs, business and property are now being managed by Robert
Sadler of Auker Rhodes Accounting Limited, who was appointed
administrator on Oct. 5 and would be contacting all known creditors
in due course.

A contractor, who did not wish to be identified, told The Press
their firm was owed more than GBP100,000 by Evora for work done on
some of its sites and they believed they would receive none of this
money.  They believed many more contractors were out of pocket and
the amount lost would run into millions, The Press states.

A worker, as cited by The Press, said he had been working on an
Evora site and was due to be paid GBP600 on Oct. 2, which he
believed would not now receive, and he said many others would be in
a similar position.


FINABLR: Prism Advance Solutions Makes Takeover Offer
-----------------------------------------------------
Muvija M in Bengaluru at Reuters reports that Finablr said on Oct.
6 technology and software solutions firm Prism Advance Solutions
has made a takeover offer for the UK-listed payments group that
includes restructuring and settlement of its debts, but gave no
further details on the bid size.

According to Reuters, the proposed deal would provide working
capital for Finablr and its subsidiaries and Prism will restructure
the company's board.  Finablr said it would negotiate a share
purchase agreement with Prism, Reuters relates.

The bid, approved by the Finablr board, comes after a tumultuous
time that saw the company warn it might have nearly US$1 billion
more in debt than what it reported before, while British tax
authorities suspended business registrations of two of its units,
Reuters notes.

Finablr's founder and Indian billionaire BR Shetty stepped down as
co-chairman in August, as some of the companies backed by him came
under severe financial strain after it emerged earlier in the year
they had undisclosed debt and alleged fraudulent transactions,
Reuters recounts.

Finablr eventually flagged in March that it was preparing for
potential insolvency, Reuters relays.


JAGUAR LAND: Fitch Rates Proposed Unsecured Notes 'B(EXP)'
----------------------------------------------------------
Fitch Ratings has assigned Jaguar Land Rover Automotive plc's (JLR)
proposed benchmark senior unsecured notes a 'B(EXP)' expected
rating. The notes will be guaranteed by Jaguar Land Rover Limited
and Jaguar Land Rover Holdings Limited and will be used for general
corporate purposes.

The assignment of the final rating is contingent on the receipt of
final documents materially conforming to the information already
reviewed.

JLR's Standalone Credit Profile (SCP) of 'b' reflects Fitch's view
that the recovery in demand in JLR's end markets due to the
COVID-19 pandemic remains uncertain. Risks regarding disruption to
operations have reduced, with all the company's plants having
resumed production and nearly all JLR's dealers now open. Free cash
flow in 1QFY21 (March to June) was better than Fitch expected at
negative GBP1.5 billion. The increasing likelihood of a no-deal
Brexit is an additional risk.

The rating also reflects Fitch's assessment of the moderate linkage
between JLR and its 100% parent Tata Motors Limited (TML;
B/Negative). JLR's Long-Term Issuer Default Rating (IDR) is aligned
with that of TML, reflecting Fitch's methodology for Parent and
Subsidiary Linkage.

KEY RATING DRIVERS

Substantially Reduced Volumes: Fitch expects JLR's volumes and
revenue to fall in financial year to March 2021, as the company's
key markets have been substantially affected by lockdowns. Annual
retail volumes in FY20 fell 12% to just under 510,000. Retail
volumes in fiscal year to date 2QFY21 were down 27% year on year
reflecting dealership closures and limited deliveries during
lockdown. At the end of 1QFY21, 98% of dealerships had reopened.
Fitch believes global auto sales will fall by around 20% in 2020 as
a result of the pandemic.

Substantially Negative Free Cash Flow: JLR's free cash flow (FCF)
in 1QFY21 was better than Fitch's expectations at negative GBP1.5
billion, compared with Fitch's previous forecast of negative GBP1.9
billion. JLR's negative working capital profile meant that GBP1.1
billion of the cash outflow was related to working capital
movements. This was caused by the sudden fall in sales, which
caused a decline in receipts, while payables remained due, offset
by sales of completed stock. As production and sales have
recovered, JLR generated positive FCF in 2QFY21.

