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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

          Tuesday, October 13, 2020, Vol. 21, No. 205

                           Headlines



A R M E N I A

YEREVAN CITY: Fitch Lowers LT IDR to B+, Outlook Stable


F R A N C E

RENAULT SA: Fitch Lowers LongTerm IDR to BB, Outlook Negative


G E R M A N Y

WIRECARD AG: Germany Presents Plans to Strengthen BaFin's Powers


I R E L A N D

CAIRN CLO XI: Fitch Affirms B-sf Rating on Class F Debt
COMPU B: High Court Approves Survival Scheme
CVC CORDATUS IV: Fitch Affirms B-sf Rating on Class F-RR Notes
CVC CORDATUS XVI: S&P Lowers Rating to 'BB-' on Class E Notes
GLG EURO CLO III: S&P Affirms 'BB' Rating on Class E Notes

NEWHAVEN CLO: Fitch Affirms B-sf Rating on Class F-R Debt
NEWHAVEN II CLO: Fitch Affirms B-sf Rating on Class F-R Debt
OZLME IV: Fitch Affirms B-sf Rating on Class F Debt
PENTA CLO 6: Fitch Affirms B-sf Rating on Class F Debt
RYE HARBOUR: Fitch Affirms B-sf Rating on Class F-R Debt

TORO EUROPEAN 6: S&P Lowers Class E Notes Rating to 'B+ (sf)'


I T A L Y

SAN MARINO: Fitch Affirms BB+ LongTerm IDR, Outlook Negative


N E T H E R L A N D S

EMF-NL PRIME 2008-A: Fitch Affirms CCsf Rating on 2 Tranches


P O L A N D

CYFROWY POLSAT: S&P Affirms 'BB+' ICR on Slow Deleveraging


R U S S I A

PETROPAVLOVSK: S&P Lowers ICR to 'B-', On CreditWatch Negative


S P A I N

BANJACA 8: Fitch Affirms B+sf Rating on Class D Debt
DISTRIBUIDORA INTERNACIONAL: S&P Raises ICR to 'CCC-', Outlook Neg.


U N I T E D   K I N G D O M

BHS GROUP: Philip Green Scuppered Sale to Mike Ashley
BOPARAN HOLDINGS: S&P Puts 'CCC+' ICR on Creditwatch Positive
EASYJET PLC: To Post First Full-Year Loss, May Seek State Loan
MALLINCKRODT PLC: Initiates Chapter 11 Bankruptcy Proceedings
PIZZA EXPRESS: Bondholders Set to Take Over

PREMIER FOODS: S&P Ups ICR to 'B+' on Debt Reduction, Outlook Pos.
ROLLS-ROYCE PLC: Moody's Rates New GBP1-Bil. Unsec. Notes 'Ba3'

                           - - - - -


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A R M E N I A
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YEREVAN CITY: Fitch Lowers LT IDR to B+, Outlook Stable
-------------------------------------------------------
Fitch Ratings has downgraded the Armenian City of Yerevan's
Long-Term Foreign-Currency Issuer Default Rating (IDR) to 'B+' from
'BB-'. The Outlook is Stable.

The downgrade follows a similar action on the sovereign ratings of
Armenia, due to worse-than- expected economic deterioration caused
by the coronavirus pandemic and the recent escalation of the
large-scale military actions along the Line of Contact in the
Nagorno-Karabakh conflict zone. Fitch views the city's ratings as
being capped by the sovereigns.

CRA3 DEVIATION

Under EU credit rating agency (CRA) regulation, the publication of
local and regional governments' (LRGs) reviews is subject to
restrictions and must take place according to a published schedule,
except where it is necessary for CRAs to deviate from this in order
to comply with their legal obligations. Fitch interprets this
provision as allowing us to publish a rating review in situations
where there is a material change in the creditworthiness of the
issuer that Fitch believes makes it inappropriate for us to wait
until the next scheduled review date to update the rating or
Outlook/Watch status. The next scheduled review date for Fitch's
rating on Yerevan City is November 20, 2020, but Fitch believes
that recent developments in the country warrant such a deviation
from the calendar and its rationale for this is laid out below.

While Yerevan City's most recently available data may not have
indicated performance impairment, material changes in revenue and
cost profiles are occurring across the sector and likely to worsen
in the coming months as economic activity suffers and government
restrictions related to the coronavirus pandemic are maintained or
broadened. Fitch's ratings are forward-looking in nature, and Fitch
will monitor developments in the sector for their severity and
duration, and incorporate revised base- and rating-case qualitative
and quantitative inputs based on performance expectations and
assessment of key risks.

KEY RATING DRIVERS

Risk Profile: 'Weaker'

Yerevan's risk profile reflects a 'Weaker' assessment for four key
factors - revenue robustness and adjustability; expenditure
adjustability; and liabilities and liquidity flexibility. The other
attributes, expenditure sustainability and liabilities and
liquidity robustness, are assessed as 'Midrange'.

Debt Sustainability Assessment: 'aaa'

According to its rating case, Yerevan's debt payback ratio (net
direct risk-to-operating balance) - the primary metric of debt
sustainability assessment - will remain strong over the next five
years due to sufficient cash and expected low debt, which leads to
its 'aaa' assessment. The secondary metrics, fiscal debt burden
measured as net adjusted debt-to-operating revenue, and actual
debt-servicing coverage ratio, support this assessment. This leads
to the city's overall debt sustainability assessment at 'aaa'.

DERIVATION SUMMARY

Yerevan's Standalone Credit Profile (SCP) is assessed at 'bbb-',
reflecting a combination of a 'Weaker' risk profile and 'aaa' debt
sustainability metrics under Fitch's rating-case scenario. The SCP
also reflects peer comparison. Fitch does not apply any asymmetric
risk or extraordinary support from the national government. The
city's IDR remains capped by that of the sovereign.

KEY ASSUMPTIONS

Qualitative assumptions and assessments and their respective change
since the last review on May 22, 2020 and weight in the rating
decision:

Risk Profile: 'Weaker', unchanged with low weight

Revenue Robustness: 'Weaker', unchanged with low weight

Revenue Adjustability: 'Weaker', unchanged with low weight

Expenditure Sustainability: 'Midrange', unchanged with low weight

Expenditure Adjustability: 'Weaker', unchanged with low weight

Liabilities and Liquidity Robustness: 'Midrange', unchanged with
low weight

Liabilities and Liquidity Flexibility: 'Weaker', unchanged with low
weight

Debt sustainability: 'aaa' category, unchanged with low weight

Support: n/a

Asymmetric Risk: n/a

Sovereign Cap: Yes, weakening with high weight

Quantitative assumptions - issuer-specific

Fitch's rating case is a "through-the-cycle" scenario, which
incorporates a combination of revenue, cost and financial risk
stresses. It is based on 2014-2018 figures and 2019-2023 projected
ratios. The key assumptions for the scenario include:

  - 5.7% yoy increase in operating revenue on average in 2019-2023,
including a 4.2% increase in taxes, 6.3% increase in non-tax
revenue and 6.7% increase in current transfers;

  - 15.4% yoy increase in operating spending on average in
2019-2023.

  - Negative capital balance of AMD4,104 million on average in
2019-2023;

Quantitative assumptions - sovereign-related (no weights are
included as none of these assumptions was material to the rating
action)

Figures as per Fitch's sovereign actual for 2019 and forecast for
2020, respectively:

  - GDP per capita (US dollar, market exchange rate): 4,623; 4,365

  - Real GDP growth (%): 7.6; -6.2

  - Consumer prices (annual average % change): 1.4; 1

  - General government balance (% of GDP): -0.8; -7.6

  - General government debt (% of GDP): 53.5; 63.9

  - Current account balance plus net FDI (% of GDP): -4.3; -4.8

  - Net external debt (% of GDP): 47.3; 54.4

  - IMF Development Classification: EM

  - CDS Market-Implied Rating: n/a

RATING SENSITIVITIES

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

  - A downgrade of Armenia's IDRs or a negative rating action on
Outlook; and

  - A multiple-notch revision of the city's SCP below 'bb-', which
could be driven by material deterioration of Yerevan's debt
metrics, particularly a debt payback sustainably above 5x
accompanied by fiscal debt burden overshooting 50% under Fitch's
rating case.

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

  - An upgrade of Armenia's IDRs.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

Yerevan's IDRs are linked to Armenia's IDRs.

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.




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F R A N C E
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RENAULT SA: Fitch Lowers LongTerm IDR to BB, Outlook Negative
-------------------------------------------------------------
Fitch Ratings has downgraded Renault SA's Long-Term Issuer Default
Rating (IDR) and senior unsecured rating to 'BB' from 'BB+', and
has simultaneously withdrawn the senior unsecured rating. The
Outlook on the IDR is Negative.

The downgrade reflects the sharp deterioration of key credit
metrics in 2020 and its projections that a robust and sustained
recovery will stretch beyond the rating horizon of the next
two-three years. Fitch expects key credit ratios to remain weak for
the ratings until at least end-2022, with free cash flow (FCF) to
remain negative in 2021 and increase to only about breakeven in
2022. This should lead funds flow from operations (FFO) gross and
net leverage to remain well above 4x and 2x, respectively, through
to end-2022.

Renault announced some cost-saving measures in May 2020 that will
bolster earnings and cash generation. It will also detail an
updated business plan in early 2021, which Fitch expects will
further support credit metrics. However, Fitch believes these
measures will weigh on profitability and cash flow in the short
term and will take at least a couple of years before having a net
positive effect on FCF.

The Negative Outlook reflects the risk of executing the announced
plan under the expected timeframe. It also reflects the risk of a
protracted weakened economic environment and its potential effect
on new vehicle sales, particularly in Europe. A weaker- or
longer-than-expected rebound in sales further impairing Renault's
financial performance could lead to another downgrade. Conversely,
a stronger-than-expected recovery in the economic environment in
2021, boosting new vehicle sales, and early signs of a smooth
implementation of the company's cost-saving measures, could help
stabilise the Outlook and support the IDR.

Fitch has withdrawn the senior unsecured rating of Renault for
Commercial Purposes.

KEY RATING DRIVERS

Profitability Hit: In Europe, from where Renault derives about half
of its unit sales and about two thirds of its revenue, Fitch
expects car sales to plummet by 20%-25% in 2020. The fall in
revenue will strongly impair fixed cost absorption and will have a
material effect on profitability this year. Fitch expects Renault's
industrial operating margin to be sharply negative in 2020, at
about -3.5% down from 2.7% in 2019 and 4.4% in 2018.

Cash Absorption: Fitch projects Renault will burn substantial cash
in 2020 from a combination of deteriorating FFO and working capital
absorption. Fitch believes that a cut in capex and dividends will
preserve cash in the next three years, but expect investments to
remain driven by the need to meet stringent emission regulation and
other sector trends.

Furthermore, Fitch expects a lack of material dividends up-streamed
from Nissan for longer than previously forecast as Nissan also
faces significant pressure on its financial profile. Fitch
anticipates FCF could be negative at about -10% in 2020 and remain
negative between -1.5% and -2% in 2021.

Spike in Leverage: Significant cash absorption in 2020 will lead
FFO net leverage to rise to just below 5x at the end of the year,
according to its projections, from 1x at end-2019 and about 0.5x in
2014-2018. Fitch expects a gradual decline in leverage, thereafter,
from improving FFO but expect indebtedness to remain high for the
rating. Fitch forecasts that FFO net leverage could decline to less
than 2x by end-2023 only - a level that Fitch considers
commensurate with a 'BB' rated car manufacturer.

Gradual Credit Metrics Recovery: Profitability and cash-flow
recovery will depend primarily on the success of the ongoing
cost-saving initiatives, the implementation of further
restructuring measures and actions to bolster pricing power. Fitch
projects industrial operating margin to be moderately negative,
between -0.5% and -1% in 2021 and to recover to between 3% and 4%
in 2023 as sales rebound and the cost structure improves. Fitch
also expects FCF to return to about breakeven in 2022 and be
moderately positive in 2023 as FFO improve, and capex and dividends
are maintained under control.

Restructuring Measures, Business Update: Renault has identified
significant savings worth about EUR2 billion, or a reduction of 20%
of its total fixed costs, in the next three years from non-core
asset sales, increased commonalisation and the alignment of its
global production footprint to its revised expectations for the
automotive market and its own sales. Renault expects to cut
engineering, production and administrative costs, thanks to reduced
model complexity, lower manufacturing capacity and headcount
reduction.

Renault's incoming chief executive will also announce an updated
business plan in early 2021. Fitch expects this plan to prioritise
value and profitability over volume. This should lead to a further
streamlining of the cost structure and a focus on more profitable
vehicles.

Execution Risk: Fitch believes that upcoming restructuring measures
will be positive for Renault's credit profile. Savings of EUR2
billion would boost profitability by more than 3pp if they were
fully retained. However, Fitch believes that the positive effect
from savings will be offset by their implementation costs in the
next 12-18 months and that they will take time to fully accrue to
FCF.

Furthermore, Fitch believes that the planned cost-reduction project
could meet heavy resistance from some stakeholders, which could
delay or impair Renault's plan. Renewed synergies with Nissan could
also take longer than expected to accrue from relationships on the
mend.

Difficult Compliance with Emission Targets: Renault still has to
fill a gap in its 2020 and 2021 CO2 targets to avoid heavy fines,
despite its advantage of being an early entrant on the electric
vehicle (EV) market. To meet these targets, Fitch expects an
acceleration of EV sales, but potentially at a loss, as well as
additional investments, including in hybrid powertrains, which
Renault has so far largely overlooked. However, the evolution of
the product mix is difficult to forecast and the immediate sales
recovery could be focused on smaller, more fuel-efficient models
supporting Renault's average CO2 emissions.

Strained Alliance: Renault can derive material synergies from its
alliance with Nissan, which was completed by Mitsubishi recently,
even though its scale remains modest on a standalone basis,
compared with large international peers such as Volkswagen AG
(BBB+/Stable) and Toyota Motor Corporation (A+/Negative).

This is an important advantage for new powertrains and autonomous
driving technologies but which Fitch believes has not been
leveraged to its full potential. Investigations into Carlos Ghosn
have triggered some turmoil between the two partners and disrupted
several joint projects. Nonetheless, Fitch believes that the new
management at Nissan and Renault will bring stability, having
agreed to coordinate strategies and name leaders for regions and
technologies.

ESG - GHG Emissions & Air Quality and Governance Structure: Renault
has an ESG Relevance Score of 4 for GHG Emissions & Air Quality and
Governance Structure. The group is facing stringent emission
regulation, notably in Europe, which is its main market.
Investments in lower emission are a key driver of the group's
strategy and cash generation. The Governance Structure score
reflects the complex shareholding structure, including the partial
ownership of the French State and cross-shareholdings with Nissan.
The complicated relationship was recently illustrated by the
developments surrounding merger discussions between Renault and
Fiat Chrysler Automobiles N.V. (BBB-/Stable), which ultimately
failed.

DERIVATION SUMMARY

On a standalone basis, Renault is smaller than General Motors
Company (GM, BBB-/Stable), Ford Motor Company (BB+/Negative) and
Hyundai Motor Company (BBB+/Negative), but Renault's alliance with
Nissan, extended to Mitsubishi Motors, provides it with a capacity
for substantial economies of scale and synergies, although Fitch
believes that these synergies have not yet delivered their full
potential.

Renault's brand positioning is moderately weaker than US peers'.
Nonetheless, Fitch believes Renault's relative position should
incorporate Dacia, which, despite not having a high-brand value and
leading market shares, enhances product and geographic
diversification and is a healthy contribution to profitability.
Fitch sees a closer comparison in competitiveness and brand
positioning between Renault and Hyundai and Kia Motors Corporation
(BBB+/ Negative).

Renault's financial profile has deteriorated significantly compared
with 'BBB-' global automotive manufacturers. Renault's automotive
operating and FCF margins are expected to be lower than those of
GM, Peugeot S.A. (BBB-/Stable) and Fiat Chrysler Automobiles N.V.
In addition, FFO net leverage is also expected to be at the higher
end of the industry.

No country-ceiling, parent/subsidiary or operating environment
aspects affect the rating.

