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

                          E U R O P E

          Friday, October 9, 2020, Vol. 21, No. 203

                           Headlines



G E R M A N Y

CHEPLAPHARM ARZNEIMITTEL: Moody's Alters Outlook on B2 CFR to Neg.
REVOCAR 2018: Moody's Raises Rating on Class D Notes to 'Ba1'


G R E E C E

NAVIOS MARITIME: S&P Cuts ICR to CCC+ on Mounting Refinancing Risk


I R E L A N D

AURIUM CLO I: Moody's Confirms B2 Rating on Class F-R Notes
BANNA RMBS: S&P Puts CCC on Class E Notes on CreditWatch Negative
HARVEST CLO XII: Moody's Confirms B2 Rating on Class F-R Notes
HARVEST CLO XXV: Moody's Assigns '(P)B3' Rating on Class F Notes
HARVEST CLO XXV: S&P Assigns Prelim. B- Rating on Class F Certs

JUBILEE CLO 2018-XX: Fitch Affirms B-sf Rating on Class F Notes
MADISON PARK VIII: S&P Affirms 'BB-' Rating on Class E Notes
MADISON PARK XI: Moody's Confirms B2 Rating on Class F Notes


L U X E M B O U R G

QUINTET PRIVATE: Fitch Rates Planned Add'l. Tier 1 Notes 'BB-(EXP)'


P O R T U G A L

MAGELLAN MORTGAGES: Fitch Hikes Class C Notes to 'BB+sf'


R U S S I A

ROSGOSSTRAKH PJSC: S&P Raises ICR to 'BB', Outlook Stable


S W I T Z E R L A N D

TRANSOCEAN LTD: Plans to Prevent Bankruptcy Can Cause the Same


U N I T E D   K I N G D O M

J A BALL: Enters Administration, 18 Jobs Affected
JPIMEDIA: Gets Bid From Archant, Et Al., Ahead of Deadline
MOTOR PLC 2016-1: Moody's Hikes Class F Notes to Ba1
NMC HEALTH: Aims to Complete Restructuring, Sale by April 2021
NMC HEALTH: Founder Seeks Help of Indian Agencies to Probe Fraud

[*] DBRS Confirms Ratings on 57 Tranches on 11 Euro RMBS Deals
[*] DBRS Keeps 21 Tranches on 5 Euro RMBS Deal on Review Negative


X X X X X X X X

[*] BOOK REVIEW: Hospitals, Health and People

                           - - - - -


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G E R M A N Y
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CHEPLAPHARM ARZNEIMITTEL: Moody's Alters Outlook on B2 CFR to Neg.
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Moody's Investors Service affirmed Cheplapharm Arzneimittel GmbH's
B2 corporate family rating (CFR), its B2-PD probability of default
rating, its B2 senior secured ratings and its B2 senior secured
bank credit facility rating. At the same time, Moody's changed the
outlook to negative from stable.

"We have changed Cheplapharm's outlook to negative because its
financial policy is more aggressive than we initially assumed when
we affirmed the B2 rating on October 6," says Vincent Gusdorf, a
Moody's Vice President -- Senior Credit Officer and lead analyst
for Cheplapharm. " Cheplapharm announced a new transaction shortly
after the rating affirmation, bringing the amount of acquisitions
signed in 2020 to EUR1.5 billion" Mr Gusdorf added.

RATINGS RATIONALE

Moody's decision to change Cheplapharm's outlook to negative
follows the company's announcement on October 7 that it was in
advanced negotiations to purchase marketing authorizations and
intellectual properties of a product it already sells, for a
purchase price of $400 million. If this transaction materializes,
the signing will take place in October or November 2020 and close
by the end of the year, although a portion of the purchase price
will be paid during the first half of 2021.

As a result, Cheplapharm's Moody's-adjusted debt will rise to about
EUR2.7 billion in 2020 from EUR1.4 billion in 2019 and EUR0.9
billion in 2018. Debt will likely rise further in 2021 as Moody's
expects that Cheplapharm will continue to make acquisitions and in
quick succession as it has proven to date. Moody's believes that
the current pace of debt increase is not commensurate with a B2
rating.

Although Cheplapharm's forecast leverage of 4.6x in 2021 will
remain moderate for a B2 rating, it is offset by substantial
integration risks. Recent acquisitions will double Cheplapharm's
size, which will compel it to substantially increase its headcount.
Moreover, the company will need to submit several dozens of
marketing authorisation transfers in the coming quarters at a time
when it is still integrating acquisitions it made over the past 12
months, notably Losec and Lexotan, which it purchased in Q4 2019,
and Sake, which it bought in Q2 2020. There is a risk that future
earnings stemming from recently acquired drugs may be lower than
Cheplapharm's expectations, even though the overall performances of
the acquisitions made so far have been in line with its estimates.

Cheplapharm's liquidity will be adequate over the next 12 months.
Although it will have only EUR1 million of cash at the closing of
the acquisitions completed during the third quarter of 2020, it
will have access to an EUR450 million RCF maturing in 2024, which
it will partly draw to finance the acquisition announced on October
7. There will be no significant debt maturities in the coming years
because the existing EUR980 million Term Loan B will mature in 2025
and the secured notes will be due in 2027 and 2028. Moreover,
Moody's forecasts that Cheplapharm will generate about EUR200
million of Moody's-adjusted FCF over the next 12 months, although
Moody's expects that it will use most of it for acquisitions.

STRUCTURAL CONSIDERATIONS

The pro forma capital structure of Cheplapharm will comprise mostly
senior secured debt located at Cheplapharm Arzneimittel GmbH's
level, the main operating entity of the company. This comprises a
EUR980 million term loan, EUR500 million of existing senior secured
notes and EUR1 billion of new senior secured notes, as well as a
EUR450 million RCF. All these debt instruments rank pari passu and
have the same security package, which includes a first-priority
pledge over Cheplapharm Arzneimittel GmbH's shares as well as
pledges over bank accounts and intercompany receivables. Moody's
views this security package as relatively weak and therefore
considers these debt instruments as unsecured in its loss given
default analysis.

Cheplapharm's Moody's-adjusted debt also includes a shareholder
loan for which the company can choose to pay interest in cash and
which also offers some loss absorption in a default scenario. The
small size of this instrument (around EUR30 million) does not lead
to an uplift of the senior secured instrument rating from the CFR.

Moody's used a family recovery rate of 50% appropriate for a debt
structure comprising bank and bond debts.

RATIONALE FOR THE NEGATIVE OUTLOOK

The negative outlook reflects Moody's view that the rapid increase
in Cheplapharm's debt and numerous acquisitions in quick succession
that will place significant demands on the company's management in
order to successfully integrate, shows that its financial policy is
more aggressive than the rating agency initially assumed when it
affirmed the B2 rating. Cheplapharm will need to materially scale
up its operations to successfully integrate the products it has
purchased and in order that it maintains a leverage commensurate
with its current rating.

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

A rating upgrade is unlikely over the next 12 months considering
the negative outlook. Quantitatively, a positive rating action
would require that Cheplapharm maintains its Moody's-adjusted
(gross) debt/EBITDA ratio below 4.5x for a prolonged period and
slows down significantly its M&A activity.

Conversely, Moody's may downgrade Cheplapharm if its debt continues
to increase at a similar pace that it has done in the past, or if
it is unable to successfully integrate its recent acquisitions,
that could be illustrated by an unexpected delay in transferring
marketing authorisations or a deterioration in the profitability of
new products. Moody's could also lower Cheplapharm's rating if it
does not maintain a Moody's-adjusted debt/EBITDA ratio pro forma
acquisitions comfortably below 5.5x or if its Moody's-adjusted
EBITDA margin declines below 45%. Failing to maintain adequate
liquidity, including a concentration in the company's debt maturity
profile could also trigger a rating downgrade.

Affirmations:

Issuer: Cheplapharm Arzneimittel GmbH

Corporate Family Rating, Affirmed B2

Probability of Default Rating, Affirmed B2-PD

Senior Secured Bank Credit Facility, Affirmed B2 (LGD3)

Senior Secured Regular Bond/Debenture, Affirmed B2 (LGD3)

Outlook Actions:

Issuer: Cheplapharm Arzneimittel GmbH

Outlook, Changed to Negative from Stable

COMPANY PROFILE

Headquartered in Greifswald, Germany, Cheplapharm is a family-owned
company focused on the marketing of off-patent, branded,
prescription and niche drugs. Its business model relies on its good
relationships with leading pharmaceutical companies such as Roche
Holding AG (Aa3 positive) and AstraZeneca PLC (A3 stable), its
ability to buy products with sufficient earnings potential at the
right price, and the outsourcing of its production and distribution
to reliable third parties. Cheplapharm's asset-light operations
enable it to generate high cash flow, which it reinvests in new
products, offsetting the structural earnings decline in its
existing portfolio.


REVOCAR 2018: Moody's Raises Rating on Class D Notes to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of five Notes in
RevoCar 2017 UG (haftungsbeschraenkt) and RevoCar 2018 UG
(haftungsbeschraenkt). The rating action reflects an increase in
credit enhancement for the affected tranches and better than
expected collateral performance.

Moody's affirmed the ratings of the Notes that had sufficient
credit enhancement to maintain the current ratings on the affected
Notes.

