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

                          E U R O P E

          Thursday, February 4, 2021, Vol. 22, No. 20

                           Headlines



B E L G I U M

SARENS BESTUUR: Fitch Affirms 'B' LongTerm IDR, Outlook Stable


F R A N C E

ELSAN SAS: Moody's Affirms 'B1' CFR & Rates New 2028 Term Loan 'B1'


G E R M A N Y

BLITZ 20-486: Moody's Assigns First Time B2 Corp. Family Rating
BLITZ 20-486: S&P Assigns 'B' Issuer Credit Rating, Outlook Stable
KUKA AG: S&P Lowers Issuer Credit Rating to 'BB+', Outlook Stable
TUI AG: S&P Alters Outlook to Stable, Affirms 'CCC+' ICR
WIRECARD AG: Commerzbank Fires Former Analyst Over Emails

WIRECARD AG: Germany to Create Special Financial Task Force


H U N G A R Y

KUCKO COFFEEHOUSE: Owners Back Out of Plan to Join Demonstration


I R E L A N D

ADAGIO VII: Fitch Affirms B- Rating on Class F Notes
AURIUM CLO II: Moody's Affirms Ba2 Rating on Class E Notes
AVOCA CLO XXII: S&P Assigns Prelim. B- Rating on Class F Notes
BILBAO CLO I: Fitch Affirms B- Rating on Class E Notes
TORO EUROPEAN 2: Moody's Affirms B3 Rating on Class F Notes



L U X E M B O U R G

INEOS GROUP: Fitch Affirms 'BB+' LongTerm IDR, Outlook Negative
MANGROVE LUXCO III: Moody's Assigns Caa1 Corp Family Rating


R U S S I A

INVESTGEOSERVIS JSC: Fitch Affirms 'B-' LT IDR, Outlook Stable


U N I T E D   K I N G D O M

ATLAS FUNDING 2021-1: Moody's Rates Class X Notes 'B1 (sf)'
ATLAS FUNDING 2021-1: S&P Assigns Prelim. B Rating on Z1 Notes
CINEWORLD: Backs Down in Dispute with Lenders Over Interest Bill
HNVR MIDCO: Moody's Completes Review, Retains Caa1 CFR
STRATTON MORTGAGE 2021-1: Fitch Assigns BB(EXP) Rating on E Debt

STRATTON MORTGAGE 2021-1: S&P Assigns Prelim. BB Rating on E Notes
[*] UK: Landlords Want Banks to Bear Some Burden of GBP4BB Debt

                           - - - - -


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B E L G I U M
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SARENS BESTUUR: Fitch Affirms 'B' LongTerm IDR, Outlook Stable
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Fitch Ratings has affirmed Sarens Bestuur N.V.'s Long-Term Issuer
Default Rating (IDR) at 'B' with a Stable Outlook. Fitch has also
affirmed the senior subordinated debt rating of Sarens Finance
Company N.V. at 'B+'/'RR3'.

The affirmation reflects the resilience of the business profile and
profitability in a stressed environment, which Fitch views as
strong for the current rating. This is balanced by the group's
highly leveraged financial structure and modest earnings
visibility.

The Stable Outlook reflects Fitch's expectations that the
deterioration of leverage will be temporary, with funds from
operations (FFO) adjusted leverage coming back below 6x by
end-2022. Fitch has moderately revised downward Fitch's
projections, including slightly weaker margins and leverage
profile, compared with Fitch's pre-pandemic forecasts.

Negative rating pressure could build from lower-than-expected FFO
and free cash flow (FCF), resulting in FFO adjusted leverage
remaining above 6x in a normalised global macro environment.

KEY RATING DRIVERS

Manageable Impact from the Pandemic: The pandemic led-recession
compounds lower demand for greenfield projects, notably in the O&G
sector, which was already incorporated in Fitch's previous
projections. Nonetheless, the construction industry is deemed
essential in many countries, limiting disruption to Sarens'
activity. The group's sound diversification, fleet diversity and
ability to move resources, which broaden accessible contracts,
further protect earnings. Fitch has moderately revised downward
Fitch's forecasts with sales, EBITDA and FFO remaining below the
2019 peak.

Limited Leverage Headroom: Fitch expects leverage headroom to be
limited over the coming years with FFO adjusted leverage in the
5.5x to 6x bracket beyond end-2021. Fitch believes FFO adjusted
leverage is likely to rise above 6x by end-2021, compared to lower
leverage of 5.6x in 2019. Gradual recovery of FFO and positive FCF
partly used to reduce debt are forecast to drive deleveraging.
Fitch expects Sarens to focus on deleveraging as determined by the
global lease and revolving credit facilities agreement (GFA), with
tightening covenants. However, weak FFO improvement or larger capex
could impair deleveraging capacity and put pressure on the
ratings.

Positive FCF on Lower Capex: Fitch still expects positive FCF in
2020 and beyond on strict capex management and limited working
capital (WC) outflows beyond 2020. Net capex is projected to be
capped at EUR50 million before stepping up to EUR90 million-100
million beyond 2022. WC absorption should ease as the Tengiz oil
field and Hinkley Point-C projects are well advanced. Nonetheless,
trade receivables are forecasted to be stable in a fragile economic
environment. FCF has historically been weak for a 'B' rating as FFO
were absorbed by investments for the Tengiz oil field and Hinkley
Point-C projects.

Mix of Income Risks: The proportion of contracted earnings and the
average length of contracts are modest and place the rating in the
'B' category. Projects account for about 50% of total sales, while
rental services account for the rest. Rental activities are
short-term by nature with customers renting for a few hours or
days. Project-related operations offer greater revenue visibility
but can face delay or change in scope. A large global project can
account for a significant portion of sales in a given year, leading
to contract replacement risk. This is mitigated by a solid record
of contract execution, favourable asset quality, a diverse mix of
services and an ability to move assets and sell unused ones.

Adequate Business Profile: Sarens' credit profile benefits from
sound diversification, leading market positions and recognized
knowledge in its services fields. It has a solid position in the
heavy lifting and complex logistics projects where competition is
less intense and barriers to entry are higher than rental equipment
services. Sarens is also one of the few market players able to
contract globally with a solid record of execution. The group is
significantly larger than its local or regional competitors, but it
is small relative to peers in Fitch's broader Business Services
universe. Revenue also tends to be concentrated around cyclical and
volatile sectors, which in turn weigh on earnings predictability.

Wide Ranging Capacity: The fleet is diversified with cranes of
various type and size as well as onshore and offshore transport
equipment. Sarens also operates some of the largest cranes in the
world, which provides a competitive edge. Fitch also believes that
the fleet is in good physical condition. The group benefits from
internal maintenance and repair capability and has a strong safety
record. Furthermore, the average remaining useful life remains
significant, although the average age of the fleet is increasing.

ESG Influence: Sarens has an ESG Relevance Score of '4' for
Governance Structure. The Governance Structure score reflects the
limited number of independent directors as a constraining factor
for board independence and effectiveness. An ownership divided
among several branches of the Sarens' family could also make the
definition of a strategy and succession planning challenging and
less transparent.

DERIVATION SUMMARY

Fitch rates Sarens applying its Business Services Navigator
framework. Like most Fitch-rated medium-sized business services
companies, Sarens benefits from leading market positions in covered
services. The group is the second-largest global heavy lifting and
complex transport operator with significant European and
international footprints. Nonetheless, Sarens remains a small
player in the overall business services sector.

The company benefits from greater geographical and end-market
diversifications than Algeco Investments 2 S.a.r.l. (B/Negative)
and Precision Drilling Corporation (B+/Negative). However, its
exposure to sectors with moderate to high cyclicality risk is
greater than Irel Bidco S.a.r.l (Irel, B+/Stable) and Polygon AB
(B+/Stable).

Despite robust FFO generation, the FCF margin is currently well
below Fitch's expectations for the rating and significantly weaker
than Precision Drilling or Irel. Sarens' leverage metrics are
broadly in line with Irel and Polygon but weaker than Precision
Drilling. No Country Ceiling, parent/subsidiary or operating
environment aspects affect the ratings.

KEY ASSUMPTIONS

Fitch's key assumptions within its rating case for the issuer
include:

-- Negative growth in FY20 and FY21 and low single digit growth
    beyond 2021.

-- EBITDA range of EUR130 million to EUR150 million over 2020-
    2024.

-- EUR35 million WC outflows in 2020. Going forward Fitch expects
    neutral-to-negative WC movements.

-- Net capex is limited to EUR50 million until 2022; between
    EUR90 million and EUR100 million in 2023 and 2024,
    respectively.

-- Positive FCF generation partially used to reduce gross debt.

-- No dividend payments assumed.

-- No acquisitions assumed.

Key Recovery Assumptions

-- The recovery analysis assumes that Sarens would be liquidated
    in bankruptcy rather than reorganised as a going-concern.
    Sarens operates a diversified fleet of heavy lifting and
    logistic equipment for which secondary markets exist.

-- Fitch has also assumed there would be 10% of administrative
    claims.

-- The liquidation estimate reflects Fitch's view of the value of
    balance-sheet assets that can be realised in sale or
    liquidation processes conducted during a bankruptcy or
    insolvency proceeding and distributed to creditors.

-- Fitch assigns a liquidation value to the cranes and rolling
    equipment, land, buildings and other tangible fixed assets.
    The value of the cranes and rolling equipment is based on
    management discussions and incorporate a discount to new build
    cost and market value estimates provided by the issuer. The
    liquidation value of net property plant and equipment was
    estimated at around EUR0.7 billion.

-- Advance rate for inventory: Limited to 25% because of the
    inclusion of work in progress in the inventory.

-- Advance rate for trade receivables: Limited to 60% reflecting
    the deterioration of the credit profile of some customers in a
    stress scenario and that near default projects-related
    activities are likely to be below current level.

-- The advance rate for cash and cash equivalent is set at 0%.

-- Fitch treats lessors as typical senior secured creditors.

-- Fitch assumes the GFA to be fully drawn upon default (EUR454
    million).

-- Fitch’s analysis indicates a recovery of 'RR3'/66% for the
    senior secured subordinated notes, implying a notch uplift
    from the IDR.

RATING SENSITIVITIES

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

-- Higher proportion of contracted income and longer average
    length of contracts;

-- FFO adjusted leverage below 5x (2019: 5.6x, 2020F: 6x, 2021F:
    6.4x);

-- Neutral-to-positive FCF generation (2019: -1.3%, 2020F: 2.3%,
    2021F: 5.6%);

-- FFO interest coverage above 4x (2019: 5.2x, 2020F: 4.5x,
    2021F: 4.2x).

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

-- Failure to reduce FFO adjusted leverage to less than 6x by
    end-2022;

-- Negative FCF, weakening liquidity position and increasing
    gross debt level;

-- FFO interest coverage below 3x;

-- Inability to improve covenant headroom;

-- Structural deterioration of fleet fundamentals.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Liquidity to Improve: Liquidity position is constrained by low
availability under the GFA as well as low cash and cash
equivalents. However, liquidity should improve as forecast positive
FCF from 2020 is expected to be partially used to reduce the amount
drawn on the GFA. Financial testing for the financial covenants
(excluding LTV-based covenant) have been waived from end-June 2020
to end-December 2020. Their thresholds have also been pushed by a
few quarters and slightly increased for total net leverage.
Nonetheless, covenant headroom is expected to remain limited over
the next 18 months.

Secured Debt Structure: The debt structure mainly consists of
senior secured debt benefiting from a pledge on movable assets. The
main credit lines are under the GFA with the main facility,
facility A, having total commitments of EUR336 million. The
facility A is revolving until January 2022, with options to extend
to 2024, and has a maturity of up to January 2029. The amount drawn
under facility A was EUR318 million as at end-September 2020. The
GFA also provides a EUR118 million revolving credit facility, with
a maturity similar to the facility A revolver, and EUR77 million
drawn.

Sarens also issued senior secured subordinated notes for EUR300
million due in 2027. The notes are secured on the share capital of
the issuer (Sarens Finance Company N.V.) and not on the tangible
assets of the group. The notes benefit from guarantees on a senior
subordinated basis by Sarens and some of its subsidiaries.

CRITERIA VARIATION

Lease Treatment - Corporate master criteria variation. Debt
Incorporate Leases Liabilities: Fitch adjusts the application of
the Corporate Rating Criteria, published on 21 December 2020, to
reflect the structure of Sarens' operations and financing. This
variation from criteria has no impact on the ratings. Fitch rates
Sarens under its Business Services Navigator framework for which
all lease costs are treated as operating expenses and exclude
corresponding liabilities from the debt amount. However, Fitch
treats Sarens' core operations in a similar way to transport
services. Financing assets with lease agreements is also a key
feature of Sarens' business model and is actively managed by the
group. As such, Fitch follows the lease treatment for the transport
sector and Fitch’s credit metrics for Sarens incorporate reported
lease liabilities.

ESG CONSIDERATIONS

Sarens has an ESG Relevance Score of '4' for Governance Structure,
reflecting the limited number of independent board members and the
complex shareholding structure. This has a negative impact on the
credit profile, and is relevant to the rating in conjunction with
other factors.

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




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F R A N C E
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ELSAN SAS: Moody's Affirms 'B1' CFR & Rates New 2028 Term Loan 'B1'
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Moody's Investors Service has affirmed the B1 corporate family
rating and B1-PD probability of default rating of Elsan SAS, a
leading private hospital operator in France. The rating agency has
concurrently assigned a B1 rating to the new EUR350 million
non-fungible senior secured incremental term loan B, maturing in
2028. Moody's has also affirmed the B1 rating of the EUR1,405
million senior secured TLB maturing in October 2024 and the EUR210
million senior secured revolving credit facility maturing in April
2024. All instruments rank pari passu and have the same security
package. The outlook on all ratings has changed to negative from
stable.

Elsan will use proceeds from the incremental TLB to acquire Groupe
C2S, the fifth private hospital operator in France for a total
consideration of EUR736 million, including transaction costs. Elsan
will also fund the transaction with a sale and lease back on a
proportion of assets of the acquired perimeter, and cash on
balance.

RATINGS RATIONALE

The rating action is primarily driven by an increase in Elsan's
gross leverage following the acquisition of Groupe C2S, and Moody's
expectations that there will now be a delay in deleveraging
compared to what was previously anticipated by the rating agency.
Elsan was already weakly positioned in the B1 rating because of its
high gross leverage, with no headroom at the current rating level
for further leverage increases. Moody's also expected an
improvement in other key credit metrics such as free cash flow and
interest cover, which will also be delayed.

