---

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

                          E U R O P E

          Tuesday, March 2, 2021, Vol. 22, No. 38

                           Headlines



B O S N I A   A N D   H E R Z E G O V I N A

SRPSKA REPUBLIC: Moody's Affirms B3 LongTerm Issuer Rating


B U L G A R I A

BULGARIAN ENERGY: Fitch Affirms 'BB' LT IDRs, Outlook Positive


C Z E C H   R E P U B L I C

CZECH AIRLINES: Files for Reorganization in Prague Court


G E O R G I A

GEORGIA: S&P Alters Outlook to Negative & Affirms 'BB/B' ICRs


G E R M A N Y

DIC ASSET: S&P Assigns 'BB+' Issuer Credit Rating, Outlook Stable


I R E L A N D

ARBOUR CLO IV: Moody's Gives (P)B3 Rating on Class F-R Notes
BNPP IP 2015-1: Fitch Affirms B- on Class F-R Notes, Outlook Stable
CAIRN CLO VII: Moody's Affirms B3 Rating on Class F Notes
DRYDEN 27 R: Moody's Assigns (P)B3 Rating to Class F-R Notes
PENTA CLO 5: S&P Assigns B- Rating on Class F Notes



I T A L Y

ALMAVIVA SPA: Moody's Completes Review, Retains B2 CFR
GOLDONI SPA: Lot Scheduled for Sale on March 4


N O R W A Y

NORWEGIAN AIRLINES: Nears Agreement to End Aircraft ICBC Leases


S P A I N

AYT CAJAGRANADA I: S&P Raises Class B Notes Rating to 'BB+'
SANTANDER HIPOTECARIO 2: S&P Assigns 'D' Rating on F Notes


S W E D E N

SSAB AB: S&P Affirms 'BB+' ICR on Strong Recovery, Outlook Stable


U N I T E D   K I N G D O M

BELLIS FINCO: Fitch Assigns Final 'BB-' LongTerm IDR
CAFFE CONCERTO: Subsidiary Enters Company Voluntary Arrangement
CAFFE NERO: Chief Works on Plan to Avert Landlords' Legal Threat
CARLYLE GLOBAL 2016-1: Fitch Affirms B- Rating on Class E-R Notes
JUPITER MORTGAGE 1: Moody's Gives (P)Ca Rating to 4 Tranches

JUPITER MORTGAGE 1: S&P Assigns Prelim. CCC Rating on Cl. X Debt
KONECRANES: J&D Pierce to Purchase East Kilbride-Based Operation
STRATTON MORTGAGE 2021-2: Moody's Gives (P)Ca Rating to 3 Tranches

                           - - - - -


===========================================
B O S N I A   A N D   H E R Z E G O V I N A
===========================================

SRPSKA REPUBLIC: Moody's Affirms B3 LongTerm Issuer Rating
----------------------------------------------------------
Moody's Public Sector Europe has affirmed the B3 domestic and
foreign currency long-term issuer rating and foreign currency
senior unsecured bond rating for Republic of Srpska, its b3
baseline credit assessment was also affirmed and the stable outlook
was maintained.

RATINGS RATIONALE

The affirmation of Republic of Srpska's B3 ratings reflects Moody's
view that Srpska will be able to withstand the impact of the
pandemic despite deteriorated operating performance and debt
increase. Support from the international community remains a key
factor. The highest risk currently stems from access to funds as
financing needs in the next three years are high.

The gross operating balance (GOB) in 2018-19 surpassed 10% of
operating revenues. In 2020 the contraction of the economy caused a
drop in tax revenues and the significant needs in healthcare
inflated operating expenses. The GOB margin is likely to reach
-8.5% in 2020. In 2021, the expected economic recovery will return
the GOB balance to around positive 2% of operating revenues.

At the same time, the Republic of Srpska's rating is constrained by
a high debt burden, which Moody's expect to increase from 135% of
operating revenues in 2019 to around 160% of operating revenues in
2020. Moody's expect the debt to stabilize at these levels in
2021-22 due to the expected economic recovery which will boost the
VAT collection and thus operating revenues.

The financing needs amount to over BAM1 billion in 2021 and BAM800
million in 2022. They will also remain elevated (BAM 1 billion in
2023), when the only current international issuance will mature.
Moreover, large investment projects, with the 5c corridor highway
being the most costly, will keep financing needs at high levels in
the foreseeable future. Overall, the republic's financing needs
surpass the capacity of the domestic market. The majority of these
funds will need to be secured abroad. Srpska plans to issue a
euro-denominated bond internationally in 2021 to cover two thirds
of financing needs for the year, however this is unlikely.
Negotiations with international partners remain challenging, as
Rapid Financing Instrument funds were approved by the International
Monetary Fund in April 2020, but it took three months for Srpska
and the Federation of Bosnia and Herzegovina to reach an agreement.
Market access and the complicated relationship of the two entities
remain a concern. Moody's currently assumes that, while
negotiations may take some time, funding from international
financial institutions will bridge the republic's financing gap.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook reflects Moody's expectation that the current
rating already captures the high risks associated with the weak
institutional framework and the liquidity risk in the context of
the pandemic crisis. It also takes into account that with the help
of the international community Srpska will be able to cover the
high financing needs in the next three years.

The specific economic indicators, as required by EU regulation, are
not available for the Srpska, Republic of. The following national
economic indicators are relevant to the sovereign rating, which was
used as an input to this credit rating action.

Sovereign Issuer: Bosnia and Herzegovina, Government of

GDP per capita (PPP basis, US$): 15,604 (2019 Actual) (also known
as Per Capita Income)

Real GDP growth (% change): 2.9% (2019 Actual) (also known as GDP
Growth)

Inflation Rate (CPI, % change Dec/Dec): 0.3% (2019 Actual)

Gen. Gov. Financial Balance/GDP: 1.5% (2019 Actual) (also known as
Fiscal Balance)

Current Account Balance/GDP: -3% (2019 Actual) (also known as
External Balance)

External debt/GDP: [not available]

Economic resiliency: b2

Default history: No default events (on bonds or loans) have been
recorded since 1983.

SUMMARY OF MINUTES FROM RATING COMMITTEE

On February 23, 2021, a rating committee was called to discuss the
rating of the Srpska, Republic of. The main points raised during
the discussion were: The issuer's fiscal or financial strength,
including its debt profile, has materially decreased. The systemic
risk in which the issuer operates has not materially changed. Other
views raised included: The issuer's institutions and governance
strength, have not materially changed.

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

WHAT COULD CHANGE THE RATING -- UP

An upgrade of Bosnia and Herzegovina's sovereign rating could
result in upward pressure on Republic of Srpska's rating. In
addition, an evidence of Republic of Srpska's ability for continued
improvement of its operating and financial performance and gradual
reduction in its debt burden could exert upward rating pressure.

