/raid1/www/Hosts/bankrupt/TCREUR_Public/210211.mbx        T R O U B L E D   C O M P A N Y   R E P O R T E R

                          E U R O P E

          Thursday, February 11, 2021, Vol. 22, No. 25

                           Headlines



D E N M A R K

WINTERFELL FINANCING: Fitch Assigns 'B(EXP)' LongTerm IDR
WINTERFELL FINANCING: Moody's Assigns 'B2' CFR, Outlook Stable


I R E L A N D

ARBOUR CLO IV: Fitch Affirms B- Rating on Class F Notes
DQ ENTERTAINMENTS: Directors Should Be Made Liable for Debts
MAN GLG II: Moody's Affirms Ba2 Rating on Class E Notes
PALMER SQUARE 2021-1: Moody's Gives (P)B3 Rating to Class F Notes


I T A L Y

TAURUS 2018-1: Fitch Affirms B Rating on Class E Debt


L U X E M B O U R G

SIMPAR FINANCE: Fitch Assigns BB- Rating on New Unsecured Notes


P O R T U G A L

LUSITANO MORTGAGES 4: Moody's Hikes Rating on D Notes to Caa2
MAGELLAN MORTGAGES 4: Moody's Hikes Rating on C Notes to Ba2


S P A I N

[*] SPAIN: Mulls Debt Relief for Companies Amid Pandemic


U N I T E D   K I N G D O M

BIRMINGHAM AIRPORT: City Council to Provide Emergency Loan
CONCORDE MIDCO: Moody's Assigns First-Time B3 Corp. Family Rating
INEOS QUATTRO 2: Fitch Gives Final BB+ Rating on Sr. Secured Notes
NEWDAY FUNDING 2018-2: Fitch Assigns B+ Rating on Class F Notes
PREZZO: Bought Out of Prepack Administration by Cain International

[*] UK: Bounce Back Loan Scheme May Create "Zombie" Companies
[*] UK: New Powers May Enable Gov't. to Bail Out Social Care Cos.

                           - - - - -


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D E N M A R K
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WINTERFELL FINANCING: Fitch Assigns 'B(EXP)' LongTerm IDR
---------------------------------------------------------
Fitch Ratings has assigned building materials distributor
Winterfell Financing Sarl (Stark Group) an expected Long-Term
Issuer Default Rating (IDR) of 'B(EXP)' with a Stable Outlook.
Fitch has also assigned an expected instrument rating of
'B+(EXP)'/'RR3' to the group's proposed EUR1,345 million senior
secured seven-year term loan B. The assignment of final ratings is
contingent on the receipt of final documents conforming to
information already reviewed.

The rating reflects the company's solid business profile,
underpinned by leading market positions in the heavy building
materials distribution market in the Nordics and Germany, and
healthy diversification with limited geographic, product, customer
and supplier concentration. The group's exposure to cyclical
construction end-markets is mitigated by its focus on fairly
resilient renovation, maintenance and improvement (RMI)
construction end-markets.

The rating is mainly constrained by the expected high leverage
resulting from the new financing structure. Fitch expects leverage
metrics to remain in line with a 'B' category rating.

Fitch expects the group to continue to pursue a bolt-on M&A-driven
growth strategy, which bears execution risk. Fitch views positively
the group's successful integration track record together with its
prudent policy of acquiring companies with a clear strategic fit at
sensible valuation multiples.

KEY RATING DRIVERS

Solid Business Profile: Stark Group's business profile is mainly
underpinned by its leading position in the heavy building materials
distribution market in the Nordics and Germany. Diversification is
sound due to its extensive branch coverage with proximity to the
largest growing urban areas as well as limited supplier and
customer concentration.

These positives are offset by its exposure to the cyclical
construction end-markets and intense competition in the fragmented
distribution markets. This is partly mitigated by the focus on the
more resilient RMI end-markets (around 70% of gross profit
exposure) and the growing segment of small and medium-sized
customer companies (around 56% of net sales).

Leading Market Position: Stark has the leading market position in
the fragmented heavy building materials distribution market in
Denmark, Sweden and Germany. It also has the second-largest market
share in Finland and a strong regional presence in Norway. The
group's market position is mainly underpinned by its long track
record of operations, scale advantage and integrated business
model. The group's fairly dense network of branches across key
markets, supported by a sales force with technical and
customer-specific knowledge, has helped generate strong local brand
awareness.

Sound Diversification: The group has a healthy geographic footprint
balanced between the Nordic and German markets as well as limited
supplier and customer concentration. Stark's exposure to the
cyclical construction end-markets is partly mitigated by its focus
on RMI end-markets and growing segment of small and medium-sized
companies. The company has a fairly broad building products
offering, albeit focused on heavy building materials (e.g.
plasterboards, insulation materials, steels) and timber and panels,
which together account for over 60% of revenue.

Continued Acquisitive Strategy: Fitch expects the group to continue
to pursue an M&A-driven growth strategy, which bears execution
risk. Over FY21-FY24 (financial year-ending 31 July), Fitch expects
the company to spend EUR35 million on average annually on bolt-on
acquisitions. Execution risk is mitigated by the group's successful
integration track record and prudent policy of acquiring companies
with clear strategic fit at modest valuation multiples.
Nevertheless, the M&A pipeline, deal parameters and post-merger
integration remain important rating drivers.

In October 2019, the company roughly doubled its size following the
completion of the acquisition of Saint-Gobain's German Distribution
division (currently Stark Deutschland). Fitch believes that ongoing
execution risk related to the integration and large-scale
operations in the new market is mitigated by progress in the
integration to date, modest remaining restructuring costs and
significant potential for margin improvements.

Resilient Free Cash Flow: Fitch expects that Stark will continue to
generate positive free cash flow through the cycle. The company's
structurally low operating profitability driven by the competitive
distribution business is offset by strong cash conversion. The
group's cash flow volatility is limited by its large share of
variable and semi-variable costs as well as a portfolio of around
EUR900 million of owned real estate assets, which provides
additional financial flexibility.

Fitch expects that the pandemic will continue to have a limited
impact on the company's profitability. Performance will be
supported by resilient demand, driven by fiscal stimulus packages
and emerging trends such as "nesting", which have been bolstering
demand in the renovation markets. The company is also focused on
the Nordics and Germany, which Fitch expects to remain more
resilient than most Western European countries.

High but Sustainable Leverage: The rating is restricted to the 'B'
category because of high leverage and expected modest deleveraging
during the forecast period. Fitch forecasts funds from operations
(FFO) leverage to be around 8.5x at end-2021. Fitch expects gradual
deleveraging towards around 6.7x by end-2024 on the back of
improving operating profitability generation and moderate bolt-on
acquisitions.

DERIVATION SUMMARY

Fitch views Stark Group's business profile as broadly in line with
Quimper's (Ahlsell; B/Negative), a leading Nordic distributor of
installation products, tools and supplies to professional customer.
Both companies benefit from strong market positions, significant
scale of operations and sound diversification with fairly broad
product offerings, significant exposure to RMI end-markets and
limited customer and supplier concentration. Stark Group's broader
geographic footprint is partly offset by Ahlsell's stronger
end-market diversification given its exposure to infrastructure and
industry end-markets.

Both companies' ratings are mainly constrained by high leverage.
Stark's somewhat lower expected leverage metrics are offset by
Quimper's stronger profitability driven by higher operating
margins. Fitch expects that both companies will generate positive
free cash flow through the cycle.

KEY ASSUMPTIONS

-- Organic annual revenue growth in low single digit

-- Broadly stable EBITDA margin of 4.8%-5.1%

-- Average annual M&A spend of EUR35 million in FY21-FY24

-- Capex at 1.7% of revenue annually in FY21-FY24 (including
    gross freehold capex)

-- Broadly neutral annual average working capital requirement in
    FY21-FY24

-- No dividends

KEY RECOVERY RATING ASSUMPTIONS

-- The recovery analysis assumes that Stark Group would be
    reorganised as a going-concern (GC) in bankruptcy rather than
    liquidated

-- It reflects Stark's market position, dense network of
    branches, own portfolio of brands and potential for further
    consolidation in the fragmented distribution market

-- Fitch has assumed a 10% administrative claim

-- For the purpose of recovery analysis Fitch assumed that post
    transaction debt comprises EUR1,345 million TLB, EUR200
    million revolving credit facility (RCF; assumed full
    drawdown), EUR31 million non-recourse factoring (the highest
    drawn amount) and around EUR27 million other debt

-- The GC EBITDA estimate of EUR190 million reflects Fitch's view
    of a sustainable, post-reorganisation EBITDA level upon which
    Fitch bases the enterprise valuation.

-- The GC EBITDA assumption equals the cash flow assuming average
    EBITDA margins of around 4%, reflecting intense market
    competition, and revenues of around EUR4.6 billion.

-- An EV multiple of 5.5x EBITDA is applied to the GC EBITDA to
    calculate a post-reorganisation enterprise value.

-- The multiple reflects leading position across the Nordics and
    German heavy materials distribution market, significant scale
    and strong asset quality with significant owned real estate
    portfolio located near growing urban areas.

-- The selected multiple is in line with Assemblin Financing AB's
    and Gerflor/Hestiafloor 2 (5.5x) and somewhat higher than
    Ahlsell's/Quimper's (5.0x) due to Stark's stronger asset
    quality driven by significant owned real estate portfolio and
    somewhat stronger market position and better geographic
    diversification.

RATING SENSITIVITIES

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

-- FFO leverage below 6.0x on a sustained basis

-- EBITDA margin above 5.5%, potentially evidencing successful
    integration of acquisitions

-- Consistent low-to-mid single-digit FCF margin

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

-- FFO leverage above 8.0x on a sustained basis

-- Problems with integration of acquisitions or increased debt
    funding

-- EBITDA margin of below 4.5% on a sustained basis

-- Erosion of FCF to neutral or negative

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

Satisfactory Liquidity: The liquidity at the closing of the
transaction is expected to consist of around EUR45 million of
readily available cash (excluding EUR40 million restricted by Fitch
for intra-year working capital swings) and EUR200 million undrawn
6.5-year RCF. There are no significant short-term debt maturities
(apart from expected around EUR50 million factoring drawdown) as
the new debt structure is concentrated on the proposed EUR1,345
million senior secured seven-year term loan B.

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.


WINTERFELL FINANCING: Moody's Assigns 'B2' CFR, Outlook Stable
--------------------------------------------------------------
Moody's Investors Service has assigned B2 ratings to the proposed
EUR1,345 million senior secured 7-year term loan B and the EUR200
million 6.5-year senior secured revolving credit facility to be
issued by Winterfell Financing S.a.r.l., a holding company formed
to effect the acquisition of Stark group, the leading building
materials distributor in Northern Europe by CVC Capital Partners
from Lone Star funds. The new shareholder will make a total equity
contribution of about EUR1.0 billion (44% of the purchase price
including fees and expenses). At the same time, Moody's assigned a
B2 corporate family rating and B2-PD probability of default rating
to Winterfell Financing S.a.r.l. The outlook is stable.