This said, the acquisition of Groupe C2S strengthens the company's
overall business profile and operating business model. The
integration of Groupe C2S will allow the group to become the
largest medicine surgery obstetrics player in France, which for
example will allow the Elsan to further develop its integrated
relationships with the regulator and suppliers; improve its
geographic mix with a network that will now cover the whole French
territory and where Groupe C2S has good market penetration,
especially in the Lyon area; and will support Elsan's strategy to
continue consolidating the French MSO market and expand to other
growth areas, such as imaging, outpatient care and radiotherapy.

The stronger business profile has been a key reason for why Moody's
has relaxed its negative rating trigger for leverage to 6.0x from
5.5x and why the agency will provide the company more time to
delever and strengthen key credit metrics. The agency now
anticipates under the Moody's base case that Moody's adjusted debt
to EBITDA ratio will be 6.8x at the end of 2020, pro forma Groupe
C2S's acquisition, only gradually strengthen towards 6.0x by the
end of 2021 and be below the 6.0x level in 2022. Mitigants to the
company's high gross leverage are the company's strong
profitability compared to peers, its cash on balance sheet and
Moody's expectations that Moody's adjusted FCF will strengthen to
the low to mid-single digits as a percentage of adjusted gross
debt. To date, Moody's adjusted FCF has either been negative or
just below 1% of Moody's adjusted debt.

Over the next 12 to 18 months, Moody's expects Elsan to gradually
reduce its leverage through EBITDA growth supported by 1) continued
ramp up of its regional clusters, 2) favourable price effect with
increasing tariffs until at least 2022, 3) synergies from the
integration of Groupe C2S as well as the acquisitions closed in
2020, 4) and cost efficiencies through digitalisation and
mutualisation of certain support functions.

M&A continues to be a potential risk to deleveraging that could
slow down the strengthening in credit metrics. Moody's understands
that the company will refrain from sizeable debt-funded
acquisitions such as Groupe C2S over the next 12 to 18 months and
focus on bolt-on acquisitions. Moody's expects that these bolt-on
acquisitions will be paid from positive FCF generation.

The revision of Moody's leverage trigger also reflects the negative
effect that IFRS 16 has had on leverage metrics. This is because of
the long-term nature of the company's lease contracts, however
there has not been a change in the contract terms and consequently
no change in the company's fundamental credit quality related to
this.

Groupe C2S acquisition fits well with the company's external growth
strategy to increase operational synergies. Elsan has a
cluster-driven approach where it focuses on attractive catchment
areas in France. The facilities are generally located not too far
away from each other which enables operational synergies.

OUTLOOK RATIONALE

The negative outlook reflects Moody's expectation that leverage, as
measured by Moody's-adjusted debt to EBITDA, will remain high for
the B1 rating and that deleveraging towards 6.0x over the next 12
to 18 months will depend on the company executing its business plan
to generate strong EBITDA growth and Elsan's financial policy
including future M&A strategy.

LIQUIDITY PROFILE

Moody's expects Elsan's liquidity to remain good over the next 12
to 18 months, pro forma the transaction, supported by EUR313
million of cash and cash equivalents at closing, the undrawn EUR210
million RCF, and the agency's expectations of good Moody's adjusted
FCF generation of around EUR150 million over the next 12 to 18
months.

The company is subject to one springing financial covenant (net
leverage) if the RCF is 40% drawn. The threshold is set at 7.5x,
and the agency expects, if a test is needed, the company to
maintain ample capacity under this covenant.

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

A rating upgrade is unlikely over the next 12 to 18 months in light
of the negative outlook. Over time, the rating agency could upgrade
Elsan if (1) its Moody's-adjusted debt/EBITDA falls sustainably
below 5.0x; (2) its Moody's adjusted EBITA to interest expense
consistently exceeds 3x; (3) its Moody's adjusted retained cash
flow to net debt consistently exceeds 15%; (4) its Moody's adjusted
free cash flow to debt consistently exceeds 5%; (5) and there is no
adverse regulatory or policy change, nor adverse change in business
strategy or financial policy.

Conversely, Moody's could downgrade Elsan if it fails to decrease
its Moody's-adjusted leverage below 6x over the next 12 to 18
months; or if its ratio of Moody's adjusted EBITA to interest
expense fails to strengthen towards 2.0x on a sustained basis.
Negative rating action could also occur if the ratio of Moody's
adjusted retained cash flow to net debt falls below 10% or its
Moody's adjusted free cash flow is negative for a prolonged period
of time. A deterioration in the company's good liquidity or adverse
changes in regulation, the business strategy, or financial policy
of the company would also be credit negative.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

COMPANY PROFILE

Elsan will operate the largest network of private hospitals in
France. Pro forma the C2S acquisition, the group's revenue will
increase to EUR2.5 billion from EUR2.2 billion in 2019. The group
operates more than 137 facilities, with around 28,200 employees and
more than 7,000 practitioners. Since December 2020, Elsan is
majority owned by funds managed by KKR (43%), funds managed by CVC
Capital Partners (CVC) (22%), co-investors and managers (21%), and
Tethys Invest (14%).




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G E R M A N Y
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BLITZ 20-486: Moody's Assigns First Time B2 Corp. Family Rating
---------------------------------------------------------------
Moody's Investors Service has assigned a first time B2 corporate
family rating and a B2-PD probability of default rating to BLITZ
20-486 GMBH. The outlook is stable. Concurrently, Moody's assigned
B2 ratings on the proposed EUR740 million guaranteed senior secured
Term Loan B1 (maturing in 2028), the EUR145 million guaranteed
multi-currency senior secured Revolving Credit Facility and the
EUR230 million multi-currency senior secured Bonding Facility (both
maturing 2027), borrowed by BLITZ 20-487 GMBH and guaranteed by its
parent company BLITZ 20-486 GMBH, to finance the acquisition of
Apleona Group, by PAI Partners SAS. Apleona Group will be merged
into BLITZ 20-487 GMBH during the post-closing reorganization. The
outlook on both entities is stable.

"The B2 CFR recognizes Apleona group's resilient operating
performance, backed by its strong market position and the
implemented digitalization and efficiency measures, that will
support the strengthening of the company's credit metrics over the
next 12 to 18 months", says Ana Luz Silva, Moody's lead analyst for
Apleona Group. "However, the high financial leverage
post-transaction appears aggressive in the context of a fragile
economic recovery and will position the company's rating weakly in
the current category. This is only mitigated by the solid business
profile supporting deleveraging prospects and our expectation that
Moody's adjusted leverage will be below 6.0x by the end of 2021,"
adds Ms. Silva.

RATINGS RATIONALE

Apleona Group's B2 corporate family rating (CFR), assigned to BLITZ
20-486 GMBH, is supported by (1) good earnings visibility because
of medium-term contracts with a long-established, good credit
quality and diversified client base, coupled with a strong track
record of contracts being renewed before or upon expiry; (2) the
company's focus on technical facility management services, a market
that has shown little cyclicality and is likely to grow moderately
over the next few years; (3) its integrated approach, through which
it offers a comprehensive range of building and technical facility
services, providing a competitive advantage compared to the more
specialised and smaller competitors; and (4) the company's high
cash conversion rate as measured by funds from operations (FFO) to
EBITDA (Moody's adjusted) at around 60%.

The rating is constrained by (1) Apleona Group's high financial
leverage with debt/EBITDA around 6.6x pro-forma for the
transaction, though Moody's expect it to decline to below 6.0x by
year-end 2021; (2) the competitive and fragmented nature of the
building and facility services markets, which constrains operating
margins and increases event risk; (3) the company's limited size
and regional concentration, though this is counterbalanced by its
leading position in the GAS (Germany-Austria-Switzerland) region;
and (5) moderate Moody's-adjusted EBITA margin of around 6%, though
expected to improve now that the company has completed its own
information technology (IT) infrastructure, efficiency initiatives
as well as other restructuring measures.

RATING OUTLOOK

The stable outlook reflects Moody's expectation of a fast pace of
deleveraging towards below 6x by year-end 2021, supported by the
high visibility into earnings from the existing backlog, coupled
with the company's track-record of delivering the expected
operational results and its proven strong cash conversion.

Moody's stable outlook also incorporates Moody's expectation of
sustained improvement in operating margins coupled with a
disciplined capital allocation until the company operates within a
more comfortable leverage level for the current rating category.

If contrary to Moody's expectations, operating margins will stall
or deteriorate from year-end 2020 levels; or if the company would
make aggressively financed acquisitions, this would result in a
negative rating action.

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

WHAT COULD CHANGE THE RATING - DOWN

Moody's might downgrade Apleona Group if (1) its financial leverage
remained above 6.0x debt/EBITDA (Moody's adjusted) beyond 2021; (2)
its Moody's-adjusted EBITA margin narrowed unexpectedly to a low
single-digit percentage; (3) it made aggressively financed
acquisitions; (4) its free cash flow generation turned negative; or
(5) its liquidity became weak.

WHAT COULD CHANGE THE RATING -- UP

A rating upgrade is unlikely because of the weak rating
positioning. However, Moody's might upgrade Apleona Group if it (1)
sustainably reduces leverage to well below 5.0x debt/EBITDA
(Moody's adjusted); (2) increased its Moody's-adjusted EBITA margin
to well above 6% on an at least moderately growing revenue base;
and (3) maintained solid liquidity.

LIQUIDITY

Apleona Group's liquidity is adequate, comprising around EUR48
million in cash, pro-forma for the transaction and a fully
available EUR145 million revolving credit facility (RCF) maturing
in 2027. Moody's expect the company to generate positive free cash
flow supported by strong EBITDA cash conversion, limited working
capital needs and low capital intensity with maintenance capital
spending of no more than 2% of revenue.

In addition, the company's liquidity will benefit from a long-term
maturity of its new EUR740 million Term Loan, due in 2028. However,
the company is subject to seasonal swing in working capital, which
normally reaches peak in the first quarter and improves throughout
the rest of the year, especially in the fourth quarter.

The company will be subject to one springing covenant of net
debt/EBITDA which is tested when more than 40% of RCF is drawn. The
covenant is set at 7.72:1. Moody's expect the company to maintain
comfortable headroom under the covenant for the next 12-18 months.

STRUCTURAL CONSIDERATIONS

The B2 instrument ratings on the senior secured facilities,
comprising a new EUR740m 7-year Term Loan and the EUR145m 6.5-year
Revolving Credit Facility, reflects the first lien pari passu
ranking of the instruments.

The Term Loan will be borrowed by BLITZ 20-487 GMBH, guaranteed by
BLITZ 20-486 GMBH and other material subsidiaries. Guarantor
coverage is at least 80% of group's EBITDA. Security package
consists of shares, intra-group receivables, bank accounts.

Apleona Group will be merged into BLITZ 20-487 GMBH during the
post-closing reorganization.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE CONSIDERATIONS

Apleona Group's ratings factor in its private equity ownership and
the associated aggressive financial policy to that, which is
tolerant of high leverage, debt-funded M&A and recapitalisation
measures. As such the envisaged refinancing transaction is credit
negative, positioning the company's debt metrics weakly in the
current rating category in a challenging economic environment.

Despite the economic activity disruption caused by Covid-19,
Apleona Group has demonstrated its ability to maintain earnings
stability supported by its strong market positioning, the recurring
nature of its technical facility management services, the long-term
nature of its contracts and a flexible cost base. The company's
good liquidity further supports the company's capacity to navigate
through the expected tougher economic climate. Moody's regards the
coronavirus outbreak as a social risk under its ESG framework,
given the substantial implications for public health and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

COMPANY PROFILE

Headquartered in Neu-Isenburg, Germany, Apleona Group is a renowned
and leading provider of facility services mainly active in GAS
region (Germany, Austria, Switzerland) which generated revenues of
EUR1.9 billion as per year-end 2020.


BLITZ 20-486: S&P Assigns 'B' Issuer Credit Rating, Outlook Stable
------------------------------------------------------------------
S&P Global Ratings assigned its 'B' long-term issuer credit rating
to Blitz 20-486 GmbH, a Germany-based provider of technical
facility management (FM) services, and its finance subsidiary Blitz
20-487 GmbH, and its 'B' issue rating and '3' recovery rating to
the proposed senior secured term loan B and RCF.

The stable outlook reflects S&P's view that Apleona will continue
to increase its EBITDA base and will be able to generate positive
free operating cash flow (FOCF) after transition year 2021, thanks
to solid organic growth in its market, a strong order backlog, and
improved profitability.

PAI Partners agreed on Dec. 4, 2020, to acquire Apleona, a leading
German FM services provider, from EQT Partners, for an enterprise
value of about EUR1.6 billion.

To finance the transaction, Apleona's new intermediate holding
company Blitz 20-487 GmbH (a wholly owned subsidiary of Blitz
20-486 GmbH) plans to issue a EUR740 million senior secured TLB
maturing in 2028, a EUR100 million second-lien loan maturing in
2029, and a EUR145 million RCF. The new owner and Apleona's
managers will also contribute about EUR690 million of equity, part
of it in the form of preferred shares that we consider as equity.
The transaction is expected to close during the second quarter of
2021.

S&P said, "We assess Apleona's business risk profile as fair,
supported by its leading position in the German integrated
technical FM services market and longstanding customer
relationships with high retention rates.  Our business risk profile
assessment reflects Apleona's leading positions in its core
German-Austrian-Swiss (DACH) market, where its ability to serve
pan-European clients creates a strong advantage against local
competitors. In addition, the group's focus on integrated technical
FM services provides stronger customer stickiness and higher
margins relative to peers exposed to less complex FM services. The
DACH integrated technical FM services market has also experienced
above-average organic growth in the past few years (4%-5% compound
annual growth rate over 2012-2019, versus 3% for the larger DACH FM
services market), a trend that we expect will continue, driven by
greater outsourcing and increasing demand for a turnkey service
offering. With EUR1.9 billion of revenue generated in 2019, Apleona
ties with Spie as the No.1 player in Germany. In our view,
Apleona's competitive position benefits from its longstanding
customer relationships, with high retention rates above 95%, with
its focus on large, blue-chip corporate clients. We also view
positively the end-market diversity, with a balanced exposure to
various sectors (financial services, automotive, healthcare,
information technology [IT], public sector, etc.). Lastly, its
large share of recurring revenue generated from long-term
contracts, with a solid and growing order backlog (EUR2.5 billion
as of Nov. 30, 2020), provides good revenue and earning
visibility.

"These strengths are mitigated by the very fragmented and
competitive characteristics of the German FM services market, and
Apleona's relatively small scale and limited geographic
diversification relative to peers.  The German FM services market
is consolidating, but it remains highly fragmented and competitive.
The top 10 players in Germany represent 17% of the market's total
revenue; hence, smaller local players can create pricing pressure,
although they typically do not target the same client base as
Apleona. Despite its leading position in the DACH region, we view
Apleona's revenue and EBITDA scale as small relative to large
international peers, such as ISS and Spie. ISS generated revenue of
EUR10.5 billion in 2019 and Spie about EUR6.9 billion. We also
consider Apleona's geographic diversification as limited, since it
derives 75% of revenue from the DACH region, the largest part from
Germany. It also has some operations in the U.K., Italy, and other
Western and Central European countries, but the group remains a
small player outside DACH. In our view, this constrains Apleona's
ability to compete for large and profitable integrated FM services
contracts with large global customers.