KEY ASSUMPTIONS

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

  - 20% decline in global new vehicle sales in 2020, including
20%-25% in Europe;

  - Revenue from industrial operations to decline by about 25% in
2020, before recovering by about 12% in 2021, followed by growth in
the mid-single digits in 2022 and 2023;

  - Automotive operating margin (including Avtovaz) turning
negative in 2020 and 2021, before improving toward 4% in 2023.
Negative group margin in 2020 recovering to 1.8% in 2021, and
improving further toward 6% in 2023;

  - Large working capital outflow in 2020, and moderate inflows up
to 2023;

  - Capex on average at 7.1% of industrial sales between 2021 and
2023, after peaking at 10% in 2020;

  - Common dividend payment resumed in 2023; and

  - No material acquisitions or disposals.

RATING SENSITIVITIES

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

  - Group operating margin recovering to 3% (2019: 4.7%, 2020:
-1.2%, 2021: 1.8%)

  - FCF margin above 0.5% (2019: -1.8%, 2020: -10.3%, 2021: -1.7%)

  - Cash flow from operations/total debt above 35% (2019: 32%,
2020: 1%, 2021: 17%)

  - FFO net leverage declining below 1.5x (2019: 1x, 2020: 4.8x,
2021: 3.3x)

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

  - Increasing risk of deteriorating liquidity

  - Group operating margin below 1.5%

  - FCF margin remaining negative by 2023

  - Cash flow from operations/total debt below 25%

  - FFO net leverage remaining above 2.5x

LIQUIDITY AND DEBT STRUCTURE

Adequate Liquidity: Substantial free cash burn from large working
capital outflows and negative FFO have depleted reported cash and
cash equivalents and financial assets, which declined to EUR9.2
billion at end-June 2020 from EUR13.5 billion at end-2019.
Nonetheless, current indebtedness and further free cash outflow
expected over 2021 are more than covered by available liquidity at
end-June 2020, which also includes EUR8.5 billion of undrawn
revolving credit facilities (RCF).

Fitch also expects liquidity to gradually improve as working
capital normalises and cash-flow generation recovers. Renault has a
record of maintaining a prudent financial policy, including a
material reported net cash position and availability under
revolving credit lines of at least 20% of revenue.

Diversified Debt Structure: Renault's debt structure is diversified
and consists mainly of euro- and yen-denominated unsecured bonds.
The notes' maturities are well-spread from March 2021 to October
2027. The group has also raised debt through bank credit lines,
including at the level of its subsidiaries.

For its liquidity needs, the group has direct access to EUR3.5
billion of undrawn RCF and an additional undrawn EUR5 billion RCF
covered by a French state guarantee. It can also recourse to a
EUR2.5 billion commercial paper programme, of which EUR1.8 billion
was used at end-June 2020. It further uses account receivables
factoring (several receivables securitisation programmes in
different countries) to fund its working capital needs.

SUMMARY OF FINANCIAL ADJUSTMENTS

Fitch adjusts leverage metrics for financial services operations.

Fitch calculates a target debt-to-equity ratio of 5x for Renault
Banque (RCI Banque), below the actual ratio of 8.8x at end-2019.

Fitch assumes that Renault makes a EUR3.5 billion equity injection
into RCI Banque, to bring its debt-to-equity ratio down to 5x.

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

Renault SA: Governance Structure: '4', GHG Emissions & Air Quality:
'4'

Renault has an ESG Relevance Score of '4' for GHG Emissions & Air
Quality as Renault is facing stringent emission regulation, notably
in Europe which is its main market.

Renault has an ESG Relevance Score of '4' for Governance Structure,
reflecting the complex shareholding structure.

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.




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

WIRECARD AG: Germany Presents Plans to Strengthen BaFin's Powers
----------------------------------------------------------------
Birgit Jennen at Bloomberg News reports that Germany has presented
plans to strengthen financial regulator BaFin's powers and tighten
accounting rules, one day before the start of a parliamentary probe
into one of the country's biggest corporate failures.

The collapse of Wirecard AG this year exposed significant cracks in
Germany's financial oversight, as authorities failed to catch
accounting issues at the digital-payments company despite ample
warning, Bloomberg relates.  Slow decision-making and fragmented
responsibilities appeared to allow the problems to go undetected,
Bloomberg states.

Accoding to Bloomberg, Finance Minister Olaf Scholz and Justice
Minister Christine Lambrecht presented the government's "Wirecard
Action Plan" Wednesday, Oct. 7, at a news conference in Berlin.
The legislation currently being prepared would give BaFin the right
to assess all listed companies and conduct forensic audits,
Bloomberg discloses.

It will also include a requirement for external auditors of listed
companies to rotate after 10 years, and force companies to hire
separate firms for auditing and consulting, Bloomberg says.
Accountants can also be made liable in cases of gross negligence,
Bloomberg notes.

Germany is one of relatively few countries to split accounting
enforcement between a private-sector watchdog and its markets
regulator, while the investigation of money laundering at
non-financial companies is handled by regional authorities,
Bloomberg discloses.  With the Wirecard fallout risking the
country's reputation as a place to do business, the government is
keen to push ahead with reform, Bloomberg states.

The Bundestag, or lower house of parliament, was set to begin a
full probe into what went wrong at Wirecard on Thursday, Oct. 8,
with opposition parties blaming the government, Bloomberg relates.
Once lauded as one of Germany's fintech stars, the company filed
for insolvency after saying that around US$2.1 billion previously
reported as cash on its balance sheet probably didn't exist,
Bloomberg recounts.

A key weakness in Germany's regulatory regime was that BaFin didn't
directly supervise Wirecard, Bloomberg says.  Despite the fact that
its business was largely financial, the company was classified as a
technology company rather than a bank or insurer, according to
Bloomberg.




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I R E L A N D
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CAIRN CLO XI: Fitch Affirms B-sf Rating on Class F Debt
-------------------------------------------------------
Fitch Ratings has affirmed Cairn CLO XI DAC and removed two
tranches from Rating Watch Negative (RWN).

RATING ACTIONS

Cairn CLO XI DAC

Class A XS2076107718; LT AAAsf Affirmed; previously AAAsf

Class B XS2076108369; LT AAsf Affirmed; previously AAsf

Class C XS2076108526; LT Asf Affirmed; previously Asf

Class D XS2076109250; LT BBB-sf Affirmed; previously BBB-sf

Class E XS2076109920; LT BB-sf Affirmed; previously BB-sf

Class F XS2076109847; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Cairn CLO XI DAC is a cash flow collateralised loan obligation
(CLO) of mostly European leveraged loans and bonds. The transaction
is in its reinvestment period and the portfolio is actively managed
by Cairn Loan Investments II LLP.

KEY RATING DRIVERS

Stable Portfolio Performance

As per the trustee report dated September 8, 2020, the aggregate
collateral balance was slightly above par by 53bp. The
trustee-reported Fitch weighted average rating factor (WARF) of
34.4 complied with its test. Assets with a Fitch-derived rating
(FDR) of 'CCC' or below represented 6.4% of the portfolio (there
are no unrated assets in the portfolio), as per Fitch's calculation
on October 3, 2020. Assets with an FDR on Negative Outlook
represented 28.6% of the portfolio balance.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
for its coronavirus baseline scenario. The agency notched down the
ratings for all assets with corporate issuers on Negative Outlook
regardless of sector. This scenario demonstrates the resilience of
the ratings of the class A, B, C and D notes with cushions. The
class E and F notes have marginal shortfalls in this scenario. The
agency believes that the portfolio's negative rating migration is
likely to slow and downgrades of these tranches are less likely in
the short term.

As a result, the class E and F notes have been removed from RWN,
placed on Negative Outlook and affirmed. The Negative Outlooks
reflect the risk of credit deterioration over the longer term, due
to the economic fallout from the pandemic.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch WARF of the current portfolio was
34.92, as per Fitch's calculation, on October 3, 2020.

High Recovery Expectations

Senior secured obligations make up almost all the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate (WARR) of the current portfolio was
64.68%, as per Fitch's calculation, on October 3, 2020.

Diversified Portfolio

The portfolio is reasonably diversified across obligors, countries
and industries. Exposure to the top 10 obligors and the largest
obligor is 12.5% and 1.4%, respectively. The top three industry
exposures accounted for about 40.3%, as per Fitch's calculation.
Assets paying semi-annually account for 42% of the portfolio. As of
September 8, 2020, no frequency switch event had occurred.

RATING SENSITIVITIES

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

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

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

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

Downgrades may occur if the build-up of credit enhancement
following amortisation does not compensate for a larger loss
expectation than initially assumed due to unexpected high levels of
defaults and portfolio deterioration. As the disruptions to supply
and demand due to the coronavirus 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 FDRs in the 'B'' rating category and a 0.85
recovery rate multiplier to all other assets in the portfolio. For
typical European CLOs, this scenario results in a rating category
change for all ratings.

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

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

DATA ADEQUACY

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

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


COMPU B: High Court Approves Survival Scheme
--------------------------------------------
Mary Carolan at The Irish Times reports that a High Court judge has
approved a survival scheme for the Irish-headquartered parent of
Compu b, a reseller of Apple premium computer products, and three
related companies in the UK.

The companies employ 395 people, of whom 110 are in Ireland, The
Irish Times discloses.

Mr. Justice Denis McDonald had last July appointed David O'Connor
of BDO as examiner to the companies, The Irish Times recounts.

He did so on foot of evidence indicating the companies had a
reasonable prospect of survival if certain conditions, including
implementation of a restructuring programme, are met, The Irish
Times notes.

He also noted the significant number of jobs at stake and the
absence of objections to examinership, The Irish Times relays.

According to The Irish Times, the companies' petition for
examinership said the Compu b business has historically been
profitable but a number of factors had come together which had
significant negative impacts on the companies, including the
Covid-19 pandemic, store closures resulting from that,
underperforming stores and acceleration of customer trends towards
buying online.

It was stated unless court protection was secured, the companies
would be unable to pay their debts as they fall due from July 2020,
The Irish Times notes.

Following his appointment, Mr. O'Connor put together a scheme of
arrangement which has since received the necessary approvals at
meetings of creditors, The Irish Times relays.

On Oct. 12, Kelley Smith SC, for the companies, sought court
approval for the scheme, The Irish Times discloses.

Mr. Justice McDonald said, having read the scheme and the "very
helpful and detailed" report of the examiner, he was satisfied all
the requirements for court approval were met, according to The
Irish Times.

He observed it was clear that creditors of the companies will do
significantly better under the scheme than if the companies were
wound up, The Irish Times relates.

He made orders approving the scheme and fixed Wednesday, Oct. 14,
as the date for the companies' exit from examinership, The Irish
Times notes.

Compu b, founded in Limerick in 1992, has six stores here -- at
Grafton Street, Dublin; Dundrum Town Centre; the Pavilions, Swords;
Limerick, Cork and Galway -- and 24 stores in the UK.


CVC CORDATUS IV: Fitch Affirms B-sf Rating on Class F-RR Notes
--------------------------------------------------------------
Fitch Ratings has affirmed CVC Cordatus Loan Fund IV DAC and
removed the class E and F notes from Rating Watch Negative (RWN).

RATING ACTIONS

CVC Cordatus Loan Fund IV DAC

Class A-RR XS1951332631; LT AAAsf Affirmed; previously AAAsf

Class B1-RR XS1951332714; LT AAsf Affirmed; previously AAsf

Class B2-RR XS1951333365; LT AAsf Affirmed; previously AAsf

Class C-RR XS1951334330; LT Asf Affirmed; previously Asf

Class D-RR XS1951334926; LT BBB-sf Affirmed; previously BBB-sf

Class E-RR XS1951335733; LT BB-sf Affirmed; previously BB-sf

Class F-RR XS1951335659; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

CVC Cordatus Loan Fund IV DAC is a cash flow collateralised loan
obligation (CLO) mostly comprising senior secured obligations. The
transaction is in its reinvestment period, which is scheduled to
end in April 2021, and the portfolio is actively managed by CVC
Credit Partners Group Limited

KEY RATING DRIVERS

Portfolio Performance

As per the trustee report dated August 28, 2020, the transaction is
below target par by 57bp. The Fitch-calculated weighted average
rating factor (WARF) of the portfolio at October 3, 2020 was 34.03
compared with the trustee-reported WARF of 34.16. The Fitch
calculated 'CCC' or below category assets (including non-rated
assets) represents 8.33% of the portfolio compared with the 7.50%
limit. As per the trustee, all portfolio profile tests, coverage
tests and Fitch-related collateral quality tests, except for the
Fitch WARR test and Fitch 'CCC' obligation limit tests, are
passing.

Coronavirus Sensitivity Analysis

Fitch carried out a sensitivity analysis on the target portfolio to
determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. These assets represent 25.9% of the
portfolio. This scenario demonstrates the resilience of the ratings
except for classes E and F.

The agency expects that the portfolio's negative rating migration
is likely to slow and category level downgrades of the two junior
tranches are less likely in the short term. As a result, the junior
notes have been removed from RWN and affirmed with Negative
Outlooks. The Negative Outlooks reflect the risk of credit
deterioration over the longer term, due to the economic fallout
from the pandemic.

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

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

High Recovery Expectations

Senior secured obligations comprise 98.9% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate (WARR) of the current portfolio is
64.04%.

Portfolio Composition

The top 10 obligors' concentration is 18.94% and no obligor
represents more than 2.27% of the portfolio balance. As per Fitch's
calculation, the largest industry is business services at 14.88% of
the portfolio balance, and the top-three largest industries account
for 41.52% against the limit of 17.50% and 40.00%, respectively.

As of August 28, 2020, semi-annual obligations represent about 46%
of the portfolio balance. An increase in semi-annual obligations
greater or equal to 20% of the aggregate collateral balance in a
due period and breach of modified senior interest coverage ratio
threshold of 101% could trigger a frequency switch event.

Cash Flow Analysis

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

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

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed Portfolio) 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.
This is because the portfolio credit quality may still deteriorate,
not only by natural credit migration, but also because of
reinvestment. After the end of the reinvestment period, upgrades
may occur in the event of a better-than-expected portfolio credit
quality and deal performance, leading to higher credit enhancement
and excess spread available to cover for losses on the remaining
portfolio.

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

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

Coronavirus Downside Scenario

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

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

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

DATA ADEQUACY

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

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


CVC CORDATUS XVI: S&P Lowers Rating to 'BB-' on Class E Notes
-------------------------------------------------------------
S&P Global Ratings lowered to 'BB- (sf)' from 'BB (sf)' and removed
from CreditWatch negative its credit rating on CVC Cordatus Loan
Fund XVI DAC's class E notes. At the same time, S&P has affirmed
its 'AAA (sf)' ratings on the class A-1, A-2, and X notes, its 'AA
(sf)' rating on the class B notes, its 'A (sf)' ratings on the
class C-1 and C-2 notes, its 'BBB (sf)' rating on the class D
notes, and our 'B- (sf)' rating on the class F notes.

On July 24, 2020, S&P placed on CreditWatch negative its rating on
the class E notes following a number of negative rating actions on
corporates with loans held in CVC Cordatus Loan Fund XVI due to
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 closing, S&P's estimate of the total collateral balance
(performing assets, principal cash, and expected recovery on
defaulted assets) held by the CLO has slightly decreased, mainly
due to par loss. As a result, available credit enhancement has
decreased for all rated notes.

  Table 1

  Credit Analysis Results

  Class    Current amount  Credit enhancement   Credit enhancement
            (mil. EUR)     as of October 2020       at closing
                         (based on the September (December 2019)
                           trustee report; %)*      (%)*  
  X             1.75               N/A                N/A
  A-1         219.00             37.59              37.75
  A-2          30.00             37.59              37.75
  B            39.80             27.61              27.80
  C-1          13.90             20.37              20.58
  C-2          15.00             20.37              20.58
  D            22.30             14.78              15.00
  E            22.00              9.27               9.50
  F             9.00              7.01               7.25
  M-1 – Sub notes  39.60           N/A                N/A
  M-2 – Sub notes   1.00           N/A                N/A

  N/A--Not applicable.