RATINGS RATIONALE

The assigned B2 CFR is supported by Stark's leading position in the
building materials distribution market in Germany and in the Nordic
countries and the resilient performance and cash flow generation of
the company in recent years. The resilience of Stark's performance
is in particular based on its 70% gross profit exposure to the
relatively stable renovation, maintenance and improvement (RMI)
market, which has shown little cyclical exposure and is expected to
grow moderately over the next few years, supported by government
stimulus measures and other structural drivers. The rating
furthermore reflects management's track-record of delivering the
expected operational results, evidenced by the good progress with
the integration and margin improvement of its German business
acquired in 2019; its adequate liquidity and positive free cash
flow (FCF) generation; as well as its flexible cost base, supported
by its large owned real estate portfolio.

The rating is constrained by its high leverage, which Moody's
estimates to be around 6.0x debt / EBITDA in the next 12-18 months
combined with the expectation of a gradual deleveraging over the
next quarters. Further, Moody's expects that Stark's new sponsor,
while being familiar with the company from its previous ownership,
will continue to support the company's business strategy, with
acquisitions remaining one of the key elements. Given the fact that
the Moody's-adjusted leverage will be at the higher end of the
expected range for its B2 rating after closing, there is limited
headroom within the current rating category to absorb any further
leverage increase which could be caused for example by operating
underperformance, debt-funded acquisitions or shareholder returns.

Moody's takes into account the impact of environmental, social and
governance (ESG) factors when assessing companies' credit quality.
The coronavirus pandemic, which Moody's regards as a social risk
under its ESG framework, given the substantial implications for
public health and safety, has been a moderate risk for Stark so
far, which continued to operate at all times during the crisis,
with its branches being exempted from closedown in Denmark, Norway,
Sweden, Finland and Germany. Further, the company did not see any
large supply chain disruptions, owing to its local sourcing model.

Environmental issues are a benefiting factor to Stark's credit
profile, given the focus of European governments around energy
efficiency of buildings, Moody's believes the company's end market
will continue to benefit from the regulatory push for renovation of
building stock for a foreseeable future.

Moody's governance assessment for Stark mainly factors in its
private equity ownership, which implies an aggressive financial
policy given a tolerance of high leverage.

LIQUIDITY

Stark's liquidity is adequate, comprising around EUR85 million in
cash, pro-forma for the transaction and a fully available EUR200
million revolving credit facility (RCF) maturing in 2027. Moody's
expect the company to generate positive FCF supported by good
EBITDA cash conversion, and low capital intensity with capital
spending of no more than 2% of revenue. In addition, the company's
liquidity will benefit from a long-term maturity of its term loan,
due in 2028. However, the company is subject to seasonal swing in
working capital, which normally reaches peak in the first fiscal
quarter and improves throughout the rest of the year, especially in
the fourth fiscal quarter.

The RCF is subject to a springing first lien net leverage ratio
covenant, tested when the facility is drawn by more than 40%, net
of cash balances. The covenant is set with substantial headroom and
Moody's expects Stark to ensure consistent compliance with this
covenant at all times.

STRUCTURAL CONSIDERATIONS

At transaction completion, the group's EUR1,345 million term loan B
and EUR200 million senior secured RCF will be guaranteed by
subsidiaries accounting for approximately 80% of total consolidated
EBITDA and will be secured mainly by share pledges, material bank
accounts and certain intercompany receivables. All debt is to be
treated pari passu. Applying the 50% standard recovery rate for
capital structures, both the term loan B (TLB) and the RCF are
rated B2 in line with the CFR.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook reflects Moody's forecasts of a low single digit
organic revenue growth and an adjusted operating margin improving
to 4.0% through fiscal 2022, resulting in gross leverage of around
6.0x debt / EBITDA in the next 12-18 months, which is expected to
be further reduced in the medium term. Further, the stable outlook
assumes continued positive FCF generation and maintenance of an
adequate liquidity profile. The forward view does not incorporate
any debt-funded acquisitions or shareholder distributions.

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

Positive rating pressure requires a sustained improvement in credit
metrics, with (1) debt / EBITDA ratio below 5.0x (2)
Moody's-adjusted operating margin towards 5.0%, (3) FCF / debt
towards high single digit figures, (4) EBITA / Interest above 3.0x
and (5) improvement in liquidity profile.

Conversely, negative rating pressure could arise if (1) Moody's
adjusted gross debt/EBITDA is above 6.25x; (2) Moody's-adjusted
operating margin deteriorates; (3) FCF/ debt reduces below 2%, (4)
liquidity profile deteriorates, or (5) the company undertakes
debt-funded acquisitions or shareholder distributions, which result
in weakening of its credit metrics.

LIST OF AFFECTED RATINGS

Issuer: Winterfell Financing S.a.r.l.

Assignments:

Probability of Default Rating, Assigned B2-PD

LT Corporate Family Rating, Assigned B2

Senior Secured Bank Credit Facilities, Assigned B2

Outlook Action:

Outlook, Assigned Stable

Issuer: LSF10 Wolverine Investments S.C.A.

Withdrawals:

Probability of Default Rating, Withdrawn, previously rated B2-PD

LT Corporate Family Rating, Withdrawn, previously rated B2

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Distribution &
Supply Chain Services Industry published in June 2018.

COMPANY PROFILE

Headquartered in Frederiksberg, Denmark, Stark Group is one of the
leading distributors of building materials in Germany and in the
Nordic region. With 412 branches in the region, the company
reported revenue of EUR4.5 billion and company-adjusted EBITDA of
around EUR258 million in fiscal year ended July 2020.




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I R E L A N D
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ARBOUR CLO IV: Fitch Affirms B- Rating on Class F Notes
-------------------------------------------------------
Fitch Ratings has affirmed Arbour CLO II DAC and Arbour CLO IV DAC
and revised the Outlooks on the class E and F notes in both
transactions to Stable from Negative.

        DEBT                      RATING          PRIOR
        ----                      ------          -----
Arbour CLO IV DAC

Class A-1R XS1997961278    LT  AAAsf  Affirmed    AAAsf
Class A-2R XS1997961948    LT  AAAsf  Affirmed    AAAsf
Class BR XS1997962672      LT  AAsf   Affirmed    AAsf
Class CR XS1997963308      LT  Asf    Affirmed    Asf
Class DR XS1997963993      LT  BBBsf  Affirmed    BBBsf
Class E XS1499702824       LT  BBsf   Affirmed    BBsf
Class F XS1499703046       LT  B-sf   Affirmed    B-sf

Arbour CLO II DAC

A-R XS1599431787           LT  AAAsf  Affirmed    AAAsf
B-1-R XS1599433056         LT  AAsf   Affirmed    AAsf
B-2-R XS1599433643         LT  AAsf   Affirmed    AAsf
C-R XS1599434450           LT  Asf    Affirmed    Asf
D-R XS1599435002           LT  BBBsf  Affirmed    BBBsf
E-R XS1599435853           LT  BBsf   Affirmed    BBsf
F-R XS1599436158           LT  B-sf   Affirmed    B-sf

TRANSACTION SUMMARY

The transactions are cash flow CLOs, mostly comprising senior
secured obligations. Arbour CLO II is still in its reinvestment
period while Arbour CLO IV exited it in January 2021. They are
actively managed by Oaktree Capital Management (UK) LLP.

KEY RATING DRIVERS

Asset Performance Stable:

Asset performance has been stable in both CLOs since their last
review. Arbour CLO II is 0.16% below par while Arbour CLO IV is
0.14% above par as of the latest investor report available. All
coverage tests are passing in both CLOs. Exposure to assets with a
Fitch-derived rating of 'CCC+' and below is 6.6% for Arbour CLO II
and 6.1% for Arbour CLO IV (or 6.5% including the unrated names,
which Fitch treats as 'CCC' per its methodology, while the manager
can classify as 'B-' for up to 10% of the portfolio), compared with
the 7.5% limit. There is no exposure to defaulted assets.

Resilient to Coronavirus Stress

The affirmations reflect the broadly stable portfolio credit
quality since last time they were reviewed. The revision of the
Outlook on the class E and F notes in both transactions to Stable
from Negative and the Stable Outlook on all other tranches reflect
the default rate cushion in the sensitivity analysis ran in light
of the coronavirus pandemic. 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%.

'B'/'B-' Portfolio

Fitch assesses the average credit quality of the obligors to be in
the 'B'/'B-' category in both portfolios. The Fitch weighted
average rating factor (WARF) calculated by Fitch of the current
portfolio as of 30 January 2021 is 33.54 for Arbour CLO II and33.71
for Arbour CLO IV, and by the trustee is 33.50 for Arbour CLO II
and 33.66 for Arbour CLO IV, compared with their respective maximum
covenant of 31.50 and 34.0. The Fitch WARF would increase to 35.40
after applying the coronavirus stress for Arbour CLO II and to
35.50 for Arbour CLO IV.

High Recovery Expectations

Of the portfolios, at least 95% comprises senior secured
obligations. Fitch views the recovery prospects for these assets as
more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch weighted average recovery rate (WARR) of the
current portfolio is reported by the trustee at 61.9% for Arbour
CLO II and 65.9% for Arbour CLO IV as of 31 December 2020.

Portfolio Well Diversified

Both portfolios are well diversified across obligors, countries and
industries. The top 10 obligor concentration is no more than 14.7%
in both CLOs, and no obligor represents more than 2.0% of the
portfolio balance in either CLO.

RATING SENSITIVITIES

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

Arbour CLO II:

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

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

Arbour CLO IV:

-- A reduction of the default rate (RDR) at all rating levels by
    25% of the mean RDR and an increase in the recovery rate (RRR)
    by 25% at all rating levels would result in an upgrade of up
    to five notches depending on the notes. Except for the class
    A-1R/A-2R notes, which are already at the highest 'AAAsf'
    rating, upgrades may occur in case of better than expected
    portfolio credit quality and deal performance, leading to
    higher credit enhancement and excess spread available to cover
    for losses on the remaining portfolio. If the asset prepayment
    is faster than expected and outweighs the negative pressure of
    the portfolio migration, this could increase credit
    enhancement and put upgrade pressure on the non-'AAAsf' rated
    notes.

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

Arbour CLO II:

-- 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.

Arbour CLO IV:

-- An increase of the RDR at all rating levels by 25% of the mean
    RDR and a decrease of the RRR by 25% at all rating levels will
    result in downgrades of no more than five notches depending on
    the notes. Downgrades may occur if the build-up of credit
    enhancement following amortisation does not compensate for a
    larger loss expectation than initially assumed due to
    unexpectedly high level of default and portfolio
    deterioration. As the disruptions to supply and demand due to
    Covid-19 become apparent for other vulnerable sectors, loan
    ratings in those sectors would also come under pressure. Fitch
    will update the sensitivity scenarios in line with the view of
    its Leveraged Finance team.

Coronavirus Potential Severe Downside Stress Scenario

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies. The potential severe downside
stress incorporates the following stresses: applying a notch
downgrade to all the corporate exposure on Negative Outlook. This
scenario does not result in any downgrades across the capital
structure.