"Apleona's solid operating performance during the pandemic in 2020
supports our view of the resilience of the business.  Apleona was
able to generate stable revenue in 2020 compared with 2019, and
improved its reported EBITDA as a result of various operating
efficiency programs, with limited impact from costs associated with
COVID-19. Revenue decline in some business segments (catering,
cleaning, and events services) was offset by stronger demand in
specialized services, such as disinfection. In our view, the
resilient performance was supported by Apleona's well-balanced
end-market exposure and its large share of revenue from long-term
contracts.

"The group's operating margins have been weaker than peers' but we
expect an improvement in profitability, which will boost FOCF
generation.  Since the carve-out from Bilfinger in 2016, Apleona's
operating efficiency has been constrained by high exceptional costs
and the various cost-efficiency programs implemented under EQT
Partners' ownership. This has resulted in adjusted EBITDA margins
at 4.5%-5.5% in 2018 and 2019. We now expect the group will benefit
from the past cost-savings programs and from additional initiatives
to digitalize processes and implement lean operations. As a result,
we forecast EBITDA margins above 7% from 2020.

"Our view of Apleona's financial risk profile primarily reflects
our expectation that the contemplated transaction will result in
high adjusted leverage of about 7.0x-7.5x at year-end 2021, from
about 5.8x expected at year-end 2020.  We expect adjusted leverage
will decrease to about 6.5x-7.0x by year-end 2022, driven by solid
revenue and EBITDA growth. Improved profitability, combined with
low capital expenditure (capex) intensity (below 1% of revenue) and
moderate working capital requirements, will support the group's
ability to generate positive FOCF after 2021 because high
transaction costs in 2021 will burden FOCF. We forecast FOCF after
lease payments will strengthen to about EUR15 million-EUR20 million
in 2022 and thereafter. The group's adjusted debt of about EUR1.1
billion at the end of 2021 will comprise the proposed EUR740
million senior secured TLB and EUR100 million second-lien term
loan, expected lease liabilities of about EUR98 million, our
adjustment of EUR138 million associated with the group's sizable
pension obligations, and EUR20 million factored receivables under
nonrecourse securitization arrangements.

"Our assessment of the financial risk profile is also influenced by
the company's financial sponsor ownership.   As a result, we see a
high risk that Apleona's capital structure will releverage, because
private-equity owners typically have tolerance for high leverage
ratios. In our view, potential debt-funded acquisitions, taking
into account that the German FM services market is highly
fragmented and is consolidating, may result in limited deleveraging
in the future, as well as potential shareholder-friendly actions.
We note that PAI Partners will provide equity, part of it in the
form of preferred shares. We have excluded this financing from our
financial analysis, including our leverage and coverage
calculations, since we believe the common equity financing and the
non-common-equity financing are sufficiently aligned.

"The stable outlook reflects our view that Apleona will continue to
increase its EBITDA base as a result of solid organic growth in its
market, strong order backlog, and improved profitability, and will
be able to generate positive FOCF after transition year 2021
affected by high transaction costs."

S&P could lower the rating if Apleona underperformed its forecast,
resulting in negative FOCF for a prolonged period and inability to
deleverage, and if it anticipated the group would face heightened
liquidity pressures. This could happen if:

-- The expected revenue growth did not materialize due to
prolonged impact from COVID-19, in particular in sectors where
working from home may largely continue to apply, such as financial
services.

-- The company incurred higher exceptional costs than expected,
affecting profitability and operating cash flows.

-- Apleona undertook aggressive transactions in the form of large
debt-funded acquisitions or cash returns to shareholders.

S&P could raise the rating if the group is able to greatly improve
the scale of its business and profitability. Additionally, S&P
could raise the rating if:

-- Adjusted leverage declined to below 5.0x and funds from
operations (FFO) to debt improved to above 12% on a sustained
basis; and

-- The financial sponsor committed to a prudent financial policy
to maintain credit metrics at these improved levels.


KUKA AG: S&P Lowers Issuer Credit Rating to 'BB+', Outlook Stable
-----------------------------------------------------------------
S&P Global Ratings lowered its rating on Germany-based automation
specialist KUKA AG to 'BB+' from 'BBB-'.

The stable outlook reflects S&P's view that KUKA's end markets
should continue to recover and the company be able to restore its
S&P Global Ratings-adjusted EBITDA margin to about 5% and FFO to
debt to about 30% during 2021.

The global recession resulting from the COVID-19 pandemic has
materially affected KUKA's end markets, in particular the
automotive industry.   With very weak demand for new cars, reduced
car production, and lingering uncertainties around e-mobility,
original equipment manufacturers (OEMs) have remained cautious on
investments to protect their cash flows, resulting in a fall
revenue in KUKA's systems and robotics division of more than 26%
during the first nine months of 2020. With regard to its other
businesses, demand was also lower through 2020, with revenue
falling 7% and 28% over the same period. As a result, S&P expects
overall group revenue to decline by about 20% to about EUR2.6
billion in 2020 compared with 2019, and S&P Global Ratings-adjusted
EBITDA margins of about 0% compared with 4.7% in 2019. It views the
decline in EBITDA and EBITDA margin as high versus other capital
goods and similarly rated companies.

S&P said, "We expect a gradual recovery in the group's revenue,
profitability, and credit metrics as the global economy starts
recuperating.  We expect a gradual recovery in KUKA's operating
performance, led by recovery in the automotive sector. At the same
time, we assume pricing pressure remains intense, reflecting the
transformational challenges toward e-mobility, and order placement
remains sluggish given the uncertainties about the pandemic. For
its other end markets, such as electronics and warehouse
automation, as well as its operations in China, we expect a solid
recovery in demand. We therefore expect revenue to grow by 10% per
year in 2021 and 2022. We expect higher volumes to improve the
adjusted EBITDA margin to about 5% in 2021 and 5%-6% in 2022 (below
the 11% average for industrial companies). Since 2017, KUKA's
profitability was hobbled by one-off charges relating to
restructuring or negative impacts from project execution, but we
expect less impact from these charges. We see improved operating
performance resulting in adjusted FFO to debt of about 30% in 2021
and 2022, and debt to EBITDA of less than 3x."

Free cash flow generation should remain neutral over the next 24
months.   In S&P's base case for 2020-2022 it expects free
operating cash flow (FOCF) will be basically neutral, thanks to
working capital inflows, related cash inflows, and lower capital
expenditure (capex) in 2020 as indicated by lower capex spending
year to date, and some reversal of working capital flows
counterbalancing the improved profitability in 2021-2022. The
group's low capital intensity provides some flexibility in its
capex budget in case the recovery in operating performance is
delayed.

Healthy market fundamental support the rating.   S&P said, "Over
the long term we view the economic scenario for robotics and
automation solutions as positive, and expect the segment to grow
faster than the overall economy. For example, in automotive, a
shift to e-mobility is likely to increase the degree of automation
over the longer term. On the other hand, we view KUKA's weak
profitability, limited cash flow visibility, and cash flow
volatility over the past four years as a credit negative and
limiting factor for the rating."

Strong support by Midea likely to continue.   Over recent years,
parent company Midea Group Co. Ltd. (A-/Positive/--) has shown its
willingness to support KUKA. In 2019, Midea provided a shareholder
loan of EUR150 million to pre-finance some of KUKA's maturing debt
in 2020. S&P said, "We treat the shareholder loan as equity, as it
is contractually subordinated and matures after its remaining
financial debt. In 2018, Midea injected a large amount of cash in
joint ventures with KUKA in China to pre-finance a capex plan. We
expect support from Midea to continue."

S&P said, "The stable outlook reflects our view that KUKA's end
markets should continue to recover apace with the overall economic
recovery and improved sentiment in the automotive industry. We also
expect no significant one-off charges relating to restructuring or
project execution over the next two years. Moreover, we expect the
S&P Global Ratings-adjusted EBITDA margin to recover to about 5% in
2021, improving further to 5%-6% in 2022, while FFO to debt will
recover to about 30% in both years, and FOCF will be about
neutral."

Downside scenario

S&P said, "We could lower the rating over the next 12 months if the
group is not able to improve its S&P Global Ratings-adjusted EBITDA
margin to about 5% in 2021. We could also lower the rating if the
recovery in credit metrics falls short of our expectation and FFO
to debt trends toward 20%. Such a development could also be
triggered if FOCF generation turns significantly negative. We could
also lower our rating if we see significant project charges in its
systems segment or in logistics."

Upside scenario

S&P could raise the rating if FFO to debt rises to about 40% on a
sustainable basis, showing KUKA's ability to generate FOCF and
posting S&P Global Ratings-adjusted EBITDA margins of at least 5%.


TUI AG: S&P Alters Outlook to Stable, Affirms 'CCC+' ICR
--------------------------------------------------------
S&P Global Ratings affirmed its issuer and issue ratings on TUI AG
at 'CCC+'.

The stable outlook reflects a balance of risks and opportunities
that could drive the rating in either direction in the coming
months depending on summer bookings patterns. With a return to
pre-bookings, TUI would benefit meaningful on the liquidity side
and would be able to reduce financial debt. However, if lockdowns
and travel restrictions prevent summer bookings, TUI could exhaust
its liquidity within the next five-to-six months, which would also
increase the risk of covenant breach and a debt restructuring.

Government support will allow for a timely and full repayment of
the next upcoming bond maturity and provide the necessary liquidity
for the next six months.

The stabilization package comprises a EUR420 million convertible
silent participation, a EUR671 million non-convertible silent
participation, an about EUR500 million of new common equity, and a
EUR200 million senior unsecured revolving credit facility (RCF)
from KfW, the German state-owned development bank. TUI will use the
proceeds to repay the EUR300 million bond this month, even though
it is not due until October 2021, and for general business
purposes.

The convertible silent participation includes the option of the
German government acquiring a 25% stake plus one share in TUI's
share capital at a share price of EUR1. S&P said, "After our review
of the relevant legal framework agreement, we now regard the two
silent cash pay participation facilities as akin to debt, according
to our hybrid criteria. This is because we believe that, despite
not having an effective maturity date, TUI has a material incentive
to redeem the silent participation given that the hybrid's
documentation includes multiple coupon step-ups starting in 2023,
which are not optionally deferrable and are cumulative.
Accordingly, we now expect TUI's adjusted debt to rise to as much
as EUR10.3 billion in 2021 compared with EUR8.3 billion in 2020
(including EUR4.3 billion reported debt, EUR3.4 billion lease
liabilities, EUR565 million pension liabilities and EUR113 million
in guarantees), which will result in weaker credit measures for
longer than we previously forecast."

The second-wave lockdowns and stricter travel restrictions are
likely to further delay TUI's recovery.   The recovery in the
travel sector might be slower than previously expected because of
restrictions hampering operations and bookings. TUI's two main
customer countries, Germany and the U.K., are currently under
strict national lockdowns. S&P said, "Under our base case, we
expect mobility restrictions to remain until the end of spring
2021, but TUI's customer bookings to recover to around 50%-60%
during second-half FY2021 (April-September) compared to second-half
FY2019. Despite a likely return to growth starting in summer, we
expect revenue could remain about 60% down in 2021 compared to
2019."

TUI has historically received booking pre-payments several months
prior to paying hotels, as travelers booked their holidays well in
advance. Over the last few years, this business model has led to
material cash inflows in the second half of its fiscal year,
followed by cash outflows during the first half. S&P said, "We note
the risk of a potential change in customer booking behavior, should
travelers decide to book closer to the travel date out of
uncertainty regarding mobility restrictions. Currently, across the
industry, customers are now booking 10-14 days in advance versus
the three-to-four months before the pandemic. We believe this could
exacerbate TUI's working capital needs and increase its liquidity
risk, preventing it from paying down part of its debt."

If summer bookings remain materially subdued, S&P believes TUI
might need additional liquidity support beyond the recently
obtained EUR1.8 billion package.

After receipt of the entire EUR1.8 billion package and the
repayment of the EUR300 million bond in the next couple of weeks,
TUI will have about EUR1.8 billion cash on balance sheet and via
funds available through its RCF. S&P said, "Under our base case,
this funding will be sufficient to cover TUI's cash outflows in the
next 12 months because we assume leisure travel will progressively
recover and revenues will be at about 50%-60% in summer 2021
compared to summer 2019, allowing TUI to generate positive FOCF.
However, if lockdowns and travel restrictions last for longer, we
believe that TUI would need further cash sources by June 2021 to
cover fixed costs and outflows related to customer refunds,
interest, and minimum capital expenditure (capex). We estimate
total cash burn per month of about EUR400 million if operations are
completely suspended. We also believe that the material uncertainty
around customers' willingness and ability to travel internationally
this summer poses a risk to TUI's business recovery path following
the anticipated end of lockdowns."

The company's capital structure could become unsustainable due to
mounting debt, increasing the risk of a potential debt
restructuring.   S&P said, "With total interest-bearing debt at
EUR6.5 billion on the balance sheet (excluding all lease and
pension debt) and potentially about EUR400 million monthly cash
burn in the absence of travel, we believe that, if there is no
return to normal booking patterns in the next few months, the
capital structure could become unsustainable. TUI had EUR4.3
billion interest-bearing debt on the balance sheet at the end of
FY2020 and only about EUR1.2 billion in FY2019. If summer bookings
were delayed, we envisage that, absent any material equity
injection, the company could face a restructuring in the medium
term."

The RCF maturing in July 2022 heightens refinancing risk.  TUI has
a EUR4.8 billion RCF of which EUR4.6 billion is currently drawn.
One-third of this facility is held by commercial banks and
two-thirds by KfW. The whole facility matures in July 2022. In
light of the current business environment for TUI and the sizable
debt, S&P sees increasing refinancing and restructuring risks in
the next 12 months.

Government aid has supported the issuer credit rating.   The German
government has given TUI three bail-out packages totaling EUR4.3
billion to date. S&P said, "In fact, the extraordinary and timely
support provided by the German government so far has enhanced TUI's
liquidity and broadly explains our issuer credit rating on the
company. We also now view TUI as a government-related entity (GRE).
However, we see a low likelihood that, beyond the existing
stabilization packages, TUI would receive further extraordinary
support from the German government under a future stress scenario.
Despite the government support over the past few months, we
consider that TUI's role for and its link with the German
government remain limited."

The stable outlook reflects a balance of risks and opportunities
that could drive the rating in either direction in the coming
months.