Since closing, the portfolio's credit quality has deteriorated due
to the increase in 'CCC' rated assets to EUR22 million from EUR4
million at closing. Additionally, S&P placed on CreditWatch
negative its ratings on 2.60% of the pool, up from 0% previously.

  Table 2

  Transaction Key Metrics

                            As of October 2020       At closing
                          (based on the September (December 2019)
                            trustee report)  
  SPWARF                          2,834.83          2,706.22
  Weighted-average life (years)       5.07              5.46
  Obligor diversity measure          99.81            119.09
  Industry diversity measure         21.79             16.50
  Regional diversity measure          1.19             1.308
  Total collateral amount
    incl. cash (mil. EUR)           398.96            400.00
  Defaulted assets (mil. EUR)         0.00              0.00
  Number of performing obligors        129               136
  'AAA' WARR (%)                     36.51             38.06

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

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

"For the class B, C-1, C-2, and D notes, our credit and cash flow
analysis indicates that the available credit enhancement could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, as the CLO is still in its
reinvestment phase, during which the transaction's credit risk
profile could deteriorate, we have capped our assigned ratings on
the notes. We have therefore affirmed our ratings on these classes
of notes.

"On a standalone basis, the results of our cash flow analysis
indicated a lower rating than that currently assigned for the class
E notes. The collateral portfolio's credit quality has deteriorated
since closing, specifically in terms of 'CCC' rated asset exposures
and the weighted-average recovery rate of the portfolio. Coupled
with the par loss, these factors have resulted in lower break-even
default rates (BDRs), which represent the gross levels of defaults
that the transaction may withstand at each rating level. We have
therefore lowered to 'BB- (sf)' from 'BB (sf)' and removed from
CreditWatch negative our rating on the class E notes."

The class F notes' current BDR cushion at the 'B-' rating is
-1.15%. Based on the portfolio's actual characteristics and
additional overlaying factors, including our long-term corporate
default rates and the class F notes' credit enhancement, this class
is able to sustain a steady-state scenario, in accordance with our
criteria. S&P's analysis further reflects several factors,
including:

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

-- S&P's model-generated portfolio default risk at the 'B-' rating
level at 27.46% (for a portfolio with a WAL of 5.07 years) versus
15.72% if it was to consider a long-term sustainable default rate
of 3.1% for 5.07 years.

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

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

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

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

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

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

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

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

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."


GLG EURO CLO III: S&P Affirms 'BB' Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings affirmed and removed from CreditWatch negative
its credit rating on GLG Euro CLO III 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 GLG Euro CLO III driven by
coronavirus-related concerns and the current economic dislocation.

"The affirmations 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 slightly decreased, mainly due to par loss. As a
result, available credit enhancement has decreased for all rated
notes."

  Table 1

  Credit Analysis Results

  Class    Current amount   Credit enhancement  Credit enhancement
             (mil. EUR)     as of October 2020   at closing review
                            (%; based on the      (July 2017) (%)
                            September trustee
                                report)

   A           212.00             38.66             39.43
   B-1          23.30             29.02             29.91
   B-2          10.00             29.02             29.91
   C            32.00             19.77             20.77
   D            18.00             14.56             15.63
   E            19.80              8.83              9.97
   F            10.40              5.82              7.00
   Subordinated 38.20               N/A               N/A

   N/A--Not applicable.

S&P said, "In our view, the portfolio's credit quality has
deteriorated since our last review, due to the increase in 'CCC'
rated assets to about EUR36 million from EUR3 million.
Additionally, we placed on CreditWatch negative our ratings on more
than 7% of the pool, up from 0% previously, and assets with
negative outlooks also increased, reaching 42%."

  Table 2

  Key Metrics
                           As of Sept. 2020     At S&P's previous
                        (based on September    review (closing in
                          trustee report)        December 2019)

  SPWARF                            2,975             N/A
  Default rate dispersion (%)      716.13             N/A
  Weighted-average life (years)      4.49            5.94
  Obligor diversity measure        108.43           82.55
  Industry diversity measure        22.75           19.88
  Regional diversity measure         1.18            1.44
  Total collateral amount
   including cash (mil. EUR)       345.61          350.00
  Defaulted assets (mil. EUR)        8.00             N/A
  Number of performing obligors       155              95
  'AAA' WARR (%)                    37.09           36.08

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

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

"Based on our credit and cash flow analysis, the class E notes can
withstand stresses commensurate with a higher rating than when we
placed the rating on CreditWatch negative. In our view, the
improvement has been driven by a par build of the underlying assets
and cash balance. Therefore, we have affirmed and removed our 'BB
(sf)' rating from CreditWatch negative.

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

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

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

GLG Euro CLO III is a cash flow CLO transaction backed by a
portfolio of leveraged loans and managed by GLG Partners LP.

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


NEWHAVEN CLO: Fitch Affirms B-sf Rating on Class F-R Debt
---------------------------------------------------------
Fitch Ratings has affirmed Newhaven CLO Designated Activity
Company.

RATING ACTIONS

Newhaven CLO DAC

Class A-1-R XS1560854728; LT AAAsf Affirmed; previously AAAsf

Class A-2-R XS1560855535; LT AAAsf Affirmed; previously AAAsf

Class B-R XS1560856343; LT AAsf Affirmed; previously AAsf

Class C-R XS1560857408; LT Asf Affirmed; previously Asf

Class D-R XS1560858398; LT BBBsf Affirmed; previously BBBsf

Class E-R XS1560858984; LT BB-sf Affirmed; previously BB-sf

Class F-R XS1560859446; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Newhaven CLO Designated Activity Company is a securitisation of
mainly senior secured loans (at least 90%) with a component of
senior unsecured, mezzanine and second-lien loans. The portfolio is
managed by Bain Capital Credit Ltd. The reinvestment period ends in
February 2021.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

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

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

Portfolio Performance Stabilises

As of the latest investor report dated September 8, 2020, the
transaction was 1.16% below par and all portfolio profile tests,
coverage tests and collateral quality tests were passing, except
for the Fitch weighted average rating factor (WARF), Fitch weighted
average recovery rating (WARR), weighted average life (WAL) and
'CCC' portfolio profile tests. As of the same report, the
transaction had two defaulted assets from the same issuer with an
exposure of around EUR4.9 million. Exposure to assets with a
Fitch-derived rating (FDR) of 'CCC+' and below was 11.2%. Assets
with a FDR on Negative Outlook were 20.2% of the portfolio
balance.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors in the
'B'/'B-' category. The Fitch WARF of the current portfolio is 37.25
(assuming unrated assets are 'CCC') - above the maximum covenant of
32.5 and the September trustee-reported Fitch WARF of 36.22. After
applying the coronavirus stress, the Fitch WARF would increase by
3.5.

High Recovery Expectations

Senior secured obligations represent 97.7% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top 10 obligors represent 14.08% of the portfolio
balance with no obligor accounting for more than 1.5%. Around 38%
of the portfolio consists of semi-annual obligations but a
frequency switch has not occurred due to the transaction's high
interest coverage ratios.

Cash Flow Analysis

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

RATING SENSITIVITIES

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

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

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

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

Coronavirus Downside Sensitivity

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

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

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

DATA ADEQUACY

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

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


NEWHAVEN II CLO: Fitch Affirms B-sf Rating on Class F-R Debt
------------------------------------------------------------
Fitch Ratings has affirmed Newhaven II CLO DAC, and removed the
class E-R and F-R notes from Rating Watch Negative (RWN).

RATING ACTIONS

Newhaven II CLO DAC

Class A-1-R XS1767787176; LT AAAsf Affirmed; previously AAAsf

Class A-2-R XS1769782019; LT AAAsf Affirmed; previously AAAsf

Class B-1-R XS1767787689; LT AAsf Affirmed; previously AAsf

Class B-2-R XS1767788224; LT AAsf Affirmed; previously AAsf

Class C-R XS1767788901; LT Asf Affirmed; previously Asf

Class D-R XS1767789545; LT BBBsf Affirmed; previously BBBsf

Class E-R XS1767790048; LT BBsf Affirmed; previously BBsf

Class F-R XS1767790121; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The removal of the class E-R and F-R notes from RWN reflects its
view that the portfolio's negative rating migration is likely to
slow and a category-level downgrade is less likely in the short
term. The Negative Outlooks on the class E-R and F-R notes reflect
the risk of credit deterioration over the longer term, due to the
economic fallout from the pandemic, following Fitch's sensitivity
analysis of the coronavirus pandemic.

In its sensitivity analysis for the pandemic, Fitch notched down
the ratings for all assets of corporate issuers with a Negative
Outlook regardless of sector. The portfolio includes almost
EUR135.3 million of assets with a Fitch-derived rating (FDR) on
Negative Outlook, which amounts to 33.92% of the transaction's
portfolio balance. The Fitch weighted-average rating factor (WARF)
increases to 40.35 after the coronavirus baseline sensitivity
analysis from 36.97 currently.

The Stable Outlooks on the remaining tranches reflect the notes'
resilience to its base case for the pandemic.

Portfolio Performance

The transaction is still in its reinvestment period, which ends in
February 2022, and the portfolio is actively managed by the
collateral manager. As of the latest investor report dated
September 8, 2020, the transaction was 110bp below par, the Fitch
'CCC' obligations and the Fitch WARF test were failing. The
transaction's Fitch 'CCC' obligations have recently increased as a
previously defaulted obligation migrated into the bucket;
furthermore, an additional asset has defaulted since the last
report.

'B'/'B-' Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. As of October 3, the Fitch-calculated 'CCC' and
below category assets were 13.54% of the portfolio and, including
unrated assets, 14.26%. The Fitch-calculated WARF of the current
portfolio is 36.97.

High Recovery Expectations

The portfolio comprises senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch-calculated
weighted average recovery rate (WARR) of the current portfolio is
65.18%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. Exposure to the top-10 obligors is 13.39% of the
portfolio balance and no obligor represents more than 1.46% of the
portfolio balance. The largest industry is business services at
13.17% of the portfolio balance, followed by healthcare at 10.69%
and chemicals at 9.99%.

Cash Flow Analysis

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

The 'B-' rating on the class F-R notes is a notch higher than the
model implied rating. In Fitch's view the current rating remains
appropriate as only a marginal breakeven default rate shortfall was
present in a single, back-loaded default timing scenario.

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

RATING SENSITIVITIES

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

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

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

Downgrades may occur if the build-up of credit enhancement for the
notes following amortisation does not compensate for a higher loss
expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As disruptions to
supply and demand due to coronavirus for other sectors become
apparent, loan ratings in such sectors would also come under
pressure.

Coronavirus Downside Sensitivity

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

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

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

DATA ADEQUACY

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

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


OZLME IV: Fitch Affirms B-sf Rating on Class F Debt
---------------------------------------------------
Fitch Ratings has affirmed OZLME IV DAC and removed two tranches
from Rating Watch Negative (RWN).

RATING ACTIONS

OZLME IV DAC

Class A-1 XS1829320784; LT AAAsf Affirmed; previously AAAsf

Class A-2 XS1829321592; LT AAAsf Affirmed; previously AAAsf

Class B XS1829321089; LT AAsf Affirmed; previously AAsf

Class C-1 XS1829323291; LT Asf Affirmed; previously Asf

Class C-2 XS1834897040; LT Asf Affirmed; previously Asf

Class D XS1829322137; LT BBB-sf Affirmed; previously BBB-sf

Class E XS1829322301; LT BBsf Affirmed; previously BBsf

Class F XS1829323705; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

OZLME IV DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of senior unsecured,
mezzanine, and second-lien loans. The transaction is in its
reinvestment period and the portfolio is actively managed by
Och-Ziff Europe Loan Management Limited.

KEY RATING DRIVERS

Portfolio Performance

The transaction is just slightly below target par by 0.3%. The
Fitch weighted average rating factor (WARF) test was reported at
34.77 in the September 15, 2020 trustee report against a maximum of
35.0. Fitch's updated calculation as of October 3, 2020 shows a
WARF of 35.31. Assets in the 'CCC' category or below represented
8.8% as of October 3, 2020, compared with its 7.5% limit. Its
exposure to defaulted assets as of October 3, 2020 was EUR3.1
million.

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 represent 33.5% of the portfolio balance. This
scenario shows a sizeable shortfall for the class E and F notes.

Fitch believes that the portfolio's negative rating migration is
likely to slow down, making a rating 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. However, 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 the agency would
increase to 38.99 under the coronavirus baseline scenario from
35.31 as of October 3, 2020.

High Recovery Expectations

Nearly all the portfolio (97.4%) comprises senior secured
obligations. Fitch views the recovery prospects for these assets as
more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch weighted recovery rate is 64.19%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top-10 obligor exposure is 13.9% of the portfolio
balance and no obligor represents more than 1.8%.

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.

Deviation from Model-Implied Ratings

The model-implied rating for the class F is 'CCCsf' below its
current rating of 'B-sf'. Fitch decided to deviate from the
model-implied rating due to a limited margin of safety before a
default on the notes. This means a 'B-sf' rating is deemed more
appropriate, based on its rating definitions, whereas 'CCCsf'
indicates that default is a real possibility.

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

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

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

PENTA CLO 6: Fitch Affirms B-sf Rating on Class F Debt
------------------------------------------------------
Fitch Ratings has affirmed all tranches of Penta CLO 3 DAC and
Penta CLO 6 DAC. Fitch has removed the junior tranches for both
transactions from Rating Watch Negative (RWN) and they are on
Outlook Negative.

RATING ACTIONS

Penta CLO 6 DAC

Class A XS2013628222; LT AAAsf Affirmed; previously AAAsf

Class B-1 XS2013628909; LT AAsf Affirmed; previously AAsf

Class B-2 XS2013629543; LT AAsf Affirmed; previously AAsf

Class C XS2013630392; LT Asf Affirmed; previously Asf

Class D XS2013631283; LT BBB-sf Affirmed; previously BBB-sf

Class E XS2013632091; LT BB-sf Affirmed; previously BB-sf

Class F XS2013632331; LT B-sf Affirmed; previously B-sf

Penta CLO 3 DAC

Class A XS1692079509; LT AAAsf Affirmed; previously AAAsf

Class B XS1692080184; LT AAsf Affirmed; previously AAsf

Class C XS1692081075; LT Asf Affirmed; previously Asf

Class D XS1692081588; LT BBBsf Affirmed; previously BBBsf

Class E XS1692082479; LT BB-sf Affirmed; previously BB-sf

Class F XS1692082636; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Both transactions are cash flow collateralised loan obligations
(CLO), comprising mostly senior secured obligations. The deals are
within their reinvestment period.

KEY RATING DRIVERS

Coronavirus Sensitivity Analysis

Fitch carried out a sensitivity analysis on the target portfolio to
determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario demonstrates the
resilience of the ratings of all the classes with cushions except
the class E and F notes, which still show some shortfall.

The agency believes the portfolio's negative rating migration is
likely to slow and a category-level downgrade of these tranches is
less likely in the short term. Fitch has therefore removed the
class E and F notes from RWN and affirmed their rating. Their
Negative Outlook reflects the risk of credit deterioration over the
longer term, due to the economic fallout from the pandemic.

Portfolio Performance

Penta 3 is slightly below par and there are two defaulted assets
comprising 173bp of target par. The Fitch-weighted average rating
factor (WARF) of the portfolio at October 3, 2020 was 36.4 compared
to the trustee reported WARF of 35.38. The Fitch-calculated 'CCC'
category or below assets represented 11.32% (including unrated
assets) of the portfolio against the 7.50% limit. The Fitch WARF,
WARR and 'CCC' tests are failing according to the trustee report.
However, all other tests, including the overcollateralisation and
interest coverage tests, were passing.

Penta 6 is slightly below target par. The Fitch WARF at October 3,
2020 increased marginally to 36.83 compared to the trustee-reported
WARF of 34.65 (at August 28, 2020), and Fitch-calculated 'CCC', or
below, assets represented 10.19% (including unrated assets) of the
portfolio against the 7.50% limit. All tests, including the
overcollateralisation and interest coverage tests, were passing.