WHAT COULD CHANGE THE RATING -- DOWN

Increasing signs that refinancing risk rises, potentially because
of ongoing tensions with the international community, would exert
downward rating pressure. A downgrade of Bosnia and Herzegovina's
sovereign rating could lead to a similar action on Republic of
Srpska's rating.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS

Environment considerations are material to the Republic of Srpska's
credit profile. Floods of massive proportions have occurred in 2014
damaging key infrastructure. A mitigating factor of this risk is
the stance of the international community, who helped the
government of Srpska finance to repairs. Srpska took a loan to
decrease flood risk on Sava and Drava rivers.

Social risks are material to the credit profile of the Republic of
Srpska. Low birthrates and ongoing emigration are putting a strain
on the sustainability of the pension system. Health outcomes and
education are also a source of risk, although moderate. Moody's
also view the coronavirus outbreak as a social risk under Moody's
ESG framework, given its expected impact on economic growth and
consequently on Srpska's operating revenues and expenditures.

Governance considerations are material to Srpska's credit profile.
Srpska's management and governance are satisfactory and slowly
aligning with those of the European Union peers. However the highly
complex political structure of Bosnia and a lack of internal
consensus that undermine the political and economic reform process
Intensification of the EU accession negotiation process could
further decrease this risk.

The principal methodology used in these ratings was Regional and
Local Governments published in January 2018.




===============
B U L G A R I A
===============

BULGARIAN ENERGY: Fitch Affirms 'BB' LT IDRs, Outlook Positive
--------------------------------------------------------------
Fitch Ratings has revised the Outlook on Bulgarian Energy Holding
EAD's (BEH) Long-Term Foreign- and Local-Currency Issuer Default
Ratings (IDRs) to Positive from Stable and affirmed them at 'BB',
while the senior unsecured rating was affirmed at 'BB-'.

KEY RATING DRIVERS

Upgrade to Follow Sovereign's: BEH's IDR reflects its Standalone
Credit Profile (SCP) of 'b+', which is notched up twice for strong
links with its sole owner, the Bulgarian state, to arrive at the
'BB' IDR.

However, the current support score for BEH of 17.5, calculated
under Fitch's Government-Related Entities Rating Criteria, would
allow for a three-notch uplift to its SCP if not constrained by a
cap defined as the sovereign rating minus three notches. Therefore,
if Bulgaria were upgraded to 'BBB+', the cap for BEH's ratings
would increase to 'BB+' from 'BB' and BEH's ratings would be
upgraded to an IDR of 'BB+' and senior unsecured of 'BB', assuming
other factors unchanged. This possibility is reflected in the
Positive Outlook on BEH's IDR.

RATING SENSITIVITIES

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

-- Upgrade of Bulgaria's ratings

-- Further tangible government support to BEH, such as additional
    state guarantees materially increasing the share of state
    guaranteed debt, or cash injections, which would more tightly
    link BEH's credit profile with Bulgaria's stronger credit
    profile.

-- Stronger SCP due to funds from operations (FFO) net leverage
    falling below 4x on a sustained basis, lower regulatory and
    political risk, higher earnings predictability, and better
    corporate governance.

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

-- Negative action on Bulgaria's rating

-- Weaker links with the Bulgarian state

-- Weaker SCP, e.g. due to FFO net leverage exceeding 6x on a
    sustained basis, escalation of regulatory and political risk,
    or insufficient liquidity.

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.

ESG CONSIDERATIONS

BEH has scores of 4 for "Group Structure" and "Financial
Transparency" to reflect a relatively complex group structure, a
qualified audit opinion and lower financial transparency than EU
peers'. This ESG constraint has a negative impact on BEH's SCP in
combination with other factors, in particular high capex and a
volatile regulatory framework.

BEH has also some exposure to carbon intensive generation via its
lignite-fired power plant. However, the fuel mix is diversified
with most of electricity generated from nuclear and hydro sources,
therefore the scores for "GHG Emissions & Air Quality" and "Energy
Management" are at 3.

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.




===========================
C Z E C H   R E P U B L I C
===========================

CZECH AIRLINES: Files for Reorganization in Prague Court
--------------------------------------------------------
Jason Hovet at Reuters reports that Czech Airlines (CSA), part of
the Czech airline group Smartwings, has filed in a Prague court for
a reorganization under solvency law as it grapples with a
calamitous drop in revenue during the COVID-19 pandemic.

According to Reuters, the airline sector has been among the worst
hit by the pandemic and CSA, one of the world's oldest airlines,
said its revenue last year dropped to a fifth of the previous
year's total and led to a loss of CZK1.57 billion (US$72.7
million).

"The aim of reorganization is to save the company and find the most
advantageous solution for creditors," Reuters quotes parent group
Smartwings said in a statement as saying on Feb. 26.




=============
G E O R G I A
=============

GEORGIA: S&P Alters Outlook to Negative & Affirms 'BB/B' ICRs
-------------------------------------------------------------
S&P Global Ratings, on Feb. 26, 2021, revised its outlook on
Georgia to negative from stable. At the same time, S&P affirmed its
long- and short-term foreign and local currency sovereign credit
ratings at 'BB/B'.

Outlook

The negative outlook reflects risks to Georgia's ability to
generate adequate foreign exchange (FX) earnings to service its
sizable external liabilities over S&P's forecast horizon. The
recovery in the tourism sector is likely to lag the global rollout
of vaccines, and we do not project a return to 2019 levels of
tourist activity through 2024. Coupled with a more volatile
domestic political and policy environment, this could cloud the
medium-term outlook for foreign investment inflows-–important for
growth and external financing, in its view.

S&P could lower the ratings over the next year if:

-- S&P believed economic growth prospects would be materially
weaker for longer, endangering the consolidation of Georgia's
fiscal and external finances; or

-- Financing for Georgia's twin deficits continued to reorient
toward debt-creating foreign flows, rather than equity-like flows.

-- S&P could revise the outlook back to stable if FX earnings
recover faster than it anticipates, fostering a reduction of
external imbalances.

Rationale

The ratings on Georgia are constrained by low income levels and
balance-of-payments vulnerabilities, including the economy's import
dependence and sizable external liabilities. A significant portion
of Georgia's general government debt--though contracted on
concessional terms--is denominated in foreign currency. Moreover,
S&P considers monetary policy flexibility is constrained to some
extent by high levels of dollarization.

The ratings are supported by Georgia's relatively strong
institutional arrangements when compared regionally; its floating
exchange rate regime; and the availability of timely, concessional
financing from international financial institutions (IFIs) under
extenuating circumstances.

Institutional and economic profile: A number of challenges could
weigh on Georgia's medium-term growth prospects

-- Risks to Georgia's growth arise from a weak recovery for
tourism, slow rollout of vaccines, and diminished foreign
investment inflows.