S&P said, "Positively, we anticipate potential strong pent-up
demand for bookings from leisure travelers once the relatively
comprehensive vaccination programs in TUI's main origin and
destination markets are implemented. On the other hand, we also
factor in the current high uncertainty around travel patterns
associated with the new lockdown measures, and with the delays in
the implementation of vaccination programs, as well as TUI's very
high financial leverage and liquidity pressures."

With a return to longer term pre-bookings, TUI would benefit
meaningfully on the liquidity side and would be able to reduce its
financial debt. However, the more risk-averse customers remain, the
shorter the pre-booking time and therefore the lower the positive
cash effect. If lockdowns and travel restrictions prevent summer
bookings, TUI could exhaust its liquidity within the next
five-to-six months, which would also increase the risk of a
covenant breach and of a debt restructuring.

S&P could lower the ratings further if it believes that the
financial debt has become unsustainable and a debt restructuring
appears imminent. For example, this could occur if:

-- Summer bookings fall below our expectations, due to prolonged
lockdowns and/or disruptions related to the effectiveness of
vaccines, leading to heightened liquidity stress without being
offset by additional liquidity lines;

-- Customer behaviors change to favoring shorter-time-frame
bookings, preventing TUI from receiving sizable holiday
pre-payments and therefore fundamentally restoring its balance
sheet ratios;

-- TUI does not get a waiver of its covenant test in September
2021; or

-- TUI is unable to improve its solvency, leading to increasing
refinancing risk of its EUR4.8 billion RCF due July 2022 or a
broader debt restructuring.

S&P could upgrade TUI if, in its view:

-- A reduction in infection rates results in governments loosening
lockdowns across EMEA, allowing consumers to travel freely without
restrictions.

-- Inflows from pre-bookings reduce the current debt load by more
than EUR2 billion and therefore improve the capital structure in
the medium term, also demonstrated by material free cash flow
generation and a manageable and refinance-able debt maturity
profile; and

-- S&P sees a low likelihood of default events occurring,
including but not limited to a purchase of the group's debt below
par, debt restructuring, covenant breach, or interest forbearance.


WIRECARD AG: Commerzbank Fires Former Analyst Over Emails
---------------------------------------------------------
Olaf Storbeck at The Financial Times reports that Commerzbank has
fired its former Wirecard analyst Heike Pauls after emails showed
that she had briefed the disgraced payment company's management
about criticism of it that a hedge fund had shared with her.

According to the FT, the German lender said in a statement on Feb.
1 that it had "terminated the employment relationship [with Ms.
Pauls]" and declined to comment further.  

Ms. Pauls had been one of the most bullish supporters of Wirecard,
which collapsed after it disclosed that EUR1.9 billion of corporate
cash did not exist, in one of Germany's biggest postwar accounting
frauds, the FT relates.  She had recommended buying the shares in
the Munich-based group right up until its insolvency last summer,
the FT notes.

In early 2019, Ms. Pauls published a research note in which she
described a Financial Times report, into allegations over
accounting manipulation at the company's Asian business, as "fake
news".  Commerzbank later retracted that report and apologized for
the wording, the FT recounts.

In the email, which was seen by the FT, she said that the hedge
fund believed Wirecard's story was "too good to be true" and that
"not all but most of" its business must be fake.  Asking Mr. Ley
and Ms. Stoeckl to treat her email as confidential, Ms Pauls said:
"It is important to me that you get an impression of what is
currently being discussed on background."

Commerzbank suspended the coverage of the companies tracked by Ms.
Pauls immediately after the email was published in mid-January, the
FT discloses.


WIRECARD AG: Germany to Create Special Financial Task Force
-----------------------------------------------------------
Guy Chazan at The Financial Times reports that Germany is to create
a special financial task force capable of carrying out forensic
audits of companies suspected of fraud, part of a wide-ranging
reform of financial regulator BaFin triggered by the Wirecard
scandal.

"I want a financial supervisory authority with bite," Olaf Scholz,
finance minister, as cited by the FT, said announcing the reforms
on Feb. 2. Tougher oversight is "good for Germany's financial
markets and for investor protection."

Mr. Scholz said the planned shake-up of BaFin would make it "more
powerful, more rigorous and more effective".

The minister was speaking four days after pushing out BaFin's
chief, Felix Hufeld, who had become a lightning rod for criticism
of the regulator and its failure to follow up on countless media
and analyst reports about suspected fraud at Wirecard, the payments
processor, the FT relays.

Wirecard announced last June that EUR1.9 billion in cash was
missing from its accounts, and, within a week, collapsed into
insolvency, the FT recounts.  Its former chief executive Markus
Braun is under investigation, suspected of running a criminal
racket that defrauded creditors of EUR3.2 billion, the FT relays.
He denies wrongdoing, the FT notes.

Criticism of BaFin has centred on its decision to target the very
journalists and short sellers who exposed financial irregularities
at Wirecard, and for overriding Bundesbank objections to impose a
two-month ban on shorting Wirecard stock, the FT discloses.

The reform of BaFin is contained in a seven-point plan, based on
proposals by consultancy Roland Berger, whose centrepiece is a
"focused oversight body" to supervise complex companies, the FT
states.  The Wirecard saga revealed that oversight of such firms in
Germany is too often split between separate bodies responsible for
the banking sector, financial markets and money laundering, and
some companies fall through the cracks, according to the FT.

The plan also foresees the creation of a new BaFin task force able
to carry out investigations into companies suspected of financial
irregularities, the FT says.  The regulator would also hire more of
its own auditors to carry out such probes, the FT notes.

Mr. Scholz, as cited by the FT, said the reform would also ensure
that BaFin took information from whistleblowers more seriously, and
did more to protect the rights of investors and consumers.




=============
H U N G A R Y
=============

KUCKO COFFEEHOUSE: Owners Back Out of Plan to Join Demonstration
----------------------------------------------------------------
Justin Spike at The Associated Press reports that the owners of a
family-run cafe in a leafy district of Hungary's capital had
planned to engage in a bold act of civil disobedience on Feb. 1,
but reconsidered after the government there issued a decree that
would throw the already struggling business into bankruptcy.

According to the AP, before the arrival of the coronavirus
pandemic, the Kucko Coffeehouse in Budapest served fine coffees
from its designer Italian espresso machine and a cozy atmosphere
offering pastries, sandwiches, ice cream, and breakfasts to mostly
local residents.

Like many small businesses, it struggled to stay afloat as
Hungary's pandemic restrictions limited bars and restaurants to
takeout, and was forced to dismiss all but one of its six
employees, the AP notes.

But as bankruptcy threatened, the owners, married couple Olga
Miskolci and Attila Blaho, decided not to take it sitting down: On
Feb. 1, the couple planned to join as many as 200 other businesses
across Hungary in opening their doors to dine-in guests in defiance
of pandemic rules, the AP discloses.

But a government decree issued on Jan. 30 stiffened penalties for
restaurants breaking the restrictions, which Mr. Blaho said
represented "a clear threat" on the part of the government, which
his business couldn't afford to confront, the AP relays.

Police may now require businesses breaking pandemic rules to close
their doors for six months to a year and can issue hefty fines of
between US$4,000 and US$17,000, penalties that dissuaded other
businesses as well from following through on their plans to reopen,
according to the AP.

On Jan. 31, the couple attended a Budapest demonstration of around
200 hospitality entrepreneurs and workers demanding a rethinking of
Hungary's pandemic restrictions, the first public manifestation of
a growing movement putting pressure on the government to act in
defense of the sector, which shrunk by US$1.4 billion last year,
the AP recounts.




=============
I R E L A N D
=============

ADAGIO VII: Fitch Affirms B- Rating on Class F Notes
----------------------------------------------------
Fitch Ratings has affirmed Adagio VII CLO DAC and removed the class
E notes from Rating Watch Negative (RWN) and assigned them a
Negative Outlook.

      DEBT                RATING            PRIOR
      ----                ------            -----
Adagio VII CLO DAC

A XS1861325998     LT  AAAsf  Affirmed      AAAsf
B-1 XS1861326376   LT  AAsf   Affirmed      AAsf
B-2 XS1861326616   LT  AAsf   Affirmed      AAsf
C-1 XS1861326962   LT  Asf    Affirmed      Asf
C-2 XS1861327424   LT  Asf    Affirmed      Asf
D XS1861327770     LT  BBBsf  Affirmed      BBBsf
E XS1861327937     LT  BBsf   Affirmed      BBsf
F XS1861328075     LT  B-sf   Affirmed      B-sf

TRANSACTION SUMMARY

This is a cash flow CLO mostly comprising senior secured
obligations. The transaction is still in the reinvestment period
and is actively managed by the AXA Investment Managers

KEY RATING DRIVERS

Stable Asset Performance: As of the last investor report, the
transaction was 72bp below par. All tests including the coverage
tests are passing except Fitch weighted average rating factor
(WARF) test. Assets with a Fitch-derived rating (FDR) on Negative
Outlook make up 26.6% of the portfolio balance. Assets with a FDR
in the 'CCC' category or below per Fitch's calculation make up
about 7.1% and would be 4.6% if excluding unrated assets in the
portfolio

Negative Outlooks Based on Coronavirus Stress: The affirmations
reflect a broadly stable portfolio credit quality since November
2020. The Stable Outlooks on all investment grade notes reflect the
default rate cushion in the sensitivity analysis ran in light of
the coronavirus pandemic. The class E notes have been removed from
RWN and assigned a Negative Outlook as they are showing a smaller
shortfall under Fitch’s sensitivity analysis.

Fitch has recently updated its CLO coronavirus stress scenario to
assume half of the corporate exposure on Negative Outlook is
downgraded by one notch instead of 100%. Fitch currently expects
the rate at which Negative Outlooks on corporate issuers convert to
downgrades to be meaningfully lower than Fitch’s long-term
historical average, even for the most acutely-affected sectors. For
more details on Fitch’s pandemic -related stresses see "Fitch
Ratings Expects to Revise Significant Share of CLO Outlooks to
Stable."

'B'/'B-'Portfolio: The portfolio's weighted average credit quality
is 'B'/'B-'. By Fitch's calculation, the portfolio weighted average
rating factor is 34.9 and would increase by 1.3 points in the
coronavirus baseline sensitivity analysis.

High Recovery Expectations: Close to 100% of the portfolio
comprises senior secured obligations, which have more favorable
recovery prospects than second-lien, unsecured and mezzanine
assets. The reported Fitch's weighted average recovery rate of the
current portfolio is 64.7% per the investor report.

Well Diversified Portfolio: The portfolio is well diversified
across obligors, countries and industries. The top 10 obligor
concentration is 13.0%, and no obligor represents more than 1.5% of
the portfolio balance.

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

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

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

-- Downgrades may occur if the build-up of credit enhancement
    following amortisation does not compensate for a larger loss
    expectation than initially assumed due to unexpectedly high
    levels of default and portfolio deterioration.

-- As the disruptions to supply and demand due to the pandemic
    become apparent, loan ratings in those sectors will also come
    under pressure. Fitch will update the sensitivity scenarios in
    line with the view of its Leveraged Finance team.

Coronavirus Downside Sensitivity:

Fitch has recently updated its CLO coronavirus stress scenario to
assume half of the corporate exposure on Negative Outlook is
downgraded by one notch instead of 100%. This scenario results in a
notch downgrade of the model-implied rating for the class D, E and
F notes.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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

Adagio VII CLO DAC

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. 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.

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations 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 or information on the risk presenting entities.

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

Overall, and together with any assumptions referred to above,
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.


AURIUM CLO II: Moody's Affirms Ba2 Rating on Class E Notes
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Aurium CLO II Designated Activity Company:

EUR45,500,000 Class B Senior Secured Floating Rate Notes due 2029,
Upgraded to Aa1 (sf); previously on Dec 8, 2020 Aa2 (sf) Placed
Under Review for Possible Upgrade

EUR24,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2029, Upgraded to A1 (sf); previously on Dec 8, 2020 A2
(sf) Placed Under Review for Possible Upgrade

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

EUR210,000,000 (Current Outstanding Amount EUR 190.8 million)
Class A Senior Secured Floating Rate Notes due 2029, Affirmed Aaa
(sf); previously on Oct 9, 2020 Affirmed Aaa (sf)

EUR18,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2029, Affirmed Baa2 (sf); previously on Oct 9, 2020
Confirmed at Baa2 (sf)

EUR17,500,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2029, Affirmed Ba2 (sf); previously on Oct 9, 2020
Confirmed at Ba2 (sf)

EUR10,500,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2029, Affirmed B2 (sf); previously on Oct 9, 2020
Confirmed at B2 (sf)

Aurium CLO II Designated Activity Company, closed in 2016 and
refinanced in 2018, is a collateralized loan obligation backed by a
portfolio of mostly high-yield senior secured European loans. The
portfolio is managed by Spire Management Limited. The transaction's
reinvestment period ended in July 2020.

The action concludes the rating review on the Class B and C notes
initiated on December 8, 2020, "Moody's upgrades 23 securities from
11 European CLOs and places ratings of 117 securities from 44
European CLOs on review for possible upgrade.",
https://bit.ly/3jhzmkr.

RATINGS RATIONALE

The rating upgrades on the Class B and C notes are primarily due to
the update of Moody's methodology used in rating CLOs, which
resulted in a change in overall assessment of obligor default risk
and calculation of weighted average rating factor (WARF). Based on
Moody's calculation, the WARF is currently 2872 after applying the
revised assumptions as compared to the trustee reported WARF of
3222 as of January 2021 [1].

The Class A notes have paid down by approximately EUR 19.2 million
(9.1%) in the last 6 months. As a result of the deleveraging,
over-collateralisation (OC) has increased across the capital
structure. According to the valuation report dated January 2021 [1]
the Class A/Class B, Class C, Class D, Class E and Class F OC
ratios are reported at 138.3%, 125.9%, 118.0%, 111.2% and 107.5%
compared to July 2020 [2] levels of 136.8%, 125.0%, 117.5%, 111.0%
and 107.4%, respectively.

The rating affirmations on the Class A, D, E and F notes reflects
the expected losses of the notes continuing to remain consistent
with their current ratings. Moody's analysed the CLO's latest
portfolio and took into account the recent trading activities as
well as the full set of structural features.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.

In its base case, Moody's used the following assumptions:

Performing par and principal proceeds balance: EUR 336.9 million

Defaulted Securities: none

Diversity score: 48

Weighted Average Rating Factor (WARF): 2872

Weighted Average Life (WAL): 4.7 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.7%

Weighted Average Coupon (WAC): 3.5%

Weighted Average Recovery Rate (WARR): 44.6%

Par haircut in OC tests and interest diversion test: none

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

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

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

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

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

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by: (1) the manager's investment strategy and behaviour;
and (2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded
ambiguities.

Additional uncertainty about performance is due to the following:

Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.