Stabilising Liquidity: JLR's total liquidity at end-September 2020
was around GBP5 billion, including around GBP3 billion of cash and
short-term investments and a GBP1.94 billion committed revolving
credit facility (RCF). Liquidity was supported by the positive FCF
in 2QFY21 and the issuance of a three year, RMB5 billion syndicated
revolving loan facility relating to its Chinese operations which is
subject to annual review.

Operating Costs Limited: JLR took immediate action to reduce its
exposure to coronavirus, including suspending production at its
factories and furloughing staff with the support of the UK
government. Fitch believes government support to its operating
costs has reduced cash outflow. Fitch expects JLR to continue its
cost-cutting exercise to support unit margins and to limit dealer
stocks to contain working capital.

Capex Rolled Back: Fitch expects JLR's capex programme for FY21 to
be reduced to GBP2.5 billion as non-essential projects are stopped
or delayed. However, Fitch expects new product development to
continue as it believes this is crucial to ensure new models reach
the market according to current timelines. Investment will also
support the development of new facilities relating to electric
propulsion. JLR has now launched plug-in and mild hybrid versions
of most of its SUV offerings. Fitch expects capex to rise to around
GBP3 billion in FY22.

Parent-Subsidiary Linkage: JLR's 'B' IDR of is aligned with its
100% parent TML's 'B' IDR due to the moderate linkage between the
two entities. TML has a weaker credit profile than JLR, and apart
from the restricted payment covenants within the UK Export Finance
debt facility, there are no other major restrictions that would
limit TML's ability to extract cash from JLR.

Effect from ESG Factor: JLR has an ESG Relevance Score of 4 for GHG
Emissions & Air Quality. It faces stringent CO2 emissions targets,
particularly in Europe. This is expected to remain a challenge for
JLR as its product portfolio is weighted towards larger, less
fuel-efficient SUVs. In Europe, JLR is on track to meet its CO2
targets in 2020 due to the increased offering of electrified
powertrains options on all new models from 2020 and by reducing the
weight of its vehicles. However, uncertainties regarding electric
vehicle penetration and a decline in diesel sales in Europe pose a
risk to meeting emissions targets.

DERIVATION SUMMARY

JLR competes in the premium car segment with Daimler AG's Mercedes
(BBB+/Stable), BMW AG and Volkswagen AG (BBB+/Stable), notably VW's
Audi brand. JLR is much smaller than its German peers, has a more
limited product portfolio and a largely UK manufacturing base. This
limits economy of scale and leads to concentration risk. It has
been expanding its model range and has increased the
diversification of its manufacturing following the opening of a new
factory in Slovakia and contract manufacturing with Magna Steyr in
Austria.

JLR's profitability and cash flow generation is significantly lower
than that of peers such as Renault S.A. (BB+/Negative), Fiat
Chrysler Automobiles N.V. (BBB-/Stable) and Peugeot S.A.
(BBB-/Stable). Fitch expects JLR's already weak profitability and
FCF to be further weakened by negative impact from the pandemic.
JLR's leverage is also the weakest among peers and Fitch expects
funds from operations net leverage to increase to 1.6x at FYE21
before falling to 1.2x at FYE22.

KEY ASSUMPTIONS

  - Revenue to decline around 15% in FY21, driven by lower sales
volumes, before recovering in FY22 to grow by around 10%

  - EBIT margin to turn negative in FY21, before recovering to
slightly positive in FY22

  - Capex of GBP2.5 billion in FY21, increasing to GBP3.0 billion
in FY22

  - No dividend payment in FY21 and FY22

Recovery Assumptions

  - Fitch uses a going-concern approach as Fitch believes creditors
are likely to maximise their recoveries by restructuring JLR or
selling it as a going-concern as opposed to liquidation.

  - Fitch has applied a going-concern EBITDA of around GBP1.15
billion, which is Fitch's view of a sustainable,
post-reorganisation EBITDA level

  - A distressed multiple of 4x is used, which is in line with that
of other auto peers

  - Based on the principal waterfall whereby JLR's GBP163 million
fleet financing facility ranks senior to both the unsecured RCF and
unsecured bonds (which are pari passu), and after a 10% deduction
for administrative claims, its analysis generates a ranked recovery
of 'RR4' (45%), indicating a rating of 'B' for the senior unsecured
debt.