Issuer: RevoCar 2017 UG (haftungsbeschraenkt)

EUR387.1M Class A Notes, Affirmed Aaa (sf); previously on Dec 20,
2019 Affirmed Aaa (sf)

EUR32.2M Class B Notes, Affirmed Aa1 (sf); previously on Dec 20,
2019 Upgraded to Aa1 (sf)

EUR8.1M Class C Notes, Upgraded to Aa1 (sf); previously on Dec 20,
2019 Upgraded to A1 (sf)

EUR9.5M Class D Notes, Upgraded to A2 (sf); previously on Dec 20,
2019 Upgraded to Baa2 (sf)

Issuer: RevoCar 2018 UG (haftungsbeschraenkt)

EUR364.0M Class A Notes, Affirmed Aaa (sf); previously on Dec 20,
2019 Affirmed Aaa (sf)

EUR20.3M Class B Notes, Upgraded to Aa1 (sf); previously on Dec 20,
2019 Upgraded to Aa2 (sf)

EUR2.9M Class C Notes, Upgraded to Aa2 (sf); previously on Dec 20,
2019 Upgraded to A3 (sf)

EUR8.9M Class D Notes, Upgraded to Ba1 (sf); previously on Dec 20,
2019 Affirmed Ba2 (sf)

RATINGS RATIONALE

The rating action is prompted by better than expected collateral
performance and the increased levels of credit enhancement.

Revision of Key Collateral Assumptions:

As part of the rating action, Moody's reassessed its default
probability and recovery rate assumptions for the portfolio
reflecting the collateral performance to date.

In RevoCar 2017 UG (haftungsbeschraenkt), delinquencies with 60
days plus arrears are currently standing at 0.05% of current pool
balance, and cumulative defaults currently stand at 0.7% of
original pool balance plus replenished amounts. The current default
probability is 2.5% of the current portfolio balance, which
translates into a default probability assumption on original
balance of 1.35%. Moody's maintained the assumption for the fixed
recovery rate of 35% and the portfolio credit enhancement of
11.0%.

In RevoCar 2018 UG (haftungsbeschraenkt), delinquencies with 60
days plus arrears are currently standing at 0.04% of current pool
balance, and Cumulative defaults currently stand at 0.6% of
original pool balance. The current default probability is 2.3% of
the current portfolio balance, which translates into a default
probability assumption on original balance of 1.45%. Moody's
maintained the assumption for the fixed recovery rate 35% and the
portfolio credit enhancement of 10.0%.

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
consumer assets from the current weak German 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.

Increase in Available Credit Enhancement

Sequential amortization led to the increase in the credit
enhancement ("CE") available in the transactions.

In RevoCar 2017 UG (haftungsbeschraenkt), the CE supporting Classes
B, C and D increased to 15.5%, 11.4% and 6.6%, from 9.4%, 6.9% and
4.0% respectively since the latest rating action in December 2019.

In RevoCar 2018 UG (haftungsbeschraenkt), the CE supporting Classes
B, C and D increased to 10.6%, 8.6% and 2.6%, from 7.1%, 5.8% and
1.8% respectively since the latest rating action in December 2019.

Counterparty Exposure

The rating actions took into consideration the Notes' exposure to
relevant counterparties, such as servicer, account banks or swap
providers.

Moody's considered how the liquidity available in the transactions
and other mitigants support continuity of Note payments, in case of
servicer default. As a result, the ratings of the Class B Notes in
both transactions are constrained at Aa1 (sf) by financial
disruption risk.

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

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

Factors or circumstances that could lead to an upgrade of the
ratings include: (1) performance of the underlying collateral that
is better than Moody's expected; (2) an increase in available
credit enhancement; (3) improvements in the credit quality of the
transaction counterparties; and (4) a decrease in sovereign risk.

Factors or circumstances that could lead to a downgrade of the
ratings include: (1) an increase in sovereign risk; (2) performance
of the underlying collateral that is worse than Moody's expected;
(3) deterioration in the Notes' available credit enhancement; and
(4) deterioration in the credit quality of the transaction
counterparties.




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G R E E C E
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NAVIOS MARITIME: S&P Cuts ICR to CCC+ on Mounting Refinancing Risk
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S&P Global Ratings lowered its ratings on dry bulk shipping and
logistics company Navios Maritime Holdings Inc. (Navios Holdings)
and the first priority ship mortgage notes to 'CCC+' from 'B'. S&P
also lowered its issue rating on the senior secured notes to 'CCC'
from 'B-'. The recovery rating and prospect on both notes are
'3'(55%) and '5'(20%), respectively.

S&P is placing all the ratings on CreditWatch with negative
implications, indicating its view of the risk that Navios Holdings
could undergo a distressed debt exchange, which it considers
tantamount to a default, in the next 90 days.

This is because its $305 million, 11.25% senior secured notes are
subject to a springing maturity in September 2021 and its $477
million outstanding (original principal: $650 million), 7.375%
first priority ship mortgage notes are due January 2022. According
to the notes' indenture, Navios Holdings could avert the springing
maturity if it pays down the first priority ship mortgage notes to
less than $130 million (from $477 million outstanding). S&P's view
such a scenario as unlikely taking into account Navios Holdings'
weak liquidity and constrained access to capital markets, given the
distressed levels at which the notes currently trade. Navios
Holdings' cash and cash equivalents were only about $54 million as
of June 30, 2020; it has no committed liquidity lines available;
and its cash flow generation remains hampered by low, albeit set to
gradually recover, dry bulk shipping rates.

Navios Holdings has agreed with bondholders representing a majority
in aggregate principal amount of $305 million senior secured notes
that they will waive the springing maturity clause. However, the
waiver is subject to Navios Holdings being able execute an IPO of
its 63.8%-owned subsidiary, Navios South American Logistics (Navios
Logistics), and achieve net cash proceeds of not less than $100
million, which it will place in escrow for the purpose of repaying
the senior secured notes. S&P views this agreement as an amendment
to the notes indenture with no rating implications. A further step
that Navios Holdings intends to take, provided the IPO of Navios
Logistics occurs and garners not less than $100 million in net cash
proceeds, pertains to a consent from bondholders, representing
66.66% of the outstanding senior secured notes, permitting Navios
Holdings to launch (and close, within 60 days of the closing of the
IPO) a reverse Dutch auction tender offer (an auction in which
sellers/bondholders bid for the prices at which they are willing to
sell their notes back to Navios Holdings) to repurchase senior
secured notes using the net proceeds from the IPO at a discounted
price to be determined by Navios Holdings. S&P could view such a
repurchase of notes at below par as tantamount to default.

A combination of factors has kept charter rates under strain. These
include:

-- Disrupted industrial activity and reduced demand for
commodities after the COVID-19 pandemic in China (the world's
largest consumer accounting for about 35% of dry bulk imports);

-- Disruption to Brazilian iron ore exports; and

-- Higher bunker costs after International Maritime Organization's
2020 low-sulfur regulations made shipments more expensive,
aggravated by typical seasonal lows. According to Clarkson
Research, average bulker earnings are down by 22% year to date
versus the same period in 2019.

The Chinese government's stimulus measures to prop up the country's
economy amid the COVID-19 pandemic include construction of highways
and social housing, which indicates the need for commodities such
as iron ore and coal. Active ship demolition, combined with low
active ship capacity growth because of significant delays in
dry-docking works and scrubber retrofitting, could result in
demand-and-supply growth heading toward equilibrium, supporting
charter rates in the second half of 2020. According to Clarkson
Research, the average time-charter (T/C) rate for capesize vessels
was $17,000/day in the third quarter of 2020, up from $13,500/day
in the first six months of 2020.

S&P said, "In our forecast, we assume that China's imports of dry
bulk commodities will stabilize and underpin low- single-digit
global trade growth. Supply growth will be marginal because of the
current all-time-low order book (accounting for 7% of the global
fleet, the lowest level in three decades, according to Clarkson
Research). This likely structural rebalance of the
demand-and-supply conditions points to more favorable rate
conditions next year, which we incorporate in our base case. For
example, we forecast an average T/C rate for capesize vessels at
$20,000/day in 2021 compared with $14,000/day-$15,000/day in 2020.

"Under our base case, Navios Holdings' credit measures will be
weaker this year than in 2019. We forecast lower reported EBITDA of
about $140 million in 2020, compared with about $170 million last
year, held back by shipping charter rates and somewhat lower Navios
Logistics earnings because of softer and deteriorating economic
conditions in Latin America. This decrease, accompanied by largely
stable but elevated adjusted debt of $1.8 billion-$1.9 billion,
which we forecast at year-end 2020, implies adjusted debt to EBITDA
worsening to 6.5x-7.5x in 2020 (from about 5.5x in 2019). In 2021,
we expect a gradual upturn in shipping charter rates that will
boost EBITDA generation and help restore headroom under the credit
measures."




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

EUR26,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2032, Confirmed at Baa3 (sf); previously on Jun 3, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

EUR22,000,000 Class E-R Senior Secured Deferrable 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-R Senior Secured Deferrable 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:

EUR249,000,000 Class A-R Senior Secured Floating Rate Notes due
2032, Affirmed Aaa (sf); previously on Sep 24, 2019 Definitive
Rating Assigned Aaa (sf)

EUR41,000,000 Class B-R Senior Secured Floating Rate Notes due
2032, Affirmed Aa2 (sf); previously on Sep 24, 2019 Definitive
Rating Assigned Aa2 (sf)

EUR24,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2032, Affirmed A2 (sf); previously on Sep 24, 2019
Definitive Rating Assigned A2 (sf)

Aurium CLO I Designated Activity Company, originally issued in
March 2015 and refinanced in September 2019, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured European loans. The portfolio is managed by Spire
Management Limited. The transaction's reinvestment period will end
in March 2024.