AVOCA CLO XXII: S&P Assigns Prelim. B- Rating on Class F Notes
--------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to AVOCA CLO
XXII DAC's class X, A, B-1, B-2, C, D, E, and F notes. At closing,
the issuer will issue subordinated notes.

The preliminary ratings reflect S&P's assessment of:

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

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

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

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

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

  Portfolio Benchmarks
                                                   Current
  S&P weighted-average rating factor              2,814.52
  Default rate dispersion                           423.33
  Weighted-average life (years)                       5.21
  Obligor diversity measure                         129.05
  Industry diversity measure                         16.80
  Regional diversity measure                          1.20

  Transaction Key Metrics
                                                   Current
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                     B
  'CCC' category rated assets (%)                     1.63
  Covenanted 'AAA' weighted-average recovery (%)     38.00
  Covenanted weighted-average spread (%)              3.70
  Covenanted weighted-average coupon (%)              5.50

Loss mitigation Obligations

Under the transaction documents, the manager will be allowed to
purchase loss mitigation obligations in connection with the default
of an existing asset with the aim of enhancing the global recovery
on the assets held by that obligor. The manager will also be
allowed to exchange defaulted obligations for other defaulted
obligations from a different obligor with a better likelihood of
recovery.

Rating rationale

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

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

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread (3.70%), the
reference weighted-average coupon (5.50%), and the lowest of (i)
the target portfolio weighted-average recovery rates and (ii) the
covenanted weighted-average recovery rates provided by the
collateral manager. We applied various cash flow stress scenarios,
using four different default patterns, in conjunction with
different interest rate stress scenarios for each liability rating
category.

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

"Until the end of the reinvestment period on April 15, 2025, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

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

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our preliminary ratings
are commensurate with the available credit enhancement for the
class X to F notes. Our credit and cash flow analysis indicates
that the available credit enhancement for the class B-1, B-2, C, D,
E, and F notes could withstand stresses commensurate with higher
rating levels than those we have assigned. However, as the CLO will
be in its reinvestment phase starting from closing, during which
the transaction's credit risk profile could deteriorate, we have
capped our preliminary ratings assigned to the notes."

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

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
corporate loan issuers, S&P is making qualitative adjustments to
its analysis when rating CLO tranches to reflect the likelihood
that changes to the credit profile of the underlying assets 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, S&P reviews the likelihood of near-term changes to the
portfolio's credit profile by evaluating the transaction's specific
risk factors, including, but not limited to, the percentage of the
underlying portfolio that comes from obligors that:

-- Are rated in the 'CCC' range;
-- Are currently on CreditWatch with negative implications;
-- Are rated with a negative outlook; or
-- Sit within a static portfolio CLO transaction.

Based on S&P's review of these factors, and considering the
portfolio concentration, it believes that the minimum cushion
between this CLO tranches' break-even default rates and scenario
default rates should be 0.0% (from a possible range of 0.0%-5.0%).

As noted above, the purpose of this analysis is to take a
forward-looking approach for potential near-term changes to the
underlying portfolio's credit profile.

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

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

As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity. S&P said, "We use this assumption
about vaccine timing in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, S&P will update its assumptions and estimates
accordingly.

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it will be managed by KKK Credit
Advisors (Ireland) Unlimited Company.

  Ratings List

  Class   Prelim.  Prelim. amount   Interest   Credit
          rating    (mil. EUR)      rate (%)   enhancement (%)
   X      AAA (sf)      2.00        3mE + 0.28      N/A
   A      AAA (sf)    244.00        3mE + 0.83     39.00
   B-1    AA (sf)      26.00        3mE + 1.30     28.00
   B-2    AA (sf)      18.00              1.65     28.00
   C      A (sf)       31.00        3mE + 2.00     20.25
   D      BBB- (sf)    24.50        3mE + 2.90     14.13
   E      BB- (sf)     16.50        3mE + 5.23     10.00
   F      B- (sf)      12.00        3mE + 7.46      7.00
   Sub    NR           34.00            N/A         N/A

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


BILBAO CLO I: Fitch Affirms B- Rating on Class E Notes
------------------------------------------------------
Fitch Ratings has affirmed Bilbao CLO I DAC and removed the class D
notes from Rating Watch Negative (RWN) and assigned them a Negative
Outlook.

      DEBT                  RATING            PRIOR
      ----                  ------            -----
Bilbao CLO I DAC

A-1A XS1804146733     LT  AAAsf   Affirmed    AAAsf
A-1B XS1804147038     LT  AAAsf   Affirmed    AAAsf
A-2A XS1804147384     LT  AAsf    Affirmed    AAsf
A-2B XS1804147624     LT  AAsf    Affirmed    AAsf
A1-C XS1804148358     LT  AAAsf   Affirmed    AAAsf
B XS1804148192        LT  Asf     Affirmed    Asf
C XS1804148432        LT  BBB-sf  Affirmed    BBB-sf
D XS1804148788        LT  BBsf    Affirmed    BBsf
E XS1804148861        LT  B-sf    Affirmed    B-sf

TRANSACTION SUMMARY

This is a cash flow CLO mostly comprising senior secured
obligations. The transaction is still in its reinvestment period
and is actively managed by Guggenheim Partners Europe Limited.

KEY RATING DRIVERS

Stable Asset Performance: As of the last investor report, the
transaction was 11bp below par. All tests including the coverage
tests are passing. The portfolio is reasonably diversified with the
top 10 obligors, largest obligor and industry exposure within the
limits of the portfolio profile tests. Assets with a Fitch-derived
rating (FDR) on Negative Outlook make up 26.4% of the portfolio
balance. Assets with a FDR in the 'CCC' category or below per
Fitch’s calculation make up about 5.8% and would be 4.2% if
excluding unrated assets in the portfolio

Negative Outlooks Based on Coronavirus Stress: The affirmation
reflects the broadly stable portfolio credit quality since
September 2020. The Stable Outlook on all investment grade notes
reflect the default rate cushion in the sensitivity analysis ran in
light of the coronavirus pandemic. The class D notes have been
removed from RWN and assigned a Negative Outlook as they are
showing a smaller shortfall under Fitch’s sensitivity analysis.

Fitch recently updated its CLO coronavirus stress scenario to
assume half of the corporate exposure on Negative Outlook is
downgraded by one notch instead of 100%. Fitch currently expects
the rate at which Negative Outlooks on corporate issuers convert to
downgrades to be meaningfully lower than Fitch’s long-term
historical average, even for the most acutely-affected sectors. For
more details on Fitch’s pandemic -related stresses see "Fitch
Ratings Expects to Revise Significant Share of CLO Outlooks to
Stable."

'B'/'B-'Portfolio: The portfolio's weighted average credit quality
is 'B'/'B-'. By Fitch's calculation, the portfolio weighted average
rating factor is 34.5 and would increase by 1.4 points in the
coronavirus baseline sensitivity analysis.

High Recovery Expectations: Almost 100% of the portfolio comprises
senior secured obligations, which have more favorable recovery
prospects than second-lien, unsecured and mezzanine assets. The
reported Fitch weighted average recovery rate of the current
portfolio is 64.3% per the investor report.

Portfolio Well Diversified: The portfolio is well diversified
across obligors, countries and industries. The top 10 obligor
concentration is 17.5%, and no obligor represents more than 2.1% of
the portfolio balance.

RATING SENSITIVITIES

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

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

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

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

-- Downgrades may occur if the build-up of credit enhancement
    following amortisation does not compensate for a larger loss
    expectation than initially assumed due to unexpectedly high
    levels of default and portfolio deterioration.

-- As the disruptions to supply and demand due to the pandemic
    become apparent, loan ratings in those sectors will also come
    under pressure. Fitch will update the sensitivity scenarios in
    line with the view of its Leveraged Finance team.

Coronavirus Downside Sensitivity:

Fitch has recently updated its CLO coronavirus stress scenario to
assume half of the corporate exposure on Negative Outlook is
downgraded by one notch instead of 100%. For more details on
Fitch’s pandemic -related stresses see "Fitch Ratings Expects to
Revise Significant Share of CLO Outlooks to Stable." This scenario
results in a notch downgrade of the model-implied rating for the
sub-investment grade tranches.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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

Bilbao CLO I DAC

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. 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.

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations 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 or information on the risk presenting entities.

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

Overall, and together with any assumptions referred to above,
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.


TORO EUROPEAN 2: Moody's Affirms B3 Rating on Class F Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Toro European CLO 2 Designated Activity Company:

EUR17,500,000 Class B-1 Secured Floating Rate Notes due 2030,
Upgraded to Aaa (sf); previously on Dec 8, 2020 Aa2 (sf) Placed
Under Review for Possible Upgrade

EUR17,000,000 Class B-2 Secured Fixed Rate Notes due 2030,
Upgraded to Aaa (sf); previously on Dec 8, 2020 Aa2 (sf) Placed
Under Review for Possible Upgrade

EUR26,500,000 Class C Secured Deferrable Floating Rate Notes due
2030, Upgraded to Aa3 (sf); previously on Dec 8, 2020 A2 (sf)
Placed Under Review for Possible Upgrade

EUR27,400,000 Class D Secured Deferrable Floating Rate Notes due
2030, Upgraded to Baa2 (sf); previously on Jun 10, 2020 Confirmed
at Baa3 (sf)

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

EUR248,000,000 Class A Secured Floating Rate Notes due 2030,
Affirmed Aaa (sf); previously on Jun 10, 2020 Affirmed Aaa (sf)

EUR22,750,000 Class E Secured Deferrable Floating Rate Notes due
2030, Affirmed Ba2 (sf); previously on Jun 10, 2020 Confirmed at
Ba2 (sf)

EUR11,300,000 Class F Secured Deferrable Floating Rate Notes due
2030, Affirmed B3 (sf); previously on Jun 10, 2020 Downgraded to B3
(sf)

Toro European CLO 2 Designated Activity Company, originally issued
in September 2016 and refinanced in October 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Chenavari Credit Partners LLP. The transaction's
reinvestment period ended in October 2020.

The actions conclude the rating review on the Class B-1, B-2 and C
notes initiated on December 8, 2020, "Moody's upgrades 23
securities from 11 European CLOs and places ratings of 117
securities from 44 European CLOs on review for possible upgrade",
https://bit.ly/3oGDfQY.

RATINGS RATIONALE

The rating upgrades on the Class B-1, B-2, C and D notes are
primarily due to the update of Moody's methodology used in rating
CLOs, which resulted in a change in overall assessment of obligor
default risk and calculation of weighted average rating factor
(WARF). Based on Moody's calculation, the WARF is currently 3058
after applying the revised assumptions as compared to the trustee
reported WARF of 3439 as of January 05, 2021 [1].

The rating affirmations on the Class A, E and F notes reflects the
expected losses of the notes continuing to remain consistent with
their current ratings after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels as well as applying Moody's
revised CLO assumptions.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.

In its base case, Moody's used the following assumptions:

Performing par and principal proceeds balance: EUR 393,159,185

Defaulted Securities: EUR 1,413,049

Diversity Score: 53

Weighted Average Rating Factor (WARF): 3058

Weighted Average Life (WAL): 4.38 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.8914%

Weighted Average Coupon (WAC): 3.8826%

Weighted Average Recovery Rate (WARR): 44.44%

Par haircut in OC tests and interest diversion test: 0.72%

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

Moody's notes that the credit quality of the CLO portfolio has
deteriorated over the past year as a result of economic shocks
stemming from the coronavirus outbreak. Corporate credit risk
remains elevated, and Moody's projects that default rates will
continue to rise through the first quarter of 2021. Although
recovery is underway in the US and Europe, it is a fragile one
beset by unevenness and uncertainty. As a result, Moody's analyses
continue to take into account a forward-looking assessment of other
credit impacts attributed to the different trajectories that the US
and European economic recoveries may follow as a function of
vaccine development and availability, effective pandemic
management, and supportive government policy responses.

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

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

Methodology Underlying the Rating Action

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

Counterparty Exposure:

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

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by 1) the manager's investment strategy and behaviour
and 2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded
ambiguities.

Additional uncertainty about performance is due to the following:

Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions, and CLO's reinvestment criteria after the end of the
reinvestment period, both of which can have a significant impact on
the notes' ratings. Amortisation could accelerate as a consequence
of high loan prepayment levels or collateral sales by the
collateral manager or be delayed by an increase in loan
amend-and-extend restructurings. Fast amortisation would usually
benefit the ratings of the notes beginning with the notes having
the highest prepayment priority.

Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.




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

INEOS GROUP: Fitch Affirms 'BB+' LongTerm IDR, Outlook Negative
---------------------------------------------------------------
Fitch Ratings has affirmed Ineos Group Holdings S.A.'s (IGH)
Long-Term Issuer Default Rating (IDR) at 'BB+' and removed it from
Rating Watch Negative (RWN) following the company's completed
acquisition of Sasol's 50% ownership in Gemini HDPE LLC and
stronger-than-expected end-market demand and petrochemical prices.
The Outlook for the IDR is Negative.

Stronger-than-expected petrochemical market performance since
October 2020, which Fitch expects to last into 1H21, will mitigate
the 0.2x-0.3x increase in IGH's 2021-2022 leverage stemming from
Gemini's acquisition. Fitch now expects IGH's funds from operations
(FFO) net leverage to decline towards its 3.2x negative rating
sensitivity in 2021. The Negative Outlook highlights material risks
to the forecast deleveraging, such as dividends being materially
above Fitch's annual EUR300 million assumptions and/or large
investments in an Antwerp-based ethane cracker that is part of
Project One.

The rating reflects IGH's role as one of the world's largest
petrochemical producers, with leading market positions in Europe
and the US. It manufactures a variety of olefin derivatives, serves
a diverse range of end-markets, operates large-scale integrated
production facilities with partial feedstock flexibility, exhibits
solid coverage metrics and has positive free cash flow (FCF).

KEY RATING DRIVERS

Gemini Acquisition: Ineos Olefins & Polymers USA, a subsidiary of
IGH, closed the acquisition of Sasol's 50% interest in Gemini for
USD404 million on 31 December 2020. Gemini is a toll manufacturer
of high-density polyethylene products serving pipe and film markets
with an annual capacity of 470,000 tonnes. IGH already owned the
other 50%, is the plant's operator and owner of the technology
used. The transaction will enable IGH to expand in the specialty
polyethylene markets of pressure pipe and high molecular weight
film.

Gemini Consolidated as Unrestricted Subsidiary: Gemini's
post-transaction debt of USD600 million and EBITDA will be fully
consolidated into IGH's IFRS accounts. Fitch will also fully
consolidate Gemini as it considers the operational ties between the
two entities as strong. Under the existing tolling agreement, IGH
commits to purchase Gemini's products and will effectively
guarantee that Gemini's debt service coverage is at least 1.0x.
However, IGH will exclude Gemini from the covenant perimeter as it
will be outside IGH's restricted group without cross-default
provisions with the rest of IGH's debt or guarantees from IGH.