B'/'B-' Category Portfolio Credit Quality

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

High Recovery Expectations

Senior secured obligations comprise 98.87% of the portfolio for
Penta 3 and 98.62% for Penta 6. Fitch views the recovery prospects
for these assets as more favourable than for second-lien, unsecured
and mezzanine assets. The Fitch-weighted average recovery rate
(WARR) of the current portfolio is 64.73% for Penta 3 and 66.06%
for Penta 6.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligors for both transactions represent
less than 15.0% of the portfolio and no single obligor represents
more than 1.5% of the portfolio balance. The top Fitch industry and
top three industries are around 20% and 40% compared to the limits
of 17.5% and 40.0%, respectively. However, the trustee reported
Fitch industry limit tests are passing.

Both deals have around 45.0% of assets with semi-annual payment
frequency. However, no frequency switch event has occurred as the
class A/B interest coverage test still has significant headroom.

Cash Flow Analysis

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

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

The model-implied rating for the class F notes in Penta 3 and class
E and F notes in Penta 6 is one notch below the current rating
level. However, Fitch has deviated from the model-implied rating as
the shortfalls were driven by the back-loaded default timing
scenario only and the limited margin of safety present at the
current rating. These ratings are in line with the majority of
Fitch-rated EMEA CLOs.

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed Portfolio) customised to the portfolio limits as specified
in the transaction documents. Even if the actual portfolio shows
lower defaults and smaller losses (at all rating levels) than
Fitch's Stressed Portfolio assumed at closing, an upgrade of the
notes during the reinvestment period is unlikely.

This is because the portfolio credit quality may still deteriorate,
not only by natural credit migration, but also because of
reinvestment. After the end of the reinvestment period, upgrades
may occur in the event of better-than-expected portfolio credit
quality and deal performance, leading to higher credit enhancement
and excess spread available to cover for losses on the remaining
portfolio.

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

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

Coronavirus Downside Scenario

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

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

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

DATA ADEQUACY

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

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


RYE HARBOUR: Fitch Affirms B-sf Rating on Class F-R Debt
--------------------------------------------------------
Fitch Ratings has affirmed Rye Harbour CLO, Designated Activity
Company's ratings and removed two tranches from Rating Watch
Negative (RWN).

RATING ACTIONS

Rye Harbour CLO DAC

Class A-1-R XS1596795432; LT AAAsf Affirmed; previously AAAsf

Class A-2-R XS1596796596; LT AAAsf Affirmed; previously AAAsf

Class B-1-R XS1596796836; LT AAsf Affirmed; previously AAsf

Class B-2-R XS1596797487; LT AAsf Affirmed; previously AAsf

Class C-1-R XS1596798295; LT Asf Affirmed; previously Asf

Class C-2-R XS1596798881; LT Asf Affirmed; previously Asf

Class D-R XS1596799699; LT BBBsf Affirmed; previously BBBsf

Class E-R XS1596800372; LT BB-sf Affirmed; previously BB-sf

Class F-R XS1596800299; LT B-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Rye Harbour CLO DAC is a cash flow CLO of mostly European leveraged
loans and bonds. The transaction is in its reinvestment period and
the portfolio is actively managed by Bain Capital Credit, Ltd.

KEY RATING DRIVERS

Weakening Portfolio Performance

According to the trustee report dated September 8, 2020, the
aggregate collateral balance was below par by 162bp. The
trustee-reported Fitch weighted average rating factor (WARF), Fitch
weighted average recovery rate (WARR) and Fitch 'CCC' concentration
limit (%) were not in compliance with the test. Assets with a
Fitch-derived rating (FDR) in the 'CCC' category or below
represented 13.0% of the portfolio (there are two unrated assets,
together representing 1.2% of the portfolio), as per Fitch's
calculation on October 3, 2020. Assets with an FDR on Negative
Outlook represented 34.5% of the portfolio balance.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
for its coronavirus baseline scenario. Fitch notched down the
ratings for all assets with corporate issuers on Negative Outlook,
regardless of sector. This scenario demonstrates the resilience of
the ratings of the class A-1-R, A-2-R, B-1-R, B-2-R, C-1-R and
C-2-R notes with cushions. The class D-R has a marginal cushion in
this scenario, and therefore the Negative Outlook has been
maintained. Meanwhile, the class E-R and F-R notes show marginal
shortfalls in this scenario.

Fitch believes that the portfolio's negative rating migration is
likely to slow and downgrades of these tranches are less likely in
the short term. As a result, the class E-R and F-R notes have been
removed from RWN, placed on Negative Outlook and affirmed. The
Negative Outlooks reflect the risk of credit deterioration over the
longer term due to the economic fallout from the pandemic.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch WARF of the current portfolio was
36.34, as per Fitch's calculation, on October 3, 2020.

High Recovery Expectations

Approximately 98% of the portfolio comprises of senior secured
obligations. Fitch views the recovery prospects for these assets as
more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch WARR of the current portfolio was 66.10%, as per
Fitch's calculation, on October 3, 2020.

Diversified Portfolio

The portfolio is reasonably diversified across obligors, countries
and industries. Exposure to the top 10 obligors and to the largest
obligor is 14.9% and 1.8%, respectively. The top three industry
exposures accounted for about 40.3% of exposure, according to
Fitch's calculation. Assets paying semi-annually account for 40.4%
of the portfolio. As of September 8, 2020, no frequency switch
event had occurred.

Deviation from Model-Implied Ratings

The model-implied rating is 'B+sf' for the class E-R notes and
'CCCsf' for the class F-R notes, below the current ratings of
'BB-sf' and 'B-sf', respectively. Fitch deviated from the
model-implied rating for both classes because the model-implied
ratings are driven by the back-loaded default timing scenario only.
In addition, for the class F-R notes, a 'B-sf' rating is deemed
more appropriate, based on its rating definitions, as it indicates
a material risk of default but with a limited margin of safety,
whereas 'CCCsf' indicates that default is a real possibility.

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 pandemic become
apparent for other sectors, loan ratings in those sectors could
also come under pressure. Fitch will update the sensitivity
scenarios in line with the view of its Leveraged Finance team.

Coronavirus Downside Sensitivity

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

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

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

DATA ADEQUACY

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

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


TORO EUROPEAN 6: S&P Lowers Class E Notes Rating to 'B+ (sf)'
-------------------------------------------------------------
S&P Global Ratings affirmed and removed from CreditWatch negative
its credit rating on Toro European CLO 6 DAC's class D notes and
lowered and removed from CreditWatch negative its credit rating on
the class E notes. At the same time, SP has affirmed its ratings on
all other classes of notes.

On July 24, 2020, S&P placed on CreditWatch negative its ratings on
the class D and E notes following a number of negative rating
actions on corporates with loans held in Toro 6, driven by
coronavirus-related concerns and the current economic dislocation.


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

Since S&P's previous full review of the transaction, its estimate
of the total collateral balance (performing assets, principal cash,
and expected recovery on defaulted assets) held by the CLO has
slightly decreased, mainly due to par loss and sale of credit risk
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 previous
                            (%; based on the       review (%)
                             September trustee
                                report)

  X            1.00                N/A                N/A
  A          214.00              38.20              38.86
  B-1         21.00              29.24              30.00
  B-2         10.00              29.24              30.00
  C           30.40              20.46              21.31
  D           20.60              14.51              15.43
  E           19.70               8.82               9.80
  F            9.10               6.20               7.20
  Sub notes   33.60                N/A               N/A

  N/A--Not applicable.

SP said, "Since our previous review, the portfolio's credit quality
has deteriorated due to the increase in 'CCC' rated assets to about
EUR20.7 million from EUR3.0 million. Additionally, we placed on
CreditWatch negative our ratings on more than 8% of the pool, up
from 0% previously."

  Table 2

                           As of Sept. 2020     At S&P's previous
                            (based on the           review (%)
                      September trustee report)

  SPWARF                          2,951.7        2,634.21
  Default rate dispersion (%)         635.15          506.16
  Weighted-average life (years)         4.97            5.88
  Obligor diversity measure           107.59           99.87
  Industry diversity measure           20.36           18.20
  Regional diversity measure            1.18            1.41
  Total collateral amount incl.
    recoveries from default assets    346.25          350.00
      (mil. EUR)
  Defaulted assets (mil. EUR)           3.25               0
  Number of performing obligors          123             107
  'AAA' WARR (%)                       35.75           34.99

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

SP said, "Following the application of our criteria, the class X
and A notes are still able to withstand the stresses we apply at
the currently assigned ratings, based on their available credit
enhancement levels. We have therefore affirmed our ratings on these
classes of notes.

"For the class B-1, B-2, and C notes, our credit and cash flow
analysis indicates that the available credit enhancement could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, as the CLO is still in its
reinvestment phase, during which the transaction's credit risk
profile could deteriorate, we have capped our assigned ratings on
the notes. We have therefore affirmed our ratings on these classes
of notes.

"The class D notes are still able to withstand the stresses we
apply at the currently assigned rating, based on their available
credit enhancement level. We have therefore affirmed our 'BBB (sf)'
rating on the class D notes and removed it from CreditWatch
negative."

On a standalone basis, the results of the cash flow analysis
indicated a lower rating than that currently assigned for the class
E notes. S&P said, "The collateral portfolio's credit quality has
deteriorated since our previous review, specifically in terms of
'CCC' rated asset exposures and the proportion of assets on
CreditWatch negative. The negative effect has been mitigated by the
reduction in the weighted-average life (WAL) to 4.98 years from
5.88 years. In our view, this has led to a reduction in the level
of excess spread benefit available to the junior classes of notes
in our cash flow analysis and hence lower break-even default rates
(BDRs) for the class E notes. The fall in BDRs, which represent the
gross levels of defaults that the transaction may withstand at each
rating level, indicates that the next passing level for the class E
notes is one notch lower than its current rating level, at 'B+
(sf)'. We have therefore lowered to 'B+ (sf)' from 'BB- (sf)' our
rating on the class E notes."

The class F notes' current BDR cushion is -2.33%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including our long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with S&P's criteria. S&P's
analysis further reflects several factors, including:

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

-- S&P's model-generated portfolio default risk is at the 'B-'
rating level at 28.48% (for a portfolio with a WAL of 4.97 years)
versus 15.41% if we were to consider a long-term sustainable
default rate of 3.1% for 4.97 years.

-- Whether the tranche is vulnerable to non-payment in the near
future.

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

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

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

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

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

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

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

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The 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 will continue to review the ratings on its transactions in
light of these macroeconomic events. S&P will take further rating
actions, including CreditWatch placements, as it deems
appropriate.




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

SAN MARINO: Fitch Affirms BB+ LongTerm IDR, Outlook Negative
------------------------------------------------------------
Fitch Ratings has affirmed San Marino's Long-Term Foreign-Currency
(LTFC) Issuer Default Rating (IDR) at 'BB+' with a Negative
Outlook.

KEY RATING DRIVERS

San Marino's 'BB+' rating is supported by high GDP per capita (more
than 11x the 'BB' median), a large net external creditor position
and trade surplus, and a stable political system. The rating is
weighed down by large implicit government liabilities from very
high bank non-performing loans (NPLs), a weak record in addressing
the banking-sector vulnerabilities and limited administrative
capacity. Low economic diversification, data quality issues and low
growth potential are also key weaknesses.

The Negative Outlook reflects the risk of further deterioration in
Sammarinese banks' asset quality that might increase the sector's
already sizable recapitalisation needs. The NPL ratio increased to
62.8% (38.5% net of provisions) in 1H20 from 61.7% at end-2019
(37.1% net of provisions) and further deterioration of the banking
sector's asset quality is likely due to economic contraction in
2020. The IMF estimates the capital shortfall at EUR764 billion
(59.1% of 2020 GDP) based on the 2017 Asset Quality Review (AQR),
and a minimum further 10pp to align with EU standards. However,
given the results of the AQR are now outdated, the required capital
injection might also be underestimated.

In addition to very weak asset quality, the Sammarinese banks have
low capitalisation levels (core equity tier 1 ratio at 9.2% as of
3Q19) and poor liquidity (seven-day liquidity coverage ratio at
32.5% as of 3Q20). The liquidity risk was highlighted during the
pandemic outbreak, as the state-owned Cassa di Risparmio della
Repubblica di San Marino (CRSM) delayed 80% of a domestic
non-state-guaranteed bond repayment. However, the deposit base has
been stable during the crisis, including after the announcement and
the full repayment of the bond in September.

Fitch maintains the view that large public recapitalisation of the
banks is likely, but the size, timing and modalities remain
uncertain. Hence, since its June 2018 review, Fitch has assumed a
front-loading of bank recapitalisation costs will translate into
implicit government debt over three years amounting to EUR455
million (35.4% of 2020 GDP) in government-guaranteed CRSM legacy
losses over three years. This excludes a further EUR209 million
(16.3% of 2020 GDP) of tax credits issued to banks and EUR100
million (7.8% of 2020 GDP) in commitments to repay Banca CIS
pension-fund deposits.

Near-term risks to financial stability stemming from banks' weak
liquidity position have declined. In August, San Marino established
a EUR100 million (7.8% of GDP) one-year repo line with the ECB for
the first time, which mitigates to some extent the challenge
stemming from the lack of a credible lender-of-last-resort.
Authorities have also put forward plans for capital injection to
CRSM funded by external borrowing and creation of an NPL resolution
unit.

In addition, other solutions are being explored such as
securitisation of tax credits that has the potential to turn them
into profit-generating, transferable and more liquid assets. As of
end-March 2020, the non-interest-bearing assets of the total
banking system amounted to EUR1.5 billion, equal to 37% of total
assets.

The implementation of these initiatives could also help banks to
return to profitability, after a decade of continued losses, and
therefore enhance their liquidity and limit the government's
spending on coverage of losses of the state-owned CRSM. The
operating loss of CRSM in 2019 totalled EUR29.6 million, versus
EUR34.1 million in 2018, and equalled to around 10% of the central
government's total revenues.

Fitch assumes the government will tap the international markets in
the near term. If successful, external funding has the potential to
significantly strengthen the banking sector's liquidity and
diversify San Marino's financing sources by providing access to
liquid financing markets.

Under its baseline scenario, Fitch forecasts general government
debt to increase to 57.2% of GDP in 2020, from 32.3% in 2019, and
continue increasing to 79.3% in 2022 (including 35.4pp of implicit
debt outlined above), significantly above the expected 'BB' median
at 57.1%. In addition, Fitch expects that tapping international
markets will also increase the cost of debt service, although from
a low level, to 1.1% of GDP in 2021 from only 0.3% in 2019.

The smaller-than-expected decline in revenues, coupled with some
expenditure rationalisation achieved by the authorities since the
pandemic started, will lead to the smaller fiscal deficit than
Fitch previously expected. Fitch now forecasts the general
government deficit to shrink to 21.3% of GDP, from 24.4% at the
April rating review, which includes the assumption of 12pp of GDP
in recapitalisation costs for government guarantees of CRSM bank
legacy losses. Recovery in GDP growth and continued but shrinking
fiscal support for the economy in 2021 and 2022 should result in
the fiscal deficit narrowing to 16.4% and 12.1% of GDP,
respectively (including a further 11pp in recapitalisation costs
each year).

San Marino is a highly concentrated economy with a large dependence
on tourism (roughly 19% of GDP and 31% of employment). However, the
recovery in the tourism sector has been strong, with the number of
visitors reaching 85% of its 2019 levels in August (peak of the
season). Also, the low utilisation of the government's guarantee
programme (requested loans equal to 1.5% of GDP, of which 0.8% of
GDP were approved) and loan payment holidays could indicate a
lower-than-expected impact on the economy from the initial phase of
the pandemic.

Fitch still expects the economy to contract by 9.5% in 2020 but
forecast a stronger recovery at 6% in 2021. Risks to its growth
forecasts remain skewed to the downside given the uncertainty
regarding the duration of the global pandemic and the potential for
reintroduction of tighter containment measures.

Some of the government's initiatives, if implemented, could support
economic recovery. These include the opening of the luxury shopping
mall (scheduled for late 2020/early 2021), investment in the gaming
sector and optical fibre project as well as the expansion of the
tourism sector into a wellness segment. The government has also
commenced a tender for investors to improve the tourism sector as a
whole, particularly renovating the historical centre of San Marino.
The adoption of the EU association agreement, although delayed
until at least 2021 due to the pandemic, could benefit potential
growth for San Marino by giving it increased access to the EU's
single market.