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

RATINGS RATIONALE

The rating confirmations on the Class D-R, E-R and F-R notes and
rating affirmations on the Class A-R, B-R and C-R 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 August 2020 the WARF
was 3250 [1], compared to value of 2829 [2] as of Feb 2020.
Securities with ratings of Caa1 or lower currently make up
approximately 5.0% [1] of the underlying portfolio. However, the
over-collateralisation (OC) levels have remained broadly unchanged
across the capital structure. According to the trustee report of
August 2020 [1] and February 2020 [2] the Class A/B, Class C, Class
D and Class E OC ratios are reported at 138.0%, 127.5%, 117.7% and
110.6% 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). However, the WARF test is not passing as per the August
trustee report [1].

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 400.3 million,
a weighted average default probability of 29.6% (consistent with a
WARF of 3241 over a weighted average life of 7.6 years), a weighted
average recovery rate upon default of 44.7% for a Aaa liability
target rating, a diversity score of 50 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.

Moody's notes that the September 2020 trustee report was published
at the time it was completing its analysis of the August 2020 data.
Key portfolio metrics such as WARF, diversity score, weighted
average spread and life, and OC ratios exhibit little or no change
between these dates.

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(s),
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 note,
considering 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.

  -- 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.


BANNA RMBS: S&P Puts CCC on Class E Notes on CreditWatch Negative
-----------------------------------------------------------------
S&P Global Ratings placed on CreditWatch negative its 'AAA (sf)',
'AA (sf)', 'A+ (sf)', 'BB+ (sf)', and 'CCC (sf)' ratings on Banna
RMBS DAC's class A, B-Dfrd, C-Dfrd, D-Dfrd, and E-Dfrd notes,
respectively.

S&P said, "The CreditWatch placements follow our ongoing review of
the transaction's credit performance since it closed and throughout
a deterioration in the economic environment induced by the COVID-19
pandemic. The general reserve fund set up at closing, which totaled
£559,085, was fully depleted over the first two interest payment
dates, as interest collections fell short of the interest due on
the notes in this period. In particular, the funding adjustment
cost, which covered the weighted-average coupon on the notes
between the pool cut-off date (June 30, 2019) and the transaction's
closing date (Nov. 19, 2019) exceeded the revenue from the
portfolio over this same period. Overall, interest collections have
been volatile from quarter to quarter despite relatively stable
COVID-19-related payment holiday numbers, and principal collections
have been used to make note interest payment. This caused an
accrual in the class Z notes' principal deficiency ledger (PDL) up
to £476,456 (or 0.5% of the deal's current size) as of the August
2020 interest payment date. This may signal a higher level of
borrowers making partial payments, or longer extension on
restructured payments, than anticipated at closing, prompting a
consideration of the assumptions in our analysis.

"At closing, we relied on the indication of a shift in servicing
strategy since Pepper Ireland had taken over the portfolio in
November 2018, with an emphasis on an active approach to bring back
the historically high number of loans then in late arrears. In the
current macroeconomic environment, to which we believe the
borrowers in this pool are particularly vulnerable, we have
requested updated information on these loans and any changes in the
servicing practice in order to reconsider our assumptions.

"We will resolve our CreditWatch placements within 90 days based on
available information and assumptions we consider appropriate."

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."


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

EUR21,400,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020
Baa2 (sf) Placed Under Review for Possible Downgrade

EUR26,300,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

EUR13,000,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at B2 (sf); previously on Jun 3, 2020 B2
(sf) Placed Under Review for Possible Downgrade

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

EUR239,000,000 Class A-R Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Oct 26, 2017 Definitive
Rating Assigned Aaa (sf)

EUR40,800,000 Class B1-R Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on Oct 26, 2017 Definitive
Rating Assigned Aa2 (sf)

EUR10,000,000 Class B2-R Senior Secured Fixed Rate Notes due 2030,
Affirmed Aa2 (sf); previously on Oct 26, 2017 Definitive Rating
Assigned Aa2 (sf)

EUR23,750,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed A2 (sf); previously on Oct 26, 2017
Definitive Rating Assigned A2 (sf)

Harvest CLO XII Designated Activity Company, issued in August 2015
and refinanced in October 2017, is a collateralised loan obligation
(CLO) backed by a portfolio of mostly high-yield senior secured
European loans. The portfolio is managed by Investcorp Credit
Management EU Limited. The transaction's reinvestment period will
end in November 2021.

The action concludes the rating review on the Class D-R, E-R and
F-R notes initiated on June 03, 2020.

RATINGS RATIONALE

The rating confirmations on the Class D-R, E-R and F-R notes and
rating affirmations on the Class A-R, B1-R, B2-R and C-R notes
reflect the expected losses of the notes continuing to remain
consistent with their current ratings despite the risks posed by
credit deterioration, 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 August 2020, the WARF
was 3342[1], compared to value of 2966[2] in February 2020.
Securities with ratings of Caa1 or lower currently make up
approximately 6.4% of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of August 2020 the Class
A/B, Class C, Class D, Class E and Class F OC ratios are reported
at 136.72%[1], 126.36%[1], 118.29%[1], 109.68%[1] and 105.87%[1]
compared to February 2020 levels of 138.77%[2], 128.26%[2],
120.06%[2], 111.32%[2], 107.46%[2] respectively. Moody's notes that
none of the OC tests are currently in breach and the transaction
remains in compliance with the following collateral quality tests:
Diversity Score, Weighted Average Recovery Rate (WARR), 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 399.3 million,
a weighted average default probability of 27.6% (consistent with a
WARF of 3361 over a weighted average life of 5.74 years), a
weighted average recovery rate upon default of 45.3% for a Aaa
liability target rating, a diversity score of 55 and a weighted
average spread of 3.79%.

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, 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.

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

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the
notes, considering 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; (2) divergence in the legal interpretation of CDO
documentation by different transactional parties because of
embedded ambiguities; and (3) the additional expected loss
associated with hedging agreements in this transaction which may
also impact the ratings negatively.

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.

  -- 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.


HARVEST CLO XXV: Moody's Assigns '(P)B3' Rating on Class F Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Harvest CLO
XXV Designated Activity Company (the "Issuer"):

EUR204,765,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aaa (sf)

EUR24,200,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

EUR11,650,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR25,100,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)A2 (sf)

EUR24,500,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Baa3 (sf)

EUR20,400,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)Ba3 (sf)

EUR7,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2034, Assigned (P)B3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.

The Issuer is a managed cash flow CLO. At least 95% of the
portfolio must consist of senior secured obligations and up to 5%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 80% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the 8-month ramp-up period in compliance with the portfolio
guidelines.

Investcorp Credit Management EU Limited ("CM") will manage the CLO.
It will direct the selection, acquisition, and disposition of
collateral on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
three-year reinvestment period. Thereafter, subject to certain
restrictions, purchases are permitted using principal proceeds from
unscheduled principal payments and proceeds from sales of credit
impaired obligations or credit improved obligations.

In addition to the seven classes of notes rated by Moody's, the
Issuer will issue EUR [] Class Z Notes due 2034 and EUR
[36,900,000] Subordinated Notes due 2034 which are not rated.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

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 European 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.

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

The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2020.

Moody's used the following base-case modeling assumptions:

Par Amount: EUR 350,000,000

Diversity Score: 41

Weighted Average Rating Factor (WARF): 3100

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.5%

Weighted Average Recovery Rate (WARR): 43.5%

Weighted Average Life (WAL): 8 years

Moody's has addressed the potential exposure to obligors domiciled
in countries with local currency ceiling (LCC) of A1 or below. As
per the portfolio constraints, exposures to countries with LCC of
A1 or below cannot exceed 10%, with exposures of LCC below A3 not
greater than 0%.


HARVEST CLO XXV: S&P Assigns Prelim. B- Rating on Class F Certs
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to
Harvest CLO XXV DAC's class A to F European cash flow CLO notes. At
closing, the issuer will also issue unrated notes.

The transaction securitizes a portfolio of primarily senior secured
leveraged loans and bonds. It will be managed by Investcorp Credit
Management EU Ltd.

The preliminary ratings assigned to Harvest XXV's notes reflect
S&P's assessment of:

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

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

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

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

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

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

-- The portfolio's reinvestment period will end approximately
three and a half years after closing.

S&P said, "Our preliminary ratings reflect our assessment of the
preliminary collateral portfolio's credit quality, which has a
weighted-average 'B' rating (with an S&P Global Ratings'
weighted-average rating factor of 2,808). We consider that the
portfolio on the effective date will be well-diversified, primarily
comprising broadly syndicated speculative-grade senior secured term
loans and senior secured bonds. Therefore, we have conducted our
credit and cash flow analysis by applying our criteria for
corporate cash flow CDOs.

"In our cash flow analysis, we used the covenanted weighted-average
spread (3.80%), the covenanted weighted-average coupon (4.50%), and
the actual weighted-average recovery rates for all rating levels.
As the portfolio is being ramped, we have relied on indicative
spreads and recovery rates of the portfolio.