Strong Recovery in Chemicals: Petrochemical prices have
substantially increased over the past three to four months and are
expected to remain high at least through 2Q21, due to low oil
refinery utilisation rates, supply constraints, strong demand
rebound and restocking requirements in almost all end-markets.
IGH's utilisation rates are strong and should exceed 2020 levels as
turnarounds at the Olefin 2 cracker are complete, new linear alpha
olefins capacity in Chocolate Bayou is ramping up and overall
maintenance is expected to be lower during 2021.

The recent lockdowns in Europe do not seem to have impacted the
rebound. Prospects for a 2021 market recovery are stronger than
expected in early December 2020, but Fitch assumes this to moderate
by mid-2021.

Positive FCF; Limited Leverage Headroom: Fitch forecasts IGH's
post-IFRS 16 EBITDA at EUR1.9 billion in 2021 and EUR2 billion in
2022. IGH raised funding in 2020 for its EUR0.3 billion dividend
pay-out in 2021, and Fitch expects this level of dividends in
2022-2023. This, together with EUR0.9 billion annual capex, should
still allow for FCF of EUR0.3 billion-EUR0.4 billion annually,
driving FFO net leverage below 3x in 2023. However, the current
debt load leaves limited headroom for higher capex and dividends
under Fitch's 3.2x leverage rating sensitivity.

Project One; Deleveraging at Risk: The ethane cracker under
consideration in Antwerp may put further pressure on IGH's leverage
should the project be materially debt-financed by IGH. The plan for
Project One now is to first build the more costly ethane cracker -
at an estimated EUR3 billion - and to consider an EUR2 billion
propane dehydrogenation unit later, reversing the order of the
initial plan. Once the final investment decision (FID) is reached -
not expected until late 2021 - and the project's funding has been
determined, Fitch will consider its potentially negative impact on
IGH's consolidated financial metrics and rating.

Financial Policy: IGH operates under an internal leverage guideline
of 3x net debt/EBITDA through the cycle, which is looser than the
2x threshold of its parent Ineos Limited (including IGH). Fitch
forecasts IGH to deleverage towards Fitch's negative rating
guideline with FFO net leverage reaching 3.3x in 2021 and to 3.2x
in 2022, from 4.7x in 2020. However, its acquisitive strategy and
low cost of funding may result in its financial policy being
adhered to less strictly than in the past.

Cyclical Credit Profile: The inherently cyclical nature of the
commodity chemicals sector means IGH is subject to feedstock and
end-product price volatility, driven by prevailing market
conditions, demand/supply drivers - especially with new
lower-quartile cost capacity coming online globally - and
stocking/de-stocking patterns alongside the chemical value chain.

IGH manages volatility by capitalising on its critical mass as a
leading integrated petrochemical producer, with strong links to a
large customer and supplier base, and by leveraging feedstock
flexibility in its production sites and its geographical and
product diversification.

Rated on Standalone Basis: IGH is the largest subsidiary of Ineos
Limited, accounting for almost half its EBITDA, but Fitch rates it
on a standalone basis as it operates as a restricted group with no
guarantees or cross-default provisions with Ineos Limited or other
entities within the wider group.

Corporate Governance: Corporate governance limitations relate to a
complex group structure, a lack of independent directors, a
three-person private shareholding structure, as well as limited
transparency on IGH's strategy around related-party transactions
and dividends. These factors are incorporated into IGH's ratings
and are mitigated by strong systemic governance in the countries in
which the group operates, an absence of governance failures,
adherence to internal financial targets, manageable ordinary
dividend distributions, related-party transactions at arm's length,
and solid financial reporting.

Notching for Instrument Ratings: About 75% of IGH's total debt at
end-November 2020 consisted of senior secured notes and loans
ranking pari passu among themselves, and were secured by
first-ranking liens including share pledges and mortgages. The
noteholders benefit from negative pledge and cross-default clauses
but the debt contains no financial maintenance covenants. The
secured debt is rated one notch above the IDR to reflect the
security package. In contrast, subordinated debt is rated one notch
below the IDR, reflecting subordination issues.

DERIVATION SUMMARY

The business profile of IGH reflects its large scale, multiple
manufacturing facilities across North America and Europe, and
exposure to volatile and commoditised olefins and its derivatives.
This is consistent with sector peers, such as Westlake Chemical
Corporation (BBB/Negative), Saudi Basic Industries Corporation
(A/Negative) and PAO SIBUR Holding (BBB-/Stable) and sister company
INEOS Quattro Holding (Quattro, BB/Stable).

IGH has stronger market-leading positions, is of larger scale and
has greater diversification and production flexibility than
Westlake and SIBUR, which are more regional petrochemical
companies. However, IGH has an overall weaker feedstock position
due to its lower-margin O&P (olefins and polymers) Europe and
intermediates business, which translates into EBITDA margin in the
low to mid-teens compared with 25%-35% at lower-cost peers, in
spite of feedstock flexibility at its integrated crackers. IGH's
business model is aligned with Quattro's by way of size,
diversification and product nature, while its leadership position
is stronger. Quattro has a weaker financial profile due to its USD5
billion acquisition of BP assets.

Compared with peers', IGH's group structure is complex as the
company is part of the wider Ineos group embracing other
businesses, mostly in Europe, with a three-person private
shareholding. Ineos group has a long record of opportunistic M&A
activities, which translates into a higher risk of IGH paying
dividends to cover Ineos group's investment needs. In early 2019
and 2020, key Ineos group businesses up-streamed unexpected one-off
dividends, albeit shortly after material deleveraging. IGH's
planned EUR300 million dividends for 2021 are to support Ineos
Automotive, an entity within Ineos group.

Such governance weaknesses are incorporated into the IDR and are
mitigated by the arm's-length basis and moderate scale of
related-party transactions, historical adherence to internal
financial targets, adequate financial reporting and lack of overly
aggressive shareholder-friendly actions.

KEY ASSUMPTIONS

-- Sales volumes to have declined by high single-digit
    percentages across segments in 2020 on lower demand from
    capital goods industries due to the pandemic, before
    recovering fully over 2021-2022

-- Sales prices to follow Fitch's oil price deck: Brent at
    USD45/bbl in 2021, USD50/bbl in 2022 and USD53/bbl in 2023

-- EBITDA margin gradually recovering towards 15%-16% over the
    next three years, from 12% in 2020, as projects finalized
    during 2019-2021 start to contribute to EBITDA

-- Capex at around EUR0.9 billion from 2021, down from EUR1.25
    billion in 2020 as growth capex declines

-- Dividends at EUR300 million a year from 2021, after zero in
    2020

-- Gemini's USD600 million debt and EBITDA fully consolidated

RATING SENSITIVITIES

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

-- As the Outlook is Negative, positive rating action is unlikely
    in the short term. However, FFO net leverage being maintained
    at or under 3.2x would support a revision of the Outlook to
    Stable.

-- Corporate governance improvements, in particular, better
    transparency on dividend decision and independent directors on
    the board along with FFO net leverage being maintained at or
    under 1.7x through the cycle would be rating-positive.

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

-- Aggressive capex or dividends leading to negative FCF and/or
    FFO net leverage sustainably over 3.2x.

-- Significant deterioration in business profile factors such as
    cost advantage, scale, diversification or product leadership
    or prolonged market pressure translating into EBITDA margin
    below 10%.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Comfortable Liquidity: At 30 September 2020, IGH had about EUR0.9
billion of cash on balance sheet to cover around EUR200 million of
current debt. Out of the EUR700 million debt issued in October
2020, EUR400 million debt was retained as cash. Fitch expects
annual capex to reduce to EUR0.9 billion from the high 2017-2019
levels of EUR1 billion and above, resulting in a positive
post-dividend FCF margin of 2%-3% from 2021. Fitch expects IGH to
use some of its available cash towards debt reduction in 2021. It
has no major term loans or notes maturing in 2022-2023.

IGH has access to a securitisation facility of EUR800 million
maturing at end-2022, of which EUR307 million was drawn at
end-3Q20, and to an inventory financing facility of EUR200 million
maturing in June 2021, of which EUR149 million was drawn at
end-3Q20.

SUMMARY OF FINANCIAL ADJUSTMENTS

-- EUR125.4 million of current lease liabilities and EUR864.4
    million of non-current lease liabilities reclassified as other
    liabilities

-- EUR48.5 million of interest expenses associated to lease
    liabilities reclassified as lease expenses

-- EUR154.3 million of depreciation expense related to right-of
    use assets deducted from the depreciation charge

ESG CONSIDERATIONS

Fitch has revised IGH's ESG Relevance Score for Group Structure to
'4' from '3' due to the complex group structure of a wider INEOS
group and of IGH as the recently acquired Gemini plant is an
unrestricted subsidiary with material debt and operates under a
tolling agreement with the rest of IGH group. This has a negative
impact on its credit profile and is relevant to the rating in
conjunction with other factors.

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


MANGROVE LUXCO III: Moody's Assigns Caa1 Corp Family Rating
-----------------------------------------------------------
Moody's Investors Service assigned a first time Caa1 corporate
family rating and Caa1-PD probability of default rating to Mangrove
LuxCo III S.a r.l. Concurrently, Moody's assigned a Caa1 rating to
the company's EUR356 million senior secured notes due 2025, which
have been used to finance the acquisition of the operating
activities of former Galapagos Holding S.A. so that Mangrove became
the new holding company of Kelvion and Enexio. The outlook is
negative.

RATINGS RATIONALE

Mangrove's Caa1 CFR reflects Moody's expectation that the company
will continue to operate with a high financial leverage and
negative free cash flow over the next 12-18 months, reflecting the
challenging environment in some of its cyclical end markets, such
as oil & gas and power generation, and the impact of the company's
ongoing restructuring initiatives. Overall, Moody's believes it is
positive that Mangrove is taking proactive steps to manage the
weakness in some of its core end markets, but the rating agency
also anticipates that restructuring costs will remain at high
levels in the next 12-18 months, acting as a drag on profitability,
cash flow and leverage. Specifically, Moody's projects that
Mangrove's adjusted debt to EBITDA will peak at above 10x in 2020
and reduce gradually towards 8.0x in 2021. Further, Moody's expects
FCF to be negative through at least 2021 due to high restructuring
costs, other provisions and wind down costs, with a material
improvement in sustainable cash flow generation being reliant on
the realization of cost savings. Further, the rating is constrained
by the company's liquidity, which Moody's expects will be adequate
over the next 12-18 months, but will provide with limited headroom
for significant business plan deviations, given execution risks
around the company's restructuring efforts.

The Caa1 CFR is supported by the company's moderate scale and its
established position in the global heat exchanger market with a
broad product portfolio, global production capability and
geographic diversification. Moody's expects Mangrove's earnings to
benefit from its exposure to more resilient end markets such as
data center applications, which has solid growth fundamentals. The
rating also reflects Mangrove's rightsized capital structure,
following a reduced debt burden and a EUR140 million of equity
injection from the sponsor in 2019.

Governance considerations include Mangrove's private equity
ownership. This ownership structure drives Moody's view that the
company follows a financial strategy that inherits high financial
leverage. Moody's also considers the company's ongoing exposure to
litigations due to the pending lawsuits initiated by holders of
senior unsecured notes issued by Galapagos.

LIQUIDITY

Moody's considers Mangrove's liquidity to be adequate, supported by
the company's reported cash balance as of September 30, 2020 of
EUR79 million and the full availability under its EUR65 million
super senior revolving credit facility due in 2023 (subject to an
automatic one-year extension). In Moody's base scenario these
sources together with projected funds from operations generation
are sufficient to cover the expected liquidity needs over the next
12-18 months, including working cash, working capital needs,
capital expenditures. Mangrove's liquidity is also supported by an
option to capitalize interest payments in 2021.

In addition, the company has successfully renegotiated covenant
levels with its lenders in December 2020. The company expects to
have sufficient capacity under the net leverage covenant in the
next 18 months, albeit the headroom is expected to be narrow
according to more conservative Moody's forecasts.

STRUCTURAL CONSIDERATIONS

In the assessment of the priority of claims in a default scenario
for Mangrove, Moody's distinguishes between three layers of debt in
the capital structure: First, the senior secured EUR65 million RCF
ranking on top of the capital structure. Second, the EUR356 million
senior secured notes and EUR127 million trade payables. Then,
behind these debt instruments are EUR34 million pension and EUR15
million of current lease obligations. The Caa1 rating assigned to
the senior secured notes is in line with the assigned CFR.

OUTLOOK

The negative outlook reflects the execution risk around the
company's restructuring efforts. It also reflects still significant
economic uncertainty owing to the coronavirus pandemic, which could
have more negative implications for the company's cash consumption
and liquidity as currently anticipated.

The stabilization of the outlook would require a better visibility
that the company can materially improve its operating performance,
including the progress on the realization of cost savings,
resulting in a meaningful reduction of its financial leverage
towards 7.0x Moody's adjusted Debt / EBITDA by year-end 2021 and
its FCF (excluding restructuring and wind down costs) returning
towards positive territory.

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

Upward pressure on the rating could materialize, if there are
improvements in operating performance resulting in Moody's adjusted
leverage decreasing sustainably below 6.5x and FCF turning
positive. Furthermore, an upgrade of Mangrove' ratings would
require an adequate liquidity profile, including comfortable
capacity under its covenants, at all times.

Moody's would consider downgrading Mangrove's rating, if liquidity
weakens due to more negative FCF than projected in the next 12 to
18 months or decreasing covenant headroom.

The ratings can be also downgraded in an event of an adverse court
ruling regarding claims towards Mangrove by the senior unsecured
bondholders of Galapagos, leading to higher debt for Mangrove.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Manufacturing
Methodology published in March 2020.

COMPANY PROFILE

Following a security enforcement by creditors of Galapagos S.A.
Mangrove LuxCo III S.a r.l. (Mangrove), based in Luxembourg,
acquired the operating activities of Galapagos group and thus
became the new holding company of Kelvion and Enexio. The group is
involved in the manufacturing of heat exchangers for a variety of
industrial applications. These primarily include the HVAC &
refrigeration, power generation and oil & gas sectors but also the
data center, food & beverages, chemicals and marine business areas.
The company is owned by a fund managed by a private equity group
Triton. In 2019, Mangrove achieved pro forma revenue of EUR983
million excluding the Dry Cooling business of Enexio.




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R U S S I A
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INVESTGEOSERVIS JSC: Fitch Affirms 'B-' LT IDR, Outlook Stable
--------------------------------------------------------------
Fitch Ratings has affirmed JSC Investgeoservis's (IGS) 'B-'
Long-Term Issuer Default Rating (IDR) with Stable Outlook.