RATING SENSITIVITIES

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

  - The Outlook could be revised to Stable if JLR demonstrates
positive cash flow in 2QFY21-4QFY21

  - FCF margin positive for FY22 and beyond

  - Operating margin above 1% on a sustained basis

  - Upgrade of TML's rating or weakening of the linkage between JLR
and TML

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

  - Shutdown of operations extended as a result of further
government lockdown

  - Faster-than-expected cash outflow in the quarter to June 2020

  - Deterioration of TML's credit profile

LIQUIDITY AND DEBT STRUCTURE

Satisfactory Liquidity: At end-September 2020, JLR reported around
GBP3 billion of cash and short-term investments and committed
undrawn facilities of GBP1.94 billion maturing in 2022. Short-term
maturities at end-June 2020 consisted of GBP125 million of loan
amortisations in FY21, a GBP300 million bond maturing in January
2021, a GBP163 million fleet buyback facility maturing in December
2020 and GBP270 million of receivables financing.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

JLR has a moderate linkage to its 100% owner TML.

ESG CONSIDERATIONS

Jaguar Land Rover Automotive plc: GHG Emissions & Air Quality: 4

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


JAGUAR LAND: Moody's Rates New $500MM Unsec. Notes Due 2025 'B1'
----------------------------------------------------------------
Moody's Investors Service assigned a B1 instrument rating to Jaguar
Land Rover Automotive Plc's (JLR, company) new expected $500
million guaranteed senior unsecured notes due 2025. The proceeds
from the issuance will be used for general corporate purposes.

RATINGS RATIONALE

The new notes rank pari passu with the existing unsecured financial
indebtedness of the company, which continues to represent the vast
majority of the company's debt capital structure. The notes are
unsecured, but benefit from guarantees of the main operating
subsidiaries. Accordingly, they are rated in line with the existing
senior unsecured notes and the corporate family rating.

JLR's fiscal quarter to June 2020 was severely impacted by the
pandemic-related closures of dealerships and disruptions to
manufacturing operations. Retail and wholesale (excl. China joint
venture) volumes were down 42.4% and 53% while the company also
recorded a GBP1.5 billion cash outflow in the quarter. For the
fiscal quarter to September 2020, the company recorded a 11.9% drop
in retail volumes and ca. GBP300 million improved liquidity.
Accordingly, Moody's expects some recovery in the company's cash
flow profile from the trough in the quarter to June 2020, but
overall free cash flow for fiscal 2021 (March) to remain visibly
negative. Moody's-adjusted debt/EBITDA is also likely to remain
elevated and outside Moody's expectation of below 6.0x for the
rating level. JLR's recovery in the coming quarters will
meaningfully depend on the pace of broader market and economic
recovery in its end markets as well as any further government
measures introduced in these regions. While JLR's relative
performance and execution in this context is important, the rising
debt burden poses additional challenges to restoring a financial
profile more commensurate with the rating level. Other additional
external risk factors such as a potential "no-deal" Brexit at the
end of 2020 also remain. Accordingly, any further negative
developments could cause a downgrade.

However, operations have been recovering in recent months
including, as of 31 July 2020, 98% of global dealerships fully or
partially open and the resumption of manufacturing activity across
all its sites. In addition, Land Rover Defender sales are ramping
up and the company is expanding the number of models with hybrid
powertrains. The company currently expects volume, revenue, and
profit to increase in the second fiscal quarter (to September). The
company also expects positive free cash flow over the remaining
quarters of fiscal 2021 alongside a reduction in net debt. While
risks remain high, Moody's believes that a degree of market
recovery, ongoing model launches including refreshes and the
company's extended transformation programme will provide potential
for the company to achieve metrics commensurate with the B1 rating
by fiscal 2022.