"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.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B1 to F notes could withstand
stresses commensurate with higher ratings than those we have
assigned. However, as the CLO is in its reinvestment phase, during
which the transaction's credit risk profile could deteriorate, we
have capped our assigned ratings on the notes. In our view the
portfolio is granular in nature, and well-diversified across
obligors, industries, and assets.

"The Bank of New York Mellon, London Branch is the bank account
provider and custodian. At closing, we anticipate that the
documented downgrade remedies will be in line with our current
counterparty criteria.

"Under our structured finance sovereign risk criteria, the
transaction's exposure to country risk is sufficiently mitigated at
the assigned preliminary rating levels.

"At closing, we consider that the issuer will be bankruptcy remote,
in accordance with our legal criteria.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our preliminary ratings
are commensurate with the available credit enhancement for each
class of notes."

  Ratings List

  Class    Prelim. rating    Prelim. amount   Subordination (%)
                               (mil. EUR)
  A           AAA (sf)           TBD             41.50
  B1          AA (sf)            TBD             31.25
  B2          AA (sf)            TBD             31.25
  C           A (sf)             TBD             24.08
  D           BBB- (sf)          TBD             17.08
  E           BB- (sf)           TBD             11.25
  F           B- (sf)            TBD              9.25
  Sub notes   NR                 TBD               N/A

* The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.

EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
TBD--to be determined.
N/A--Not applicable.


JUBILEE CLO 2018-XX: Fitch Affirms B-sf Rating on Class F Notes
---------------------------------------------------------------
Fitch Ratings has taken multiple rating actions on Jubilee CLO
2018-XX B.V., including the removal of the class E and F notes from
Rating Watch Negative (RWN).

RATING ACTIONS

Jubilee CLO 2018-XX

Class A XS1826049097; LT AAAsf Affirmed; previously AAAsf

Class B-1 XS1826050426; LT AAsf Affirmed; previously AAsf

Class B-2 XS1826049683; LT AAsf Affirmed; previously AAsf

Class B-3 XS1834758788; LT AAsf Affirmed; previously AAsf

Class C-1 XS1826051077; LT Asf Affirmed; previously Asf

Class C-2 XS1834757111; LT Asf Affirmed; previously Asf

Class D XS1826051663; LT BBBsf Affirmed; previously BBBsf

Class E XS1826052471; LT BBsf Affirmed; previously BBsf

Class F XS1826052638; LT B-sf Affirmed; previously B-sf

Class X XS1826048958; LT AAAsf Affirmed; previously AAAsf

TRANSACTION SUMMARY

The transaction is in its reinvestment period and the portfolio is
actively managed by Alcentra Ltd.

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 on RWN. The
transaction is just slightly below target par by 0.4%.

The Fitch weighted average rating factor (WARF) test was reported
at 34.73 in the September 2, 2020 trustee report against a maximum
of 34.0. Fitch's updated calculation as of September 26, 2020 shows
a WARF of 35.55 (including unrated names for which Fitch
conservatively assumes a 'CCC' rating in line with its methodology,
while the manager may classify up to 10% of the portfolio at 'B-').
Assets in the 'CCC' category or below represented 8.2% (or 10.2%
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 portfolio for its
coronavirus baseline scenario. Fitch notched down the ratings for
all assets with corporate issuers on Negative Outlook regardless of
sector, which represents 35.3% of the portfolio balance. This
scenario shows a limited cushion for the class D and F notes and a
sizeable shortfall for the class E notes. Fitch believes that the
portfolio's negative rating migration is likely 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 class D notes have been kept on Negative Outlook, while the
class E and F notes have been assigned a Negative Outlook to
reflect the risk of credit deterioration over the long term, due to
the economic fallout from the pandemic. For the other notes, this
scenario demonstrates the resilience of their ratings.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch WARF, calculated by Fitch, of the
current portfolio, as of September 26, 2020, is 35.55. Under the
coronavirus baseline scenario, the Fitch-calculated WARF would
increase to 39.15.

High Recovery Expectations

98.7% of the portfolio comprises senior secured obligations. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted recovery rate is 63.16%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries, and
industries. The top-10 obligor exposure is 15.2% of the portfolio
balance and no obligor represents more than 2.0%. No frequency
switch event has occurred yet, although 46.3% of the portfolio
repay less frequently than quarterly.

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. This includes 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 by Fitch due to unexpectedly
high levels of defaults and portfolio deterioration. As the
disruptions to supply and demand due to the coronavirus pandemic
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 a 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.

MADISON PARK VIII: S&P Affirms 'BB-' Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings affirmed and removed from CreditWatch negative
its 'BB- (sf)' credit rating on Madison Park Euro Funding VIII
DAC's class E notes. At the same time, S&P has affirmed its ratings
on all other classes of 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 Madison Park Euro Funding
VIII. Our rating actions reflected 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, our
estimate of the total collateral balance (performing assets,
principal cash, and expected recovery on defaulted assets) held by
the CLO has decreased, due to a par loss caused by defaulted and
'CCC' rated assets. As a result, available credit enhancement has
decreased for all rated notes."

  Table 1

  Credit Analysis Results

  Class   Current amount   Credit enhancement Credit enhancement
           (mil. EUR)      as of Sept 2020      (at closing in
                          (based on August      December 2019; %)
                           trustee report; %)    

  A           287.50            36.28                37.50
  B            48.30            25.57                27.00
  C            27.60            19.45                21.00
  D            29.90            12.83                14.5
  E            23.00             7.73                 9.05
  F            10.73             5.35                 7.00
  Subordinated 51.10            19.45                21.00

  N/A--Not applicable.

In S&P's view, the credit quality of the portfolio has deteriorated
since our previous review, for example, due to the increase in
'CCC' rated assets to about EUR53.91 million from EUR10.19 million,
and defaulted rated assets to about EUR12.35 million from EUR0
million at our previous review. Additionally, we placed on
CreditWatch negative our ratings on more than 8% of the pool, and
assets with negative outlooks also increased, reaching almost 42%.

  Table 2

  Transaction Key Metrics   As of October 2020     At closing
                            (based on August 2020 (December 2019)
                               trustee report)  
                                                   
  SPWARF                          2,978.49           2568.56
  Default rate dispersion (%)       724.56              N/A
  Weighted-average life (years)       4.61              4.62
  Obligor diversity measure         131.00            127.38
  Industry diversity measure         23.38             17.78
  Regional diversity measure          1.22              1.27
  Total collateral amount
    excluding cash (mil. EUR)       447.84               N/A
  Defaulted assets (mil. EUR)        12.35              0.00
  Number of performing obligors        178               171
  'AAA' WARR (%)                      36.8             38.20
  
  *Under previous CLO criteria.
  SPWARF--S&P Global Ratings' weighted-average rating factor.   
  WARR--Weighted-average recovery rate.
  N/A--Not applicable.

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

"On a standalone basis, the results of our cash flow analysis
indicated that the class E notes could pass at the currently
assigned rating. The collateral portfolio's credit quality has
deteriorated since our previous review, specifically in terms of
defaulted and 'CCC' asset exposure. At the same time, our cash flow
analysis highlights a general increase in excess spread cash flows
attributable to the class E notes. In our view, this is due to an
increase in the weighted-average spread (WAS) and reduced
fixed-rate assets, which resulted in increased break-even default
rates (BDRs) than at closing. The BDRs represent the gross levels
of defaults that the transaction may withstand at each rating
level. We note that the class E notes are still subject to risk
that the credit quality may continue to fall or a reduction in
excess spread could lead to a tightening or failure of the current
rating level. We have therefore affirmed our ratings on the class A
to D and class F notes, and affirmed and removed from CreditWatch
negative our rating on the class E notes.

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

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

"For CLOs where the documented downgrade provisions reflect our
2013 counterparty rating framework, we have also analyzed the CLOs
in accordance with our current counterparty criteria.

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

"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."


MADISON PARK XI: Moody's Confirms B2 Rating on Class F Notes
------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Madison Park Euro Funding XI DAC:

EUR27,800,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR35,200,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR14,700,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

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

EUR309,700,000 Class A-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Jul 12, 2018 Definitive
Rating Assigned Aaa (sf)

EUR13,600,000 Class A-2 Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Jul 12, 2018 Definitive
Rating Assigned Aaa (sf)

EUR10,000,000 Class B-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Jul 12, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR40,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Jul 12, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR36,200,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Jul 12, 2018 Definitive
Rating Assigned A2 (sf)

Madison Park Euro Funding XI DAC, 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 Credit Suisse Asset Management Limited. The
transaction's reinvestment period will end in August 2022.

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

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and rating
affirmations on the Class A-1, A-2, B-1, B-2 and C 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 3478 [1], compared to value of 3100 [2] as of February
2020. 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 and
Class E OC ratios are reported at 137.0%, 124.8%, 116.9% and 108.2%
compared to February 2020 [2] levels of 140.2%, 127.8%, 119.7% and
110.8% respectively.

Moody's notes that none of the OC tests are currently in breach and
the transaction remains in compliance with the following collateral
quality tests: Diversity Score, Weighted Average Recovery Rate
(WARR), Weighted Average Spread (WAS) and Weighted Average Life
(WAL). However, the WARF test is not passing as per the September
trustee report [1].