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

Arbour CLO II DAC, Arbour CLO IV 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.


DQ ENTERTAINMENTS: Directors Should Be Made Liable for Debts
------------------------------------------------------------
Mary Carolan at The Irish Times reports that two Galway-based
directors of an Irish-registered international animation company
are among five directors who should be made personally liable for
the company's debts of some EUR42 million, it has been claimed in
Commercial Court proceedings.

It is alleged that DQ Entertainments Ireland Ltd (DQE) made
payments in millions to other companies for assets that did not
appear to exist, The Irish Times relates.

Leo Condron, Killeely Beg, Kilcolgan, and Dominic Poole,
Furrymelia, West Barna, were directors of the company over which
Patrick Bance was appointed receiver in October 2019, The Irish
Times discloses.

According to The Irish Times, Mr. Bance, who is based in Singapore,
claims the five directors, or any one of them, were knowingly party
to carrying on the business of the company in a reckless manner and
with intent to defraud creditors.

He is seeking declarations and orders including that they be made
personally liable for its debts and be made to repay or restore the
value of assets that had been transferred without valid cause, The
Irish Times states.

The court heard the five deny the claims and will be vigorously
defending the action, The Irish Times notes.

The action is brought by the receiver and international investment
company QL Master Ltd, which appointed Mr. Bance, according to The
Irish Times.

It is claimed that QL effectively loaned funds to DQE Ireland and
as of September 30, 2019, some EUR42.3 million remained due and
owing, The Irish Times discloses.  The Irish company is a
subsidiary of the India stock exchange-listed DQE (International)
Ltd.

Mr. Justice David Barniville admitted the case to the Commercial
Court on Feb. 8 on consent between the parties, The Irish Times
relates.


MAN GLG II: Moody's Affirms Ba2 Rating on Class E Notes
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Man GLG Euro CLO II D.A.C.:

EUR43,900,000 Class B Senior Secured Floating Rate Notes due 2030,
Upgraded to Aa1 (sf); previously on Dec 8, 2020 Aa2 (sf) Placed
Under Review for Possible Upgrade

EUR17,700,000 Class C Deferrable Mezzanine Floating Rate Notes due
2030, 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:

EUR207,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Oct 2, 2020 Affirmed Aaa
(sf)

EUR10,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aaa (sf); previously on Oct 2, 2020 Affirmed Aaa (sf)

EUR17,300,000 Class D Deferrable Mezzanine Floating Rate Notes due
2030, Affirmed Baa2 (sf); previously on Oct 2, 2020 Confirmed at
Baa2 (sf)

EUR19,200,000 Class E Deferrable Junior Floating Rate Notes due
2030, Affirmed Ba2 (sf); previously on Oct 2, 2020 Confirmed at Ba2
(sf)

EUR7,700,000 Class F Deferrable Junior Floating Rate Notes due
2030, Affirmed B2 (sf); previously on Oct 2, 2020 Confirmed at B2
(sf)

Man GLG Euro CLO II D.A.C., issued in December 2016, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by GLG Partners LP. The transaction was refinanced in
August 2019 and its reinvestment period ended in January 2021.

The action conclude the rating review on the Classes 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.",
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_437186.

RATINGS RATIONALE

The rating upgrades on the Classes 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 2909 after applying the
revised assumptions as compared to the trustee reported WARF of
3230 as of January 2021 [1].

The rating affirmations on the Classes A-1, A-2, D, 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 339.33M

Defaulted Securities: EUR 9.7M

Diversity Score: 56

Weighted Average Rating Factor (WARF): 2909

Weighted Average Life (WAL): 4.54 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.89%

Weighted Average Coupon (WAC): 5.96%

Weighted Average Recovery Rate (WARR): 43.97%

Par haircut in OC tests and interest diversion test: 0.066%

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 since earlier this 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 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 providers
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the 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
liquidation agent/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.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


PALMER SQUARE 2021-1: Moody's Gives (P)B3 Rating to Class F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Palmer
Square European CLO 2021-1 DAC (the "Issuer"):

EUR217,000,000 Class A Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

EUR35,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR23,800,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

EUR23,500,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

EUR15,700,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Ba3 (sf)

EUR10,500,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 90% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the 7-months ramp-up period in compliance with the portfolio
guidelines.

Palmer Square Europe Capital Management LLC ("Palmer Square") will
manage the CLO. It will direct the selection, acquisition and
disposition of collateral on behalf of the Issuer and may engage in
trading activity, including discretionary trading, during the
transaction's four-year reinvestment period. Thereafter, subject to
certain restrictions, purchases are permitted using principal
proceeds from unscheduled principal payments and proceeds from
sales of credit risk obligations or credit improved obligations.

In addition to the six classes of notes rated by Moody's, the
Issuer will issue EUR 29,600,000 Subordinated Notes due 2034 which
are not rated.

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

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

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

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

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

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

Par Amount: EUR 350,000,000.00

Diversity Score: 48

Weighted Average Rating Factor (WARF): 2900

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 3.75%

Weighted Average Recovery Rate (WARR): 43.50%

Weighted Average Life (WAL): 8.5 years



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

TAURUS 2018-1: Fitch Affirms B Rating on Class E Debt
-----------------------------------------------------
Fitch Ratings has affirmed Taurus 2018-1 IT S.R.L.

     DEBT                 RATING          PRIOR
     ----                 ------          -----
Taurus 2018-1 IT

A IT0005332488      LT  A+sf    Affirmed   A+sf
B IT0005332496      LT  A-sf    Affirmed   A-sf
C IT0005332504      LT  BBB-sf  Affirmed   BBB-sf
D IT0005332512      LT  BB-sf   Affirmed   BB-sf
E IT0005332520      LT  Bsf     Affirmed   Bsf

TRANSACTION SUMMARY

The transaction is a securitisation of three commercial mortgage
loans totalling EUR327.1 million to Italian borrowers sponsored by
Blackstone funds (Camelot and Logo) and Partners Group (Bel Air).
The transaction benefits from an amortising liquidity facility of
EUR15.0 million available to cover interest on the class A and B
notes.

Based on valuations conducted in November 2020, the reported
loan-to-value ratios (LTVs) are 58.7% (EUR209.7 million Camelot),
51.0% (EUR34.6 million Logo) and 48.4% (EUR82.7 million Bel Air).
The loans are interest-only, pay a floating rate, and are secured
on Italian assets comprising 16 logistics assets (Camelot); three
logistics assets (Logo); and five shopping centres (Bel Air). The
stable performance of the logistics assets and Bel Air loan
deleverage off-set the deterioration in the operating metrics of
the shopping centres.

KEY RATING DRIVERS

Asset Performance: The two logistic portfolios have shown
resilience to the current macroeconomic turmoil, exhibiting stable
performance and increasing market values. Fitch has not observed a
negative impact from the pandemic on the logistics sector in Italy,
given its importance in meeting supply chains. However, shopping
centres have been put under severe strain by social distancing
measures, with the negative impact on bricks-and-mortar retailers
resulting in rental collection rates ranging between 70%-80%, as at
end-2020. In light of the prolonged negative consequences of the
pandemic, including predicted store closures, Fitch has applied an
adjusted ERV (estimated rental value) to the retail assets.

Loan Deleverage: The disposal of the Primavera shopping centre from
the Bel Air loan in mid-2020 led to a EUR27 million loan repayment,
which in conjunction with the EUR5 million injection from the
borrower, reduced leverage below 50%. In addition, the borrower
funded a dedicated reserve of EUR6.5 million, available to meet
operating costs and loan debt service.

Covid-19 Analysis: Fitch tested the impact of a reduction to zero
of income produced by the Bel Air retail properties for six months,
and a corresponding non-payment of loan interest. In this scenario,
Fitch notes that Camelot and Logo loan interest proceeds are
sufficient to cover note interest due at current interest rates.

Fitch also tested a more severe scenario, where Camelot loan
prepays in advance and Bel Air loan miss interest. This would leave
a much smaller interest-paying loan (Logo) outstanding to generate
income for a more leveraged CMBS capital structure. In this event
Fitch finds the liquidity facility still adequate to cover
non-deferrable interest (the class C, D and E notes are always
deferrable), at current interest rates.

RATING SENSITIVITIES

The change in model output that would apply with 0.8x cap rates is
as follows:

'A+sf' / 'Asf' / 'A-sf' / 'BBB-sf'/ 'BB+sf'

The change in model output that would apply with 1.25x structural
vacancy is as follows:

'A+sf' / 'BBB+sf' / 'BB+sf' / 'B+sf'/ 'B-sf'

Coronavirus Downside Scenario Sensitivity

Fitch has added a coronavirus sensitivity analysis that
contemplates a more severe and prolonged economic stress caused by
a re-emergence of infections in the major economies, before a slow
recovery begins in 2H21. Under this severe scenario, Fitch reduces
the estimated rental value by 10%, with the following change in
model output:

'Asf' / 'BBB+sf' / 'BBsf' / 'Bsf'/ 'CCCsf'

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

-- Improvement in portfolio performance confirmed by a third
    party valuation.

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

-- Further increase in vacancy and rent decline within the
    portfolio.

KEY PROPERTY ASSUMPTIONS (all by market value)

'Bsf' WA cap rate: 7.1%

'Bsf' WA structural vacancy: 13.0%

'Bsf' WA rental value decline: 6.6%

'BBsf' WA cap rate: 7.5%

'BBsf' WA structural vacancy: 14.3%

'BBsf' WA rental value decline: 12.4%

'BBBsf' WA cap rate: 8.0%

'BBBsf' WA structural vacancy: 16.0%

'BBBsf' WA rental value decline: 18.2%

'Asf' WA cap rate: 8.5%

'Asf' WA structural vacancy: 17.6%

'Asf' WA rental value decline: 24.0%

'AAsf' WA cap rate: 9.0%

'AAsf' WA structural vacancy: 19.6%

'AAsf' WA rental value decline: 29.9%

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

Taurus 2018-1 IT

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.

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

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.

ESG CONSIDERATIONS

Taurus 2018-1 IT: Rule of Law, Institutional and Regulatory
Quality: '4'

Taurus 2018-1 IT has an ESG Relevance Score of 4 for Rule of Law,
Institutional and Regulatory Quality due to uncertainty of the
enforcement process in Italy, 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.




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

SIMPAR FINANCE: Fitch Assigns BB- Rating on New Unsecured Notes
---------------------------------------------------------------
Fitch Ratings has assigned a 'BB-' rating to the proposed benchmark
sized unsecured notes to be issued in Brazilian Reais by Simpar
Finance S.a.r.l, a wholly owned subsidiary of Simpar S.A. (Simpar).
The notes will be unconditionally and irrevocably guaranteed by
Simpar. Proceeds will be used to refinance existing debt and
general corporate purposes. Fitch currently rates Simpar's
Long-Term Foreign and Local Currency Issuer Default Ratings (IDRs)
'BB-'/Outlook Stable.