Moody's continues to view JLR's liquidity as adequate. As of
September 2020, the company had an estimated GBP5.0 billion of
liquidity including around GBP3.0 billion in cash and short-term
deposits. The new notes will add to this liquidity while the
company has limited debt maturities in calendar year 2020 and 2021
(the next being a GBP300 million bond maturing in January 2021).
Moody's expects some recovery in the company's cash flow profile
from the trough in the quarter to June 2020, but overall free cash
flow for fiscal 2021 to remain visibly negative.

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

Positive pressure could arise should JLR be able to (1) reduce
leverage (Debt/EBITDA) to below 5.0x; (2) improve Moody's-adjusted
EBITA margin to sustainably above 2% and (3) materially reduce
negative free cash flow towards a sustained positive free cash flow
profile. Conversely, JLR's ratings could be under further negative
pressure in case of (1) failure to demonstrate material
improvements in profitability in the next 12 to 24 months; (2)
Moody's-adjusted debt/EBITDA to consistently exceed 6.0x; or (3) a
deterioration in JLR's liquidity position as a result of continued
high negative free cash flows.

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was Automobile
Manufacturer Industry published in June 2017.

JLR is a UK manufacturer of premium passenger cars and all-terrain
vehicles under the Jaguar and Land Rover brands. JLR operates six
sites in the UK, one in Slovakia and has a joint venture (JV) in
China. The company generated 42% of fiscal 2020-unit (retail) sales
in Europe (of which 21% in the UK), 25% in North America, 18% in
China (including JV) and 15% in other overseas markets, resulting
in total revenue of GBP23 billion for fiscal 2020.


JAGUAR LAND: S&P Rates New Unsecured Notes 'B'
----------------------------------------------
S&P Global Ratings said it assigned its 'B' issue rating and '3'
recovery rating to the proposed benchmark sized senior unsecured
notes to be issued by Jaguar Land Rover Automotive PLC (JLR;
B/Negative/--). S&P expects JLR to use the proceeds to bolster
liquidity.

As the COVID-19 pandemic exacerbates economic instability,
liquidity has become critical for all companies affected. However,
due to multiple positive actions taken through fiscal 2020 to
bolster its liquidity position, JLR is in a good position to
weather short-term uncertainty. These actions include EUR1 billion
of new bonds issued in November and December 2019, GBP625 million
of UK Export Finance funding signed in October 2019, and a GBP100
million fleet buyback facility agreed in November 2019. The company
then repaid a $500 million bond due November 2019 and its $500
million bond due March 2020 from cash on the balance sheet. In the
fiscal quarter ended June 30, 2020, JLR secured and drew down on a
GBP567 million, three-year revolving credit facility (RCF) in
China, and GBP80 million of new additional working capital funding.
Management continues to actively seek further new sources of
funding. S&P views this proposed benchmark issuance as aligning
with JLR's funding strategy for fiscal 2021 (year ended March 31,
2021), as the group's management previously informed the market.

As of Sept. 30, 2020, JLR had about GBP5 billion of liquidity,
including about GBP3 billion of cash and short-term investments,
and a GBP1.94 billion undrawn committed RCF, less about GBP300
million that S&P considers restricted. The group has a very
well-spread-out debt maturity profile, with GBP226 million maturing
this calendar year and GBP425 million the next.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The current consensus
among health experts is that COVID-19 will remain a threat until a
vaccine or effective treatment becomes widely available, which
could be around mid-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."

Issue Ratings--Recovery Analysis

Key analytical factors

-- S&P's issue rating on JLR's existing senior unsecured notes and
its proposed benchmark senior unsecured notes is 'B'.

-- The '3' recovery rating reflects S&P's expectation of
meaningful recovery (50%-70%; rounded estimate: 65%) in the event
of a default.

-- Although nominal recovery prospects might exceed 70%, S&P caps
the recovery rating at '3' due to the debt's unsecured nature and
the potential for JLR to increase debt that could rank above the
unsecured notes--for example, the $700 million receivables
securitization facility (we consider this facility a priority
liability ranking ahead of the unsecured notes in a default).

-- S&P's default scenario assumes a deterioration in operating
performance amid competitive market conditions, shifting consumer
preferences, and delays in the introduction of new models, among
other factors.