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 513.0
million,defaulted amounts of EUR 9.3 million, a weighted average
default probability of 29.0% (consistent with a WARF of 3531 over a
weighted average life of 5.8 years), a weighted average recovery
rate upon default of 44.8% for a Aaa liability target rating, a
diversity score of 64 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 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(s),
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, considering 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.




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

QUINTET PRIVATE: Fitch Rates Planned Add'l. Tier 1 Notes 'BB-(EXP)'
-------------------------------------------------------------------
Fitch Ratings has assigned Quintet Private Bank (Europe) S.A.'s
(Quintet, BBB/Stable) planned additional Tier 1 (AT1) notes an
expected rating of 'BB-(EXP)'. The final rating is contingent upon
the receipt of final documents conforming to information already
received.

Quintet's other ratings are unaffected by this rating action.

KEY RATING DRIVERS

The notes are perpetual, deeply subordinated, fixed-rate resettable
AT1 debt securities. The notes have fully discretionary
non-cumulative interest payments and are subject to partial or full
write-down if the bank's consolidated common equity Tier 1 (CET1)
ratio, the bank's solo CET1 ratio or if the consolidated CET1 ratio
of Precision Capital SA, Quintet's parent, falls below 5.125%. The
principal write-down can be reversed and written up at the issuer's
discretion, provided certain conditions are met.

The expected rating is four notches below Quintet's 'bbb' Viability
Rating (VR), in line with Fitch's criteria for assigning ratings to
hybrid instruments. This notching reflects the instrument's higher
expected loss severity relative to the bank's VR due to the notes'
deep subordination (two notches). In addition, the notching
reflects the non-performance risk given fully discretionary coupon
payments and mandatory coupon restriction features, which include a
breach of Quintet's combined buffer requirement (two notches).

Quintet's regulatory capital consists of CET1 capital. The bank
maintains sound buffers above its regulatory capital requirement.
At end-June 2020, Quintet's consolidated CET1 and total capital
ratios both were at 16.7% and were respectively 860bp and 420bp
above the bank's Supervisory Review and Evaluation Process
requirement (8.2% for the CET1 ratio and 12.5% for the total
capital ratio). Precision Capital has no other investments apart
from Quintet and needs to comply with the same minimum capital
requirements as the bank. Precision Capital's consolidated CET1 and
total capital ratios both were at 17.3% at end-June 2020, providing
a strong buffer of about 920bp and 480bp, respectively, above its
Supervisory Review and Evaluation Process requirement.

RATING SENSITIVITIES

Factors that may, individually or collectively, lead to a
downgrade

The AT1 notes' expected rating is primarily sensitive to a
downgrade in Quintet's VR and to a sharp decrease in capitalisation
at Precision Capital.

The rating is also sensitive to changes in its notching from
Quintet's VR, which could arise if Fitch adversely changes its
assessment of the probability of the notes' non-performance
relative to the risk captured in the VR. This may reflect a change
in capital management in the group or an unexpected shift in
regulatory buffer requirements, for example.

Factors that may, individually or collectively, lead to an upgrade

The rating may be upgraded if Fitch positively changes its
assessment of the probability of the notes' non-performance
relative to the risk captured in the VR.

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.




===============
P O R T U G A L
===============

MAGELLAN MORTGAGES: Fitch Hikes Class C Notes to 'BB+sf'
--------------------------------------------------------
Fitch Ratings has upgraded Magellan Mortgages No.1 Plc's (Magellan)
class B notes to 'A+sf' from 'Asf' and affirmed class C notes at
'BB+sf'.

RATING ACTIONS

Magellan Mortgages No.1 Plc

Class B XS0140416057; LT A+sf Upgrade; previously at Asf

Class C XS0140416214; LT BB+sf Affirmed; previously at BB+sf

TRANSACTION SUMMARY

The transaction comprises Portuguese residential mortgage loans
originated and serviced by Banco Comercial Portugues, S.A. (BCP,
BB/Negative/B).

KEY RATING DRIVERS

Counterparty Upgrade

The upgrade and the Negative Outlook of the class B notes reflect
the ratings of the transaction's account bank. The class B notes
rating is capped at 'A+sf', in accordance with Fitch's Structured
Finance and Covered Bonds Counterparty Rating Criteria. This
reflects the transaction's continued exposure to The Royal Bank of
Scotland Plc (A+/F1/Negative), or via Natwest Markets Plc
(A+/F1/Negative), both part of the Royal Bank of Scotland Group,
acting as account bank, swap provider and liquidity provider, as
remedial actions have not been implemented as per transaction
documentation following the transaction account bank´s downgrade
in 2015.

Resilient to Coronavirus Stress

The rating actions also reflect the notes' resilience to larger
projected losses, notably from risks associated with the
coronavirus crisis. Fitch has identified additional stress scenario
to be applied in conjunction with its European RMBS Rating Criteria
in response to the developments related to the coronavirus
pandemic, in accordance with its Global Structured Finance Rating
Criteria. Fitch will apply this additional stress scenario to its
existing and new rating analysis.

Average Payment Holiday Take-up

Magellan 1 envisages a provisioning mechanism for losses and no
explicit default definition. This explains the higher-than-average
three months plus arrears (excluding defaults) in this deal (about
7% of portfolio balance). As the pandemic intensified, the
originator granted payment holidays under the Portuguese government
and Portuguese Banking Association schemes (that can include
principal and interests) that may last until September 2021
(extended by the Portuguese government from March 2021). As of June
2020, the originator reported that moratoria represented around 22%
(compared with a market average of around 25%) of the bank's
mortgage book portfolio. Fitch tested the resilience of the ratings
to 25% of loans in moratoria (interest and principal) for 12
months.

Rising Credit Enhancement (CE)

The securitised mortgage portfolio is seasoned at approximately 19
years for Magellan 1. As such, the weighted average current loan to
value (LTV) has fallen close to 19%, compared with the original LTV
at closing of about 58%. CE on the rated notes is expected to
gradually increase, considering the sequential paydown of the
liabilities and the stable credit performance of the underlying
mortgage portfolios.

Liquidity Cost Drains Funds

The transaction envisages a liquidity facility amount that has been
fully drawn and credited into the transaction account for an amount
equal to EUR30 million. Even if there no usage of the liquidity
amount, the issuer pays a fee based on the drawn amount, which
therefore increases over time as share of the outstanding notes
balance. In Fitch's view the cost of the liquidity limits the
upside of the class C rating despite increasing credit
enhancement.

Magellan Mortgages No. 1 has an ESG Relevance Score of '5' for the
class B notes due to exposure to counterparty risk, which has a
negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

RATING SENSITIVITIES

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

As the class B notes remain capped at The Royal Bank of Scotland
Plc's Issuer Default Rating (IDR) (or dcr if higher, acting as
account bank) and Natwest Markets Plc's IDR (or dcr if higher,
acting as swap and liquidity provider) an upgrade of both IDRs
would result in an upgrade in the rating on the class B notes.

For the class C notes, CE fully compensating for credit losses and
cash flow stresses associated with higher ratings scenarios, all
else being equal, would result in an upgrade.

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

The transaction provisions for losses when no additional recoveries
are expected from a defaulted loan. This results in a late
provisioning mechanism, which reduces the ability of excess spread
to offset asset losses. This could expose the transaction to tail
risk if the recovery process turns out longer than expected.

A longer-than-expected coronavirus crisis that erodes macroeconomic
fundamentals and the mortgage market in Portugal beyond Fitch's
expectations.

CE failing to fully compensate for credit losses and cash flow
stresses associated with the current ratings scenarios, all else
being equal.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases", Fitch considered a more severe downside
coronavirus scenario for sensitivity purposes whereby a more severe
and prolonged period of stress is assumed with a halting recovery
from 2Q21. Under this scenario, Fitch assumed a 15% increase in
WAFF and a 15% decrease in weighted average recovery rate. The
results indicate no impact for both the class B and C notes.

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

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the

performance of the asset pool and the transaction. There were no
findings that affected the

rating analysis. Fitch has not reviewed the results of any
third-party assessment of the asset

portfolio information or conducted a review of origination files as
part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about
the underlying

asset pool ahead of the transaction's initial closing. The
subsequent performance of the

transaction 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

Transaction Parties & Operational Risk: 5

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.




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

ROSGOSSTRAKH PJSC: S&P Raises ICR to 'BB', Outlook Stable
---------------------------------------------------------
S&P Global Ratings upgraded Russia-based Rosgosstrakh PJSC (RGS) to
'BB'. The outlook is stable.

S&P said, "We note that RGS' performance has continued to withstand
the economic and financial shocks of the COVID-19 pandemic. We also
note RGS has coped with decreased oil prices and capital market
volatility, similar to higher rated peers. RGS continues to improve
its capitalization through profit retention with continued premium
growth and good return on equity.

"We still consider RGS to be operationally separate from its
parent, BOFC. We also understand that, once implemented, BOFC's
dividend policy will likely remain balanced. We note that RGS
continues posting positive underwriting results, reporting a net
combined -- loss and expense -- ratio of 95% for the first half of
2020, versus more than 98% in the first half of 2019.

"We expect RGS will continue to operate with a combined ratio at
98%-99% in 2020, increasing slightly toward 100% in 2021,
reflecting intensifying competition and increased prices on car
parts.