Simpar's ratings reflect its strong business profile, supported by
a leading position in the Brazilian logistics industry and
diversified service portfolio, as well as its track record of
resilient operating performance throughout various economic cycles.
The company's high consolidated leverage, which mostly relates to
its ongoing strong growth strategy, is partially mitigated by its
above-average financial flexibility and the company's ability to
generate positive FCF through adjustments to its capex spend.
Simpar maintains a strong liquidity position, which, together with
the proposed notes, reduces refinancing risks.

Fitch expects Simpar to continue to take advantage of market
opportunities to grow its business while managing its capital
structure to a consolidated net adjusted debt/EBITDA ratio of
around 4.0x in 2021 and 2022. Simpar's rating also incorporate
management's commitment to maintain adequate liquidity and a
manageable debt maturity profile. Growth strategies that elevate
the company's leverage or the sale of relevant equity stakes, in
any operating company that reduces Simpar's unrestricted access to
cash without materially lowering leverage, may lead to a change in
Fitch's consolidated rating approach and could pressure credit
quality.

KEY RATING DRIVERS

Diversified Business Portfolio: Simpar's diversified service
portfolio reflects a strong business profile, supported by a
leading position and resilient operating performance in the
Brazilian logistics, supply chain management, passenger and general
cargo transportation industries. JSL Logistica focuses on supply
chain management, passenger and general cargo transportation.
Movida is a rent-a-car and fleet rental company; Vamos, a heavy
vehicles and equipment rental business; CS Brasil a fleet rental
company focused on the public sector; and Original, a vehicle
dealership business. As of September 2020, JSL Logistica (73.6%
stake) represented 19% of consolidated EBITDA; Vamos (79.1% stake)
28%; Movida (55% stake) 36%; CS Brasil (100% stake) 15%; and the
dealerships (100% stake) only 2%.

Strong Market Position: Simpar has a leading position in the
Brazilian logistics industry with a diversified portfolio of
businesses and a relevant presence in multiple sectors of the
economy. The company's strong market position, strategic and
operational nature of the service it provides, coupled with
long-term contracts for most of its logistic and heavy vehicle
rentals, minimizes the company's exposure to more volatile economic
cycles. The company's significant operating scale has made it an
important purchaser of light vehicles and trucks, giving it a
significant amount of bargaining power versus other competitors in
the industry.

Robust Operating Cash Flow: Simpar group presents a strong and
reasonably predictable cash flow generation, based on long-term
contracts. The company has delivered solid and improving margins,
while growing its rentals businesses, Vamos and Movida. Fitch
expects to see margin evolving from pre-crises levels in 2021-2022,
as these two businesses regain traction after the worst period of
lockdown restrictions. Fitch also expects JSL Logistics to grow, to
improve margins and to become a more asset light operation. Fitch
forecasts Simpar's consolidated EBITDA at BRL2.1 billion (21%
margin) in 2020 and BRL2.7 billion (23%margin) in 2021, from BRL1.9
billion (20% margin) in 2019.

Growth to Continue to Pressure Leverage: Simpar's consolidated net
leverage, measured by total net debt/EBITDA, should be 4.2x in 2020
and 4.0x and 3.9x in 2021 and 2022. These levels of leverage
compare with 4.9x in 2017, 4.3x in 2018 and 4.0x in 2019. In
Fitch's view, a more moderate growth strategy or a faster
improvement in operating cash flow generation in the logistics and
in the vehicle rental business would be required to temper
medium-term leverage.

FCF is expected to remain negative, on average, at BRL1.7 billion
in the three-year period from 2020 to 2022, pressured by annual
average growth capital expenditures of BRL2.2 billion. Considering
maintenance capex only, Simpar's operating cash flow from
operations (CFFO) would be positive. Excluding growth capex, Simpar
generated, approximately, an average of BRL743 million of positive
CFFO during 2016-2019.

Coronavirus's Limited Impact: Simpar's strong presence in logistics
and fleet and heavy vehicles and machinery rentals, and its
associated long-term contracts with corporate clients helped it to
mitigate its exposure to social distancing and mobility
restrictions applied during the coronavirus pandemic. Moreover,
contracts maturing in 2020 represented between 15% and 20% of total
revenue - historical renewal rates have been over 80% on a
normalized basis. During the worst period of lockdown restrictions,
contract cancellations and the slight increase in delinquency were
not meaningful.

Full Ownership MitigatesStructural Subordination: The full
ownership or relevant majority stake in most of the operating
companies, excluding Movida, mitigates the structural subordination
of the debt at the Simpar level. It allows Simpar to determine the
business and financial strategies of the operating companies,
selecting their management and managing their cash -- as there is
no restriction on upstream dividends or intercompany loans. The
absence of cross default provisions and upstream guarantees are
credit negatives, but not sufficient, to notching down the bond's
rating at this point.

Major Equity Sale May Change Rating Approach: The sale of relevant
equity stakes in any operating company, that reduces Simpar's
unrestricted ability to access cash without materially lowering
leverage, may lead to a change in Fitch's consolidated rating
approach. It may also lead to the agency's view of Simpar as a
dividend receiving holding company with debt that would be
structurally subordinated to that of the operating companies; its
credit profile on a stand-alone basis may be considered weaker than
that of the operating companies.

DERIVATION SUMMARY

Simpar's ratings reflect its leveraged capital structure and solid
business profile, supported by a leading position in the Brazilian
logistics industry and a diversified and resilient portfolio of
businesses. The company's large business scale provides important
bargaining power with automobile and equipment OEMs, and is a key
competitive advantage compared with peers in the Brazilian market.

Fitch believes that Simpar's bargaining power and business position
tend to be relatively closer to the industry's benchmark, Localiza
Rent a Car S.A. (BB/Negative), and much stronger than that of Ouro
Verde Locacao e Servico S.A. (BB-/Stable). Compared with Localiza,
Simpar has a weaker financial profile with higher leverage and
relatively higher refinancing risks. Compared with Ouro Verde,
Simpar has higher leverage and similar liquidity position, but a
much better business profile and access to credit markets.

Simpar's ratings compare well with other peers in the Brazilian
transportation segment. Simpar and Rumo S.A. (BB/Negative) share
similar business risks, considering their respective business
traits, but Simpar's leverage is higher. Compared with Hidrovias do
Brasil S.A. (BB/Negative), Simpar's business position is stronger
but its leverage profile and refinancing risks are relatively
weaker.

KEY ASSUMPTIONS

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

-- Average consolidated annual revenue growth at 13% from 2020 to
    2022;

-- Consolidated EBITDA margin at 23%, on average, from 2020 to
    2022;

-- Consolidated net capex at around BRL2.2 billion, on average,
    from 2020 to 2022;

-- Cash balance remains sound compared to short-term debt;

-- Dividends at 25% net income;

-- No large-scale M&A activity or equity sale.

RATING SENSITIVITIES

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

-- An Upgrade on the ratings is unlikely in the short to medium
    term, given the group's consolidated high leverage and fairly
    aggressive growth strategy.

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

-- Equity sale of any operating company that reduces Simpar's
    unrestricted ability to access their cash, without materially
    lowering leverage;

-- Failure to preserve liquidity and inability to access adequate
    funding;

-- Prolonged decline in demand coupled with company inability to
    adjust operations, leading to a higher than expected fall in
    operating cash flow;

-- Increase in net adjusted leverage to more than 4.0x beyond
    2021;

-- Material deterioration on the group's fleet rental and
    logistics business.

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

Adequate Liquidity: Simpar's adequate liquidity position, relative
its short-term debt, is a key credit consideration, with cash
covering short-term debt by an average of 1.2x during the last four
years. The company's expected negative FCF, a result of its growth
strategy, will be financed by debt in Fitch's rating scenario. As
of Sept. 30. 2020, Simpar had BRL5.2 billion of cash and
BRL12.8billion of total adjusted debt, BRL1.7 billion of which is
due on the short-term debt (3.2x cash coverage ratio). These
figures exclude the BRL1.9 billion credit-linked note.

Excluding Movida's cash and short-term debt, Simpar's
cash-to-liquidity position is also adequate with BRL3.5 billion of
cash and BRL0.8 billion of short-term debt (4.3x cash coverage
ratio). The company's debt profile is mainly comprised of local
debentures, promissory notes and CRA issuances (64%), bond issuance
(31%) and FINAME and leasing operations (5%). Currently, about 11%
of Simpar's debt is secured. Additionally, Simpar's financial
flexibility is supported by the group's ability to postpone growth
capex to adjust to the economic cycle and to the considerably
number of the group's unencumbered assets, with a book value of
fleet over net debt at 1.5x.

SUMMARY OF FINANCIAL ADJUSTMENTS

-- Growth capex was moved from the CFO to the CFI;

-- OEM receivables related to vehicle acquisitions added to
    capex;

-- Total debt was adjusted by net derivatives, floor plan and
    accounts payables referred to acquisitions;

-- The CLN and NCE transactions were removed from cash and debt,
    respectively.

SOURCES OF INFORMATION

Simpar S.A.

ESG Considerations

Simpar has an Environmental, Social and Corporate Governance (ESG)
Score of '4' for Governance Structure. Simpar has a concentrated
ownership and control structure along with a complex group
structure that weakens both the company's corporate governance.
This 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.




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

LUSITANO MORTGAGES 4: Moody's Hikes Rating on D Notes to Caa2
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four classes
of notes in Lusitano Mortgages No. 4 plc and Lusitano Mortgages No.
5 plc. The rating action reflects:

-- Better than expected collateral performance in both Lusitano
Mortgages No. 4 plc and Lusitano Mortgages No. 5 plc

-- The increased levels of credit enhancement for the affected
Notes of Lusitano Mortgages No. 4 plc and Lusitano Mortgages No. 5
plc

  -- The improvement in the available liquidity coupled with other
structural features already present in the transaction, leading to
reduction in operational risk for the Class A notes of Lusitano
Mortgages No. 5 plc

Moody's also affirmed the ratings of four Classes of Notes which
had sufficient credit enhancement to maintain the current ratings
on the affected Notes.

Issuer: Lusitano Mortgages No. 4 plc

EUR1134M Class A Notes, Affirmed Aa3 (sf); previously on Oct 18,
2018 Upgraded to Aa3 (sf)

EUR22.8M Class B Notes, Affirmed Baa1 (sf); previously on Oct 18,
2018 Upgraded to Baa1 (sf)

EUR19.2M Class C Notes, Upgraded to Ba2 (sf); previously on Oct
18, 2018 Affirmed Ba3 (sf)

EUR24M Class D Notes, Upgraded to Caa2 (sf); previously on Oct 18,
2018 Affirmed Caa3 (sf)

Issuer: Lusitano Mortgages No. 5 plc

EUR1323M Class A Notes, Upgraded to Aa3 (sf); previously on Sep
11, 2019 Affirmed A1 (sf)

EUR26.6M Class B Notes, Affirmed Baa3 (sf); previously on Sep 11,
2019 Upgraded to Baa3 (sf)

EUR22.4M Class C Notes, Upgraded to B1 (sf); previously on Sep 11,
2019 Upgraded to B3 (sf)

RATINGS RATIONALE

Revision of Key Collateral Assumptions:

As part of the rating action, Moody's reassessed its lifetime loss
expectation assumptions for the portfolios reflecting the
collateral performance to date.