The rating reflects IGS's poor liquidity and high refinancing risk.
This is despite improved operational and financial performance in
2019-2020 and normalised leverage. The pandemic has had a less
severe impact on IGS's performance, compared with that of
international oilfield services (OFS) players operating offshore.

Several Russian and foreign banks operating in Russia approved new
credit limits for IGS in 2H19 and 2020, which helped the company
refinance most of its due debt and repay the rest. Fitch assumes
banks will roll over IGS's debt given the company's strong 2019
results and resilient performance compared to peers in 2020.
However, the company will continue to rely mostly on short-term
bank funding, which implies that its liquidity is likely to remain
weak.

IGS is a privately-owned OFS provider, operating predominantly in
the Yamal region and focusing on wells rich in natural gas. It
currently operates 28 drilling rigs.

KEY RATING DRIVERS

Negative Impact from Covid-19: The pandemic has had a moderately
negative impact on IGS's performance, especially compared with the
hit taken by international OFS peers operating offshore. Fitch
expects IGS's revenue in 2020 to have contracted 21% yoy, and the
company's Fitch-adjusted EBITDA to have roughly halved before
gradually recovering in 2021-2022. While IGS's volumes have been
negatively impacted by the pandemic due to cancellations and delay
to some drilling projects, day rates have somewhat increased.
According to IGS, demand and bidding activity increased after oil
prices stabilised in November 2020.

Net Leverage Increase: Fitch estimates IGS's funds from operations
(FFO) net leverage to have increased to 4.5x in 2020 after
moderating in 2019 to 2.0x, due mainly to contracting operating
cash flows, before stabilising at below 4x by 2022-2023.

Business Profile Reassessed: IGS's performance in 2018 was affected
by a series of non-related technical delays and accidents, leading
to a dramatic decline in EBITDA and FFO. While its performance has
normalised, based on recent financial results and its order book,
Fitch views its business profile as weaker than it was in early
2018 when Fitch assigned the rating. Fitch believes IGS's cash
flows will remain volatile.

While the Russian OFS sector has historically shown resilience to
declining oil prices, IGS's small size makes the company more
vulnerable to technical risks than larger peers.

Lease Treatment: Fitch has changed its approach to leases in the
wake of new IFRS lease standards. IGS belongs to a sector for which
Fitch reclassifies lease-related expenses (i.e. right-of-use asset
depreciation and interest on leases) as operating costs and
subtracts them from EBITDA. At the same time, Fitch excludes leases
from the company's debt. This approach significantly reduces IGS's
Fitch-adjusted FFO and EBITDA because the company has a large
amount of leases.

Small Regional Company: IGS has a fleet of 30 drilling rigs and
Fitch estimates its share of the Russian onshore market at about
2%. This is mitigated by IGS's stronger position in the Yamal
region where the company's market share by volume was around 15% in
2019. Fitch’s rating case assumes limited competitive pressure in
the region as the dominant company, Gazprom Burenie, mainly serves
PJSC Gazprom (BBB/Stable).

Reliance on Novatek: IGS has diversified away from PAO Novatek
(BBB/Stable) - its only customer prior to 2014 - but its exposure
remains high, with Novatek accounting for 75% of revenue in 2019.
IGS's customer base also includes Rosneft Oil Company, PJSC Gazprom
Neft (BBB/Stable) and other upstream companies. Fitch’s base case
assumes that the revenue share from Novatek will be greater than
70% at least in the next three years. This is mitigated by the
long-standing relationship between IGS and Novatek, IGS's
specialisation in complex gas wells, and fairly high switching
costs, as moving equipment in northern Russia is time-consuming and
expensive.

Order Book Mainly Short-Term: IGS's order book includes both short-
and long-term contracts. Proceeds to be received under agreed
contracts cover around 90% of Fitch-projected revenue in 2021.
Novatek is developing its Arctic LNG 2 project and is considering
other liquefied natural gas (LNG) projects in the region, including
the Obskiy LNG project, which supports demand for drilling services
in the region.

Russian Drilling Volume Cuts Unlikely: Upstream companies in Russia
can cut their orders with limited penalties, as has been the case
in 2020 due to the pandemic. As a mitigating factor, Fitch deems a
sustained reduction in drilling volume unlikely in Russia in the
medium term, because local oil and gas producers - and Novatek in
particular - are likely to continue intensive drilling to develop
greenfield sites and stabilise production declines in brownfield
sites.

DERIVATION SUMMARY

IGS's 'B-' IDR is mainly limited by low liquidity and high
refinancing risk as other business and financial factors indicate a
stronger credit profile. The company faces a large amount of debt
maturities in 2021.

IGS's rating is also constrained by the company's small scale
(relative to peers'), dependence on a single customer (Novatek) and
high working-capital fluctuations. Eurasia Drilling Company Limited
(BB+/Stable), a leading Russian drilling company, is rated higher
mainly because of its larger scale and better geographical
diversification, as well as its lack of liquidity constraints.

KEY ASSUMPTIONS

Fitch's key assumptions within its rating case for the issuer
include:

-- Average drilling rates increasing by single-digit percentages
    until 2023

-- Total metres drilled for customers other than Novatek to start
    growing after a drop in 2020

-- Average capex of RUB0.9 billion in 2021-2023 (excluding the
    impact of leases)

-- No dividends in 2021 and dividends of RUB300 million in 2022
    2023

-- Lease-related expenses falling over the next three years due
    to fewer leased rigs

-- Liquidity improving after the refinancing of existing
    maturities in 2021

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

-- Improved liquidity with longer average debt tenor

-- FFO net leverage sustainably below 3.5x (2020E: 4.5x)

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

-- Inability to secure new funding or roll over debt

-- Evidence of Novatek or other large customers reducing
    cooperation with IGS

-- FFO net leverage sustained above 5x

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Non-Financial Corporate
issuers have a best-case rating upgrade scenario (defined as the
99th percentile of rating transitions, measured in a positive
direction) of three notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of four notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are
based on historical performance.

LIQUIDITY AND DEBT STRUCTURE

Improved but Still Weak Liquidity: IGS has raised or refinanced
several loans with different banks since 1H19, the period when it
disclosed weak 2018 results to banks. The majority of new loans
have two- to three-year tenors. The company has also received large
advances from its customers. IGS's liquidity remains dependent on
loan refinancing as the company faces roughly RUB5 billion of loan
repayments in 2021, although it has agreed a rollover of a RUB2.5
billion loan, originally due in mid-2021, to 2024.

IGS had cash of RUB0.8 billion at end-2020 against remaining 2021
debt maturities of RUB2.5 billion. Fitch projects just slightly
positive free cash flow (FCF) after leases in 2021. The company is
currently negotiating loan refinancing with banks. Additionally,
Fitch includes RUB270 million of non-recourse factoring in its 2021
liquidity requirements as well as RUB400 million of reverse
factoring. These two types of factoring rely on being covered by
working capital or refinanced.

SUMMARY OF FINANCIAL ADJUSTMENTS

-- EBITDA in 2019 was reduced by RUB1,543 million to deduct
    right-of-use assets depreciation and lease-related interest
    expense.

-- Lease liabilities of RUB2,655 million were removed from debt
    for 2019.

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.




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

ATLAS FUNDING 2021-1: Moody's Rates Class X Notes 'B1 (sf)'
-----------------------------------------------------------
Moody's Investors Service has assigned definitive credit ratings to
the following Notes issued by Atlas Funding 2021-1 PLC:

GBP250.4M Class A Mortgage Backed Floating Rate Notes due July
2058, Definitive Rating Assigned Aaa (sf)

GBP20.9M Class B Mortgage Backed Floating Rate Notes due July
2058, Definitive Rating Assigned Aa1 (sf)

GBP11.2M Class C Mortgage Backed Floating Rate Notes due July
2058, Definitive Rating Assigned Aa3 (sf)

GBP7.5M Class D Mortgage Backed Floating Rate Notes due July 2058,
Definitive Rating Assigned A2 (sf)

GBP4.5M Class E Mortgage Backed Floating Rate Notes due July 2058,
Definitive Rating Assigned Baa3 (sf)

GBP 7.5M Class X Mortgage Backed Floating Rate Notes due July
2058, Definitive Rating Assigned B1 (sf)

The rating action takes into account the final Notes' spreads and
swap rate related to the transaction's fixed-floating interest rate
swap, both being meaningfully lower than assumed at the initial
provisional rating date. These have a positive impact on the
ratings of the Notes.

The GBP 4.5M Class Z1 Mortgage Backed Fixed Rate Notes due July
2058 and the GBP 7.5M Class Z2 Mortgage Backed Fixed Rate Notes due
July 2058 have not been rated by Moody's.

The Notes are backed by a pool of UK buy-to-let ("BTL") mortgage
loans originated by Lendco Limited ("Lendco", NR). The securitised
portfolio consists of 721 mortgage loans with a current balance of
GBP 299.0 million as of January 19, 2021.

RATINGS RATIONALE

The ratings of the Notes are based on an analysis of the
characteristics and credit quality of the underlying buy-to-let
mortgage pool, sector wide and originator specific performance
data, protection provided by credit enhancement, the roles of
external counterparties and the structural features of the
transaction.

MILAN CE for this pool is 18.0% and the expected loss is 3.0%.

The portfolio's expected loss is 3.0%: This is higher than the UK
BTL RMBS sector average and is based on Moody's assessment of the
lifetime loss expectation for the pool taking into account: the
originator's limited historical performance data for buy-to-let
loans, the borrower and regional concentration in the pool and
benchmarking with other UK BTL RMBS transactions. It also takes
into account Moody's UK BTL RMBS outlook and the UK economic
environment.

MILAN CE for this pool is 18.0%: This is higher than both the UK
Prime RMBS and the UK BTL RMBS sector average and follows Moody's
assessment of the loan-by-loan information taking into account the
following key drivers: (i) the originator's limited historical
performance data for buy-to-let loans; (ii) the top 20 borrowers
constituting 18% of the pool; (iii) the London and South East
regions representing 82% of the pool; (iv) the proportion of HMO
and MUB loans 33%; (v) the proportion of legal entities 62%; (vi)
the proportion of interest-only loans 100%; and (vii) benchmarking
with similar UK BTL transactions.

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

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

At closing, the transaction benefits from a General Reserve Fund
and a Liquidity Reserve Fund. The Overall Reserve Fund (General
Reserve Fund plus Liquidity Reserve Fund) is equal to 2.5% of Class
A to E notes at closing and is fully funded by proceeds from the
Class Z2 notes. The Overall Reserve Fund will provide liquidity
support and ultimately credit enhancement to the Class A to Class E
notes. The Liquidity Reserve Fund is equal to 1.5% of the
outstanding balance of the Class A notes and will be used to pay
fees and Class A interest in the case of revenue deficit. The
Liquidity Reserve Fund is floored at 1.0% of the Class A notes at
closing and is released once Class A is fully redeemed.

Operational Risk Analysis: Link Mortgage Services Limited (NR) is
the servicer in the transaction whilst The Bank of New York Mellon,
London branch will be acting as the cash manager. In order to
mitigate the operational risk, CSC Capital Markets UK Limited (NR)
will act as back-up servicer facilitator. To ensure payment
continuity over the transaction's lifetime, the transaction
documentation incorporates estimation language whereby the cash
manager can use the three most recent servicer reports available to
determine the cash allocation in case no servicer report is
available. The transaction also benefits from approx. 10 months of
liquidity for Class A based on Moody's calculations. Finally, there
is principal to pay interest as an additional source of liquidity
for the Classes A to E (if relevant tranches PDL does not exceed
10%).

Interest Rate Risk Analysis: As of the cut-off date 0.8% of the
pool are fixed for life loans, 94.7% are fixed rate loans reverting
to three months LIBOR and 4.5% are floating rate loans linked to
three months LIBOR. The Notes are floating rate securities with
reference to daily SONIA. To mitigate the fixed-floating mismatch
between fixed-rate assets and floating liabilities, there will be a
scheduled notional fixed-floating interest rate swap provided by
HSBC Bank plc (Aa3(cr)/P-1(cr)).

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
December 2020.

The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less
relevant or typically remain unchanged during the surveillance
stage.

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

Factors that may cause an upgrade of the ratings of the Notes
include significantly better than expected performance of the pool
together with an increase in credit enhancement of Notes.

Factors that would lead to a downgrade of the ratings include: (i)
increased counterparty risk leading to potential operational risk
of: (a) servicing or cash management interruptions; and (b) the
risk of increased swap linkage due to a downgrade of the swap
counterparty ratings; and (ii) economic conditions being worse than
forecast resulting in higher arrears and losses.


ATLAS FUNDING 2021-1: S&P Assigns Prelim. B Rating on Z1 Notes
--------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Atlas Funding
2021-1 PLC's mortgage-backed notes.

Atlas Funding 2021-1 is an RMBS transaction that securitizes a
portfolio of GBP298.9 million buy-to-let (BTL) mortgage loans
secured on properties in the U.K.

S&P's ratings address timely receipt of interest and ultimate
repayment of principal on the class A notes, and the ultimate
payment of interest and principal on all the other rated notes. Its
ratings also address timely receipt of interest on the class
B–Dfrd to Z1-Dfrd notes when they become the most senior
outstanding.

The loans in the pool were originated between 2018 and 2020 by
Lendco Ltd., a non-bank specialist lender.

The collateral comprises loans granted to experienced portfolio
landlords, none of whom have had an adverse credit history in the
two years prior to origination and none of whom are currently in
arrears.

The transaction benefits from liquidity support provided by a
reserve fund, and principal can be used to pay senior fees and
interest.

Credit enhancement for the rated notes consists of subordination
from the closing date and a fully funded reserve fund.

The transaction incorporates a swap to hedge the mismatch between
the notes, which pay a coupon based on the compounded daily
Sterling Overnight Interbank Average rate (SONIA), and the loans,
which pay a fixed rate of interest until they revert to a floating
rate.

At closing, Atlas Funding 2021-1 PLC used the proceeds of the notes
to purchase and accept the assignment of the seller's rights
against the borrowers in the underlying portfolio. The noteholders
benefit from the security granted in favor of the security trustee,
BNY Mellon Corporate Trustee Services Ltd.

There are no rating constraints in the transaction under our
counterparty, operational risk, or structured finance sovereign
risk criteria. S&P considers the issuer to be bankruptcy remote.

As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity. S&P said, "We use this assumption
about vaccine timing in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates
accordingly."

  Preliminary Ratings

  Class    Prelim. rating    Amount (mil. GBP)

  A          AAA (sf)         250.405
  B-Dfrd     AA (sf)           20.929
  C-Dfrd     A+ (sf)           11.212
  D-Dfrd     A- (sf)            7.474
  E-Dfrd     BBB- (sf)          4.484  
  X          NR                 7.474
  Z2         NR                 7.475
  Z1-Dfrd    B (sf)             4.485

  NR--Not rated.