"Our view of RGS' business risk profile and continued growth in its
premium base support our rating on the insurer. By the end of June
2020, it ranked No. 5 in terms of gross premium written overall
among property/casualty insurers."

RGS' improved capitalization supports its financial risk profile.
That said, the concentrated investment portfolio, along with BOFC's
unclear future dividend policy, constrain RGS' financial risk
profile.

Investment-grade bonds issued by Russia accounted for about 25% of
RGS' total investment portfolio as of July 1, 2020. Concentration
on BOFC through bank deposits is high, increasing to about 38% of
all investments in the first half of 2020 from 23% as of July 1,
2019. We think this increase in concentration is temporary and
relates to financial market turmoil in 2020. This figure remains
below the 65% reported on June 30, 2018, and we expect it to
decline to 10% over the next 24 months due to regulatory
requirements.

S&P said, "We still think RGS will continue to benefit from its
ownership by BOFC and its ultimate shareholder, the Central Bank of
Russia. This ownership structure leads us to view the insurer as a
government-related entity, but we do not add any additional notches
of support to the ratings. We do not anticipate RGS will require
any additional financial support in 2020-2022.

"We understand RGS operates separately from BOFC, and its financial
performance and funding are highly independent from its parent's.
RGS does not have any significant operational dependence on the
group's other entities either. The insurer maintains its own
records and funding arrangements and does not commingle funds,
assets, or cash flows with BOFC. There is a strong economic basis
for BOFC and the central bank to preserve RGS' credit strength.

"The stable outlook reflects our expectation that RGS will continue
to show strong capital through profit retention over the next 12
months, with business growth continuing in 2021.

"An upgrade, albeit unlikely at this stage, would depend on
positive credit developments at the BOFC group level and reduced
concentration in RGS' investment portfolio. We would also require
more clarity regarding BOFC's ultimate dividend plans, with RGS
demonstrating continued positive operating performance.

"We would downgrade RGS if its underwriting performance were
significantly weaker than expected. This could stem from very high
premium growth or an unexpected deterioration in capital adequacy
due to a sizable dividend to BOFC, for example. We could also lower
the issuer credit rating on RGS if BOFC group's credit quality were
to deteriorate."




=====================
S W I T Z E R L A N D
=====================

TRANSOCEAN LTD: Plans to Prevent Bankruptcy Can Cause the Same
--------------------------------------------------------------
Allison McNeely of Bloomberg News reports that the measures taken
by Transocean Ltd. to stave off a bankruptcy filing could be
exactly what ends up sending the offshore drilling company into
Chapter 11 alongside some of its biggest peers.

The world's largest owner of deep-water oil rigs recently
engineered a bond swap to trim some of its US$9 billion debt load
and ease the crunch caused by slumping energy prices, Bloomberg
relates.  But other creditors, led by Whitebox Advisors LLC and
Pacific Investment Management Co., say the transaction amounts to a
default because it pledges assets that Transocean already promised
to them, Bloomberg notes.

They've given the company until Dec. 1 to cure the default,
Bloomberg relays, citing a court filing.  According to Bloomberg,
people with knowledge of the matter said the creditors are seeking
a settlement, but would be prepared to demand immediate repayment
of their debt if a deal cannot be reached, which could lead to
Transocean filing for bankruptcy.

Transocean has said in court papers that the default claim is
baseless and should be dismissed, Bloomberg notes.  It called
Whitebox "a dissident minority noteholder seeking to force the
company into bankruptcy," and said the default notice threatens
"access to liquidity that is essential to the company's continued
successful operations", Bloomberg recounts.

On paper, Transocean is in better shape than some of its rivals.
Led by Chief Executive Officer Jeremy Thigpen and headquartered in
Steinhausen, Switzerland, the company has enough liquidity and
contracts to keep operating until 2023, according to industry
watchers, Bloomberg states.

The Transocean dispute revolves around its August offer to swap
various bonds for as much as US$750 million in new notes maturing
in 2027, Bloomberg discloses.  The group of creditors, who own at
least 50% of Transocean's priority guaranteed notes maturing in
2025 and 2027, say the exchange is forbidden because the company
issued new senior debt guaranteed by assets that were already to
pledged to their existing notes, according to Bloomberg.

They initially claimed the "fraudulent and coercive" exchange offer
contained misleading statements, and sought to have the exchange
halted entirely, Bloomberg says, citing a complaint filed in
federal court.  Judge George B. Daniels denied the request, and
Transocean went ahead with the deal, extending the deadline,
Bloomberg recounts.  The company also filed a counter-claim against
the creditor group, asking Judge Daniels to dismiss the default
notice, Bloomberg notes.

The people, as cited by Bloomberg, said dissenting noteholders,
represented by the Milbank law firm and advisers from Evercore
Inc., would like to see a restructuring of Transocean's balance
sheet -- in or out of bankruptcy -- that engages with all
stakeholders.

                       Bankruptcy Advantage

Analysts said if Judge Daniels were to rule against the creditors,
and the company manages to stay out of bankruptcy, it could still
face a different kind of pressure, Bloomberg notes.

Competitors like Valaris and Noble will have lower operational and
debt costs as a result of going through Chapter 11, and thus be
more able to compete on price, Bloomberg says.  That's significant
in an industry that remains chronically oversupplied with too many
rigs and not enough offshore drilling work generated by producers,
Bloomberg notes.

"This could create a scenario in which companies with more leverage
coming out of the downturn may be at a disadvantage versus
better-capitalized peers," Bloomberg quotes Scott Levine, a
Bloomberg Intelligence analyst, as saying in a Sept. 21, 2020
note.

Fredrik Stene, an analyst at Clarksons Platou Securities AS, said
Transocean has been able to rely on its backlog of contracts and
ample liquidity, but it will ultimately need the offshore market to
recovery meaningfully in the next two to three years, Bloomberg
relates.  The backlog is already shrinking and leverage could climb
toward 10 times debt to earnings by the end of the year, according
to Bloomberg Intelligence.

                      About Transocean Ltd.

Transocean Ltd. is the world's largest offshore drilling contractor
based on revenue and is based in Vernier, Switzerland. The company
has offices in 20 countries, including Switzerland, Canada, United
States, Norway, Scotland, India, Brazil, Singapore, Indonesia and
Malaysia.

Transocean recorded a net loss of $1.25 billion for the year ended
Dec. 31, 2019, compared to a net loss of $2 billion for the year
ended Dec. 31, 2018. As of March 31, 2020, the Company had $23.45
billion in total assets, $1.59 billion in total current
liabilities, $10.38 billion in total long-term liabilities, and
$11.47 billion in total equity.

                         *     *     *

As reported by the TCR on April 29, 2020, S&P Global Ratings
lowered its issuer credit rating on Transocean Ltd. to 'CCC' from
'CCC+'. "The collapse in oil prices has led to a sharp drop in
demand for oilfield services, and we expect offshore activity to
take a substantial hit. The recent material drop in oil prices --
kicked off by the Saudi-Russian price war and worsened by the
unprecedented drop in demand as a result of the coronavirus
pandemic -- has led to sharp reductions in oil producers' capital
spending plans for 2020. This will significantly reduce demand for
the oilfield services sector.  We expect offshore activity to be
hit particularly hard, given the higher costs, higher operating
risk, and longer payback periods for offshore projects relative to
onshore plays," S&P said.




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

J A BALL: Enters Administration, 18 Jobs Affected
-------------------------------------------------
Tom Pegden at BusinessLive reports that J A Ball Ltd., a
family-owned building contractor, has gone into administration due
to problems caused by the pandemic.

The Leicestershire-based company officially ceased trading a few
days ago, with the loss of 18 jobs, BusinessLive relates.

According to BusinessLive, a statement from business recovery and
insolvency experts Smith Cooper said restrictions caused by
Covid-19 had led to missed completion dates, hampering the
company's ability to meet its financial obligations and continue
trading.

It said that, together with a contract that resulted in a
substantial cost overrun, had cut short the business's available
working capital, BusinessLive notes.

Insolvency practitioner Michael Roome was appointed to lead the
administration process, BusinessLive discloses.

J A Ball Ltd., which worked in the public and private sector, was
founded in 1992 and specialized in refurbishments, extension work,
and commercial projects -- including building churches and schools.



JPIMEDIA: Gets Bid From Archant, Et Al., Ahead of Deadline
----------------------------------------------------------
CoastFM, citing SkyNews, reports that Archant and a consortium
comprising of the former Mirror boss David Montgomery and
turnaround investor Endless tabled bids for JPIMedia ahead of a
deadline this week.

The offers pave the way for a change of ownership for some of
Britain's best-known local newspapers, including the Yorkshire
Post, CoastFM notes.

Norwich-based Archant, which publishes the Eastern Daily Press,
recently agreed a rescue deal with Rcapital, and is seen by
analysts as the likeliest buyer of JPIMedia because of the
potential cost savings that a merger would generate CoastFM
relates.

Mr. Montgomery created a listed vehicle called National World to
acquire media assets, but lost out in the Archant auction, CoastFM
discloses.

JPIMedia employs close to 2000 people across the UK and publishes
scores of titles, many of which have switched to digital-only
editions in recent years, CoastFM states.

Since late 2018, the company has been owned by hedge funds and
other institutional investors including Goldentree Asset
Management, CarVal and Fidelity, when the then Johnston Press
collapsed into administration, CoastFM relays.