  -- S&P thinks this would lead to a steady decline in revenue,
deteriorating profitability, weaker cash flow, and weaker
liquidity.

-- S&P values the company as a going concern, given its notable
market positions and strong brand name.

Simulated default assumptions

-- Year of default: 2022 (first half)
-- Jurisdiction: U.K.

Simplified waterfall

-- Emergence EBITDA: GBP1.35 billion
   
    --Maintenance capex: 3% of revenue, in line with similar large
auto original equipment manufacturers

    --Cyclical adjustment of 15% (standard for the sector)
Multiple: 5.5x

-- Gross recovery value: GBP7.4 billion, after adjusting for
priority pension claims

-- Net recovery value for waterfall after administration expenses
(5%): GBP7.0 billion

-- Prior-ranking liabilities: GBP715 million

-- Recovery value available for secured debt holders: GBP6.3
billion

-- Senior secured claims: None

-- Recovery value available for unsecured debt holders: GBP6.3
billion

-- Unsecured claims: GBP8.15 billion

    --Recovery range: 50%-70% (rounded estimate: 65%; recovery
rating capped at '3')

All debt amounts include six months of prepetition interest. S&P
assumes the RCF will be 85% drawn at default.


RICHMOND PARK: Fitch Affirms 'B-sf' Rating on Class F-RR Debt
-------------------------------------------------------------
Fitch Ratings has affirmed Richmond Park CLO Designated Activity
Company, and removed the sub-investment-grade tranches from Rating
Watch Negative (RWN).

RATING ACTIONS

Richmond Park CLO DAC

Class A-RR XS1849529398; LT AAAsf Affirmed; previously AAAsf

Class B-1-RR XS1849530057; LT AAsf Affirmed; previously AAsf

Class B-2-RR XS1849530644; LT AAsf Affirmed; previously AAsf

Class B-3-RR XS1854604441; LT AAsf Affirmed; previously AAsf

Class C-1-RR XS1849531378; LT Asf Affirmed; previously Asf

Class C-2-RR XS1854605760; LT Asf Affirmed; previously Asf

Class D-RR XS1853034624; LT BBBsf Affirmed; previously BBBsf

Class E-RR XS1849531618; LT BBsf Affirmed; previously BBsf

Class F-RR XS1849531709; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Richmond Park CLO Designated Activity Company is a securitisation
of mainly senior secured loans (at least 90%) with a component of
senior unsecured, mezzanine and second-lien loans. The portfolio is
managed by Blackstone/GSO Debt Funds Management Europe Limited. The
reinvestment period ends in July 2021.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The rating actions are a result of a sensitivity analysis Fitch ran
considering the coronavirus pandemic. For the sensitivity analysis,
Fitch notched down the ratings for all assets with corporate
issuers on Negative Outlook regardless of sector. Under this
scenario, the class E-RR and class F-RR notes show a small
cushion.

Fitch believes that the portfolio's negative rating migration is
likely to slow down, making a category-rating downgrade on the
class E-RR and F-RR notes less likely in the short term. As a
result, both tranches have been affirmed and removed from RWN. The
Negative Outlook on the class E-RR and F-RR notes reflects the risk
of credit deterioration over the longer term, due to the economic
fallout from the pandemic. The Stable Outlooks on the remaining
tranches reflect the resilience of their ratings under the
coronavirus baseline sensitivity analysis.

Portfolio Performance Stabilises

As of the latest investor report dated September 10, 2020, the
transaction was 0.63% below par and all portfolio profile tests,
coverage tests and collateral quality tests were passing, except
for the Fitch weighted average rating factor (WARF) and 'CCC'
portfolio profile test. As of the same report, the transaction had
one defaulted asset with an exposure of around EUR1 million.
Exposure to assets with a Fitch-derived rating (FDR) of 'CCC+' and
below was 8.29%. Assets with a FDR on Negative Outlook made up
17.56% of the portfolio balance.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors in the
'B'/'B-' category. The Fitch WARF of the current portfolio is 34.29
(assuming unrated assets are 'CCC') - above the maximum covenant of
33.5, and the trustee-reported Fitch WARF was 34.21. After applying
the coronavirus stress, the Fitch WARF would increase by 2.56.