The performance of Lusitano Mortgages No. 4 plc has been generally
improving since the last rating action in October 2018. Between
September 2018 and December 2020, delinquencies have decreased,
with 30 days plus delinquencies decreasing from 1.66% to 1.09%, and
60 days plus delinquencies decreasing from 0.93% to 0.67%.
Cumulative defaults currently equal 7.32% of original pool balance,
a minor increase from 7.17% since the last rating action.

Moody's decreased the expected loss assumption for Lusitano
Mortgages No. 4 plc to 4.0% as a percentage of original pool
balance from 4.67%.

The performance of Lusitano Mortgages No. 5 plc has been generally
improving since the last rating action in September 2019. Between
July 2019 and January 2021, delinquencies have decreased, with 30
days plus delinquencies decreasing from 1.62% to 1.26%, and 60 days
plus delinquencies decreasing from 0.90% to 0.82%. Cumulative
defaults currently equal 8.94% of original pool balance, a minor
increase from 8.84% since the last rating action.

Moody's decreased the expected loss assumption for Lusitano
Mortgages No. 5 plc to 6.0% as a percentage of original pool
balance from 7.0%.

Increase in Available Credit Enhancement:

Lusitano Mortgages No. 4 plc has been going through the pro-rata
amortization since September 2017. The reserve fund is at its floor
level of EUR 5.1 million leading to an increase in the credit
enhancement available to all tranches of notes as the deal
amortises.

Lusitano Mortgages No. 5 plc switched from sequential to pro-rata
amortization in January 2021. Sequential amortization up to January
2021 led to the increase in the credit enhancement available for
this deal since the last rating action. The gradual build-up of the
reserve fund, until it has reached the target level in January 2021
has also contributed to the increase of credit enhancement for this
deal.

Improvement of the Operational Risk:

Moody's considers how the liquidity available in the transactions
and other mitigants support continuity of note payments, in case of
servicer default, using the CR assessment as a reference point for
servicers. In case of Lusitano Mortgages No. 5 plc, the rating of
the Class A notes was previously constrained by operational risk,
due to lack of available liquidity. Following the build-up of the
reserve fund and it reaching its target level in January 2021, this
constraint no longer applies. Moody's considers that the current
back-up servicing arrangements are sufficient to support payments
in the event servicer disruption.

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 economic activity in Portugal
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.

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

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


MAGELLAN MORTGAGES 4: Moody's Hikes Rating on C Notes to Ba2
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three classes
of notes in Magellan Mortgages No. 4 plc. Moody's also affirmed the
ratings of one Class of Notes which had sufficient credit
enhancement to maintain the current ratings on the affected Notes.

The rating action reflects:

-- Better than expected collateral performance in Magellan
Mortgages No. 4 plc

-- The increased levels of credit enhancement for the affected
Notes of Magellan Mortgages No. 4 plc

EUR1413.8M Class A Notes, Affirmed A2 (sf); previously on Oct 18,
2018 Upgraded to A2 (sf)

EUR33.8M Class B Notes, Upgraded to Baa3 (sf); previously on Oct
18, 2018 Upgraded to Ba2 (sf)

EUR18.8M Class C Notes, Upgraded to Ba2 (sf); previously on Oct
18, 2018 Upgraded to B1 (sf)

EUR33.8M Class D Notes, Upgraded to B3 (sf); previously on Oct 18,
2018 Upgraded to Caa1 (sf)

RATINGS RATIONALE

Revision of Key Collateral Assumptions:

As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolio reflecting the collateral performance
to date.

The performance of Magellan Mortgages No. 4 plc has been generally
improving since the last rating action in October 2018. Between
July 2018 and January 2021, delinquencies have decreased, with 30
days plus delinquencies decreasing from 0.63% to 0.33%, and 60 days
plus delinquencies decreasing from 0.36% to 0.20%. Cumulative
defaults currently equal 3.13% of original pool balance, a minor
increase from 3.03% since July 2018.

Moody's decreased the expected loss assumption for Magellan
Mortgages No. 4 plc to 2.12% as a percentage of original pool
balance from 2.30% due to better than expected collateral
performance.

Increase in Available Credit Enhancement:

Magellan Mortgages No. 4 plc has been going through the pro-rata
amortization since July 2008. The reserve fund is at its floor
level of EUR 9 million leading to an increase in the credit
enhancement available to all tranches of notes as the deal
amortises. Since the last rating action in October 2018, the credit
enhancement increased from 6.83% to 7.53%, 5.25% to 5.94% and 2.93%
to 3.09% for Class B, C and D, respectively.

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 Portuguese 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.

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

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




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

[*] SPAIN: Mulls Debt Relief for Companies Amid Pandemic
--------------------------------------------------------
Jeannette Neumann at Bloomberg News reports that Spain's government
is considering debt relief for companies as extended pandemic
restrictions and a slow European vaccine rollout tip the economy
into another downturn, according to officials.

According to Bloomberg, the officials said one proposal would
excuse a portion of the debt borrowed through Spain's state-backed
loan guarantee program for companies that stand a good chance of
surviving after the pandemic.

The officials said another action being contemplated is to use
state guarantees to encourage banks to offer companies what are
known as participatory loans, Bloomberg relates.

Such subordinated debt is treated as similar to equity and improves
the financial situation of a company by reducing its debt ratio,
Bloomberg notes.

So far, the timing of any announcement or the estimated cost is
unclear because staff at several government ministries and
institutions are still hashing out the details, Bloomberg states.

According to Bloomberg, the officials said there are disagreements
on how to ensure a new round of measures would help companies
without putting too much strain on the administration's finances.

Like its peers, Spain has ramped up spending to keep companies and
jobs afloat during the crisis, Bloomberg relays.  Still, public
debt probably climbed to nearly 120% of gross domestic product in
2020 and is expected to drop only slightly this year, provoking
concern over long-term sustainability, Bloomberg says.

The government focused aid in 2020 on a furlough program and a
state-backed loan guarantee program that gave thousands of
companies access to cheaper loans, and has extended the
interest-only period and maturity on those loans to ease the burden
for firms, Bloomberg recounts.  But there's a growing awareness
throughout Europe that the fiscal response will have to change as
the crisis drags on, according to Bloomberg.

Many companies are unwilling to take on more debt because they've
struggled with depressed revenue and sporadic closures for most of
the past year, and the short-term economic outlook is increasingly
uncertain, Bloomberg states.  Spain's bankruptcy procedures are
cumbersome and many firms don't survive the process, giving an
additional incentive for measures to avoid insolvencies, Bloomberg
discloses.

The officials said that's one reason to discuss debt relief,
Bloomberg notes.  They said the amount by which companies would be
allowed to reduce the loans they've taken out under the
state-backed guarantee program is still being discussed, Bloomberg
relates.

Spanish companies, mainly small- and medium-sized firms, have
borrowed EUR116 billion (US$140 billion) since the state-backed
loan program was launched in March 2020 during the first lockdown,
Bloomberg discloses.

Businesses take the loans from a commercial bank and the state
guarantees between 70% to 80% in the event of a default, according
to Bloomberg.  The lender typically assumes the rest of the risk,
Bloomberg notes.

The proposal on participatory loans could see the government
guarantee a portion of them in order to reduce the risk to banks,
Bloomberg says.  According to Bloomberg, one official said it would
assume some of the losses suffered if a rescued firm still fails.




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

BIRMINGHAM AIRPORT: City Council to Provide Emergency Loan
----------------------------------------------------------
BBC News reports that Birmingham Airport is to get an GBP18.5
million emergency loan from the city council to help avoid the
threat of insolvency.

Since the pandemic, the airport has seen passenger numbers fall by
91%, BBC notes.

The loan was approved by the cabinet group on Feb. 9 when
councillors were told the site was enduring the most "severe
downturn" in its history, BBC relates.

However, some councillors questioned whether more funding might be
needed in future due to on-going uncertainty about air travel, BBC
states.

Birmingham City Council is one of seven local authorities in the
region that are shareholders of the airport's holding company BAHL,
BBC discloses.

All of them were approached for financial assistance and the
meeting heard four will contribute to the loan along with the other
shareholder, Ontario Teachers' Pension Plan, BBC relays, citing
LDRS.

According to BBC, Councillor Meirion Jenkins asked if GBP18.5
million was sufficient, while suggesting councils perhaps had "no
choice" but to approve the loan to stop the airport going insolvent
and more money being lost.

The airport said it had taken measures to preserve cash and manage
costs, including suspending capital projects and using the
government's Job Retention Scheme, BBC recounts.


CONCORDE MIDCO: Moody's Assigns First-Time B3 Corp. Family Rating
-----------------------------------------------------------------
Moody's Investors Service has assigned a first-time B3 Corporate
Family Rating and a B3-PD Probability of Default Rating to Concorde
Midco Limited (CDKI or the company), the holding company of the
automotive software vendor CDK International. Concurrently, Moody's
has assigned a B2 rating to the proposed EUR515 million ($632
million equivalent) senior secured first lien term loan B and the
EUR60 million ($74 million equivalent) senior secured revolving
credit facility, due in 2028 and 2027 respectively, to be issued by
Concorde Lux S.a.r.l. The outlook is stable.

Proceeds from the first lien term loan and a GBP125 million ($171
million equivalent) second lien term loan, as well as shareholder
equity, will be used primarily to fund the acquisition of CDKI by
Francisco Partners from CDK Global, Inc. (Ba1 stable) for a total
consideration of approximately $1.5 billion. The transaction was
initially announced in November 2020 and is expected to close later
this month.

"The B3 rating reflects CDKI's leading positioning in the
automotive Dealer Management Systems (DMS) market, supported by a
sticky customer base and a high share of recurring revenues. The
rating also benefits from the moderate organic growth prospects of
the company together with the expected cost savings as part of the
LBO transaction" says Luigi Bucci, Moody's lead analyst for CDKI.

"At the same time, the rating also reflects CDKI's aggressive
financial policy with a very high Moody's-adjusted starting
leverage of 9.6x which is expected to reduce toward 7x by fiscal
2022, ending June 2022. The rating is also constrained by the
structural changes ongoing in the automotive sector which will have
a gradual negative impact on CDKI's customer base" adds Mr. Bucci.

RATINGS RATIONALE

CDKI's B3 CFR primarily reflects: (1) the company's leading
positioning as a provider of technology and services to automotive
dealers and automakers, with strong DMS market shares in its core
countries; (2) low tendency of dealers to change DMS software
leading to very low churn rates; (3) Moody's expectation of revenue
and, particularly, EBITDA growth, supported by upselling and
layered applications growth together with the identified cost
savings initiatives, respectively; and (4) adequate liquidity
supported by positive free cash flow (FCF) generation by fiscal
2022 and access to a EUR60 million RCF.