-- Moreover, frequent political crises risk denting reform
momentum, and foreign investor perception of Georgia's stability.

-- Premature tightening of fiscal and monetary policy could
further risk the growth outlook.

S&P projects Georgia's real GDP will grow by 4% in 2021 after
contracting by 6% in 2020. Economic activity, including in the
beleaguered hospitality sector, will benefit from the relaxation of
containment measures. Restrictions were reimposed after a sharp
spike in COVID-19 cases in the last quarter of 2020. The
continuation of some government support measures into 2021 should
also support growth.

The outlook for the tourism sector remains clouded, however. While
domestic tourist activity continued to some extent in 2020, foreign
arrivals into the country shrank by 83% relative to 2019. In S&P's
opinion, the fortunes of the sector will be tied to the progress of
the vaccine rollout--not just domestically, but also in neighboring
countries, where most of Georgia's visitors originate.

S&P said, "Considering global demand and supply dynamics, we think
the government's target to inoculate 60% of the adult population by
the end of the year is ambitious. Georgia is expected to receive
about 214,000 doses via COVAX in the first half of 2021. This
translates into a vaccination rate of 2.8% of the total population
by mid-2021, taking two doses per person into account. We
understand that the authorities also intend to purchase directly
from vaccine manufacturers, and bilaterally from other
governments.

"Despite strong growth pre-pandemic, we believe there are some
risks to Georgia's medium-term growth prospects. First, while we
expect a gradual recovery for tourism, we do not expect the
sector--whose revenue accounts for nearly 20% of GDP--to recover to
2019 levels during our forecast horizon, ending 2024." Second, the
outlook for foreign inflows is less certain given the pandemic,
domestic political shifts, and geopolitical concerns for the
broader region. These flows from abroad have been positive for
investment growth in recent years, as well as for financing
Georgia's current account deficit.

Third, in the event of sustained depreciation pressures on the
Georgian lari, monetary policy is likely to remain tight--in turn
weighing on growth. The National Bank of Georgia (NBG) could
further tighten policy to limit the pass-through of depreciation
into inflation and debt-service costs on residents' FX-denominated
loans. The withdrawal of the government's support measures or
discretionary measures to consolidate public finances could further
drag on growth.

Finally, unresolved political tensions between the ruling
party--Georgian Dream--and the opposition might weaken reform
momentum and risk hurting foreign investors' perception of
Georgia's stability amid risks of power centralization. The
opposition has boycotted parliament since the October 2020 general
election citing irregularities. U.S.-mediated talks continue
between the two sides.

S&P said, "While we think the opposition's demand for fresh
elections is unlikely to be met, there is room for other political
concessions that could end the deadlock. Former prime minister
Giorgi Gakharia's recent resignation over the sentencing of an
opposition leader further clouds near-term policy predictability,
though the government's stated macroeconomic agenda remains
unchanged.

"In addition, we continue to see challenges from regional
geopolitical developments. The status of the Tskhinvali region
(South Ossetia) and the autonomous republic of Abkhazia will likely
remain a source of dispute between Georgia and Russia. However, we
do not expect a material escalation, and we anticipate the conflict
will remain largely frozen over the medium term."

Flexibility and performance profile: Georgia's external
indebtedness has increased while the medium-term outlook for FX
earnings has weakened

-- Risks to Georgia's external profile emanate from anemic growth
in foreign earnings coupled with a reorientation of financing to
debt-creating flows from abroad.

-- High levels of dollarization continue to constrain the
effectiveness of Georgia's monetary policy.

-- S&P projects gross general government debt--which increased by
more than 20 percentage points in 2020--to peak at 70% of GDP in
2021 before receding.

Lower receipts from tourism and goods exports prompted Georgia's
current account deficit to more than double, to 12.2% of GDP.
Financing for the deficit was predominantly via concessional loans
from IFIs, preventing FX reserve depletion. While some of these
funds supported the authorities' COVID-19 response, others were
linked to specific projects and reform implementation.

Georgia's external indebtedness has increased while the medium-term
outlook for FX earnings has weakened. S&P projects the current
account deficit will widen further to nearly 13% of GDP in 2021,
before narrowing through 2024 as exports recover. However, under
our projections, current account receipts will not reach 2019
levels, even in 2024.

S&P considers that Georgia is less vulnerable to shifts in investor
sentiment toward emerging markets than several peers, given the
small proportion of market-based portfolio financing it receives
relative to foreign direct investment (FDI) and IFI concessional
debt. However, with a less certain environment for investment
inflows, we project that external financing is more likely to be
forthcoming via debt-creating inflows than FDI through our forecast
horizon.

Georgia has a floating FX regime that acts as an important anchor
for economic stability. Even then, high levels of
dollarization--despite declines in recent years--continue to
constrain the effectiveness of monetary policy. The NBG intervenes
intermittently in the FX market to arrest excess volatility. In
2020, it sold more than $900 million to stabilize the lari.

Revenue losses from lower economic activity and policy measures to
support the economy widened the budget deficit to 9.5% of estimated
GDP in 2020 from 3% in 2019, and increased gross general government
debt to 64% of GDP from 42% in 2019. Georgia's government debt is
very sensitive to exchange rate movements, given that about 80% is
denominated in foreign currency. During 2020, the lari's 14%
depreciation against the dollar contributed to the 22 percentage
point increase in government debt.

The government will continue to provide support to households and
businesses in 2021 with a budgeted deficit of 7.6% of GDP. In line
with our expectations on the pace of economic recovery, government
debt will peak in 2021 and thereafter decline relative to
GDP--albeit at a slow pace. Ultimately, the pace of fiscal
consolidation will hinge on the economy's recovery. A prolonged
period of weak growth would challenge the government's ability to
narrow the deficit and reduce debt levels.

S&P said, "We consider that the contingent fiscal liabilities
stemming from public enterprises and the domestic banking system
are limited. Domestic credit grew by 19.7% through 2020 (9%
adjusted for exchange rate dynamics), supported in part by
government schemes for mortgage lending. However, banking system
profitability dipped and asset quality came under pressure during
2020. The NBG instructed banks to utilize capital buffers to create
provisions upfront in March 2020. The share of loans past due for
more than 90 days stood largely unchanged at 2.3% as of December
2020. However, nonperforming loans under local standards, which
include borrowers with sharp deterioration of credit quality,
increased from 4.4% to 8.2% of the total loan book over the year.
We think some further asset quality deterioration is likely as
supportive policy measures--such as holidays on debt service or
fiscal incentives--are withdrawn."