The insolvency process which led to the creation of JPIMedia
involved writing off GBP135 million debt, leaving it with GBP85
million of borrowings, CoastFM discloses.

Its new owners also injected GBP35 million of new capital into the
company to put it on a more sustainable footing, CoastFM recounts.

A voluntary redundancy program and overhaul of the company's
property portfolio have since been implemented by the company's new
owners, according to CoastFM.


MOTOR PLC 2016-1: Moody's Hikes Class F Notes to Ba1
----------------------------------------------------
Moody's Investors Service upgraded the ratings of four notes in
Motor 2016-1 plc. The rating action reflects an increase in credit
enhancement for the affected tranches and better than expected
collateral performance.

Moody's affirmed the ratings of the notes that had sufficient
credit enhancement to maintain the current rating on the affected
notes.

GBP528M Class A Notes, Affirmed Aaa (sf); previously on Dec 17,
2019 Affirmed Aaa (sf)

GBP15M Class B Notes, Affirmed Aaa (sf); previously on Dec 17, 2019
Upgraded to Aaa (sf)

GBP30M Class C Notes, Upgraded to Aaa (sf); previously on Dec 17,
2019 Upgraded to Aa1 (sf)

GBP9M Class D Notes, Upgraded to Aa1 (sf); previously on Dec 17,
2019 Upgraded to Aa3 (sf)

GBP13M Class E Notes, Upgraded to A1 (sf); previously on Dec 17,
2019 Upgraded to Baa1 (sf)

GBP5M Class F Notes, Upgraded to Ba1 (sf); previously on Dec 17,
2019 Affirmed Ba3 (sf)

RATINGS RATIONALE

The rating action is prompted by better than expected collateral
performance and the increased levels of credit enhancement.

Revision of Key Collateral Assumptions:

As part of the rating action, Moody's reassessed its default
probability and recovery rate assumptions for the portfolio
reflecting the collateral performance to date.

Delinquencies with 90 days plus arrears are currently standing at
1.98% of current pool balance. Cumulative defaults currently stand
at 1.34% of original pool balance plus replenished amounts.

The current default probability is 3.25% of the current portfolio
balance, which translates into a default probability assumption on
original balance of 1.75%. Moodys maintained the assumption for the
fixed recovery rate is 40% and the portfolio credit enhancement of
12.5%.

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
consumer assets from the current weak UK 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.

Increase in Available Credit Enhancement

Sequential amortization led to the increase in the credit
enhancement available in this transaction.

For instance, the credit enhancement for the most senior tranche
affected by the rating action, Class C, increased to 16.60% from
8.60% since the last rating action.

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

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

Factors or circumstances that could lead to an upgrade of the
ratings include (1) performance of the underlying collateral that
is better than Moody's expected, (2) an increase in available
credit enhancement and (3) improvements in the credit quality of
the transaction counterparties and (4) a decrease in sovereign
risk.

Factors or circumstances that could lead to a downgrade of the
ratings include (1) an increase in sovereign risk 2) performance of
the underlying collateral that is worse than Moody's expected, (3)
deterioration in the notes' available credit enhancement and (4)
deterioration in the credit quality of the transaction
counterparties.


NMC HEALTH: Aims to Complete Restructuring, Sale by April 2021
--------------------------------------------------------------
Michael Fahy at The National reports that the administrators of NMC
Health are looking to complete either a lender-led restructuring or
a sale of the business by the end of April next year.

Advisers working on the restructuring also expect to achieve
non-core asset sales quickly, with firm bids for the Luarmia IVF
clinics based in Spain and UK-based private hospitals company Aspen
Healthcare by early next month, they said on a call to NMC's
lenders on Oct. 7, The National relates.

According to The National, Max Frangulov, managing director of
administrators Alvarez & Marsal, told lenders "We want to complete
this process and deliver the value to you as quickly as possible.
We are trying to get to this point in Q1 2021."

"Obviously, it's a very complex situation and we have to resolve
things that are popping up here and there all of the time, so we
are pinning it at the first half of 2021."

NMC Health is the UAE's largest private healthcare provider.  The
company, which was listed on the London Stock Exchange, was placed
into administration in April after investigators highlighted
"suspected fraudulent behavior", uncovering debt of more than
US$6.6 billion, considerably higher than the US$2.1 billion
recorded on its balance sheet. It was delisted from the exchange
shortly, The National recounts.

The company's administrators had three main objectives,
Mr. Frangulov said -- saving the business, maximizing returns to
creditors and pursuing wrongdoers, The National notes.

Mr. Frangulov said following a second administration process in the
Abu Dhabi Global Markets Courts last week, which provided
protection from local creditor claims and triggered a US$325
million funding facility from existing lenders, the business is now
safe, The National relays.

"We know that it's going to continue, that it has liquidity to
support its operations.  And there will be [an] exit from
administration, whether it's going to be a sale of the business or
a plan of reorganization supported by lenders," The National quotes
Mr. Frangulov as saying.

Lenders will be asked to vote on the two options, a presentation
accompanying the call showed, The National discloses.  If a
reorganization cannot be agreed by the end of February, a sale
process will begin, which will conclude by April 30 next year, The
National states.

Under the reorganization, the business would be recapitalized with
US$203 million of secured debt and between US$325 million to US$650
million from an exit facility, according to The National.  Lenders
would likely receive higher returns, but would need to wait for a
longer period for the business to generate the necessary earnings
to pay back claims, The National says.  A sale process would
provide cash more quickly, but proceeds are likely to be "much
lower" than under a restructuring, The National notes.

In terms of pursuing wrongdoers, an investigation report will be
filed by December which will outline "details of the fraud that
took place" and will identify "the perpetrators and any colluding
parties", Mr. Frangulov, as cited by The National, said.


NMC HEALTH: Founder Seeks Help of Indian Agencies to Probe Fraud
----------------------------------------------------------------
Fareed Rahman at The National reports that BR Shetty, the founder
of NMC Health and Finablr, is seeking the help of Indian agencies
to investigate an alleged US$6 billion fraud committed by former
top executives of his companies in connivance with "unscrupulous"
bankers, according to Indian media.

According to The National, The Economic Times reported on Oct. 8
that Mr. Shetty, who is currently in India, submitted a written
complaint to the Central Bureau of Investigation and Enforcement
Directorate, requesting a probe into the alleged embezzlement,
corruption and laundering of company funds by his former chief
executives Prasanth Manghat and his brother Promoth Manghat.

Promoth Manghat stepped down as the chief executive of Finablr in
March, while Mr. Prasanth was removed from his position as the
chief executive of NMC Health in February, The National recounts.

Mr. Shetty also named other individuals and institutions in his
complaint seeking criminal action against them, The National
relays, citing the report.

It is unclear what the scope of an investigation by Indian agencies
might be due to legal jurisdiction matters, The National notes.

The CBI and ED are yet to acknowledge Mr. Shetty's complaints, The
National says, citing ET.

NMC Health was founded by Mr. Shetty in 1975 and grew from a single
hospital into the UAE's biggest privately-owned healthcare
operator.

The company was listed on the London Stock Exchange in 2012 and was
valued at GBP8.58 billion at its peak but was put into
administration in April after it declared its debts, at US$6.6
billion, were materially higher than the US$2.1 billion previously
stated in its accounts, The National relates.

NMC's biggest lender, ADCB, initiated criminal legal proceedings
with the attorney general in Abu Dhabi against Mr. Shetty and a
number of other individuals, The National discloses.  A worldwide
freezing order on Mr. Shetty's assets has also been issued by the
DIFC Courts following a claim filed by Credit Europe Bank, The
National states.

According to The National, ET reported that in the complaint to
CBI, Mr. Shetty claimed that he was "deceived" by the Manghat
brothers who gained control over his companies and large amounts of
cash and corporate funds, and alleged that the embezzled money was
used by the duo to "bribe employees in key functions, auditors and
bankers who aided them in the fraud".


[*] DBRS Confirms Ratings on 57 Tranches on 11 Euro RMBS Deals
--------------------------------------------------------------
DBRS Ratings Limited and DBRS Ratings GmbH confirmed 57 tranches
and downgraded one tranche across 11 European RMBS transactions.
The rating actions resolve the Under Review with Negative
Implications (UR-Neg.) status of 33 tranches and 11 transactions
(please refer to the press release, "DBRS Morningstar Places 56
Ratings of 17 European RMBS Transactions Under Review with Negative
Implications" published June 24, 2020, for more information).

A list of rating actions is available at https://bit.ly/3jenoqP

DBRS Morningstar has assessed the potential impact of the
Coronavirus Disease (COVID-19) pandemic on these transactions by
adjusting its collateral assumptions in line with the risk factors
in its commentary published on May 5, 2020, outlining how the
coronavirus crisis is likely to affect DBRS Morningstar-rated RMBS
transactions in Europe.

Although these transactions are secured by asset pools that may
include high levels of restructured or reperforming loans, past
delinquencies, refinancing risk exposure, or high concentrations of
self-employed borrowers, which have resulted in upward revisions of
its base-case probability of default (PD) and loss given default
(LGD) assumptions, DBRS Morningstar considers the performance of
each transaction, along with available credit enhancements and
other mitigating factors inherent in the transaction structures, to
be consistent with its rating confirmations and the removal of the
UR-Neg. status, with the exception of the Class F1 Notes in
Residential Mortgage Securities 31 Plc, which was downgraded to CC
(sf) from B (sf). DBRS Morningstar will continue to monitor these
transactions, as the ongoing impact of the coronavirus pandemic may
have longer-term credit implications, and levels of delinquencies,
defaults, and losses in excess of DBRS Morningstar's expectations
may eventually manifest.