Counterbalancing these strengths are: (1) the company's very high
Moody's-adjusted leverage of around 9x after the closing of the LBO
by Francisco Partners, which is likely to reduce towards 7x by
fiscal 2022; (2) significant reliance on cost savings to achieve
deleveraging; (3) organic growth mainly relying on layered
applications, with core DMS products expected to have a broadly
flat evolution; (4) uncertainties related to the long term impact
of coronavirus and, separately, the potential shift towards
electric vehicles and agency sales models on CDKI's customer base;
and (5) execution risks associated to the carve-out from the former
parent CDK Global.

CDKI benefits from its positioning as one of the largest DMS
software vendors in Europe and a number of countries globally. The
company mainly focuses on the offering of integrated ERP services
and CRM solutions to automotive dealerships, single or multi-brand.
CDKI's solutions are considered as critical for its customer base
due to its extended range of industry specific features together
with their ability to interface with the required automakers'
systems. The majority of customers purchase products and services
on a subscription basis, with 83% of revenues derived from
subscriptions indicating a high degree of revenue predictability.

Moody's expects CDKI's revenues to grow at around 2%-3% over fiscal
2021 and 2022 largely supported by growth in layered applications
(ie. solutions aimed at integrating and complementing Core DMS
products), continued shift to cloud-based solutions together with
contractual price increases. Recurring revenues will likely grow at
3%-4% in fiscal 2021, benefitting from weak comparatives in the
second half of fiscal 2020, before normalizing to around 2%-3% a
year. In terms of non-recurring revenues, the rating agency
anticipates a continued decline in fiscal 2021 (-2% - -3%) before
being broadly flat in fiscal 2022 (0%-1%).

The rating agency forecasts Moody's-adjusted EBITDA,
pre-restructuring costs, to grow towards $115-$120 million in
fiscal 2022, driven by top-line growth and, to a larger extent, by
the cost savings to be achieved post LBO by Francisco Partners.
Moody's notes that the private equity company presents a clear
track-record of achieving synergies and cost savings in its
investments, as demonstrated for SonicWALL Holdings Limited (B3
stable) or Seahawk Holdings Limited (B3 stable) amongst others.

FCF is expected to be impacted by restructuring charges and one-off
costs post LBO in fiscal 2021 and fiscal 2022, with EBITDA
improvements to be fully crystallized only in fiscal 2023. These
charges will result in a slightly negative Moody's-adjusted
FCF/debt (-2%/-3%) in fiscal 2021 before returning to marginally
positive levels (0%-1%) in fiscal 2022.

The rating agency anticipates Moody's-adjusted leverage at closing
at around 9.6x or 7.8x when taking into account the run-rate impact
of the potential cost savings. Under Moody's current expectations,
CDKI's Moody's-adjusted leverage is likely to decline toward 7x by
fiscal 2022 driven by EBITDA growth. Moody's notes that
deleveraging largely relies on identified cost savings over the
next 24 months, which entail a certain degree of execution risk and
uncertainty in relation to the actual phasing of these savings.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE CONSIDERATIONS

In terms of governance, post LBO closing and spin-off from its
current parent CDK Global, CDKI will be a private company fully
owned by the private equity firm Francisco Partners. Financial
policy is likely to be very aggressive as evidenced by the very
high starting leverage which will decrease only moderately over the
rating horizon. The rating agency is also expecting CDKI to
undertake some small bolt-on M&A to strengthen its product line.

LIQUIDITY

Moody's sees CDKI's liquidity as adequate, based on the company's
cash flow generation, available cash resources of $30 million at
closing and a EUR60 million committed RCF, as well as an extended
maturity profile. Moody's expects the company to be FCF positive in
fiscal 2022 supporting the overall liquidity of the business.

The company's RCF has a springing leverage covenant (set at 40%
buffer to opening EBITDA), which will be tested only if the
facility is drawn by more than 40%. The rating agency expects the
headroom under the covenant to be adequate and to increase over
time. Moody's notes that over the first 12 months post-closing as a
consequence of cash-flows related to cost savings initiatives and
one-off costs, CDKI might temporarily draw-down part of the RCF to
maintain a robust cash balance.

STRUCTURAL CONSIDERATIONS

The B3-PD PDR reflects Moody's assumption of a 50% family recovery
rate, which is standard in cases with more than one class of debt.
The B2 ratings on the first-lien term loan and the pari passu RCF
reflect their first priority claim on the transaction security,
ahead of the second-lien term loan. The instruments are guaranteed
by material subsidiaries representing a minimum of 80% of
consolidated EBITDA and security includes shares, material bank
accounts, intercompany receivables and assets in England & Wales
through a featherweight floating charge. Moody's sees the security
package as weak.

RATIONALE FOR STABLE OUTLOOK

The stable rating outlook reflects Moody's view that CDKI's EBITDA
will grow over the next 12-18 months driven by identified cost
savings together with moderate revenue growth. As a result,
Moody's-adjusted debt/EBITDA will decline gradually from very high
levels and FCF generation will be positive. The stable outlook also
incorporates the rating agency's assumption that there is no
transformational M&A and no deterioration in the liquidity profile
of the company.

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

A rating upgrade would depend on a consistent and sustainable
improvement in the underlying operating performance of the company
together with the successful execution of the carve-out from the
former parent, CDK Global. Positive pressure on CDKI's ratings
could arise if: (1) Moody's-adjusted debt/EBITDA declines to below
6.5x on a sustainable basis; and (2) Moody's-adjusted FCF/debt
sustainably reaches the mid-single digits in percentage terms.

Moody's would consider a rating downgrade if CDKI's operating
performance were to weaken or if the company were not to reduce
restructuring charges after fiscal 2021-2022 such that: (1)
Moody's-adjusted leverage remains above 8x for a sustained period;
or (2) FCF, excluding impact of LBO-related exceptional charges in
fiscal 2021 and 2022, turns negative; or (3) liquidity weakens.

LIST OF AFFECTED RATINGS

Issuer: Concorde Lux S.a.r.l.

Assignment:

Senior Secured Bank Credit Facility, Assigned B2 (LGD3)

Outlook Action:

Outlook, Assigned Stable

Issuer: Concorde Midco Limited

Assignments:

Probability of Default Rating, Assigned B3-PD

LT Corporate Family Rating, Assigned B3

Outlook Action:

Outlook, Assigned Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Software
Industry published in August 2018.

COMPANY PROFILE

Headquartered in Hungerford (UK), Concorde Midco Limited (CDKI) is
a global provider of DMS solutions to the automotive sector.
Focusing primarily on automotive retailers and automakers, the
company product offering includes integrated core ERP and CRM
solutions. Over LTM December 2020, the company generated $325
million and $92 million, in revenue and management reported EBITDA,
respectively.


INEOS QUATTRO 2: Fitch Gives Final BB+ Rating on Sr. Secured Notes
------------------------------------------------------------------
Fitch Ratings has assigned Ineos Quattro Finance 1 plc's EUR500
million 2026 senior notes a final senior unsecured rating of 'BB-'
and Ineos Quattro Finance 2 plc's EUR800 million and USD500 million
2026 senior secured notes a final senior secured rating of 'BB+'.
Fitch has also assigned Ineos 226 Limited's EUR1.5 billion and
Ineos US Petrochem LLC's USD2 billion term loan B (TLB) due 2026
final senior secured ratings of 'BB+'. The recovery ratings are
'RR2' for the senior secured debt and 'RR5' for the senior
unsecured debt. A full list of rating actions is below.

Part of the proceeds, as well as EUR182 million of cash, were used
to repay the bridge facility, Inovyn's existing TLB, and the EUR180
million term loan A tranche due in 2025. The remainder will fund
the payment of the USD1 billion deferred contribution incurred by
the acquisition of acetyls and aromatics assets that closed on 31
December 2020.

The secured notes, 2026 term loans, existing term loans and notes
are guaranteed by Ineos Quattro Holdings Limited (BB/Stable) and
other group subsidiaries on a senior secured basis. The senior
secured rating reflects the security package and is one notch above
Ineos Quattro Holdings Limited's Issuer Default Rating (IDR).

The unsecured notes are guaranteed by Ineos Quattro Holdings
Limited on a senior basis, and other group subsidiaries on a senior
subordinated basis. The senior unsecured rating is one notch below
the IDR, reflecting subordination issues.

KEY RATING DRIVERS

Establishment of Ineos Quattro: On 31 December 2020, Ineos Quattro,
which controls Ineos Styrolution Group GmbH and is part of the
wider Ineos Limited group, completed the acquisition of BP plc's
(A/Stable) global aromatics and acetyls business for USD5 billion,
of which USD1 billion will be paid in 1H21. Ineos group contributed
94.9% of Inovyn Limited's shares to Ineos Quattro to support the
credit quality of the new group. The acquisition fits well into the
Ineos group's history of buying transformative assets and
installing tight cost control and operational efficiency to reduce
leverage.

Large and Diversified Chemical Group: Fitch forecasts Ineos Quattro
will generate through-the-cycle revenue in excess of EUR13 billion
and EBITDA, excluding joint ventures (JV), of EUR1.7 billion. Ineos
Quattro will have presence in four different chemical value chains,
a strong commercial and industrial footprint in the three main
regions and diversified feedstock exposure. The aromatics and
acetyls assets purchased from BP are pure commodity chemicals, with
profit determined by market spreads, compared with Styrolution and
Inovyn, which have a proportion of revenue derived from higher
value-added products offering more pricing power.

Leadership Position in West: Fitch regards Ineos Quattro's market
position in the European and US markets as strong. Styrolution is
the global leader for polystyrene, second for styrene monomers and
third for acrylonitrile butadiene styrene standards. Inovyn is the
biggest PVC (polyvinyl chloride) producer in Europe and has been
increasing exports due to improved competitiveness.

Ineos Quattro's aromatics assets have strong co-leading positions
for the key products, paraxylene and purified terephthalic acid, in
Europe and North America, and its acetyls assets provide the
second-largest acetic-acid capacity globally. However, its market
share in Asia is single digit, although more than 50% of its EBITDA
is from the region, which is also the main aromatics and acetyls
market.

Ineos Assets Outperform: Inovyn and Styrolution outperformed
management's expectations in 2020 due to a rapid recovery in
utilisation rates, and strict cost, working-capital and capex
discipline. Fitch estimates their EBITDA fell by low single-digit
percentages in 2020, despite prices falling to a trough and an
unprecedented demand drop in 2Q20, and will improve in the coming
years as their capacity increases and market recovers. The
aromatics assets have performed below Fitch’s expectations so
far, but Fitch believes the business will rebound in 2021 on
pent-up demand from the clothing sector and a restart in tourism
and travelling.

Aromatics, Acetyls More Volatile: The aromatics and acetyls assets
had the sharpest revenue and profit drop in 2020 due to low
spreads, reduced demand from industries such as the apparel sector,
and JVs in Asia where prices are mainly spot. Styrenics performed
better than Fitch anticipated in 2020, although full price recovery
in 2021 is unlikely considering an increased supply of styrene
monomers in the market. Inovyn was the most resilient in 2020, with
a robust outlook as Fitch expects market fundamentals to remain
stronger than in the other businesses.