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

-- Health and safety

In accordance with S&P's relevant policies and procedures, the
Rating Committee was composed of analysts that are qualified to
vote in the committee, with sufficient experience to convey the
appropriate level of knowledge and understanding of the methodology
applicable. At the onset of the committee, the chair confirmed that
the information provided to the Rating Committee by the primary
analyst had been distributed in a timely manner and was sufficient
for Committee members to make an informed decision.

After the primary analyst gave opening remarks and explained the
recommendation, the Committee discussed key rating factors and
critical issues in accordance with the relevant criteria.
Qualitative and quantitative risk factors were considered and
discussed, looking at track-record and forecasts.

The committee's assessment of the key rating factors is reflected
in the Ratings Score Snapshot above.

The chair ensured every voting member was given the opportunity to
articulate his/her opinion. The chair or designee reviewed the
draft report to ensure consistency with the Committee decision. The
views and the decision of the rating committee are summarized in
the above rationale and outlook. The weighting of all rating
factors is described in the methodology used in this rating
action.

  Ratings List

  Ratings Affirmed; Outlook Action  

  Georgia (Government of)
                                   To        From
  Sovereign Credit Rating    BB/Negative/B   BB/Stable/B

  Transfer & Convertibility Assessment BBB-
  Senior Unsecured                        BB




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

DIC ASSET: S&P Assigns 'BB+' Issuer Credit Rating, Outlook Stable
-----------------------------------------------------------------
S&P Global Ratings assigned its 'BB+' long-term issuer credit
rating to DIC Asset AG (DIC), a Germany-based real estate holding
company, and withdrew the preliminary 'BBB-' rating on the proposed
bond issuance.

The stable outlook reflects S&P's view that the company's income
from asset and property management, including rents, will generate
stable cash flows over the next 12 months.

DIC has a relatively small portfolio of currently about EUR2
billion owned commercial properties.

As of Dec. 31, 2020, the portfolio comprises 91 assets. This is
smaller than higher-rated peers, such as Alstria Office REIT AG or
Immofinanz AG. The portfolio consists mainly of office properties
(70% by market value), mixed use (13%), retail (14%), and logistics
and others (together about 3%). The portfolio is well spread across
Germany with the majority of assets located in small and midsize
cities (about 60% of annualized gross income), as well as in
Germany's seven main metropolitan areas (around 40%). Although some
of DIC's properties are in secondary locations, such as Mannheim or
Ludwigshafen, whose commercial real estate (CRE) markets are less
dynamic than those in the larger metropolitan areas, and it might
require more time to find replacements if a tenant moves out once
the lease contract expires, the majority of DIC's locations are in
or close to metropolitan areas with good infrastructure and
positive macroeconomic fundamentals. S&P said, "We understand that
DIC's strategy toward its owned commercial property portfolio is to
grow it to about EUR2.5 billion in the medium term. With about 800
tenants, DIC's portfolio is well diversified. The top 10 tenants
represent 39.5% of total rental income, with the largest tenant
being the German Stock Exchange (about 5.5% of total annual rental
income), followed by the City of Hamburg (5.2%). We view favorably
DIC's exposure to public sector tenants (22% of total rental
income), which provide stable and predictable cash flows. We
understand that the majority (about 75% of all properties) of
buildings are multitenant properties and DIC's largest asset
accounts for approximately 6% of total portfolio value. We believe
the asset and tenant diversification will also position DIC well in
the current environment, which should allow the company to absorb
the reduction in demand for office space for some types of tenants
or industries."

S&P views DIC's portfolio quality in line with the German industry
standard.

The properties are rented below market level, with an average
monthly office rent per square meter at EUR10.81 as of Dec. 31,
2020. Most of the lease contracts are double net leases and linked
to indexation, in line with the industry standard. DIC spends about
EUR25 million annually for capital expenditure (capex), mainly
related to asset refurbishment and repositioning. We view
positively the company's weighted average lease length of 6.5
years, with the majority (about 67.8%) of leases expiring in 2025
or later. DIC benefits from a strong operational track record and
reducing European Public Real Estate Association vacancy rate over
the past few years to 5.4% currently from 11.8% in 2016. Occupancy
levels are now slightly ahead versus other rated Germany-based
office peers such as Alstria Office-REIT AG or Summit Properties.
S&P views positively that the company is not involved in any direct
development activities.

DIC's overall rental income in 2021 will likely stabilize, although
the future of retail and office demand remains unclear.

S&P said, "Following like-for-like net rental income decline of
3.1% in 2020, which was mainly driven by individual cases and the
renegotiation of two lease contracts with former major retail
tenant Galeria Karstadt Kaufhof, we expect a flattening of
like-for-like rents for DIC's commercial portfolio in 2021. We have
incorporated the potential rent concession from its retail assets
in case of a prolonged lockdown (currently about 13% of total
annual rental income), which in our view is offset by the
relatively stable performance of its office premises, as well as
mixed-use and logistics assets. We understand that, excluding
GALERIA Karstadt Kaufhof, half of the company's retail assets are
food-anchored or essential stores, which have remained open
throughout the pandemic and several lockdowns. That said, we
believe a larger share of affected rental income will stem from its
seventh-largest tenant, the department store chain GALERIA Karstadt
Kaufhof (representing about 3.2% of total annual rental income,
spread across two properties). Overall, in our view, longer-term
trends will likely affect the retail and office segments. The
pandemic is accelerating the penetration of e-commerce and remote
working trends, thereby putting pressure on the demand for physical
space. Our analysis also takes into account the company's upcoming
lease maturities, which remain low for 2021 at only 5%. However, we
note that DIC has a moderate amount of lease maturities in 2022,
accounting for about 9% of annualized contractual rental income for
the whole commercial portfolio. The releasing of these properties
is not certain, nor are rent levels for new leases. That being
said, we understand that DIC is addressing its upcoming lease
maturities well ahead and is already negotiating any unextended
leases or unrenewed lease agreements for those upcoming lease
expiries. In 2020, the rent level for renewed contracts (excluding
GALERIA Karstadt Kaufhof) was up 2.6% over the previous level.

"We view DIC's fee income business, which provides products along
the whole real estate chain to a varied investor base, as an
additional earnings source, though less stable than traditional
rental income streams."

In addition to its yielding commercial real estate portfolio, DIC
manages approximately EUR7.6 billion of assets for third parties
(institutional business) as of Dec. 31, 2020. Of those assets, 91%
are office properties (thereof 14% public sector tenants), 5%
retail, 2% hotel, and 2% residential. This year to date the AUM
business has grown to EUR8.3 billion, taking into account the
acquisition of RLI Investors at the beginning of 2021. The majority
of the assets are located in Germany's seven largest cities. S&P
said, "The company generates about 42% of its EBITDA (excluding
disposal gains) from real estate management fee income, as well as
co-investment income, and we expect this proportion to remain
relatively stable in the near future. We understand that DIC uses
an integrated real estate management platform for all of its AUM
(pro forma including RLI Investors' EUR10.3 billion commercial
yielding portfolio and institutional business), creating synergies
with both operational lines. We consider about 50% of the fee
income as recurring, in particular fees generated from asset
management, property management, and development. We believe the
remaining share, which either comes from fee income from the
transaction business or is performance linked, is more volatile and
highly market driven. Even though DIC's transaction-based business
performed solidly during 2020, in our view, cash flows from
transaction or performance-linked income streams are likely to see
a larger impact from the COVID-19 pandemic and the economic crisis
it triggered eventually than those generated by rental income."