External finances are a key rating strength. Under its baseline
scenario that includes sovereign external borrowing, Fitch projects
the external creditor position to decline to 105% of GDP in 2022,
from 130% in 2019, but to remain stronger than peers' (projected
net external debt of 25.5% of GDP for the 'BB' median in 2022). San
Marino estimates the current account balance to have improved
significantly to 0.7% of GDP in 2019 from -1.6% in 2018. Fitch
projects a current account deficit of 1.1% of GDP in 2020, as
services exports will take a hit from the pandemic, before
gradually returning to balance. In spite of recent improvements,
Fitch believes significant uncertainty and quality issues are
surrounding these estimates, for example Fitch believes that the
current account is likely to be in a much larger surplus.

ESG - Governance: San Marino has an ESG Relevance Score of '5' for
both Political Stability and Rights and for the Rule of Law,
Institutional and Regulatory Quality and Control of Corruption, as
is the case for all sovereigns. Theses scores reflect the high
weight that the World Bank Governance Indicators (WBGI) have in its
proprietary Sovereign Rating Model (SRM). San Marino has a high
WBGI ranking at 73 percentiles, reflecting its long record of
stable and peaceful political transitions, well-established rights
for participation in the political process, effective rule of law
and a low level of corruption. Due to limited availability of just
two of the six WBGI components for San Marino, Fitch has used
Italy's WBGI indicators to proxy for the other four components. Due
to the small size of its economy and population, institutional
capacity is weak.

RATING SENSITIVITIES

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

Structural: Further increase in banking-sector vulnerabilities in
asset quality and liquidity that would undermine financial
stability and create additional contingent liability risks for the
sovereign.

Public Finance: Debt remaining on an upward path over the medium
term, reflecting, for example, a failure to narrow the fiscal
deficit after the coronavirus subsides.

Structural/Macro: A substantial delay in implementation of
structural reforms that would undermine the banking sector's return
to profitability and prevent it from supporting the economic
recovery through increased lending.

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

Structural Features: Evidence of a sustained reduction in banking
sector's risks related to financial stability and contingent
liabilities for the sovereign, for example through improvements in
asset quality, liquidity and capital.

Public Finance: Reduction of public debt in the medium term, for
example through stronger economic growth or fiscal adjustment.

SOVEREIGN RATING MODEL (SRM) AND QUALITATIVE OVERLAY (QO)

Fitch's proprietary SRM assigns San Marino a score equivalent to a
rating of 'BB+' on the LTFC IDR scale, one notch lower than the
'BBB-' SRM score at its previous review.

Fitch's sovereign rating committee did not adjust the output from
the SRM to arrive at the final LTFC IDR.

The removal of the -1 notch in Structural Features, previously
applied in the Qualitative Overlay (QO), reflects reduced near-term
liquidity risks for the banking sector due to a new ECB repo line
and a smaller-than-anticipated impact of the COVID-19 pandemic.

Fitch also expects that the authorities will implement in the
near-term credible measures that mitigate long-standing
banking-sector weaknesses in terms of low liquidity and poor asset
quality and could support the return of profitability in the
sector. Fitch also partly captures risks related to poor asset
quality and low capitalisation levels in its public-finances
forecast by assuming a front-loading of bank recapitalisation costs
into implicit government debt over three years amounting to 35.4%
of 2020 GDP.

Fitch's SRM is the agency's proprietary multiple regression rating
model that employs 18 variables based on three-year centred
averages, including one year of forecasts, to produce a score
equivalent to a LTFC IDR. Fitch's QO is a forward-looking
qualitative framework designed to allow for adjustment to the SRM
output to assign the final rating, reflecting factors within its
criteria that are not fully quantifiable and/or not fully reflected
in the SRM.

KEY ASSUMPTIONS

Fitch assumes the global economy will develop in line with the
Global Economic Outlook published on September 7,. Eurozone GDP is
forecast to decline 9% this year, before recovering by 5.5% in
2021.

Fitch assumes EUR300 million debt issuance by the sovereign in
2020, out of which EUR150 million will be used for domestic debt
repayment, and further issuance of EUR100 million in 2021.

SUMMARY OF DATA ADJUSTMENTS

The World Bank governance indicators are only available for two of
the six input factors for San Marino. For the remaining four input
factors, Fitch has used Italy's score as a proxy, with reasonable
confidence that the expected margin of error would not be
material.

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.

Current account balance estimates by the authorities & IMF are only
available for 2017 - 2019. Fitch has estimated historical and
latest data with reasonable confidence using national accounts data
and IFS international liquidity data.

ESG CONSIDERATIONS

San Marino has an ESG Relevance Score of 5 for Political Stability
and Rights as WBGI have the highest weight in Fitch's SRM and are
highly relevant to the rating and a key rating driver with a high
weight.

San Marino has an ESG Relevance Score of 5 for Rule of Law,
Institutional & Regulatory Quality and Control of Corruption as
WBGI have the highest weight in Fitch's SRM and are therefore
highly relevant to the rating and are a key rating driver with a
high weight.

San Marino has an ESG Relevance Score of 4 for Human Rights and
Political Freedoms as the Voice and Accountability pillar of the of
the WBGI is relevant to the rating and a rating driver.

San Marino has an ESG Relevance Score of 4 for Creditor Rights as
willingness to service and repay debt is relevant to the rating and
is a rating driver for San Marino, as for all sovereigns.

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




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

EMF-NL PRIME 2008-A: Fitch Affirms CCsf Rating on 2 Tranches
------------------------------------------------------------
Fitch Ratings has affirmed the ratings of EMF-NL Prime 2008-A B.V.
(EMF), removed the Rating Watch Negative (RWN) on the class A2 and
A3 notes and assigned a Negative Outlook to these tranches.

RATING ACTIONS

EMF-NL Prime 2008-A B.V.

Class A2 XS0362465535; LT Bsf Affirmed; previously Bsf

Class A3 XS0362465881; LT Bsf Affirmed; previously Bsf

Class B XS0362466186; LT CCCsf Affirmed; previously CCCsf

Class C XS0362466269; LT CCsf Affirmed; previously CCsf

Class D XS0362466772; LT CCsf Affirmed; previously CCsf

TRANSACTION SUMMARY

The transaction is a non-conforming securitisation of Dutch
residential mortgages originated by ELQ Portefeuille I BV (ELQ) and
partially by Quion 50.

KEY RATING DRIVERS

The class A2 and A3 notes have been removed from RWN. The notes
were placed on RWN in April 2020 in response to the coronavirus
outbreak. Fitch has now applied its coronavirus assumptions and
consider the ratings sufficiently robust to withstand the
additional stresses, leading to their affirmation.

The Negative Outlook on the class A2 and A3 notes reflects Fitch's
concerns around the absence of liquidity protection and high
exposure to self-employed borrowers (more than 70% of the
portfolio). Fitch considers class A2 and A3 notes vulnerable to
collateral underperformance, and with no liquidity facility
available to cover revenue shortfalls in the event of reduced
collections, the notes are deemed to be non-investment grade. The
gross excess spread provides a thin margin of safety and may be
quickly eroded should there be a rapid increase in delinquencies.

In its analysis, Fitch took into consideration its downside
sensitivity, a 15% increase in the weighted average foreclosure
frequency (WAFF) and a 15% reduction in the weighted average
recovery rate (WARR), which suggested the increased likelihood of a
downgrade of the class A2 and A3 notes, should the economic
environment worsen beyond its baseline expectations. This view is
also reflected in Fitch's Negative Outlook, assigned to the class
A2 and A3 notes.

Pandemic-Related Alternative Assumptions

Fitch expects a generalised weakening in borrowers' ability to keep
up with their mortgage payments due to the economic impact of the
coronavirus pandemic and related containment measures. As a result,
Fitch applied pandemic assumptions to the mortgage portfolios. The
combined application of a revised 'Bsf' representative pool WAFF
resulted in a modelled loss of 8.8% at 'Bsf'.

Stable Asset Performance

Portfolio performance data as of July 2020 doesn't show signs of
deterioration due to the pandemic. The share of performing loans as
of July 2020 had increased by 1pp yoy.

The absolute level of late-stage arrears remains high (3.3% arrears
of three months or more in July 2020) compared with the equivalent
measure in the Fitch Netherlands All Deals Index (0.3% as of July
2020) - whilst these had increased at the last collection period,
they remain around the levels seen between 2017 and 2019.

Low Payment Holiday Take-Up

In line with other Dutch RMBS, the amount of loans on payment
holidays was low. It was below 1% of collateral balance in July.
Fitch expects that the take up of payment holidays has peaked and
that the affected proportion of this pool will continue to fall.
The payment holidays (deferral of principal and interest payments)
were only available until the end of September 2020 and for a
maximum term of three months.

Originator Adjustment

Fitch applied an originator adjustment of 3.55x that is different
to the one applied at transaction close (1.3x), due to the
significant portion of borrowers with adverse credit
characteristics. This adjustment addresses the portfolio's
sub-standard credit quality and the weak performance reported since
closing.

RATING SENSITIVITIES

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

Stable or improved asset performance, driven by a stable or
declining number of delinquencies and foreclosures, would lead to
increased credit enhancement and potential upgrades. Fitch tested
an additional rating sensitivity scenario by applying a decrease in
the WAFF of 15% and an increase in the WARR of 15%. The results
indicated a one-category upgrade of the class A2 and A3 notes.

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

The global economy remains under stress due to the coronavirus
pandemic, with surging unemployment and pressure on businesses
stemming from social-distancing guidelines. Fitch acknowledges the
uncertainty of the path of pandemic-related containment measures
and has therefore considered more severe economic scenarios.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases -- Update", published September 8, 2020, Fitch
considers a more severe downside coronavirus scenario for
sensitivity purposes, whereby a more severe and prolonged period of
stress is assumed, with a halting recovery from 2Q21. Under this
scenario, Fitch assumed a 15% increase in WAFF and a 15% decrease
in WARR. The results indicate a potential downgrade of the class A2
and A3 notes to below 'Bsf'.

The economic impact of the coronavirus pandemic could considerably
affect borrower affordability, especially in legacy portfolios
where borrowers are locked in and are paying high interest rates on
their mortgage loans. The transaction's performance may be affected
by changes in market conditions and the general economic
environment. A weakening economic environment is strongly
correlated with increasing levels of delinquencies and
foreclosures, which could reduce credit enhancement available to
the notes.

Unanticipated declines in sale proceeds from foreclosed properties
may make certain notes' ratings susceptible to potential negative
rating actions. Fitch conducts sensitivity analyses by stressing
both a transaction's base-case foreclosure frequency and recovery
rate assumptions, and examining the rating implications on all
classes of issued notes.

CRITERIA VARIATION

The portfolio comprises over 90% of interest-only loans with
maturity profiles clustered within a short two-year period, close
to the notes' final legal maturity, and exposes the structure to
the risk of extended recovery timings (beyond Fitch's standard
assumptions) that may put pressure on the issuer's ability to meet
the payments due to the noteholders. To account for this perceived
maturity concentration risk, Fitch applied a criteria variation by
changing the distribution of defaults for the back-loaded default
curve and extending the recovery timing for additional 18 months
across all rating scenarios.

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 pools ahead of the transaction's initial
closing.

Overall, Fitch's assessment of the information relied on 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

EMF-NL Prime 2008-A B.V. has an ESG Relevance Score of '4' for
Transaction Parties & Operational Risk due to weaker underwriting
standards applied by the originator that have manifested in
weaker-than-market average performance of the asset portfolio and
are reflected in originator adjustments to the foreclosure
frequency, which has a negative impact on the credit profile, and
is relevant to the ratings in conjunction with other factors.

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




===========
P O L A N D
===========

CYFROWY POLSAT: S&P Affirms 'BB+' ICR on Slow Deleveraging
----------------------------------------------------------
S&P Global Ratings affirmed its 'BB+' rating on Cyfrowy Polsat. The
positive outlook indicated that S&P could upgrade Cyfrowy by one
notch in the next few quarters if its credit ratios strengthen and
it has more visibility on the impact of a potential sale of
infrastructure assets.

Progress toward Cyfrowy's medium-term deleveraging target may be
slowed in the near term by acquisitions and spectrum payments.

At an extraordinary general meeting on May 25, Cyfrowy's
shareholders passed a resolution for the board to run the business
in such a way that the group's net leverage is less than 2.0x by
the end of 2024. S&P said, "We expect that target leverage should
translate into S&P Global Ratings-adjusted debt to EBITDA of
2.0x-2.5x. In our view, this represents a more defined deleveraging
strategy than previous guidance of net leverage of 1.75x without a
specific timeline of when it should be achieved. However, we
believe that, in the short term, deleveraging will be slow due to
Cyfrowy's acquisitive stance (we assume Cyfrowy will acquire the
remaining 34% stake in Netia in 2021) and spectrum and license
payments in 2021-2022. We therefore forecast leverage will reduce
only slightly to just below 3.0x by year-end 2020 and 2021 from
3.1x in 2019."

The potential sale of part of Cyfrowy's mobile telecom
infrastructure and its impact remain uncertain at this stage.

On Sept. 23, 2020, Cyfrowy announced that it is reviewing various
strategic options regarding the potential sale of part of its
mobile telecommunication infrastructure. S&P said, "We understand
that the closing of such a deal is not yet certain. What's more, if
Cyfrowy reached an agreement, it remains to be seen which assets
will be sold (passive and/or active infrastructure), at what price,
how the proceeds will be used, and the impact of the lease
adjustment. We believe these elements could affect Cyfrowy's credit
metrics and our rating. We are therefore maintaining our positive
outlook pending the outcome of the strategic review."

Apart from a temporary hit on advertising revenue, Cyfrowy's
business is showing resilience to the COVID-19 pandemic.

During the second quarter of 2020, advertising and sponsorship
revenue declined by 34.5% year on year due to the impact of the
pandemic. However, the company is already seeing a strong recovery
in this segment and we expect the decline will be limited to 10%
for the full year. S&P said, "We also anticipate a negative
although less severe impact on prepaid services and roaming revenue
because of store closures during the lockdown and travel
restrictions. At the same time, Cyfrowy's multiplay strategy has
shown resilience to the pandemic; the multiplay customer base
increased by 7% year on year as of June 30, 2020, while the revenue
generating unit (RGU) per customer rose to 2.68, from 2.56, over
the same period. It also had a positive impact on the average
revenue per user, which rose 3.7% year on year. All in all, we
expect largely stable organic revenue in 2020, and about flat
revenue growth due to the pro forma 12 month consolidation of the
newly acquired Interia business."

Sound cash flow generation as the ratio of capital expenditure
(capex) to sales is contained.

S&P said, "We expect that Cyfrowy will continue investing in its
networks, translating into a reported capex-to-sales ratio of about
11% in 2020-2021, which is a gradual increase from about 8.7% in
2018. We note, however, that Cyfrowy is less capex intensive than
most of its European peers (with an average ratio of 18%) due to
its exposure to broadcasting business and its well-invested mobile
network. This, combined with relatively stable adjusted EBITDA
margins over 2019-2021 should lead to solid free cash flow to debt
of 14%-15% or an EBITDA (after capex and lease payments)-to-sales
ratio of slightly more than 20%.

"The positive outlook indicates that we could upgrade Cyfrowy by
one notch over the next few quarters if its credit ratios
strengthen and we have more visibility on the impact of a potential
sale of infrastructure assets."

Upside scenario

S&P could raise the rating if Cyfrowy's revenue and EBITDA
increased modestly, resulting in adjusted debt to EBITDA declining
sustainably below 3.0x and free operating cash flow (FOCF) to debt
approaching 15%, with no negative credit impact from the potential
sale of infrastructure assets.

Downside scenario

S&P could revise the outlook to stable if Cyfrowy's adjusted debt
to EBITDA remains above 3x. This could stem from subdued organic
revenue growth, higher-than-expected investments to upgrade Netia's
network, or a negative impact from the potential sale of
infrastructure assets.