Cost-Saving Expertise: Ineos group has a record of cutting the
costs of sizeable assets, which will help with those from BP. Fitch
believes Ineos Quattro's aim to reduce fixed costs by USD150
million (EUR128 million) by end-2022 is achievable as it targets
identified fixed costs, is lower than the potential savings
identified by the seller, and some of the assets acquired are
co-located alongside Ineos group's plants. Fitch understands Ineos
plans to further reduce costs, which gives upside to Fitch’s
forecasts. Ineos group was able to deliver savings well ahead of
its original plan when it acquired Styrolution and Inovyn.

Temporary High Leverage: Fitch estimates an opening pro forma funds
from operations (FFO) net leverage of an elevated 4.4x as of 31
December 2020, reflecting bottom-of-the-cycle market conditions and
the debt-funded payment of USD4 billion for the acquisition of the
aromatics and acetyls assets, before increasing to 4.8x in 2021
after the deferred USD1 billion consideration is paid. Fitch
forecasts FFO net leverage will fall below the negative rating
guideline of 4.2x in 2022 on normalised market conditions, realised
cost savings, and discipline in capex and dividend.

DERIVATION SUMMARY

Ineos Quattro's IDR reflects its large scale, and strong regional
and product diversification with balanced exposure across
styrenics, polyvinylchloride, aromatics and acetyls. The company is
a leader in its markets and has partial feedstock integration.
Ineos Quattro's diversification is comparable with that of Ineos
Group Holdings S.A. (IGH; BB+/Negative) or OCI N.V. (BB/Negative),
and ahead of more regional players PAO SIBUR Holding (BBB-/Stable)
or Westlake Chemical Corporation (BBB/Negative).

Ineos Quattro's scale is similar to that of IGH and Westlake, ahead
of OCI's but lags behind that of SIBUR. The company's group
structure is complex relative to that of peers due to its
operations within the larger Ineos group and a substantial share of
acetyls earnings from non-consolidated Asian JVs. Fitch rates it on
a standalone basis as subsidiaries within Ineos group operate
independently, as restricted groups with no guarantees or
cross-default provisions with the parent or other entities within
the wider group.

Ineos Quattro's profitability is below that of peers as
lower-margin aromatics and styrenics are a drag on the more robust
margins in PVC products and acetyls. The company's margins are
broadly similar to that of IGH but behind that of the other peers.
Leverage remains the weakest factor of the company's rating across
the peer group as Ineos Quattro's FFO net leverage will remain
above peers in 2021 and 2022.

KEY ASSUMPTIONS

-- USD/EUR of 0.85 in 2020-2023

-- Asian JVs in acetyls division accounted for under equity
    method (excluded from EBITDA, with dividends received included
    in FFO)

-- Volumes to fall by 3% to 14.7 million tonnes per annum (mtpa)
    in 2020, and recover to 17.1mtpa by 2023, driven by a capacity
    increase and global demand growth

-- Revenue to fall by 30% to EUR10.0 billion in 2020, and rise to
    EUR14.9 billion by 2023, driven by higher prices and volumes.

-- EBITDA to fall by 18% to EUR1.3 billion in 2020, and rise to
    EUR1.8 billion by 2023, in line with the revenue increase,
    improved profitability per tonne, a demand recovery and cost
    cutting.

-- Fixed-cost reductions of EUR64 million in 2021 and full
    realisation of EUR128 million by 2022.

-- Average maintenance capex of about EUR250 million per year
    plus discretionary growth capex.

-- Dividends of EUR620 million in 2020, including EUR355 million
    and EUR250 million in special dividends already paid in
    February by Styrolution and Inovyn, respectively; no dividends
    after 2020.

RATING SENSITIVITIES

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

-- Positive free cash flow generation leading to FFO net leverage
    below 3.2x on a sustained basis.

-- Realisation of cost savings in line with Fitch’s
expectations
    And market recovery translating into EBITDA margin of at least
    14%.

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

-- Inability to achieve planned cost savings and/or recover from
    market weakness, leading to FFO net leverage remaining above
    4.2x beyond 2022.

-- Significant deterioration in business profile factors such as
    scale, diversification or product leadership, or prolonged
    market pressure translating into an EBITDA margin below 12%.

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: Fitch forecasts Ineos Quattro will generate
sufficient free cash flow to cover the mandatory amortisation of
the TLA in 2021, and substantially higher free cash flow than
maturities from 2022, leading to an increase in cash on the balance
sheet. Ineos Quattro also has access to a USD300 million revolving
credit facility (RCF) until 2023, undrawn at closing.

Ineos usually relies on securitisation to fund operations. Inovyn
and Styrolution have existing facilities of EUR240 million and
EUR450 million, respectively, of which only EUR31 million was drawn
at end-3Q20 at Inovyn. Moreover, Ineos Quattro's management expects
to incorporate receivables from the recently acquired businesses to
Styrolution's securitisation programme, which would provide
additional funding of about EUR200 million.

According to Ineos group's history on the use of available funds,
Fitch would expect Ineos Quattro to use its generated cash to repay
the TLA to eliminate the mandatory amortisation and maintenance
covenant, while dividend would only be distributed when leverage is
reduced substantially.

Fitch estimates Ineos Quattro had around EUR600 million in cash on
the balance sheet at end-2020, USD300 million in undrawn RCF and
about EUR400 million in available securitisation funding.

SUMMARY OF FINANCIAL ADJUSTMENTS

Depreciation of rights of use assets and interest expense on lease
liabilities moved to cost of goods sold. Lease liabilities
classified as other liabilities.

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.


NEWDAY FUNDING 2018-2: Fitch Assigns B+ Rating on Class F Notes
---------------------------------------------------------------
Fitch Ratings has assigned NewDay Funding Master Issuer Plc -
Series 2021-1 notes final ratings.

Fitch has simultaneously taken rating actions on the series 2018-1,
series 2018-2, series 2019-1, series 2019-2, series VFN-F1 V1 and
series VFN-F1 V2 notes.

At closing, a portion of the proceeds from the series 2021-1
issuance were used to fully defease series 2018-1. Funds will be
held on the series 2018-1 principal funding ledger of the
receivables trustee investment account until the series 2018-1
scheduled redemption date in August 2021. This means that series
2018-1 is cash collateralised. An accumulation reserve has been
funded to cover series 2018-1 notes' monthly interest payments and
senior expenses. The series 2018-1 class E and F notes and the
originator OVFN, which were retained by the originator, have been
cancelled.

Fitch has revised the Outlooks on the series 2018-1 class C and D
notes to Stable from Negative, as the ratings are no longer
directly exposed to the performance of the receivables. The ratings
for the series 2018-1 class E and F notes have been withdrawn, as
these notes have been cancelled.

DEBT                                  RATING             PRIOR
----                                  ------             -----
NewDay Funding Master Issuer Plc

2021-1 Class A1               LT  AAAsf  New Rating    AAA(EXP)sf
2021-1 Class A2               LT  AAAsf  New Rating    AAA(EXP)sf
2021-1 Class B                LT  AAsf   New Rating    AA(EXP)sf
2021-1 Class C                LT  Asf    New Rating    A(EXP)sf
2021-1 Class D                LT  BBBsf  New Rating    BBB(EXP)sf
2021-1 Class E                LT  BBsf   New Rating    BB(EXP)sf
2021-1 Class F                LT  B+sf   New Rating    B+(EXP)sf
2021-1 Originator VFN         LT  NRsf   New Rating    NR(EXP)sf

2018-1 Class A1 65120JAA4     LT  AAAsf  Affirmed      AAAsf
2018-1 Class A2 XS1846632013  LT  AAAsf  Affirmed      AAAsf
2018-1 Class B XS1846632443   LT  AAsf   Affirmed      AAsf
2018-1 Class C XS1846632799   LT  Asf    Affirmed      Asf
2018-1 Class D XS1846632955   LT  BBBsf  Affirmed      BBBsf
2018-1 Class E XS1846633250   LT  WDsf   Withdrawn     BBsf
2018-1 Class F XS1846633508   LT  WDsf   Withdrawn     Bsf

2018-2 Class A1 65120BAA1     LT  AAAsf  Affirmed      AAAsf
2018-2 Class A2 XS1882673434  LT  AAAsf  Affirmed      AAAsf
2018-2 Class B XS1882673780   LT  AAsf   Affirmed      AAsf
2018-2 Class C XS1882674085   LT  Asf    Affirmed      Asf
2018-2 Class D XS1882674754   LT  BBBsf  Affirmed      BBBsf
2018-2 Class E XS1882675306   LT  BBsf   Affirmed      BBsf
2018-2 Class F XS1882675991   LT  Bsf    Affirmed      Bsf

2019-1 Class A XS2001273668   LT  AAAsf  Affirmed      AAAsf
2019-1 Class B XS2001274559   LT  AAsf   Affirmed      AAsf
2019-1 Class C XS2001274393   LT  Asf    Affirmed      Asf
2019-1 Class D XS2001275101   LT  BBBsf  Affirmed      BBBsf
2019-1 Class E XS2001275879   LT  BBsf   Affirmed      BBsf
2019-1 Class F XS2001276257   LT  B+sf   Affirmed      B+sf

2019-2 Class A 65120KAA1      LT  AAAsf  Affirmed      AAAsf
2019-2 Class B XS2052209256   LT  AAsf   Affirmed      AAsf
2019-2 Class C XS2052209413   LT  Asf    Affirmed      Asf
2019-2 Class D XS2052209769   LT  BBBsf  Affirmed      BBBsf
2019-2 Class E XS2052210189   LT  BBsf   Affirmed      BBsf
2019-2 Class F XS2052210346   LT  B+sf   Affirmed      B+sf

VFN-F1 V1 Class A             LT  BBBsf  Affirmed      BBBsf
VFN-F1 V1 Class E             LT  BBsf   Affirmed      BBsf
VFN-F1 V1 Class F             LT  Bsf    Affirmed      Bsf
VFN-F1 V2 Class A             LT  BBBsf  Affirmed      BBBsf
VFN-F1 V2 Class E             LT  BBsf   Affirmed      BBsf
VFN-F1 V2 Class F             LT  Bsf    Affirmed      Bsf

TRANSACTION SUMMARY

The series 2021-1 notes issued by NewDay Funding Master Issuer Plc
are collateralised by a pool of non-prime UK credit card
receivables. NewDay is one of the largest specialist credit card
companies in the UK, where it is also active in the retail credit
card market. However, the co-brand retail card receivables do not
form part of this transaction.

The collateralised pool consists of an organic book originated by
NewDay Ltd, with continued originations of new accounts, and a
closed book consisting of two legacy pools acquired by the
originator in 2007 and 2010. NewDay started originating accounts
within the legacy pools, albeit in low numbers, in 2015. The
securitised pool of assets is beneficially held by NewDay Funding
Receivables Trustee Ltd.