DIC's financial risk profile is underpinned by its moderate debt
leverage.

S&P said, "We analyze the company's financial risk profile based on
its existing capital structure, because the planned senior
unsecured bond issuance has been postponed. We forecast that S&P
Global Ratings-adjusted ratio of debt to EBITDA will be around 11x
for the next 12-24 months. We view positively management's
commitment to maintaining its target reported loan-to-value (LTV)
ratio of around 45% and its net debt-to-capital ratio below 50%. We
forecast this ratio will remain at 47%-50% over the near term. We
therefore expect the company will use an adequate mix of debt and
equity to support any further portfolio growth. Given that the
value of DIC's investment properties is held at historical book
values in its financial accounts rather than current market values,
we add back to equity the market value uplift for the company's
investment properties and consider the ratio of debt to debt plus
equity (fair value) in our analysis of DIC's credit metrics. The
company also benefits from a solid EBITDA interest coverage of
about 3x. Its cost of debt stood at 2% on Dec. 31, 2020, and we do
not anticipate a major change to DIC's funding costs in the next
12-24 months. The company's average debt maturity remains low at
3.6 years versus that of peers in the German real estate market. We
understand DIC has largely used bank mortgages to complete the
planned refinancing activities and growth opportunities, without
the proceeds of the bond we assumed it would use in our analysis
for the preliminary ratings. DIC has limited debt maturities in
2021; however, about EUR340 million of debt will be due in 2022. We
expect, DIC to tackle those maturities ahead of the due date to
ensure a sufficient liquidity buffer."

The rating incorporates a one-notch upward adjustment based on its
comparable rating analysis.

S&P said, "Compared with peers with the same business risk
assessment, such as DEMIRE or Summit Properties, we view DIC as
better positioned, thanks to its larger portfolio size and higher
exposure to public tenants, which generate more stable and
predictable rental income. Although DIC's institutional business is
less stable than the rental business, we believe that DIC gains
synergies with the additional income stream from institutional
business. In addition, our rating assessment takes into account the
company's solid operational track record as a long-term asset
manager in the German commercial real estate market.

"The stable outlook is based on our view that the company's income
from asset and property management, including rents, will generate
stable cash flows over the next 12 months. We expect the company
will withstand the negative impacts of the pandemic on the back of
its long lease terms, its exposure to public tenants, and
continuous growth in its commercial real estate investments located
in and around Germany's metropolitan cities, with stable market
fundamentals.

"In our base-case, EBITDA interest coverage will remain at about 3x
and debt to debt plus equity will stay slightly below 50% over the
next 12-24 months. For the same period, we assume the ratio of debt
to EBITDA will be around 11x."

S&P could lower the rating if:

-- The company fails to keep its ratio of debt to debt plus equity
below 55%, e.g., as a result of debt-financed acquisitions or a
revision of its financial policy;

-- Debt to EBITDA increase above 13x, e.g., the company would
suffer from a significant EBITDA drop due to a
stronger-than-expected market downturn; or

-- Its EBITDA interest coverage declines to below 2.4x.

In addition, S&P may change its rating approach if the company were
to increase its EBITDA contribution from its institutional business
significantly, which could impact the rating negatively.

S&P could raise the rating if:

-- DIC enhanced the scale and scope of its yielding portfolio and
real estate segments and locations with solid market fundamentals,
similar to rated CRE peers in the lower investment-grade category,
while vacancy levels remain well below 10%, including any new
growth;

-- Debt to debt plus equity declines to below 45% while EBITDA
interest coverage remains at least 3x or more; and

-- Debt to EBITDA decreases to below 9.5x on a sustainable basis.




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

ARBOUR CLO IV: Moody's Gives (P)B3 Rating on Class F-R Notes
------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to refinancing notes to be issued by
Arbour CLO IV Designated Activity Company (the "Issuer"):

EUR248,000,000 Class A-R Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

EUR40,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

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

EUR27,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

EUR21,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Ba3 (sf)

EUR11,000,000 Class F-R 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 will issue the notes in connection with the refinancing
of the following Classes of notes (the "Original Notes"): Class A-1
Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D
Notes, Class E Notes, Class F Notes due 2030, originally issued on
November 11, 2016 (the "Original Issue Date"). The Class A-1 Notes,
Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes due
2030 were refinanced on June 7, 2019.

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 fully ramped up as of the closing date
and to comprise of predominantly corporate loans to obligors
domiciled in Western Europe.

Oaktree Capital Management (UK) LLP 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 4.25 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.

On the Original Issue Date, the Issuer also issued EUR43,000,000 of
subordinated notes, which will remain outstanding.

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: EUR400,000,000

Diversity Score: 54

Weighted Average Rating Factor (WARF): 3015

Weighted Average Spread (WAS): 3.40%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 43.50%

Weighted Average Life (WAL): 8.5 years


BNPP IP 2015-1: Fitch Affirms B- on Class F-R Notes, Outlook Stable
-------------------------------------------------------------------
Fitch Ratings has affirmed BNPP IP Euro CLO 2015-1 DAC and revised
the Outlook on the class E and F notes to Stable from Negative.

       DEBT                    RATING           PRIOR
       ----                    ------           -----
BNPP IP Euro CLO 2015-1 DAC

A-R XS1802328267       LT  AAAsf   Affirmed     AAAsf
B-1-RR XS1802328424    LT  AAsf    Affirmed     AAsf
B-2-RR XS1802328770    LT  AAsf    Affirmed     AAsf
C-RR XS1802329075      LT  Asf     Affirmed     Asf
D-RR XS1802330677      LT  BBB-sf  Affirmed     BBB-sf
E-R XS1802331139       LT  BBsf    Affirmed     BBsf
F-R XS1802332533       LT  B-sf    Affirmed     B-sf

TRANSACTION SUMMARY

BNPP IP Euro CLO 2015-1 DAC is a cash flow CLO mostly comprising
senior secured obligations. The transaction is within its
reinvestment period and is actively managed by the collateral
manager.

KEY RATING DRIVERS

Stable Asset Performance

The transaction is slightly below par by 42bp as of the latest
investor report available. As per the report, all portfolio profile
tests, coverage tests and collateral quality tests are passing. As
per 20 February 2021 exposure to assets with a Fitch derived rating
of 'CCC+' and below is 5.93% (including unrated assets) and 5.43%
(excluding unrated assets), both within the limit of 7.5%.