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

For these transactions, DBRS Morningstar incorporated a moderate
reduction in residential property values and, where relevant for
the portfolio, DBRS Morningstar increased the expected default rate
for self-employed borrowers, assessed a potential reduction in
portfolio prepayment rates, and applied additional adjustments to
restructured loans.

Should collateral performance deteriorate beyond the levels
contemplated under DBRS Morningstar's revised base case
assumptions, or in the event of a material change in DBRS
Morningstar's macroeconomic forecasts, these transactions may be
placed UR-Neg. once again.

For a transaction performance comparison, please refer to the
appendix PDF, which has a table including payment moratoriums and
delinquencies information for every transaction.

KEY RATING DRIVERS AND CONSIDERATIONS

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

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

-- PD, LGD, and expected loss assumptions on the remaining
collateral portfolios.

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

-- Current economic environment and an assessment of sustainable
performance, as a result of the coronavirus pandemic.

DBRS Morningstar analyzed the transaction structures in Intex
DealMaker.

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


[*] DBRS Keeps 21 Tranches on 5 Euro RMBS Deal on Review Negative
-----------------------------------------------------------------
DBRS Ratings Limited and DBRS Ratings GmbH, on Sept. 24, 2020,
maintained the Under Review with Negative Implications status on 21
tranches across five RMBS European RMBS transactions:

Dublin Bay Securities 2018-MA1 DAC:

-- Class C Notes rated A (high) (sf)
-- Class D Notes rated A (sf)
-- Class E Notes rated BBB (sf)
-- Class F Notes rated B (high) (sf)
-- Class Z1 Notes rated B (low) (sf)

European Residential Loan Securitization 2019-PL1 DAC:

-- Class B Notes rated AA (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)
-- Class F Notes rated B (high) (sf)

Miravet 2019-1:

-- Class B Notes rated A (high) (sf)
-- Class C Notes rated BBB (high) (sf)
-- Class D Notes rated BB (high) (sf)
-- Class E Notes rated BB (sf)

Mulcair Securities DAC:

-- Class B Notes rated AA (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)

Rochester Financing No.2 Plc:

-- Class D Notes rated A (sf)
-- Class E Notes rated BBB (low) (sf)
-- Class F Notes rated BB (sf)

DBRS Morningstar also rates several tranches issued in the context
of these transactions that it did not place Under Review with
Negative Implications. DBRS Morningstar considers the senior
tranches, typically rated in the AAA (sf) or AA (sf) ranges, to be
generally less affected as a result of the adjustments applied in
DBRS Morningstar's analysis based on the current economic
environment

KEY RATING DRIVERS AND CONSIDERATIONS

On May 5, 2020, DBRS Morningstar released its commentary "European
RMBS Transactions' Risk Exposure to Coronavirus (COVID-19) Effect"
(https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect)
where DBRS Morningstar discussed the overall risk exposure of the
RMBS sector to the coronavirus and provided a framework for
identifying the transactions that are more at risk and likely to be
affected by the fallout of the pandemic on the economy. The primary
conclusion is that in the short term, mortgage payment holidays can
lead to reduced cash flows, while longer-term credit effects may
include higher levels of delinquencies, defaults, and losses.
Considering the framework, the aforementioned tranches placed Under
Review with Negative Implications are generally those secured by
asset pools with high levels of restructured loans, reperforming
loans or past delinquencies, refinancing risk exposure, or high
concentrations of self-employed borrowers.

As the full impact on transactions performance has yet to be
ascertained, DBRS Morningstar has maintained the under review
period to allow further time for observation before resolving the
status of the affected ratings for these transactions. The ratings
were placed Under Review with Negative Implications on June 24,
2020.

DBRS Morningstar typically endeavors to resolve the status of
ratings Under Review with Negative Implications as soon as
appropriate. If heightened market uncertainty and volatility
persist, DBRS Morningstar may extend the Under Review status for a
longer period of time.

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




===============
X X X X X X X X
===============

[*] BOOK REVIEW: Hospitals, Health and People
---------------------------------------------
Author: Albert W. Snoke, M.D.
Publisher: Beard Books
Softcover: 232 pages
List Price: $34.95
Order your personal copy today at
http://www.beardbooks.com/beardbooks/hospitals_health_and_people.html
Hospitals, Health and People is an interesting and very readable
account of the career of a hospital administrator and physician
from the 1930's through the 1980's, the formative years of today's
health care system. Although much has changed in hospital
administration and health care since the book was first published
in 1987, Dr. Snoke's discussion of the evolution of the modern
hospital provides a unique and very valuable perspective for
readers who wish to better understand the forces at work in our
current health care system.

The first half of Hospitals, Health and People is devoted to the
functional parts of the hospital system, as observed by Dr. Snoke
between the late 1930's through 1969, when he served first as
assistant director of the Strong Memorial Hospital in Rochester,
New York, and then as the director of the Grace-New Haven Hospital
in Connecticut. In these first chapters, Dr. Snoke examines the
evolution and institutionalization of a number of aspects of the
hospital system, including the financial and community
responsibilities of the hospital administrator, education and
training in hospital administration, the role of the governing
board of a hospital, the dynamics between the hospital
administrator and the medical staff, and the unique role of the
teaching hospital.

The importance of Hospitals, Health and People for today's readers
is due in large part to the author's pivotal role in creating the
modern-day hospital. Dr. Snoke and others in similar positions
played a large part in advocating or forcing change in our hospital
system, particularly in recognizing the importance of the nursing
profession and the contributions of non-physician professionals,
such as psychologists, hearing and speech specialists, and social
workers, to the overall care of the patient. Throughout the first
chapters, there are also many observations on the factors that are
contributing to today's cost of care. Malpractice is just one
example. According to Dr. Snoke, "malpractice premiums were
negligible in the 1950's and 1960's. In 1970, Yale-New Haven's
annual malpractice premiums had mounted to about $150,000." By the
time of the first publication of the book, the hospital's premiums
were costing about $10 million a year.

In the second half of Hospitals, Health and People, Dr. Snoke
addresses the national health care system as we've come to know it,
including insurance and cost containment; the role of the
government in health care; health care for the elderly; home health
care; and the changing role of ethics in health care. It is
particularly interesting to note the role that Senator Wilbur Mills
from Arkansas played in the allocation of costs of hospital-based
specialty components under Part B rather than Part A of the
Medicare bill. Dr. Snoke comments: "This was considered a great
victory by the hospital-based specialists. I was disappointed
because I knew it would cause confusion in working relationships
between hospitals and specialists and among patients covered by
Medicare. I was also concerned about potential cost increases. My
fears were realized. Not only have health costs increased in
certain areas more than anticipated, but confusion is rampant among
the elderly patients and their families, as well as in hospital
business offices and among physicians' secretaries." This aspect of
Medicare caused such confusion that Congress amended Medicare in
1967 to provide that the professional components of radiological
and pathological in-hospital services be reimbursed as if they were
hospital services under Part A rather than part of the co-payment
provisions of Part B.

At the start of his book, Dr. Snoke refers to a small statue,
Discharged Cured, which was given to him in the late 1940's by a
fellow physician, Dr. Jack Masur. Dr. Snoke explains the
significance the statue held for him throughout his professional
career by quoting from an article by Dr. Masur: "The whole question
of the responsibility of the physician, of the hospital, of the
health agency, brings vividly to mind a small statue which I saw a
great many years ago.it is a pathetic little figure of a man, coat
collar turned up and shoulders hunched against the chill winds,
clutching his belongings in a paper bag-shaking, tremulous,
discouraged. He's clearly unfit for work-no employer would dare to
take a chance on hiring him. You know that he will need much more
help before he can face the world with shoulders back and
confidence in himself. The statuette epitomizes the task of medical
rehabilitation: to bridge the gap between the sick and a job."

It is clear that Dr. Snoke devoted his life to exactly that
purpose. Although there is much to criticize in our current
healthcare system, the wellness concept that we expect and accept
today as part of our medical care was almost nonexistent when Dr.
Snoke began his career in the 1930's. Throughout his 50 years in
hospital administration, Dr. Snoke frequently had to focus on the
big picture and the bottom line. He never forgot the importance of
Discharged Cured, however, and his book provides us with a great
appreciation of how compassionate administrators such as Dr. Snoke
have contributed to the state of patient care today. Albert Waldo
Snoke was director of the Grace-New Haven Hospital in New Haven,
Connecticut from 1946 until 1969. In New Haven, Dr.
Snoke also taught hospital administration at Yale University and
oversaw the development of the Yale-New Haven Hospital, serving as
its executive director from 1965-1968. From 1969-1973, Dr. Snoke
worked in Illinois as coordinator of health services in the Office
of the Governor and later as acting executive director of the
Illinois Comprehensive State Health Planning Agency. Dr. Snoke died
in April 1988.



                           *********


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

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

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

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.

Information contained herein is obtained from sources believed to
be reliable, but is not guaranteed.

The TCR Europe subscription rate is US$775 per half-year,
delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000.


                * * * End of Transmission * * *