Fitch has withdrawn the ratings assigned to NewDay Funding 2018-1
plc's class E and F notes, as the notes were cancelled.

KEY RATING DRIVERS

Non-Prime Asset Pool: The portfolio consists of non-prime UK credit
card receivables. Fitch assumes a steady-state charge-off rate of
18%, with a stress on the lower end of the spectrum (3.5x for
'AAAsf'), considering the high absolute level of the steady-state
assumption and lower historical volatility in charge-offs.

As is typical in the non-prime credit card sector, the portfolio
has historically exhibited low payment rates and high yield. Fitch
applied a steady-state monthly payment rate of 10% with a 45%
stress at 'AAAsf', and a steady-state yield of 30% with a 40%
stress at 'AAAsf'. Fitch also assumed a 0% purchase rate in the
'Asf' category and above, considering the unrated nature of the
seller and the reduced probability of a non-prime portfolio being
taken over by a third party in a high-stress environment.

Coronavirus Impact: Charge-offs and delinquencies have been
resilient to the impact of the coronavirus pandemic and the share
of the portfolio subject to payment holidays has fallen
substantially from an initial peak. However, performance has been
heavily supported by furlough and forbearance schemes, and Fitch
expects a deterioration in 2H21 as these measures expire and
unemployment rises.

Nevertheless, Fitch has maintained its steady-state assumptions at
their existing levels. The steady state aims to look through
short-term fluctuations in performance. Despite likely
deterioration, Fitch does not expect charge-offs to reset to a
materially higher level in the long term. Fitch has also considered
that charge-offs have remained below the steady state in recent
years, and that NewDay has applied stricter lending criteria since
the onset of the pandemic.

Variable Funding Notes Add Flexibility: In addition to Series
VFN-F1 and VFN-F2 providing the funding flexibility that is typical
and necessary for credit card trusts, the structure employs a
separate originator VFN, purchased and held by NewDay Funding
Transferor Ltd. It provides credit enhancement to the rated notes,
adds protection against dilution by way of a separate functional
transferor interest and meets the UK and US risk-retention
requirements.

Key Counterparties Unrated: The NewDay Group will act in several
capacities through its various entities, most prominently as
originator, servicer and cash manager to the securitisation. In
most other UK trusts, these roles are fulfilled by large
institutions with strong credit profiles. This reliance is
mitigated in this transaction by the transferability of operations,
agreements with established card service providers, a back-up cash
management agreement and a series-specific liquidity reserve.

RATING SENSITIVITIES

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modelling process uses the modification
of these variables to reflect asset performance in upside and
downside environments. The results below should only be considered
as one potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

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

Rating sensitivity to increased charge-off rate:

Increase steady state by 25% / 50% / 75%

Series 2021-1 A: 'AAsf' / 'AA-sf' / 'A+sf'

Series 2021-1 B: 'A+sf' / 'Asf' / 'A-sf'

Series 2021-1 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'

Series 2021-1 D: 'BB+sf' / 'BBsf' / 'BB-sf'

Series 2021-1 E: 'B+sf' / 'Bsf' / N.A.

Series 2021-1 F: N.A. / N.A. / N.A.

Rating sensitivity to reduced monthly payment rate (MPR):

Reduce steady state by 15% / 25% / 35%

Series 2021-1 A: 'AAsf' / 'AA-sf' / 'Asf'

Series 2021-1 B: 'A+sf' / 'Asf' / 'A-sf'

Series 2021-1 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'

Series 2021-1 D: 'BBB-sf' / 'BB+sf' / 'BBsf'

Series 2021-1 E: 'BB-sf' / 'B+sf' / 'B+sf'

Series 2021-1 F: 'Bsf' / 'Bsf' / 'Bsf'

Rating sensitivity to reduced purchase rate:

Reduce steady state by 50% / 75% / 100%

Series 2021-1 D: 'BBB-sf' / 'BBB-sf' / 'BBB-sf'

Series 2021-1 E: 'BB-sf' / 'BB-sf' / 'BB-sf'

Series 2021-1 F: 'B+sf' / 'Bsf' / 'Bsf'

No rating sensitivities are shown for the class A to C notes, as
Fitch is already assuming a 100% purchase rate stress in these
rating scenarios.

Rating sensitivity to increased charge-off rate and reduced MPR:

Increase steady-state charge-offs by 25% / 50% / 75% and reduce
steady-state MPR by 15% / 25% / 35%

Series 2021-1 A: 'A+sf' / 'A-sf' / 'BBB-sf'

Series 2021-1 B: 'Asf' / 'BBBsf' / 'BB+sf'

Series 2021-1 C: 'BBBsf' / 'BB+sf' / 'BB-sf'

Series 2021-1 D: 'BBsf' / 'B+sf' / N.A.

Series 2021-1 E: 'B+sf' / N.A. / N.A.

Series 2021-1 F: N.A. / N.A. / N.A.

Coronavirus Downside Sensitivity:

Fitch has also considered a downside scenario whereby targeted
measures to contain virus hotspots have limited success, resulting
in more frequent lockdowns and stretching health systems in most
affected areas to the breaking point until late in 1H21. Setbacks
in efficacy or distribution of vaccines delay any confidence boost
from a medical solution. A resulting second round of job losses
prompts GDP declines, though less severe than in 1H20. This prompts
a fresh wave of stress in financial markets, which provokes a
longer-lasting, negative wealth and confidence shock that depresses
consumer demand and leads to a prolonged period of below-trend
economic activity. Recovery to pre-crisis GDP is delayed to around
the middle of the decade in Europe. This scenario could lead to a
higher risk of downgrade of the notes across all rating levels.

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

Rating sensitivity to reduced charge-off rate:

Reduce steady state by 25%

Series 2021-1 B: 'AAAsf'

Series 2021-1 C: 'AA-sf'

Series 2021-1 D: 'A-sf'

Series 2021-1 E: 'BBB-sf'

Series 2021-1 F: 'BBsf'

The class A notes cannot be upgraded given they are already rated
at 'AAAsf', which is the highest level on Fitch's rating scale.

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

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

Overall and together with the assumptions referred 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 adequately reliable.

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.


PREZZO: Bought Out of Prepack Administration by Cain International
------------------------------------------------------------------
Alice Hancock at The Financial Times reports that Prezzo, the
Italian casual dining chain, has been bought out of a prepack
administration by its private equity owner after lockdowns and
trading restrictions forced it to cut overhead costs.

Cain International, the private equity and real estate group that
bought Prezzo in December, has appointed the advisory firm FTI
Consulting to put the company through an administration process
through which it will cut 22 sites, resulting in 216 job losses,
the FT relates.  

According to the FT, Prezzo will be bought by a new company
controlled by Cain called Prezzo Trading.

Prezzo runs 178 restaurants with about 2,900 employees.  All its
restaurants closed under the UK's current lockdown, the FT states.
The government has not set a date for reopening, but full trading
is not expected to return until May at the earliest, the FT notes.

Cain, a privately held, London-based group that has invested more
than US$5.9 billion in real estate debt and equity since it was
founded in 2014, bought Prezzo as a going concern for GBP57 million
-- far less than the GBP304 million that its previous owners, the
private equity group TPG, bought it for in 2014, the FT recounts.

However, the spread of new variants and resulting lockdown has
forced restaurant chains back into survival mode, the FT relays.

Prezzo, the FT says, has already undertaken a significant
restructuring after going through a CVA in 2018 through which it
cut its estate of roughly 300 restaurants by a third and TPG wrote
off two-thirds of its investment in the business.


[*] UK: Bounce Back Loan Scheme May Create "Zombie" Companies
-------------------------------------------------------------
David Milliken at Reuters reports that Britain's government has
risked creating a legion of "zombie" companies by encouraging banks
to lend GBP45 billion (US$62 billion) to small businesses with a
100% state guarantee during the COVID pandemic, a leading think
tank warned on Feb. 10.

According to Reuters, the Resolution Foundation said most of the
support given by the government to businesses and workers was
useful and more would be needed when finance minister Rishi Sunak
sets out his 2020/21 budget on March 3.

But it said the structure of the Bounce Back Loan Scheme -- which
allows small businesses to borrow money equivalent to three months'
sales, up to GBP50,000 -- gave banks an incentive to keep alive
firms with weak long-term prospects, Reuters notes.

"This could slow down the efficient resolution of these firms, and
could be of a sufficient scale to have macroeconomic implications,"
Reuters quotes the think tank as saying.

"Allowing firms which are not viable in the long term to continue
operating can impede the reallocation of capital and labour from
less productive firms to more productive firms."

The Bank of England has warned the pandemic will leave many firms
heavily indebted and in need of restructuring and more investment
from shareholders, Reuters relays.

Finance minister Rishi Sunak originally opposed a 100% state
guarantee for low-interest lending to small businesses, but changed
his approach in April after firms struggled with the credit checks
needed to get emergency finance from banks, Reuters recounts.


[*] UK: New Powers May Enable Gov't. to Bail Out Social Care Cos.
-----------------------------------------------------------------
Gill Plimmer and Sarah Neville at The Financial Times report that
new powers that could enable the UK government to bail out
struggling social care companies are expected to be part of a
health service shake-up that comes as hundreds of homes struggle
with the financial burdens of Covid-19.

According to the FT, the secretary of state for health and social
care is already allowed to make emergency payments directly to
non-profit providers that run into financial trouble, but draft
legislation on reforming the NHS proposes extending this to private
sector owners of companies that run residential care facilities or
provide nursing services for the elderly and disabled in their own
homes.

Any financial assistance would be decided on a case-by-case basis
and could go to individual providers or the entire sector,
providing "grants, loans, loan guarantees or the purchase of share
capital on any terms the secretary of state considers appropriate",
the draft white paper seen by the FT says.

Much of the care provided to elderly people and vulnerable adults
is paid for by the state but outsourced to private companies, the
FT notes.  They manage about 380,000 beds in care homes, accounting
for nearly 90% of the total supply, with a further 59,000 provided
by not-for profit providers or local authorities, according to
LaingBuisson, the data specialists, the FT states.  It estimates
the value of the market at GBP17.3 billion, according to the FT.

In 2007 Southern Cross, then the largest care home operator,
collapsed, causing uncertainty for its frail and elderly residents
while Four Seasons, another care home chain, is now in the hands of
creditors, the FT recounts.

The risks of another corporate collapse have increased as Covid-19
has torn through care homes, lowering occupancy rates and
increasing staffing costs for providers, which are also required to
buy protective equipment such as masks and gloves, the FT states.

According to the FT, Nick Hood, consultant at Opus Restructuring,
which advises social care businesses, said there was a real risk of
widespread failures among providers in the wake of the pandemic and
called for the plans to be implemented "without delay so that [the
government] is in a position to respond with the appropriate
urgency as and when the need arises".

But others warned that the draft legislation risked sending a
message that the government would bail out companies that had got
into difficulty, the FT 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.

This material is copyrighted and any commercial use, resale or
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written permission of the publishers.

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

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delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000.


                * * * End of Transmission * * *