Resilience to Coronavirus Stress

The affirmation reflects a broadly stable portfolio credit quality.
The Stable Outlook on all investment grade notes, and the revision
of the Outlook on the sub-investment grade notes to Stable from
Negative 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. As at 20 February 2021, the Fitch-calculated
weighted average rating factor (WARF) of the portfolio was 34.71,
slightly lower than the trustee-reported WARF of 29 January 2021 of
34.8, owing to rating migration.

High Recovery Expectations

The portfolio comprises of only 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
65.2% as per the report.

Portfolio Well Diversified

The portfolio is well diversified across obligors, countries and
industries. The top 10 obligors' concentration is 14.6% and no
obligor represents more than 2.0% of the portfolio balance. As per
Fitch's calculation, the largest industry is business services at
17.35% of the portfolio balance, against limits of 17.50%.

RATING SENSITIVITIES

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

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

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

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

-- Downgrades may occur if the build-up of credit enhancement
    following amortisation does not compensate for a larger loss
    expectation than initially assumed due to an unexpected high
    level of default and portfolio deterioration. As disruptions
    to supply and demand due to the pandemic 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 results in a notch downgrade of the model-implied ratings
for the class E and F notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

BNPP IP Euro CLO 2015-1 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.


CAIRN CLO VII: Moody's Affirms B3 Rating on Class F Notes
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
Notes issued by Cairn CLO VII DAC:

EUR40,800,000 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

EUR19,700,000 Class C Senior Secured Deferrable 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 afffirmed the ratings on the following notes:

EUR203,900,000 Class A-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Jul 6, 2020 Affirmed Aaa
(sf)

EUR10,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aaa (sf); previously on Jul 6, 2020 Affirmed Aaa (sf)

EUR17,900,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed Baa2 (sf); previously on Jul 6, 2020
Confirmed at Baa2 (sf)

EUR22,400,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed Ba2 (sf); previously on Jul 6, 2020
Confirmed at Ba2 (sf)

EUR9,100,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2030, Affirmed B3 (sf); previously on Jul 6, 2020 Downgraded to
B3 (sf)

Cairn CLO VII DAC, issued in February 2017 and refinanced in
October 2019, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured European loans. The
portfolio is managed by Cairn Loan Investments LLP. The
transaction's reinvestment period ended in January 2021.

Today's action concludes 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.",
https://bit.ly/381CrAS.

RATINGS RATIONALE

The rating upgrades on the Class B and C Notes are primarily due to
the update of Moody's methodology used in rating CLOs, which
resulted in a change in overall assessment of obligor default risk
and calculation of weighted average rating factor (WARF). Based on
Moody's calculation, the WARF is currently 2932 after applying the
revised assumptions as compared to the trustee reported WARF of
3257 as of January 19, 2021 [1].

The rating affirmations on the Classes A-1, A-2, D, E and F Notes
reflect 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: EUR342.9m

Defaulted Securities: EUR4.7m

Diversity Score: 46

Weighted Average Rating Factor (WARF): 2932

Weighted Average Life (WAL): 4.7 years

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

Weighted Average Coupon (WAC): 4.3%

Weighted Average Recovery Rate (WARR): 45.2%

Par haircut in OC tests and interest diversion test: 0%

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

Moody's notes that the credit quality of the CLO portfolio has
deteriorated over the last 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 provider,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the ratings of the Notes are not constrained by these
risks.

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

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

Additional uncertainty about performance is due to the following:

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.

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.


DRYDEN 27 R: Moody's Assigns (P)B3 Rating to Class F-R Notes
------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to refinancing notes to be issued by
Dryden 27 R Euro CLO 2017 Designated Activity Company (the
"Issuer"):

EUR278,500,000 Class A-R Senior Secured Floating Rate Notes due
2032, Assigned (P)Aaa (sf)

EUR33,250,000 Class B-1-R Senior Secured Floating Rate Notes due
2032, Assigned (P)Aa2 (sf)

EUR21,500,000 Class B-2-R Senior Secured Fixed Rate Notes due
2032, Assigned (P)Aa2 (sf)

EUR30,250,000 Class C-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2032, Assigned (P)A2 (sf)

EUR32,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Assigned (P)Baa3 (sf)

EUR24,000,000 Class E-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Assigned (P)Ba3 (sf)

EUR13,000,000 Class F-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032, 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 will issue the refinancing notes in connection with the
refinancing of the following classes of notes: Class A-1 Notes,
Class A-2 Notes, Class B-1 Notes, Class B-2 Notes, Class C Notes,
Class D Notes, Class E Notes and Class F Notes due 2030 (the
"Original Notes"), previously issued on May 24, 2017 (the "Original
Closing Date"). On the refinancing date, the Issuer will use the
proceeds from the issuance of the refinancing notes to redeem in
full the Original Notes.

On the Original Closing Date, the Issuer also issued EUR46,900,000
of subordinated notes, which will remain outstanding.

As part of this reset, the Issuer will amend the base matrix and
modifiers that Moody's will take into account for the assignment of
the definitive ratings.

The Issuer is a managed cash flow CLO. At least 92.5% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 7.5% of the portfolio may consist of unsecured
senior loans, second-lien loans, high yield bonds and mezzanine
loans. The underlying portfolio fully ramped as of the closing
date.

PGIM Loan Originator Manager Limited ("PGIM") 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 and credit improved obligations.

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:

Performing par and principal proceeds balance/Target Par Amount:
EUR466,000,000

Defaulted Par: EUR0 as of December 31, 2020

Diversity Score: 54

Weighted Average Rating Factor (WARF): 3200

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 3.75%

Weighted Average Recovery Rate (WARR): 42.5%

Weighted Average Life (WAL): 7.0 years


PENTA CLO 5: S&P Assigns B- Rating on Class F Notes
---------------------------------------------------
S&P Global Ratings assigned credit ratings to Penta CLO 5 DAC's
class X, A, B-1, B-2, C, D, E, and F refinancing notes. At closing,
the issuer also issued EUR42.40 million of unrated subordinated
notes.

S&P considers that the target portfolio will be well-diversified,
primarily comprising broadly syndicated speculative-grade senior
secured term loans. Therefore, it has conducted its credit and cash
flow analysis by applying its criteria for corporate cash flow
CDOs..