High Recovery Expectations

Senior secured obligations comprise 98.46% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries, and
industries. The top 10 obligors represent 12.39% of the portfolio
balance with no obligor accounting for more than 1.47%. Around 42%
of the portfolio consists of semi-annual obligations but a
frequency switch has not occurred due to the transaction's high
interest coverage ratios.

Cash Flow Analysis

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

RATING SENSITIVITIES

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

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

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

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

Coronavirus Downside Sensitivity

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


SIG PLC: Egan-Jones Cuts Senior Unsecured Ratings to B+
-------------------------------------------------------
Egan-Jones Ratings Company, on September 29, 2020, downgraded the
foreign currency and local currency senior unsecured ratings on
debt issued by SIG plc to B+ from BB-.

Headquartered in Sheffield, United Kingdom, SIG plc distributes
specialty building products.


TORO PRIVATE I: Fitch Raises LongTerm Issuer Default Rating to CCC+
-------------------------------------------------------------------
Fitch Ratings has downgraded Toro Private Holding I, Ltd's
(Travelport) Long-Term Issuer Default Rating (IDR) to 'RD'
(Restricted Default) from 'C', subsequently upgraded it to 'CCC+'
based on the successful completion of its recent debt exchange,
business prospects and new capital structure.

Fitch has also assigned Travelport's new priority first-lien loans
a senior secured rating of 'B+', and upgraded existing first-lien
loans to 'CCC-' from 'C', resolving the Rating Watch Positive. Upon
completion of the transaction, the second-lien notes have been
terminated and their rating, 'C'/'RR6' were withdrawn.

The completion of the transaction represents a restricted default
under Fitch's Distressed Debt Exchange (DDE) criteria.

Once travel resumes, Fitch expects revenues and operating margins
to recover, but forecasts leverage to remain elevated at around
10.0x until at least 2022 under the new capital structure.
Uncertainty on the pace and scale of the recovery trajectory, high
leverage, minimal liquidity headroom and weak free cash flow (FCF)
are commensurate with a 'CCC+' rating.

The 'B+' rating of the new priority first-lien loans, three-notches
above the IDR, reflects the new lien's structural features such as
their priority and small size, which in a hypothetical event of
default, would provide outstanding recoveries (RR1) under its
recovery analysis. The 'CCC-' rating of the remaining first-lien
loans, two-notches below the IDR, is indicative of the structural
subordination to the new priority lien, reducing recovery prospects
under its analysis to poor (RR6) from average (RR4).

The ratings were withdrawn following debt restructuring.

KEY RATING DRIVERS

Transaction Constitutes DDE: Fitch views the recent debt exchange
transaction as a DDE, given elements of conditionality to enter
transaction were outweighed by the combination of a stressed credit
profile, material reduction in terms and above-market compensation
for the new priority creditor class. In line with its DDE Criteria,
on completion of the transaction Fitch has downgraded the IDR to
'RD' from 'C', and concurrently upgraded the IDR to 'CCC+' based on
the business prospects and capital structure.

Lender Dispute Resolved: The transaction resolves the litigation
between Travelport and the administrator for the lenders. As part
of the exchange, both parties released in full all claims and the
intellectual property which was transferred by the company to
unrestricted subsidiaries has become part of the overall collateral
that serves the new capital structure.

Leverage to Remain Elevated: Fitch estimates that EBITDA is
unlikely to recover towards 2019 levels for several years due to
expectations of lower global travel volumes, despite permanent cost
reductions made by management since the start of the pandemic. The
revised financing documentation makes the use of proceeds from the
potential eNett disposal much clearer, with most cash proceeds for
pre-paying the priority first-lien. Material uncertainties remain
over the disposal of eNett, and Fitch believes that pre-payment of
debt from proceeds would not be sufficient for a positive rating
action in isolation. However, it would be supportive of
Travelport's financial profile in tandem with a swift recovery in
global air travel.