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

PETROPAVLOVSK: S&P Lowers ICR to 'B-', On CreditWatch Negative
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on Russian gold producer
Petropavlovsk and its senior unsecured debt to 'B-' from 'B' and
placing them on CreditWatch with negative implications.

S&P said, "The downgrade stems from our view of heightened
management and governance risks that could potentially hurt
Petropavlovsk's credit quality.  Over the past few months, we have
noted several developments that highlight two key conflicts: one
between the main shareholders and another between the interim CEO
and the mines' key line managers. The conflict between the main
shareholders has touched on key issues such as the composition of
Petropavlovsk's board of directors and top management. Some
shareholders have also expressed doubts regarding the previous
management's actions in the past. At a general meeting (GM) on Aug.
10, shareholders voted in favor of a resolution to hire one of four
auditors--PwC, Deloitte, KPMG, or EY--to investigate related party
transactions spanning the three years before the GM and covering
both Petropavlovsk and IRC Ltd. The aim is to determine whether
each transaction or arrangement was in the best interests of the
company and its shareholders. Also, as a result of the GM, the
12-member board (which included the then CEO, the CFO, and eight
non-executive independent directors) was reduced to four members,
three of which are deemed independent. We understand that the
company is working on adding new members before the end of this
year, but it has not communicated anything regarding the targeted
size or composition. We understand that the interim CEO Mr. Maxim
Meshcheriakov has been in a public conflict with the key managers
of certain mines. Among other things, it was reported that some of
the personnel prevented him from obtaining access to the group's
Moscow office in August. We understand that, so far, this conflict
has not affected the day-to-day operation of the company's mines or
pressure oxidation facility (POX Hub), but we see a distinct risk
that the key line managers could walk away if the conflict is not
solved. According to public statements, the board is working on
finding a permanent CEO. However, no clear timeline has been
communicated and, also, there has been no update on the company's
strategy under the new board and interim CEO. For now, we assume
the strategy defined by the previous team is continuing, but we see
a change of strategy as a potential risk to our rating, if for
example it results in a significant increase in leverage. Our
rating continues to factor in the previous management team's public
leverage target of net debt to EBITDA below 2.0x."

Failure to secure a waiver for the delayed delivery of first-half
2020 audited accounts would trigger a default and acceleration of
the company's $500 million notes.  S&P said, "In our base case, we
assume Petropavlovsk can secure the required waiver of the
technical default but there is no certainty of this occurring,
hence our placement of the ratings on CreditWatch negative. In the
unlikely scenario that no waiver is provided, the bondholders could
request the immediate repayment of the $500 million notes maturing
in November 2022. This would create an immediate liquidity crunch
for Petropavlovsk, since we estimate that the company could not
service this amount from its existing cash sources. One option
would be to draw on Gazprombank's gold prepay facilities. However,
we understand that those are uncommitted and would require
approval, which would not be immediate or automatically granted.
Under a scenario of default/acceleration, we understand the $30
million of outstanding convertible bonds would also be immediately
due for repayment." However, S&P believes that bondholders may
decide not to trigger a default, given:

-- The company's operating performance remains solid on the back
of exceptionally high gold prices.

-- Leverage has already reduced significantly and the free cash
flow generated should allow net debt to EBITDA to remain below 2x.

-- The bonds are currently trading above par.

-- The outcome of a default in Russia is often unpredictable, at
times with recovery well below 100%.

S&P said, "We still expect Petropavlovsk to perform well in 2020
thanks to top-cycle gold prices, barring any operational issues in
the second half of 2020.  In the absence of a full performance
update in the first half of 2020, we maintain our base case for
now. Our base case remains supported by top-cycle gold prices and
the company's reported first-half trading update. We assume a gold
price of $1,900 per ounce (/oz) for the rest of 2020, $1,700/oz in
2021, and $1,500/oz in 2022, as well as reported first-half gold
production of 321,000 oz (up 42% year on year) and 2020 production
within the revised public guidance of 560,000 oz-600,000 oz. We are
awaiting an update on the company's cash costs for the year to
date, since this has been a source of risk in previous years. The
depreciation of the ruble and lower oil and diesel prices should
have a positive effect, but there is an element of mine planning
that has previously affected cash costs. The revised guidance for
the total cash cost (TCC) for own production is now $800/oz-$850/oz
for 2020, compared to $700/oz-$800/oz previously."

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

-- Governance factors

CreditWatch

S&P said, "We aim to resolve the CreditWatch by the end of
November, by which time the outcome of the bondholders' vote on the
waiver should be available. In a more likely scenario of the
company obtaining the waiver and releasing its accounts for the
first half of 2020, we would likely affirm the ratings at 'B-'. In
an unlikely scenario where the waiver is not obtained, the company
would likely default, since we don't believe it has the capacity to
immediately repay the bond. This would lead us to lower the rating
further.

"We expect the rating to remain at 'B-', all other factors
remaining unchanged, as long as we continue to assess the company's
management and governance as weak. At this stage, we have limited
visibility as to potential adverse operational or financial
developments that the current governance issues could trigger.

"For an upgrade to 'B', we would expect the management and
governance issues to be fully resolved, including but not limited
to a permanent CEO being named, agreement of the shareholders over
the company's strategic direction, and completion of the intended
hiring of additional board members."




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

BANJACA 8: Fitch Affirms B+sf Rating on Class D Debt
----------------------------------------------------
Fitch Ratings has downgraded one tranche (Bancaja 8 class D notes
to 'B+sf' from 'BBsf') and affirmed eight tranches of two Spanish
RMBS transactions. The Outlooks are Stable for all tranches except
for Bancaja 9 class D that has a Negative Outlook.

RATING ACTIONS

Bancaja 8, FTA

Class A ES0312887005; LT AAAsf Affirmed; previously AAAsf

Class B ES0312887013; LT AAsf Affirmed; previously AAsf

Class C ES0312887021; LT A+sf Affirmed; previously A+sf

Class D ES0312887039; LT B+sf Downgrade; previously BBsf

Bancaja 9, FTA

Series A2 ES0312888011; LT A+sf Affirmed; previously A+sf

Series B ES0312888029; LT A+sf Affirmed; previously A+sf

Series C ES0312888037; LT BBB+sf Affirmed; previously BBB+sf

Series D ES0312888045; LT B+sf Affirmed; previously B+sf

Series E ES0312888052; LT CCsf Affirmed; previously CCsf

TRANSACTION SUMMARY

The transactions comprise fully amortising Spanish residential
mortgages serviced by Bankia S.A. (BBB/Rating Watch Positive/F2).

KEY RATING DRIVERS

COVID-19 and Catalonia Additional Stresses

In its analysis of the transactions, Fitch has applied additional
stresses in conjunction with its European RMBS Rating Criteria in
response to the coronavirus outbreak and the recent legislative
developments in Catalonia. Fitch anticipates a generalised
weakening of the Spanish borrowers' ability to keep up with
mortgage payments linked to a spike in unemployment and
vulnerability for self-employed borrowers. Performance indicators
such as the level of arrears could increase in the following months
and, therefore, Fitch has also incorporated a 10% increase to the
weighted average foreclosure frequency (WAFF) of the portfolios.

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases -- Update", Fitch also considers a downside
coronavirus scenario for sensitivity purposes whereby a more severe
and prolonged period of stress is assumed. Under this scenario,
Fitch's analysis accommodates a further increase to the portfolio
WAFF and a decrease to the WA recovery rates (RR).

Credit Enhancement Trends

While Fitch expects credit enhancement (CE) ratios to continue
increasing in the short term due to the prevailing sequential
amortisation of both transactions, CE ratios could reduce for most
tranches if the pro-rata amortisation of the notes is activated
using a reverse sequential pay mechanism until tranche thickness
targets are met. For example, Bancaja 8 class A notes' current CE
of 46.3% could fall to about 18.4% if the pro-rata amortisation
applies.

The affirmation of most notes' ratings reflects its view that CE is
sufficient to mitigate the immediate risks associated with its
base-case coronavirus scenario. On the other hand, the downgrade of
Bancaja 8 class D notes' ratings reflects insufficient CE to
compensate for the larger projected losses under its base-case
coronavirus scenario. The Negative Outlook on Bancaja 9 class D
reflects the rating's vulnerability over the longer term driven by
performance volatility if the economic outlook deteriorates as a
consequence of a more severe coronavirus crisis. The sensitivity of
the ratings to scenarios more severe than currently expected is
provided in Rating Sensitivities.

Bancaja 9 Capped on Payment Interruption Risk

Fitch views Bancaja 9 as being exposed to payment interruption risk
in the event of a servicer disruption as the available liquidity
sources (eg reserve fund) are considered insufficient to cover
senior fees, net swap payments and senior notes' interest during a
minimum period of three months needed to implement alternative
servicing arrangements. The notes' maximum achievable ratings are
commensurate with the 'Asf' category, in line with Fitch's
Structured Finance and Covered Bonds Counterparty Rating Criteria.

Fitch does not expect the COVID-19 emergency support measures
introduced by the Spanish government and banks for borrowers in
vulnerability to negatively affect the special-purpose vehicles'
liquidity positions, given the low take-up rate of payment holidays
in the transactions estimated to be under the 9% national average
as of June 2020.

Portfolio Risky Attributes

The securitised portfolios are exposed to geographical
concentration mainly in the region of Valencia. In line with
Fitch's European RMBS rating criteria, higher rating multiples are
applied to the base FF assumption to the portion of the portfolios
that exceed two and a half times the population share of this
region relative to the national count. Additionally, about 50% of
these portfolios is linked to loans originated via brokers, which
are considered riskier than branch-originated loans and are subject
to a FF adjustment factor of 150%.

The portfolios have significant seasoning of about 15 years.
Three-month plus arrears (excluding defaults) as a percentage of
the current pool balance remain below 2% for both transactions as
of the latest reporting date, while cumulative gross defaults
relative to portfolio initial balances range between 4.3% (Bancaja
8) and 7.9% (Bancaja 9).

Bancaja 9 has an Environmental, Social and Governance (ESG)
Relevance Score of '5' for Transaction & Collateral Structure due
to unmitigated payment interruption risk, which has a negative
impact on the credit profile, and is highly relevant to the rating,
resulting in a downward adjustment to the ratings by at least one
notch.

RATING SENSITIVITIES

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

  - Increases in CE ratios as the transactions deleverage to fully
compensate the credit losses and cash-flow stresses that are
commensurate with higher rating scenarios, all else being equal

  - For Bancaja 9 class A and B notes, improved liquidity
protection against a servicer disruption event. This is because the
ratings are currently capped at 'A+sf' on an unmitigated payment
interruption risk

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

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

  - A downgrade to Spain's Long-Term Issuer Default Rating (IDR)
that could lower the maximum achievable rating for Spanish
structured finance transactions. This is because class A notes on
Bancaja 8 are capped at the 'AAAsf' maximum achievable rating in
Spain - six notches above the sovereign IDR

CRITERIA VARIATION

RR Haircut: For Bancaja 9, Fitch has applied a 15% haircut to the
ResiGlobal model-estimated RR across all rating scenarios
considering the materially lower transaction recoveries on
cumulative defaults observed to date (about 61%) versus un-adjusted
model expectations. This constitutes a variation from its European
RMBS Rating Criteria with a maximum model-implied rating impact of
minus two notches.

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

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

DATA ADEQUACY

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

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

Bancaja 9, FTA: Transaction & Collateral Structure: '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.


DISTRIBUIDORA INTERNACIONAL: S&P Raises ICR to 'CCC-', Outlook Neg.
-------------------------------------------------------------------
S&P Global Ratings raised its issuer credit rating on Distribuidora
Internacional de Alimentacion (DIA) to 'CCC-' from 'SD' (selective
default). This indicates that S&P thinks further restructuring is
likely in the short term because of DIA's imminent maturities and
weak liquidity. S&P also raised the issue ratings on DIA's senior
unsecured notes to 'C' from 'D', indicating their subordination to
other debt.

S&P is also raising the issue ratings on DIA's senior unsecured
notes to 'C' from 'D', indicating their subordination to other
debt.

The negative outlook reflects the risk that DIA could undergo
further debt restructurings in the short term, given upcoming debt
maturities and our anticipation of likely limited free operating
cash flow (FOCF) for financial year 2020, amid the challenging
macroeconomic environment and the transformation of its business
model. The outlook also factors in our lack of visibility on
LetterOne's ultimate financial plans.

The rating and outlook reflect the uncertainties that remain around
DIA's capital structure and liquidity.

Following the completion of the tender offer at below par by Letter
One, the bonds remain outstanding and LetterOne has not
communicated its plans. As of June 2020, the company reported debt
of EUR1.6 billion (excluding leases) including EUR727 million of
syndicated debt and EUR595 million of bonds. S&P said, "We do not
know whether the bonds repurchased will be cancelled or swapped for
other debt instruments, nor do we know the intentions regarding the
remaining portion of the bonds that LetterOne does not hold.
Equally, we cannot rule out the possibility of further
renegotiation of other debt instruments."

S&P said, "This lack of visibility also weighs on our liquidity
assessment, notably given the sizable short-term debt outstanding
and our anticipation that DIA will likely generate limited FOCF
after lease payments. As of June 2020, the company had EUR420
million of cash, after drawing on the EUR197 million L1 super
senior facility, and EUR15 million of undrawn facilities. Over the
next 12 months (from June 2020) DIA has short-term maturities of
EUR418 million, including the EUR300 million bond maturing in April
2021 and EUR53.1 million of bilateral loans maturing in the first
quarter of 2021.

"However, we acknowledge that LetterOne's tender offer transaction
is a further confirmation of its support of DIA. LetterOne holds
74.8% of DIA's shares as majority shareholder, and in 2019 it
invested EUR490 million through a profit participating loan and
EUR197.4 million super senior loan facility. Therefore, we would
expect that its ownership of the majority of the bonds would
facilitate negotiations for the upcoming April 2021 debt
maturities."

DIA's performance in the first half of the year has showed signs of
recovery, but significant business transformation is still
underway.   DIA experienced like-for-like growth of 8.7% in the
first half of 2020. Positive like-for-like sales growth has been
maintained post-lockdown in June and July at 10% and 8%,
respectively. However, net sales have increased by only 2% due to
the impact of currency devaluation in Argentina and Brazil, and to
fewer stores. Reported EBITDA margin has improved to 5% in the
first half of 2020, from 0.3% in first-half 2019.

DIA's business model is undergoing a heavy transformation to regain
competitiveness and restore margins. The initial phase of the
transformation plan has been completed. It involved, among other
initiatives, hiring local country leadership, closing unprofitable
stores, and discontinuing non-core businesses. The second phase of
the plan is underway and the company has developed a strategic
roadmap that extends until 2023. S&P considers that execution risks
remain and we expect additional restructuring costs and significant
capital investments will further weigh on its profitability and
free cash flow generation. This come amid continued competitive
pressures in particular in Spain, and negative currency effects in
its Latin American operations, largely offsetting the improving
underlying trend of its operations in that region.

S&P said, "Recent personnel changes may suggest certain governance
deficiencies, in our view.   DIA's CFO, Enrique Weickert, announced
his departure in September after almost two years in the role and
has yet to be replaced. CEO Karl-Heinz Holland stepped down in May
after one year in the role. In our view, this quick rotation in
senior management may signal a lack of alignment between part of
the management team and its main shareholder, which may not
facilitate a rapid execution of the group's ongoing operational
restructuring. Additionally, while Stephane Du Charme has taken the
role of executive director and Chairman of DIA and he is also a
managing partner at LetterOne, we have limited visibility over
LetterOne's plans regarding the evolution of DIA's capital
structure."

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

-- Governance

S&P said, "The negative outlook reflects the risk that DIA could
undergo further debt restructurings in the short term, given
upcoming debt maturities and our anticipation of likely negative
FOCF for 2020 amid the challenging macroeconomic environment,
exposure to currency devaluations in Brazil and Argentina, and the
transformation of its business model. It is also driven by our lack
of visibility on LetterOne's financial plans.

"We could lower the rating in the short term if the company
announced a debt restructuring or a distressed exchange on the
remaining portion of the bonds or other debt, or if it defaulted on
any of its outstanding debt facilities."

S&P could raise the rating if:

-- DIA improved its capital structure and liquidity position and
S&P no longer saw imminent debt restructuring risk.