  Portfolio Benchmarks
                                                       Current
  S&P Global Ratings weighted-average rating factor   2,968.17
  Default rate dispersion                               603.83
  Weighted-average life (years)                           4.80
  Obligor diversity measure                             127.96
  Industry diversity measure                             19.58
  Regional diversity measure                              1.20
  Weighted-average rating                                  'B'
  'CCC' category rated assets (%)                         7.83
  'AAA' weighted-average recovery rate                   36.60
  Floating-rate assets (max.; %)                            95
  Weighted-average spread (net of floors; %)              3.72

S&P said, "In our cash flow analysis, we used the EUR400 million
target par amount, a weighted-average spread of 3.70%, the
reference weighted-average coupon (4.50%), and the weighted-average
recovery rates as indicated by the collateral manager. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

"Our credit and cash flow analysis shows that the class B-1, B-2,
C, and D notes benefit from break-even default rate (BDR) and
scenario default rate cushions that we would typically consider to
be in line with higher ratings than those assigned. However, as the
CLO will have a reinvestment phase, during which the transaction's
credit risk profile could deteriorate, we have capped our
preliminary ratings on the notes."

The class F notes' current BDR cushion is -0.91%. Based on the
portfolio's actual characteristics and additional overlaying
factors, including our long-term corporate default rates and the
class F notes' credit enhancement, this class is able to sustain a
steady-state scenario, in accordance with our criteria. S&P's
analysis further reflects several factors, including:

-- The class F notes' available credit enhancement of 7.11%, which
is in the same range as that of other CLOs S&P has rated and that
ha recently been issued in Europe.

-- S&P's model-generated portfolio default risk, which is at the
'B-' rating level at 28.30% (for a portfolio with a
weighted-average life of 4.75 years) versus 15.17% if we were to
consider a long-term sustainable default rate of 3.1% for 4.75
years.

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

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

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

Following this analysis, S&P considers that the available credit
enhancement for the class F notes is commensurate with the assigned
preliminary 'B- (sf)' rating.

The Bank of New York Mellon, London Branch is the bank account
provider and custodian. At closing, the documented replacement
provisions are in line with its counterparty criteria for
liabilities rated up to 'AAA'.

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

The issuer is bankruptcy remote, in accordance with its legal
criteria.

The CLO is managed by Partners Group (UK) Management. Under S&P's
"Global Framework For Assessing Operational Risk In Structured
Finance Transactions," published on Oct. 9, 2014, the maximum
potential rating on the liabilities is 'AAA'.

The issuer may purchase loss mitigation obligations to enhance the
recovery value of a related defaulted or credit impaired asset of
the same obligor.

To purchase loss mitigation obligations, the issuer may use
principal proceeds--as long as each rated note's par value test is
satisfied after the purchase--or interest proceeds--as long as the
purchase does not cause any interest deferral on any rated notes
and the coverage tests are satisfied on the immediately succeeding
payment date.

Amounts received from loss mitigation obligations purchased using
principal proceeds will be paid into the principal account.

If a loss mitigation obligation satisfies all of the eligibility
criteria, the manager may designate the asset as a collateral
obligation provided that the reinvestment criteria are satisfied.
Upon the designation and only if the loss mitigation obligation was
originally purchased using interest proceeds, the account bank will
transfer from the principal account into the interest account an
amount equal to the asset's market value when it was designated a
collateral obligation. In a scenario where loss mitigation
obligations purchased using interest proceeds become a CDO, the
portfolio manager will test the eligibility criteria and the
reinvestment criteria (including the requirement to check if the
CDO meets the definition of discount obligation, in which case the
numerator of the overcollateralization test would be adjusted if
applicable) before transferring the market value of the CDO from
the principal account.

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

"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class A to E notes
to five of the 10 hypothetical scenarios. The results shown in the
chart below are based on the actual weighted-average spread,
coupon, and recoveries.


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

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

  Ratings List

  Class   Rating        Amount
                       (mil. EUR)
  -----   ------       ----------
   X      AAA (sf)        2.50
   A      AAA (sf)      245.45
   B-1    AA (sf)        33.40
   B-2    AA (sf)        10.00
   C      A (sf)         22.30
   D      BBB (sf)       26.25
   E      BB- (sf)       24.00
   F      B- (sf)        10.15
  Sub notes   NR         42.40

  NR--Not rated.




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

ALMAVIVA SPA: Moody's Completes Review, Retains B2 CFR
------------------------------------------------------
Moody's Investors Service has completed a periodic review of the
ratings of AlmavivA S.p.A and other ratings that are associated
with the same analytical unit. The review was conducted through a
portfolio review discussion held on February 24, 2021 in which
Moody's reassessed the appropriateness of the ratings in the
context of the relevant principal methodology(ies), recent
developments, and a comparison of the financial and operating
profile to similarly rated peers. The review did not involve a
rating committee. Since January 1, 2019, Moody's practice has been
to issue a press release following each periodic review to announce
its completion.

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

Key rating considerations

AlmavivA S.p.A.'s B2 corporate family rating is constrained by the
company's limited scale and geographical diversification; the
significant customer concentration; the competitive nature of the
CRM and IT services industries, with persistent pricing pressure
limiting profitability improvements; the loss making CRM business
in Italy, whose turnaround has not yet been completed; exposure to
currency fluctuations; its aggressive working capital management;
and the refinancing risk associated with the upcoming debt
maturities.

More positively, the B2 rating is supported by the company's
leading positions in the IT services sector in Italy, and in CRM
and business process outsourcing (BPO) in Brazil; the resilient
nature of the CRM-BPO industry, with positive global trends; the
company's long-standing relationship with large customers and the
mission-critical status of some of its IT services; the good
revenue visibility for its IT services division supported by
consistent backlog; and its resilient operating performance during
the first nine months of 2020 despite challenging trading
conditions, both in Italy and in Brazil.

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


GOLDONI SPA: Lot Scheduled for Sale on March 4
----------------------------------------------
The Judicial Commissioner Dr. Paolo Rinaldi disclosed that the
company branch in a single lot owned by Goldoni S.p.A. based in Via
Canaale 3, 41012 Migliarina di Carpi (MO) will be put up for sale
at noon on March 4, 2021, before the President Delegate.

The base price is set at EUR9,500,000 plus legal taxes and transfer
charges.

Irrevocable purchase offers must be delivered in a sealed envelope
to the bankruptcy registry of the Court of Modena no later than
12:00 a.m. March 3, 2021.  It will be possible to request the
entire notice by sending an email to the Judicial Commissioner at
p.rinaldi@studiorinaldi.it.  The details of the decree, the lot as
well as sthe appraisals, the terms of payment, the conditions of
sale, the content and methods of submitting offers and the
procedures for conducting the tender and any further detail will be
available and viewable at the Court Registry of Modena and at the
office of the Judicial Commissioner Dr. Paolo Rinaldi with office
in Moderna, Via pec: paolorinaldi@legalmail.it), after signing a
confidentiality agreement.