CINEWORLD: Backs Down in Dispute with Lenders Over Interest Bill
----------------------------------------------------------------
Robert Smith, Joe Rennison and Alice Hancock at The Financial Times
report that Cineworld has backed down in a bizarre spat with its
lenders over a disputed interest bill, after the London-listed
cinema operator initially refused to pay additional costs
ostensibly stemming from an error in its loan documents.

According to the FT, the company, which has recently drawn scrutiny
for approving a GBP65 million executive bonus scheme, had clashed
with lenders over a small increase in the interest rate on billions
of dollars worth of loans, which Cineworld and its advisers said
had been unintentionally increased during negotiations with
creditors in November.

While Cineworld refused to pay the additional interest when it
first became due in December, it has now been settled, the FT
relays, citing two people familiar with the matter.  They added
that the additional interest costs for the company could total tens
of millions of dollars a year, the FT notes.

According to the FT, people familiar with the matter said
Cineworld's legal advisers at Kirkland & Ellis have argued that the
additional interest costs were mistakenly introduced into the
company's loan documents.

During negotiations for a US$450 million rescue loan in November,
lenders were granted an interest rate increase on the group's
existing debt of more than US$3 billion, the FT recounts.  This was
because a so-called Libor floor, setting the floating interest
reference rate at a minimum of 1% a year, was inserted into the
loan agreement, the FT notes.

The group, which operates cinemas across 10 countries, has been
forced into a precarious position by the pandemic as lockdowns have
forced cinemas to close, the FT relays.

While the recent investor euphoria for shares in heavily shorted
companies has buoyed Cineworld's stock price this year, people
involved in the company's negotiations with creditors say the
business came close to filing for bankruptcy in November, the FT
notes.

The company had a team of lawyers and advisers preparing to file
for Chapter 11 in US courts, but were able to avoid doing so after
lenders agreed to provide the US$450 million of additional funding,
the FT says.


HNVR MIDCO: Moody's Completes Review, Retains Caa1 CFR
------------------------------------------------------
Moody's Investors Service has completed a periodic review of the
ratings of HNVR Midco Limited and other ratings that are associated
with the same analytical unit. The review was conducted through a
portfolio review discussion held on January 15, 2021 in which
Moody's reassessed the appropriateness of the ratings in the
context of the relevant principal methodology(ies), recent
developments, and a comparison of the financial and operating
profile to similarly rated peers. The review did not involve a
rating committee. Since January 1, 2019, Moody's practice has been
to issue a press release following each periodic review to announce
its completion.

This publication does not announce a credit rating action and is
not an indication of whether or not a credit rating action is
likely in the near future. Credit ratings and outlook/review status
cannot be changed in a portfolio review and hence are not impacted
by this announcement.

Key rating considerations

HNVR Midco Limited's (Hotelbeds) Caa1 corporate family rating with
a negative outlook reflects the negative impact that the
coronavirus outbreak continues to have on the company's financial
performance, leading to strong pressure on its underlying
liquidity, as well as Moody's expectations that deleveraging from
current very high levels will be slow. The CFR also reflects the
highly competitive nature of the broader accommodation distribution
segment with risks of disintermediation and margin pressure.

Concurrently, the ratings are supported by the company's leading
market position in a fragmented market and high level of diversity
of customers, hotel suppliers, and source and destination
geographies.

The principal methodology used for this review was Business and
Consumer Service Industry published in October 2016.


STRATTON MORTGAGE 2021-1: Fitch Assigns BB(EXP) Rating on E Debt
----------------------------------------------------------------
Fitch Ratings has assigned Stratton Mortgage Funding 2021-1 plc
(Stratton) expected ratings.

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

DEBT           RATING  
----           ------  
Stratton Mortgage Funding 2021-1 plc

A     LT  AAA(EXP)sf  Expected Rating
B     LT  AA(EXP)sf   Expected Rating
C     LT  A(EXP)sf    Expected Rating
D     LT  BBB(EXP)sf  Expected Rating
E     LT  BB(EXP)sf   Expected Rating
X1    LT  NR(EXP)sf   Expected Rating
Z1    LT  NR(EXP)sf   Expected Rating
Z2    LT  NR(EXP)sf   Expected Rating
x2    LT  NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Stratton is a securitisation of non-prime owner-occupied (OO) and
buy-to-let (BTL) mortgages backed by properties in the UK. The
mortgages were originated primarily by GMAC-RFC LTD (24.8%), Irish
Permanent Isle of Man (23.1%), Platform Homeloans (17.8%) and
Rooftop Mortgages (12.2%).

KEY RATING DRIVERS

Coronavirus-Related Additional Assumptions

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

The combined application of revised 'Bsf' representative pool's
weighted average foreclosure frequency (WAFF) and revised rating
multiples for both the OO and the BTL sub-pools, resulted in a
'Bsf' multiple to the current FF assumptions ranging from 1.1x to
1.2x at 'Bsf' and about 1.0x at 'AAAsf' in each sub-pool. The
updated assumptions are more modest for higher ratings as the
corresponding rating assumptions are already meant to withstand
more severe shocks.

Seasoned Non-Prime Loans
The portfolio consists of seasoned loans, originated primarily
between 2006 and 2008. The OO loans (63.4% of the pool) contain a
high proportion of self-certified (61.5%) and interest-only (84.8%)
loans, and loans to borrowers with county court judgements (21.4%).
Fitch therefore applied its non-conforming assumptions to this
sub-pool.

When setting the originator adjustment for the portfolio Fitch
considered factors including the historical performance measured by
the average annualised constant default rate of the portfolio. This
resulted in an originator adjustment of 1.0x for the OO sub-pool
and 1.5x for the BTL sub-pool.

Unhedged Basis Risk
The pool contains 54.6% loans linked to the Bank of England base
rate (BBR), 40.9% are linked to Libor and remainder are linked to a
standard variable rate (there are also a very small number of fixed
rate loans, 0.4%, that will revert to a floating rate). As the
notes pay daily compounded SONIA, the transaction will be exposed
to basis risk between the BBR and SONIA. Fitch stressed the
transaction cash flows for basis risk, in line with its criteria.

The Libor-linked loans are expected to be amended to an alternative
rate within 12 months of closing due to the discontinuation of
Libor. As this rate is expected to be the BBR, Fitch has also
applied its basis stress to these loans.

Note Interest Cap
The interest-bearing notes from class B and below are subject to a
cap on daily compounded SONIA at 8.0%. The maximum interest amount
due will be equal to the cap plus the relevant margin (before or
after the step-up date). As the asset pool comprises floating-rate
loans and such a cap does not apply to the asset yield, this
transaction feature is positive for the notes' credit risk in
rising interest rate scenarios and neutral in stable or decreasing
interest rate scenarios.

This transaction feature has been captured in Fitch's analysis in
line with its structured finance and covered bonds interest rate
stresses rating criteria.

RATING SENSITIVITIES

Downgrade Rating Sensitivity to Coronavirus-Related Stresses

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

As outlined in Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases, Fitch considers a more severe downside coronavirus
scenario for sensitivity purposes whereby a more severe and
prolonged period of stress is assumed with a halting recovery from
2Q21. Under this scenario, Fitch assumed a 15% increase in the WAFF
and a 15% decrease in the WARR. The results indicate up to a rating
category downgrade for classes A, B and C and an adverse impact of
up to four notches to the class D notes and five notches to the
class E notes. Classes D and E show a more significant
vulnerability to performance deterioration.

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

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

-- Unanticipated declines in recoveries could also result in
    lower net proceeds, which may make certain note ratings
    susceptible to potential negative rating actions depending on
    the extent of the decline in recoveries. Fitch conducts
    sensitivity analyses by stressing a transaction's base-case FF
    and RR assumptions by 30% each. As a result, the class A and B
    notes' ratings would deviate from the expected rating by up to
    two categories while the class C notes would deviate from the
    expected rating by seven notches and the class D notes by
    three categories. The class E notes could be downgraded to a
    distressed rating.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing credit
    enhancement levels and consideration for potential upgrades.
    Fitch tested an additional rating sensitivity scenario by
    applying a decrease in the FF of 15% and an increase in the RR
    of 15%. This implies upgrades of two notches for the class B
    notes, and four notches for the class C, D and E notes.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical performance.

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

Overall, and together with the assumptions referred to above,
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 reliable.

ESG CONSIDERATIONS

Stratton has an ESG relevance score of '4' for Customer Welfare -
Fair Messaging, Privacy & Data Security, due to the pool exhibiting
an interest-only maturity concentration amongst the legacy
non-conforming OO loans of greater than 40%, which has a negative
impact on the credit profile, and is relevant to the ratings in
conjunction with other factors.

Stratton has an ESG relevance score of '4' for Human Rights,
Community Relations, Access & Affordability, due to a significant
proportion of the pool containing OO loans advanced with limited
affordability checks, which has a negative impact on the credit
profile, and is relevant to the ratings in conjunction with other
factors.

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.


STRATTON MORTGAGE 2021-1: S&P Assigns Prelim. BB Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings has assigned preliminary credit ratings to
Stratton Mortgage Funding 2021-1 PLC's class A, B-Dfrd, C-Dfrd,
D-Dfrd, and E-Dfrd notes. At closing, Stratton Mortgage Funding
2021-1 will also issue unrated classes Z and X notes.

S&P based its credit analysis on a preliminary pool of GBP444.7
million (as of Nov. 30, 2020). The pool comprises first-ranking
nonconforming, reperforming, owner-occupied, and buy-to-let
mortgage loans that were positively selected from "Project Sunbury"
(Sunbury portfolio) or served as risk retention loans in Warwick 1
and Warwick 2, or were previously securitized in Leek (Moonraker
portfolio).

Link ASI Ltd. and Link Mortgage Services Ltd. are the servicers for
the Sunbury portfolio, and Western Mortgage Services Ltd. is the
servicer for the Moonraker portfolio.

Subordination and excess spread will provide credit enhancement to
the class A to E-Dfrd notes, which are senior to the unrated notes
and certificates. The class A to D-Dfrd notes will also benefit
from the liquidity reserve that will provide liquidity support and
credit enhancement to those classes.

S&P said, "We rate the class A notes based on the payment of timely
interest. Interest on the class A notes is equal to the daily
compounded Sterling overnight index average (SONIA) plus a
class-specific margin.

"We treat the class B-Dfrd, C-Dfrd, D-Dfrd, and E-Dfrd notes as
deferrable-interest notes in our analysis. Under the transaction
documents, the issuer can defer interest payments on these notes.
Our preliminary ratings on these classes of notes address the
ultimate payment of principal and interest. Once the ultimate
interest notes become the most senior, interest payments will be
paid on a timely basis, excluding class E-Dfrd, on which will
continue to address the ultimate payment of interest.

"Our preliminary ratings reflect our assessment of the
transaction's payment structure and cash flow mechanics, to assess
whether the notes would be repaid under stress test scenarios. Our
cash flow analysis and related assumptions also consider the
sensitivity of the transaction to the repercussions of the COVID-19
outbreak. Namely, we have modeled a potential increase in default
rates and an extension in recovery timing as part of our cash flow
analysis. Considering the non-conforming and reperforming nature of
the underlying pool, we believe it would be quite sensitive to a
projected increase in unemployment rates as per our base
macroeconomic scenario. Our preliminary ratings therefore reflect
the results of our sensitivity analysis rather than our standard
run."

As vaccine rollouts in several countries continue, S&P Global
Ratings believes there remains a high degree of uncertainty about
the evolution of the coronavirus pandemic and its economic effects.
Widespread immunization, which certain countries might achieve by
midyear, will help pave the way for a return to more normal levels
of social and economic activity. S&P said, "We use this assumption
about vaccine timing in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates
accordingly."

  Preliminary Ratings

  Class    Prelim. rating   Class size (%)
  A          AAA (sf)        77.50
  B-Dfrd     AA (sf)          6.50
  C-Dfrd     A (sf)           5.50
  D-Dfrd     BBB (sf)         5.00
  E-Dfrd     BB (sf)          2.00
  Z1         NR               3.50
  Z2         NR               1.89
  X1         NR               TBD
  X2         NR               TBD

  NR--Not rated.


[*] UK: Landlords Want Banks to Bear Some Burden of GBP4BB Debt
---------------------------------------------------------------
Jack Sidders at Bloomberg Quint reports that British businesses
ravaged by the pandemic skipped more than GBP4 billion (US$5.5
billion) in rent last year.

According to Bloomberg, with the bill coming due, a battle over
sharing the pain is heating up.

Landlords, acknowledging the damage wrought by almost a year of
enforced closures and depleted foot traffic, are demanding lenders
bear some burden as about one-fifth of commercial rent is behind,
Bloomberg relates.  Regulators are urging banks to avoid taking a
hard line, Bloomberg states. Retailers and restaurateurs, hammered
by the deepest recession in three centuries, say the pile of debt
isn't their fault, Bloomberg relays.

While the debate about who ultimately pays for lockdowns is playing
out globally, U.K. Chancellor of the Exchequer Rishi Sunak's
initial response -- a property-tax holiday, a furlough program to
assist with staff costs and a freeze on evictions -- has set up a
stark cliff edge at the end of March, Bloomberg recounts.

"The notion that these retailers should be expected to pay 100% of
the rent for the periods they have been closed is a little unfair,
to put it mildly,” Bloomberg quotes James Daunt, chief executive
officer of bookstore chain Waterstones, which is owned by Paul
Singer's Elliott Management Corp., as saying.  "It is also
unreasonable for the government to be washing their hands of it. I
think the government has abrogated it."

Likewise, the Property Owners Forum, which represents about 200
U.K. landlords, has written to government agencies pleading for
lenders' forbearance, Bloomberg relates.  They want holidays on
interest and capital repayments for loans secured against
properties where rent hasn't been paid due to the emergency rules,
Bloomberg discloses.

Stuck between cash-strapped tenants and demanding lenders,
"property owners are the meat in the sandwich,” Adam Coffer,
chairman of the group, which was set up during the pandemic, as
cited by Bloomberg, said.  "You are going to have a huge bottleneck
of debt when the moratorium ends and if government extends it, they
are just kicking that can down the road.”

The Coronavirus Act passed in March imposed a three-month
moratorium on commercial landlords' ability to evict non-paying
tenants, Bloomberg recounts.  The provisions have been extended
repeatedly as the pandemic dragged on, but the government said in
December -- before the new strain of the virus took hold -- that
the current extension to the end of March would be the last,
Bloomberg notes.



                           *********


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

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

Copyright 2021.  All rights reserved.  ISSN 1529-2754.

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