-- S&P saw a recovery in operating performance resulting from
management's business transformation, and an improvement in FOCF
after lease payments.

-- S&P gained clarity about LetterOne's plans for the bonds
purchased recently from the company.




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

BHS GROUP: Philip Green Scuppered Sale to Mike Ashley
-----------------------------------------------------
Jane Croft at The Financial Times reports that UK department store
chain BHS collapsed after multi-millionaire Philip Green scuppered
a sale of the stricken group to rival retailer
Mike Ashley because he "couldn't entertain the notion of selling to
a competitor", a court heard on Oct. 9.

The claim came on the second day of the trial of Dominic Chappell,
the businessman who bought BHS from Sir Philip's group of companies
for GBP1 in 2015, and is facing three charges of tax evasion, the
FT relates. He denies all the charges, the FT notes.

The jury at Southwark Crown Court in London was told that as BHS
was about to collapse in 2016, Mr. Chappell put in a call to Mr.
Ashley, the billionaire founder of the Sports Direct chain and
owner of Newcastle Football Club, the FT discloses.

"Dominic Chappell was content to hand BHS to Mike Ashley," the FT
quotes Trevor Burke QC, the barrister representing Mr. Chappell, as
saying.  "Sir Philip Green could not entertain the notion of
selling to a competitor and refused to engage and ultimately BHS
collapsed in chaos."

In an opening statement, Mr. Burke claimed that Mr. Chappell had
been left "utterly broken" two weeks after he bought BHS in 2015
following the decision by the Pensions Regulator to launch a probe
into BHS's retirement fund deficit, the FT notes.

Mr. Burke alleged that the defendant's corporate vehicle, Retail
Acquisitions Ltd., was not given access to BHS pension fund
documents until after the sale had completed because Sir Philip had
made assurances he would deal with the pension deficit, the FT
states.

When BHS failed, its pension scheme had a GBP571 million financial
hole, the FT says.  The jury heard that Sir Philip reached
agreement with the Pensions Regulator in 2017 to pay GBP363 million
into the BHS pension scheme and the Pensions Regulator had ordered
Mr. Chappell to pay GBP9.54 million into the fund, the FT
recounts.

Prosecutors have alleged Mr. Chappell "dishonestly chose" to evade
paying tax on GBP2.2 million of income he received from the
acquisition of BHS and used it to fund his lifestyle including
buying a Bentley car, a holiday in the Bahamas, a yacht called
Maverick and some expensive Beretta guns, the FT relates.

                           About BHS

BHS Group was a high street retailer offering fashion for the whole
family, furniture and home accessories.

BHS was put into administration in April 2016 in one of the U.K.'s
largest ever corporate failures, according to The Am Law Daily.
More than 11,000 jobs were lost and 20,000 pensions (the U.K.
equivalent of a 401k) put at risk after it emerged that the
company, which had more than 160 stores across the U.K., had a
pension deficit of GBP571 million (US$703 million), The Am Law
Daily disclosed.

Sir Philip Green, a retail magnate with a net worth of more than
US$5 billion, has been heavily criticized for his role in the
collapse of BHS, The Am Law Daily said.  Mr. Green and other
shareholders had taken around GBP580 million (US$714 million) out
of the business before selling it for just GBP1 (US$1.23), The Am
Law Daily noted.

Linklaters acted for Green's Arcadia Group on the sale of the
company to Retail Acquisitions, which was advised by London-based
technology, media and telecoms specialist Olswang, The Am Law Daily
added.

Weil Gotshal & Manges and DLA then took the lead roles on the
administration, acting for the company and administrators Duff &
Phelps, respectively, while Jones Day was appointed by the
administrators to investigate the actions of the company's former
directors, The Am Law Daily related.


BOPARAN HOLDINGS: S&P Puts 'CCC+' ICR on Creditwatch Positive
-------------------------------------------------------------
S&P Global Ratings placed on CreditWatch with positive implications
its 'CCC+' issuer credit rating on Boparan Holdings Ltd. and its
'CCC+' issue ratings on the debt issued by Boparan Finance Plc.

The positive CreditWatch indicates that S&P could raise its ratings
on Boparan if the group rapidly executes its debt refinancing.

S&P placed the ratings on CreditWatch positive because the sale of
Fox's branded biscuits to Ferrero is overall credit positive in our
view.   The transaction supports the group's financial position
because the GBP246 million of cash proceeds will likely be
allocated to repay about GBP700 million of near-term debt due
between March and July 2021 and reduce the group's large pension
deficit. Additionally positive is that the quantum of debt S&P
estimates to be refinanced has decreased significantly to less than
GBP500 million, which should facilitate the group's access to
capital markets. This transaction, which is expected to close on
Oct. 31, comes after a number of asset sales over the past years
(Goodfellas pizza, Manton Wood Sandwich, 2 Sisters Red Meat, 2
Sisters Sandwiches, Green Isle Brands, and Mathew Walker, among
others) which has enabled Boparan to repay its 2019 senior notes
and meet its financial obligations until now.

From a business perspective this transaction is rather neutral.  
Fox's business was small compared with Boparan's large poultry
operations, thus limiting the loss of cash flow. Although Fox's
small private label business will remain within the Boparan group,
disposal of the branded biscuits will reduce some business
diversity, be slightly operating margin dilutive, and deprive the
group of the well-known Fox's brand in its portfolio.

The strategic business refocus is starting to pay off, but Boparan
still faces high price pressure and potential working capital
volatility.  Operating performance has improved over the past
quarters and supports the case for a successful debt refinancing.
S&P said, "Under our new base case pro forma the announced
disposal, we project S&P Global Ratings-adjusted EBITDA to rebound
to around GBP130 million-GBP140 million in fiscal year 2021 (ending
July 31, 2021) compared with GBP120 million-GBP130 million in 2020
and around GBP90 million in 2019. In terms of credit metrics we now
forecast our adjusted debt leverage will decrease to around
7.0x-7.5x in 2021 (versus around 10x in 2020) and funds from
operations (FFO) cash interest to rise to 2.5x-3.0x (versus around
2.0x in 2020). Reported net debt leverage should be around 3.5x in
2021 compared with around 4.5x in 2020. Our adjusted debt includes
GBP263 million of net pension deficit and about GBP145 million of
shareholder loan. We do not net out debt with cash, given the weak
business risk profile."

S&P said, "We view positively Boparan's narrower range of
businesses, which enables the group to put more resources in
production, distribution, and marketing in poultry.   Following
numerous asset sales over the past three years, Boparan appears to
be fully refocused on poultry while continuing to maintain its
small but profitable meals business. We note the good progress in
consolidating manufacturing plants, changing the product mix toward
higher-value products, and discontinuation of unprofitable
contracts. That said, the U.K. consumer products industry is highly
competitive, subject to high price pressure from large retailers
and the risk of COVID-19 contamination among staff in the
processing plants. We also see potential high volatility in
commodity prices and working capital movements, should there be no
agreement between the U.K. and the EU on trade."

Day-to-day operations are well funded but Boparan need to address
its debt maturities swiftly.   S&P believes the group retains
enough liquidity resources to fund its daily operations over the
next several months, thanks notably to large cash balances (GBP102
million on April 30, 2020) and the GBP246 million of cash proceeds
from the Fox's disposal. The group also remains in compliance with
its financial covenants on its revolving credit facility (RCF).
Overall, this should be sufficient to manage the intra-year working
capital swings, capital expenditure to service debt, and pension
payments. However, the current capital structure is unsustainable
and near-term debt maturities will rapidly need to be refinanced
with new debt. On April 30, 2020, the group's main debt maturities
were GBP78 million of debt drawn under the RCF due in March 2021, a
GBP35 million secured loan due in June 2021, and GBP300 million and
EUR252 million of senior notes due in July 2021.

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 expect to resolve our CreditWatch placement as soon
as Boparan successfully executes its debt refinancing, which we
think could be achieved rapidly thanks to the Fox's sale.

"We would raise the ratings if we see that Boparan was, in a timely
manner, able to raise sufficient new debt to repay its large debt
maturities, thus durably strengthening its liquidity position. This
would enable the company to focus resources on delivering the
group's turnaround plan and support profitable growth, especially
in poultry processing, its largest business.

"We would also need to see continued strong operating performance
supporting sustained debt deleveraging over the next 12 months,
such that adjusted debt leverage decreases to 7x-8x and FFO cash
interest rises to about 2x.

"We could lower the ratings if we think that Boparan is not likely
to be able to refinance all its 2021 debt maturities in the very
near future."


EASYJET PLC: To Post First Full-Year Loss, May Seek State Loan
--------------------------------------------------------------
Scott Reid at The Scotsman reports that EasyJet, the budget airline
with a string of routes out of Scotland, is hurtling towards the
first full-year loss in its history.

According to The Scotsman, the low-cost carrier warned it is set to
slump into the red by up to GBP845 million as it continues to be
buffeted by the pandemic.

The group, which is reportedly in talks to secure a state loan or
some other form of financial aid, said it is braced for underlying
pre-tax losses of between GBP815 million and GBP845 million for the
year to September 30 after seeing passenger numbers halve as the
coronavirus crisis crippled the industry, The Scotsman relates.

According to The Scotsman, in a trading update, the
Luton-headquartered carrier said losses reached between GBP295
million and GBP325 million in its fourth quarter, which were lower
than those in the previous three months when planes were grounded
during the lockdown.

It said it continues to keep its finances under review and "assess
further funding opportunities" amid reports that it has warned the
UK government it may need further financial support if the pandemic
continues to batter demand, The Scotsman notes.

Chief executive Johan Lundgren, as cited by The Scotsman, said:
"This year will be the first time in its history that EasyJet has
ever made a full-year loss.

"Aviation continues to face the most severe threat in its history
and the UK government urgently needs to step up with a bespoke
package of measures to ensure airlines are able to support economic
recovery when it comes."

The airline recently agreed a deal with unions to avoid compulsory
redundancies as it looks to slash its cabin crew and pilot
workforce by up to 30%, The Scotsman discloses.


MALLINCKRODT PLC: Initiates Chapter 11 Bankruptcy Proceedings
-------------------------------------------------------------
Mallinckrodt plc ("Mallinckrodt" or the "Company") on Oct. 12
disclosed that it has voluntarily initiated Chapter 11 proceedings
in the U.S. Bankruptcy Court for the District of Delaware to modify
its capital structure, including restructuring portions of its
debt, and resolve several billion dollars of otherwise unmanageable
potential legal liabilities.  Mallinckrodt and all of its
subsidiaries are continuing to operate and supply customers and
patients with products as normal.

The entities that filed Chapter 11 petitions include Mallinckrodt
plc, substantially all of its U.S. subsidiaries, including its
specialty generics-focused subsidiaries (collectively, "Specialty
Generics") and specialty brands-related subsidiaries (collectively,
"Specialty Brands"), and certain of its international
subsidiaries.

The Company intends to use the Chapter 11 process to provide a
fair, orderly, efficient and legally binding mechanism to implement
a restructuring support agreement ("RSA") that, among other things,
provides for an amended proposed opioid claims settlement and a
financial restructuring that would:

   * Reduce the Company's total debt by approximately $1.3 billion,
improving the Company's financial position and better positioning
it for long-term growth;

   * Resolve opioid-related claims against the Company, its
subsidiaries and related entities; and

   * Resolve various Acthar Gel-related matters, including the CMS
Medicaid rebate dispute, an associated False Claims Act ("FCA")
lawsuit and an FCA lawsuit relating to Acthar's previous owner's
interactions with an independent charitable foundation.

Taken together, these actions are intended to enable the Company to
move forward with its vision to become an innovation-driven
biopharmaceutical company meeting the needs of underserved patients
with severe and critical conditions.

Mark Trudeau, President and Chief Executive Officer of
Mallinckrodt, said, "After many months of deliberation, negotiation
and consideration of alternatives, Mallinckrodt's management and
Board of Directors determined that implementing a Chapter 11
restructuring provides the best opportunity to maximize the value
of the enterprise and position the Company for the future in light
of the current challenges it faces.  The actions we are taking are
an important step forward for Mallinckrodt and our patients,
employees, customers, suppliers and other partners.  We have worked
diligently over the last several months to evaluate all available
options to achieve a comprehensive resolution to the significant
litigation and debt issues overhanging our business.  Having
entered our restructuring support agreement and reached agreements
in principle with a key group of opioid plaintiffs, other
governmental parties and our guaranteed unsecured noteholders, we
are beginning this process in a highly organized manner.  We are
now on a clear path to eliminating legal uncertainties, maximizing
enterprise value, strengthening our balance sheet and moving ahead
with our strategic plans.  At the same time, we remain committed to
improving health outcomes and developing and bringing to market
therapies for patients with severe and critical conditions."

Mr. Trudeau continued, "We are grateful to our employees for their
continued commitment to our customers and the patients we serve.
We also thank our suppliers and business partners for their support
as we continue working together to improve the lives of patients."


Overview of Key RSA Terms

In connection with the Chapter 11 filing, the Company has entered
into an RSA that provides for a financial restructuring designed to
strengthen the Company's balance sheet and reduce its total debt by
approximately $1.3 billion, improving the Company's financial
position and allowing the Company to continue driving its strategic
priorities and investing in the business to develop and
commercialize therapies to improve health outcomes.

Parties to the RSA include:

   * Holders of approximately 84% of the Company's guaranteed
unsecured notes;

   * 50 states and territories; and

   * The court-appointed plaintiffs' executive committee
representing the interests of thousands of plaintiffs in the opioid
multidistrict litigation1 ("Opioid MDL"), which has agreed to
recommend that the more than 1,000 counties, municipalities
(including cities, towns and villages), Native American tribes and
other opioid claimants in the Opioid MDL support the RSA.

Under the terms of the RSA, at the end of the court-supervised
process:

   * All allowed First Lien Credit Agreement Claims, First Lien
Note Claims and Second Lien Note Claims are expected to be
reinstated at existing rates and maturities;

   * Holders of allowed Guaranteed Unsecured Note Claims are
expected to receive their pro rata share of $375 million of new
secured second lien notes due seven years after emergence and 100%
of New Mallinckrodt Ordinary Shares, subject to dilution by the
warrants described below and certain other equity;

   * Trade creditors and holders of allowed General Unsecured
Claims are expected to share in $150 million in cash; and

   * Equity holders and non-guaranteed unsecured noteholders are
expected to receive no recovery.

Amended Proposed Opioid Settlement

The Company has reached an agreement in principle on the terms of
an amended proposed settlement that would resolve opioid-related
claims against Mallinckrodt and its subsidiaries and eliminate
billions of dollars in alleged liabilities.  The amended proposed
settlement is supported by a broad array of opioid plaintiffs as
detailed above.

Under the terms of the amended proposed settlement, which would
become effective upon Mallinckrodt's emergence from the
Chapter 11 process, subject to court approval and other
conditions:

   * Opioid claims would be channeled to one or more trusts, which
would receive $1.6 billion in structured payments.
   
   -- $450 million would be received upon the Company's emergence
from Chapter 11;

   -- $200 million would be received on each of the first and
second anniversaries of emergence; and

   -- $150 million would be received on each of the third through
seventh anniversaries of emergence with a one-year prepayment
option at a discount for all but the first payment.

   * Opioid claimants would also receive warrants for approximately
19.99% of the Company's fully diluted outstanding shares, including
after giving effect to the exercise of the warrants, exercisable at
a strike price reflecting an aggregate equity value of $1.551
billion.

   * Upon commencing the Chapter 11 filing, the Company will comply
with an agreed-upon operating injunction with respect to the
operation of its opioid business.

Copies of term sheets outlining the terms of the RSA and the
amended opioid settlement, as well as materials with additional
information relating to the Company and its Chapter 11 filing, are
available on www.advancingmnk.com.  The term sheets and additional
materials are expected be filed as an exhibit to a Current Report
on Form 8-K with the U.S. Securities and Exchange Commission today,
Oc. 13.