Minimal Liquidity Headroom: Available liquidity to Travelport has
not increased under the transaction so therefore, its "minimal
headroom" assessment of liquidity remains. The previously fully
drawn revolving credit facility (RCF) has been termed out into
loans under the new capital structure. It is the company's
intention to operate without an RCF or other established liquidity
lines, leading Fitch to believe that a sustained weakening in
trading is likely to quickly exhaust current liquidity headroom
primarily, due to the high interest burden. This is despite the
debt-exchange slightly lowering the burden via PIK features for the
priority first-lien and lower amortisation on the remaining
first-lien.

Severe Impact from Coronavirus: Travelport's business is severely
impacted by the disruption to global travel caused by the pandemic.
The depth and duration of the outbreak and corresponding disruption
to booking volumes weigh heavily on the near-term operating
outlook. Nevertheless, the decline in Travelport's booking revenues
during 1H20 has been broadly commensurate with direct peers',
Amadeus, and Sabre, with no current indications of Travelport
losing market share. It relies on a speedy recovery in global
travel given its increasingly leveraged balance sheet with debt
service obligations constituting about half of Fitch-defined EBITDA
for 2019. The transaction would not materially reduce this debt
burden.

Intact Business Model: The sector outlook is negative given the
disruption to global travel in 2020, which may be accentuated if
the current circumstances result in sustained economic weakness in
2021. Nevertheless, Fitch views Travelport's business model as
intact given the company's entrenched position in the global
distribution system (GDS) market, albeit highly susceptible to
lower demand over the next four years. Its recovery could deviate
from global travel trends due to customer losses driven by
customers shifting between GDS platforms, or to those forced out of
business by the heightened disruption to the travel industry.

DERIVATION SUMMARY

Travelport's rating reflects a well-established position in the
travel industry, with a 21% market share in the dominant GDS
segment that has historically provided a high proportion of
recurring revenues. This position provides the company with an
advantage to further develop technology and data solutions to
travel buyers and providers. Sabre is the most comparable peer with
a higher market share of the GDS segment at 36% in 2018,
structurally higher margins and notably lower leverage.
Nevertheless, Travelport's rating is ultimately constrained by high
leverage and the near-term uncertainty regarding the trajectory of
booking volumes.

KEY ASSUMPTIONS

  - Net revenue decline of around 70% in 2020, with the lost
volumes heavily accentuated by cancellations. This is followed by a
moderate recovery in travel demand with revenue in 2021 and 2022
30% and 12% below 2019's levels, respectively;

  - Corresponding compression to the EBITDA margin (Fitch-defined)
to -13.5% in 2020 (-9.4% previous expectations), from 19.4% in
2019. In tandem with a recovery in revenue, Fitch assumes that
EBITDA margin recovers towards 2019's level by 2022, facilitated by
cost savings made in 2020;

  - Capex to be broadly in line with 5.5% of sales per annum;

  - Customer Loyalty payments to travel agencies for their use of
Travelport's platform (typically such agreements last three to five
years). Even though under US GAAP these are capitalised and
subsequently amortised over the life of the contract, Fitch views
the loyalty payments (estimated at USD60 million per year) as an
operating cash outflow that has just been paid in advance.
Therefore, Fitch reversed the capitalised treatment and consider
such expense an operating cost. For 2020, Fitch expects the
amortisation to be surpassing the cash payment and are therefore
adjusting items before funds from operations (FFO) by GBP20
million; and

  - eNett disposal not factored into the current analysis.

KEY RECOVERY RATING ASSUMPTIONS

  - Travelport would be considered a going-concern in bankruptcy
and be reorganised rather than liquidated given the asset-light
business model.

  - Travelport's estimated going-concern post-restructuring EBITDA
of USD386 million represents a discount of 20% to 2019's
Fitch-adjusted EBITDA of USD483 million (including customer loyalty
payments and equity compensation treated as operating costs).

  - Fitch has maintained the distressed enterprise value
(EV)/EBITDA multiple applied to the estimated going- concern
post-restructuring-EBITDA at 5.0x, balancing medium-term
uncertainties over the recovery in global passenger numbers,
including business travel, with Travelport's entrenched position in
the GDS sector.