Resolution of Certain Acthar Gel-Related Matters

Mallinckrodt has reached an agreement in principle with certain
governmental parties to resolve certain disputes relating to Acthar
Gel.  The agreement in principle is conditioned upon Mallinckrodt
entering the Chapter 11 restructuring process.  The Company has
agreed to pay $260 million over seven years and reset Acthar Gel's
Medicaid rebate calculation as of July 1, 2020, such that state
Medicaid programs will receive 100% rebates on Acthar Gel Medicaid
sales, based on current Acthar Gel pricing. Additionally, upon
execution of the settlement, the Company will dismiss its appeal of
the CMS Medicaid rebate ruling currently pending in the U.S. Court
of Appeals for the D.C. Circuit.  The settlement would resolve the
CMS Medicaid rebate dispute, the associated FCA lawsuit in Boston
and an FCA lawsuit in the Eastern District of Pennsylvania relating
to Acthar's previous owner's interactions with an independent
charitable foundation.

Mallinckrodt expects to complete the settlement over the next
several months, subject to Bankruptcy Court approval.

Continuing to Serve Patients and Customers as Normal

The current consolidated cash balance of the Chapter 11 filing
entities is more than $650 million. Together with cash generated
from ongoing operations, this is expected to provide ample
liquidity to support continued operations during the
court-supervised process.

The Company has filed a number of customary motions seeking court
authorization to continue to support its business operations during
the court-supervised process, including the continued payment of
employee wages and benefits without interruption.  The Company
intends to pay vendors and suppliers in full under normal terms for
goods received and services rendered on or after the filing date.
The Company expects to receive court approval for all of these
routine requests.  The Company's foreign non-debtor affiliates will
continue to operate their businesses in the ordinary course.

Separating the Specialty Generics and Specialty Brands businesses
remains one of Mallinckrodt's goals.  The Company will continue to
evaluate strategic options for the Specialty Generics business at
an appropriate time and when market conditions are favorable.

Additional Information

Additional information about the court-supervised process is
available at www.advancingmnk.com. Court filings and other
information related to the court-supervised process are available
on a separate website administered by the Company's claims agent,
Prime Clerk, at http://restructuring.primeclerk.com/Mallinckrodt;
by calling Prime Clerk representatives toll-free in the U.S. and
Canada at 877-467-1570 or 347-817-4093 for international calls; or
by emailing Prime Clerk at MallinckrodtInfo@primeclerk.com.  

For supplier-related inquiries, please call the Company toll-free
in the U.S. at +1-833-954-2209 or +1-314-654-3008 for international
calls, or email the Company at Supplier.Inquiry@mnk.com.  

Advisors

Latham & Watkins LLP, Ropes & Gray LLP and Wachtell, Lipton, Rosen
& Katz are serving as counsel, Guggenheim Securities, LLC is
serving as investment banker and AlixPartners LLP is serving as
restructuring advisor to Mallinckrodt.  Hogan Lovells is serving as
counsel with respect to the Acthar Gel matter.

                      About Mallinckrodt

Mallinckrodt (NYSE: MNK) -- http://www.mallinckrodt.com-- is a
global business consisting of multiple wholly owned subsidiaries
that develop, manufacture, market and distribute specialty
pharmaceutical products and therapies.  The company's Specialty
Brands reportable segment's areas of focus include autoimmune and
rare diseases in specialty areas like neurology, rheumatology,
nephrology, pulmonology and ophthalmology; immunotherapy and
neonatal respiratory critical care therapies; analgesics and
gastrointestinal products.  Its Specialty Generics reportable
segment includes specialty generic drugs and active pharmaceutical
ingredients.


PIZZA EXPRESS: Bondholders Set to Take Over
-------------------------------------------
Dominic Walsh at The Times reports that Pizza Express is set to be
taken over by its bondholders after a sale process seeking
potential buyers failed to drum up a competitive offer.

According to The Times, the deal would involve Hony Capital, the
private equity firm based in Beijing, handing over the keys to the
restaurant chain via a debt-for-equity swap, although Hony is
expected to retain control of Pizza Express's operations in
mainland China.

Under the agreement with its secured noteholders and Hony, the
group would be restructured and its external debt reduced from
GBP735 million to GBP319 million, The Times discloses.  It would
receive GBP144 million of new facilities to support development of
the business, The Times states.

As part of the restructuring, the British division of Pizza Express
would be put through a company voluntary arrangement, The Times
notes.


PREMIER FOODS: S&P Ups ICR to 'B+' on Debt Reduction, Outlook Pos.
------------------------------------------------------------------
S&P Global Ratings upgraded its rating on U.K.-based packaged foods
producer Premier Foods to 'B+' from 'B'.

Premier Foods has taken concrete actions to reduce existing debt
and limit future volatility in credit metrics.

Premier Foods has announced it is paying down a total of GBP120
million on its GBP210 million floating rate notes due 2022 in two
tranches (GBP80 million paid in June 2020 and GBP40 million to be
paid in December 2020) with cash available on its balance sheet. In
addition, in April 2020, the group reached an agreement with
pension trustees to a segregated merger of its three pension funds
(RHM, Premier Foods, and Premier Grocery Products) in fiscal 2021.
This will allow the merged trust to be in surplus, since the RHM
fund was in a significant surplus (GBP1,505 million as of March
2020), while the two others had moderate deficits (GBP275 million
deficit for Premier Foods' schemes as of March 2020). This will
help the group reduce the net present value of pension deficit
contributions and save in pension administration costs. Mandatory
cash pension contributions may progressively reduce from about
GBP45 million currently per year (including administration costs)
to about GBP35 million in fiscal 2022 and even lower in fiscal
2023, depending on market conditions and investment performance. We
believe this will ease the group's financial burden and should help
net deleveraging, absent any mergers or acquisitions, or
significant shareholder remunerations.

Premier Foods is benefitting from consumers eating at home more
during the pandemic as a producer of staple food, but may face
Brexit disruptions in 2021.

In the first quarter of fiscal 2021, revenue increased 22.5%, with
branded sales up 27%. The group managed to respond to the
unexpected higher demand thanks to its efficient supply chain and
benefitted from market share gains. Notably, the online channel saw
significant growth of 115% over the same period in fiscal 2020. S&P
said, "We believe it is likely to continue expanding significantly
after the pandemic. We believe Premier Foods will benefit from this
revenue boost for the full year, and only expect revenue growth
rates to come back to previous levels of about 1%-3% in fiscal
2022. We note that Premier Foods is putting in place significant
marketing and commercial campaigns to transform this temporary
boost into more permanent momentum."

S&P said, "However, we believe there is a risk that Brexit will
disrupt Premier Foods' supply chain, working capital, and raw
material sourcing from 2021, despite the group's thorough
preparations. This is because it sources some of its raw materials
in the EU, which may become more costly to transport back to the
U.K., or the group may decide to shift its sourcing to the U.K.,
which could also potentially disrupt its supply chain organization
in the medium term. We believe this may increase costs for raw
materials, resulting in pressure on its gross margin and
potentially also inventory build-up, at least in the first few
months."

Premier Foods's longstanding position as one of the leading
manufacturer of ambient food in the U.K. will support stable
organic growth of about 1%-3% (after the impact from the pandemic)
and positive free operating cash flow.

Premier Foods offers a range of ambient food products that are
widely consumed in the U.K. and allow the group to benefit from a
stable position as one of the U.K.'s largest food producers.
According to the company, about 94% of U.K. households buy one or
more of Premier Foods' products a year. Its brands, such as
Ambrosia, Batchelors, Loyd Grossman, Mr. Kipling, and Oxo are
widely represented in most retailers in the U.K. and cover
different price ranges. Premier Foods also offers nonbranded
products to retailers, but that represents less than 20% of the
group's total sales. Premier Foods is putting emphasis on
introducing new products to update its product range and remain in
line with consumers' preferences. It benefits from partnerships
with Mondelez and Nissin, which allow the use of certain global
brands, such as Cadbury in the U.K. In addition, the group is
expanding its geographic reach, and now has a presence in Ireland,
the U.S., and Australia. It also benefits from a network of
factories in the U.K. that produce its grocery and sweet treats
products.

S&P said, "The positive outlook indicates that we could upgrade
Premier Foods in the next 12-18 months if we considered that the
company's operations and performance have not been seriously hit by
Brexit and that the positive effects from the merger of the
existing pension schemes materialize in line with the company's
expectations. Specifically, for Brexit, we are focused on any
potential structural increase in costs due to worsening conditions
in the supply of raw material, services, and logistics. With regard
to the pension schemes, we would need confirmation that annual cash
contributions have reduced as indicated, enhancing the company's
free cash flow generation. For an upgrade, the company would also
need to be able to maintain adjusted debt to EBITDA below 4x on a
permanent base, while generating solid free cash flow after pension
payments."

Downside scenario

S&P said, "We could revised the outlook to stable or lower the
rating on Premier Foods if we observed a prolonged deterioration in
the company's operating margin. Following Brexit, if there are
significant tariffs that increase the price of imports from the EU
to the U.K., this may dampen the group's gross margins. If the
group was unable to pass on necessary price increases to offset
cost inflation in the U.K., we could take a negative rating action.
In addition, a sharp fall in U.K. consumer confidence could lower
demand for branded food products following the pandemic.

"We would also consider taking a negative action if Premier Foods
had to contribute more cash to reduce its pension deficit, such
that free cash flow generation was close to zero, or if adjusted
debt to EBITDA approaches 5x."


ROLLS-ROYCE PLC: Moody's Rates New GBP1-Bil. Unsec. Notes 'Ba3'
---------------------------------------------------------------
Moody's Investors Service assigned a Ba3 rating to the proposed
issuance of at least GBP1 billion (sterling equivalent) senior
unsecured notes by Rolls-Royce plc. The company's existing ratings,
comprising its Ba3 corporate family rating (CFR), Ba3-PD
probability of default rating, Ba3 long-term senior unsecured
ratings, the provisional (P)Ba3 rating of the company's senior
unsecured Euro Medium Term Notes (EMTN) programme and the Ba3
ratings of the notes issued under the EMTN programme are unchanged.
The outlook on all the ratings remains negative.

The proposed issuance is part of Rolls-Royce's broader
recapitalization plan announced on October 1, 2020 which includes a
GBP2 billion equity rights issue and a new GBP1 billion two-year
term loan, as well as agreement in principle from UK Export Finance
to provide guarantees in support of up to GBP1 billion additional
five-year term loan. The proposed senior unsecured notes issuance
and GBP1 billion new term loan are conditional on consummation of
the rights issue, which is fully underwritten and subject to
shareholder approval at a meeting of shareholders due to take place
on October 27.

RATINGS RATIONALE

The company's Ba3 corporate family rating reflects: 1) high
barriers to entry given the critical technological content of the
company's engines; 2) the solid performance of the company's
defence division and its diverse revenues across different end
markets; 3) the strong to date performance of the company's Trent
XWB and Trent 7000 engine programmes which represent the majority
of future orders and installed engine base; 4) the strategic
importance of the company to UK defence capabilities and to the
aerospace supply chain, resulting in a high likelihood of
government support if required as a result of the coronavirus
outbreak; and 5) the company's commitment to a conservative
financial profile.

The rating also reflects: 1) a weakening environment for commercial
aerospace in view of a slow recovery of engine flight hours
pressured by travel restrictions, quarantine measures and broader
coronavirus outbreaks across several regions; 2) Moody's
expectations for substantial free cash outflows in 2020 and 2021
and possibly beyond, leading to increases in leverage which the
company faces challenges to recover over the next 2-3 years; 3)
high uncertainties over the progression of the coronavirus pandemic
which could lead to further material cash outflows; 4) execution
risks in implementing a material restructuring programme whilst
maintaining operational effectiveness and competitive position; 5)
ongoing execution risks in concluding fixes relating to the Trent
1000 engine programme; and 6) a degree of concentration risk with
reliance on a small number of commercial aerospace engines for
widebody aircraft.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE CONSIDERATIONS

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

Governance considerations that Moody's includes in its credit
assessment of Rolls-Royce include: (1) the company is listed on the
London Stock Exchange and reported that during 2019 it was
compliant with the UK 2018 Corporate Governance Code, other than in
relation to the appointment of the Chairman of the Remuneration
Committee; and (2) Rolls-Royce's complex business model and
financial reporting is a significant challenge in understanding
financial performance, particularly in relation to profitability on
long-term aftermarket contracts, quality of cash flows, and
adjustments to normalised profits.

LIQUIDITY

The company's proposed equity and debt financing of up to GBP5
billion will substantially improve its liquidity position. As at
June 30, 2020 the company's total pro forma liquidity amounted to
GBP8.1 billion, comprising a gross cash balance of GBP4.2 billion,
an undrawn revolving credit facility of GBP1.9 billion due in
October 2021 and pro forma for a new GBP2.0 billion five-year term
loan partially guaranteed by UK Export Finance. The company also
has a fully drawn GBP2.5 billion revolving credit facility due in
2025, and in addition to the GBP1.9 billion revolving credit
facility has around GBP1.4 billion of debt maturities across the
second half of 2020 and in 2021.

In the event the proposed financing is achieved, but excluding the
additional UK Export Finance backed loan, Moody's forecasts
Rolls-Royce's liquidity to be in the range of GBP5.8 billion -
GBP6.6 billion as at December 31, 2021. Liquidity headroom would be
diminished in the event not all the components of the financing
proposal are implemented, if the recovery in engine flight hours is
slower than forecast, or if planned cost savings are not achieved.

STRUCTURAL CONSIDERATIONS

The proposed senior unsecured notes are rated Ba3, in line with the
corporate family rating. This reflects their pari passu ranking
with the rest of the company's debt facilities. The new notes will
be issued by Rolls-Royce plc, and guaranteed by the ultimate parent
and listed entity of the group Rolls Royce Holdings plc, in line
with the majority of the company's financial debt including its
EMTN programme notes, the existing revolving credit facility, the
new GBP1 billion term loan and the existing term loan partially
guaranteed by UK Export Finance.

OUTLOOK

The negative outlook reflects Moody's expectations that the
commercial aerospace market will remain significantly reduced over
the next 12-18 months and beyond. It also reflects the highly
uncertain operating environment with risks to the pace of recovery
in passenger demand, potential for further travel restrictions and
execution risks in the implementation of the company's
restructuring programme.

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

The ratings are unlikely to be upgraded in the short term. Positive
rating pressure, including a stabilisation of the outlook, would
not arise until the coronavirus outbreak is brought under control,
travel restrictions are lifted, airline passenger traffic resumes
and the market for commercial aircraft stabilises. At this point
Moody's would evaluate the balance sheet and liquidity strength of
the company and positive rating pressure would require evidence
that the company is capable of substantially improving its
financial metrics within around a 2-3-year time horizon.
Quantitively an upgrade would require:

  -- Moody's-adjusted leverage to reduce below 5.5x, and
maintaining material cash on balance sheet

  -- Moody's-adjusted free cash flow to become materially positive

In addition, positive rating pressure would require that the
company resolves its Trent 1000 engine issues as anticipated in
2021, generates a track record of performance in line with
guidance, and maintains a conservative financial policy.

The ratings could be downgraded if:

  -- the effects of the coronavirus outbreak increase in severity
leading to liquidity concerns for which government support is not
readily available

  -- there are clear expectations that the company will not be able
to improve financial metrics to a level compatible with a Ba3
rating following the coronavirus outbreak, in particular if:

- Moody's-adjusted debt / EBITDA is not reduced sustainably below
6.5x, especially if not sufficiently balanced by cash on balance
sheet

- Moody's-adjusted FCF / debt does not turn positive

- EBIT / interest cover is sustained materially below 2x

  -- there are signs of a weaker business profile, including a
weakening in the company's market positions, or lower than expected
aftermarket profitability, including as a result of further
challenges in remediating Trent 1000 issues

  -- the company adopts more aggressive shareholder return
initiatives and financial policies

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Aerospace and
Defense Methodology published in July 2020.

COMPANY PROFILE

Headquartered in London, England, Rolls-Royce is a leading global
manufacturer of aero-engines, gas turbines and reciprocating
engines with operations in three principal business segments --
Civil Aerospace, Defence and Power Systems. In 2019 the company
generated revenue of GBP16.6 billion and Moody's-adjusted EBITDA of
GBP1.45 billion.



                           *********


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

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Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
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Editors.

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