  - Based on the payment waterfall by priority instrument ranking,
the USD1,630 million of new priority first-lien term loans ranks
senior to the remaining first-lien loans totalling USD2,050
million.

After deducting 10% for administrative claims, its principal
waterfall analysis generates a ranked recovery for priority
first-lien lenders in the 'RR1' category, leading to a 'B+'
instrument rating, three notches above the IDR. The waterfall
analysis output percentage based on current metrics and assumptions
is 100%. The structurally subordinated first-lien facilities would
see reduced recoveries to 'RR6' from 'RR4' with 5% expected
recoveries, leading to a 'CCC-' instrument rating, two notches
below the IDR.

RATING SENSITIVITIES

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

  - FFO gross leverage returning below 8.5x on a sustained basis;

  - FCF margins trending sustainably towards 1%;

  - FFO interest coverage trending towards 2.0x; and

  - Enhanced internal liquidity cushion

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

  - Diminishing financial flexibility and prospects of deleveraging
with FFO leverage remaining above 10.5x by 2022 and accelerated
cash outflows;

  - FFO interest cover below 1.0x by 2021; and

  - Sustained negative FCF margin depleting remaining liquidity
headroom.

LIQUIDITY AND DEBT STRUCTURE

Minimal Liquidity Headroom: Under current assumptions, Fitch
estimates that Travelport to have around USD200 million cash on
balance sheet at end-2020. Its base case sees FFO interest coverage
trending above 1.0x in 2021, combined with neutral FCF.
Nevertheless, given the high interest burden, a weaker recovery in
booking volumes than currently envisaged in 2021, could quickly
exhaust current liquidity headroom, creating a capital need in the
absence of established liquidity lines.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This means ESG issues are
credit-neutral or have only a minimal credit impact on the entity,
either due to their nature or the way in which they are being
managed by the entity.


WILLIAM HILL: S&P Places 'B' LT ICR on CreditWatch Negative
-----------------------------------------------------------
S&P Global Ratings placed U.K.-based bookmaker William Hill's
long-term 'B' issuer credit rating on CreditWatch negative. The
issue ratings on William Hill's debt remain unchanged.

The CreditWatch placement follows William Hill's announcement that
it has reached an agreement with U.S. gaming operator Caesars
Entertainment Inc. (Caesars) for the 100% cash acquisition of the
share capital in William Hill. The acquisition proposal, which has
been recommended by William Hill's board, is to be implemented by a
scheme of arrangement and is subject to a successful shareholder
vote, regulatory and competition approvals, and customary close
conditions.

On successful completion, William Hill would become a fully owned
subsidiary of Caesars. S&P's rating on Caesars is 'B', two notches
below its 'BB-' rating on William Hill.

The acquisition values the existing share capital of William Hill
at approximately GBP2.9 billion. In connection with the
acquisition, Caesars expects to repay existing William Hill
financing commitments at close.

Caesars and William Hill currently operate a U.S. joint venture
with 20% and 80% equity ownership, respectively. The joint venture
runs sports betting and retail operations in the U.S., using
Caesars' market access in various states. Through the William Hill
acquisition, Caesars seeks to take 100% control of this operation
and broaden its scope to further capitalize on the anticipated
growing U.S. market opportunity. Caesars has commented that it
intends to seek strategic options for William Hill's non-U.S.
business in due course, which will likely result in a sale of the
group's non-U.S. operations.

S&P said, "We understand that Caesars has secured both equity and
debt financing, in addition to existing commitments to support
funding of its proposed offer.

"The CreditWatch negative placement reflects our 'B' rating on
Caesar, which is two notches below our 'BB-' rating on William
Hill. Upon the acquisition's completion, William Hill would become
a subsidiary of Caesars.

"We intend to resolve the CreditWatch placement following
successful completion of the acquisition, upon which we would
likely lower our rating on William Hill by more than one notch,
reflecting Caesars' lower rating.

"The existing issue ratings on William Hill's outstanding rated
instruments are unaffected by this action, due to our expectation
that upon transaction close, they would be repaid by Caesars."



                           *********


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

Troubled Company Reporter-Europe is a daily newsletter co-
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Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman,
Editors.

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

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