===========
N O R W A Y
===========

NORWEGIAN AIRLINES: Nears Agreement to End Aircraft ICBC Leases
---------------------------------------------------------------
Barry O'Halloran at The Irish Times reports that Norwegian Air
Shuttle (NAS) is close to an agreement on ending aircraft leases
with Industrial and Commercial Bank of China (ICBC), the High Court
heard on Feb. 25.

The troubled Scandinavian carrier and four Irish subsidiaries have
High Court protection from creditors while examiner Kieran Wallace
of accountants KPMG works on a rescue plan for the business, The
Irish Times relates.

According to The Irish Times, Brian Kennedy, NAS's senior counsel,
told the court that there had been "a significant degree of
progress" between the carrier and ICBC on settling the airline's
liabilities to the lessor.

ICBC leased 10 aircraft to the group, which were held by NAS's
Irish-based subsidiaries, The Irish Times discloses.

Irish lessor Aercap indicated that it would not be opposing
Norwegian's application to end leases over aircraft the
Dublin-based company has supplied to the airline, The Irish Times
notes.

NAS is going through examinership, a court-supervised mechanism for
rescuing insolvent or troubled companies, in the Republic, as
subsidiaries registered here hold its aircraft, The Irish Times
relays.

The airline, The Irish Times says, is asking asked the court to
repudiate contracts including aircraft leases.  This involves
ending these agreements with settlements covering both the period
of the examinership and payments due before Mr. Wallace's
appointment in November, according to The Irish Times.




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

AYT CAJAGRANADA I: S&P Raises Class B Notes Rating to 'BB+'
-----------------------------------------------------------
S&P Global Ratings raised to 'BB+ (sf)' from 'B+ (sf)' its credit
rating on AyT CajaGranada Hipotecario I Fondo de Titulizacion de
Activos's class B notes. At the same time, S&P has affirmed its
'AA+ (sf)' rating on the class A notes and its 'D (sf)' ratings on
the class C and D notes.

S&P said, "The rating actions follow the implementation of our
revised criteria and assumptions for assessing pools of Spanish
residential loans. They also reflect our full analysis of the most
recent information that we have received and the transaction's
current structural features.

"Upon revising our Spanish RMBS criteria, we placed our ratings on
the class A and B notes under criteria observation. Following our
review of the transaction's performance and the application of our
updated criteria for rating Spanish RMBS transactions, the ratings
are no longer under criteria observation.

"Our weighted-average foreclosure frequency (WAFF) assumptions have
decreased primarily due to the calculation of the effective
loan-to-value (LTV) ratio, which is based on 80% original LTV
(OLTV) and 20% current LTV (CLTV). Under our previous criteria, we
used only the OLTV. Our WAFF assumptions also declined because of
the transaction's decrease in arrears. In addition, our
weighted-average loss severity (WALS) assumptions have decreased,
due to the lower CLTV and lower market value declines. The
reduction in our WALS is partially offset by the increase in our
foreclosure cost assumptions."

  Table 1

  Credit Analysis Results

  Rating    WAFF (%)    WALS (%)    Credit coverage (%)
  AAA       14.88       10.19        1.52
  AA        10.39        7.65        0.79
  A          8.15        4.23        0.34
  BBB        6.37        2.99        0.19
  BB         4.51        2.30        0.10
  B          3.20        2.00        0.06

  WAFF--Weighted-average foreclosure frequency.
  WALS--Weighted-average loss severity.

S&P said, "Loan-level arrears currently stand at 1.9%, and they
have started stabilizing after registering an increase in April
2020, to 4.7%. Overall delinquencies remain well below our Spanish
RMBS index. There is still a large number of defaulted loans that
will need to be worked out. The transaction has a high number of
loans that defaulted during the financial crisis. Due to the
uncertainty on when these recoveries might be realized and to test
the ability of the outstanding notes to being repaid without the
benefit of such recoveries, we have tested the transaction with no
credit given to recoveries on already defaulted assets."

Cumulative defaults, defined as loans in arrears for a period equal
to or greater than 18 months, represent 7.95% of the closing pool
balance. The interest deferral trigger for the class C and D notes
have been breached and class B interest deferral trigger is set at
11.0%. S&P does not expect the class B trigger to be breached under
the rating stresses commensurate with the assigned ratings.

The reserve fund has been fully depleted since March 2014.

S&P said, "Our analysis also considers the transaction's
sensitivity to the potential repercussions of the coronavirus
outbreak. Of the pool, close to 8.0% of loans are on payment
holidays under the Spanish sectorial moratorium schemes, and the
proportion of loans with either legal or sectorial payment holidays
has remained low. The government announced it will approve a new
payment holiday scheme available until March 31, 2021, where the
payment holidays could last up to three months. In our analysis, we
considered the potential impact of this extension and the liquidity
risk the payment holidays could present should they become arrears
in the future. We have also considered the ability of the
transaction to withstand increased defaults and extended
foreclosure timing assumptions, and the ratings remain robust.

"Our operational, rating above the sovereign, and legal risk
analyses remain unchanged since our last review. Therefore, the
ratings assigned are not capped by any of these criteria."

The servicer, Bankia S.A., has a standardized, integrated, and
centralized servicing platform. It is a servicer for many Spanish
RMBS transactions, and its transactions' historical performance has
outperformed S&P's Spanish RMBS index.

The swap counterparty is Cecabank S.A. Considering the remedial
actions defined in the swap counterparty agreement, which are not
in line with our counterparty criteria, the maximum rating the
notes can achieve in this transaction is 'BBB+', unless we delink
our ratings on this transaction from the counterparty. Given the
negative interest rate environment, the swap receives all of the
interest generated by the assets in the transaction and so the
reserve fund has not been topped up since 2014. S&P has considered
this in its analysis.

The class A and B notes' credit enhancement has increased to 39.1%
and 5.5% from 23.3% and -1.29%, respectively, due to the
amortization of the notes. The class C and D notes' credit
enhancement has decreased to -9.90% and -12.70%, respectively.

S&P said, "We have affirmed our 'AA+ (sf)' rating on the class A
notes. Our rating on the class A notes is delinked from our
long-term issue credit rating (ICR) on the swap provider. At the
same time, we have raised to 'BB+ (sf)' from 'B+ (sf)' our rating
on the class B notes.

"Under our cash flow analysis, both classes of notes could
withstand stresses at a higher rating than the current ratings
assigned. However, the ratings on these classes of notes also
consider their overall credit enhancement and position in the
waterfall, deterioration in the macroeconomic environment and
potential exposure to increased defaults, and the current level of
the reserve fund that remains fully depleted.

"We have affirmed our 'D (sf)' ratings on the class C and D notes
as they continue to not make interest payments due to the breach of
their respective interest deferral triggers."

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


SANTANDER HIPOTECARIO 2: S&P Assigns 'D' Rating on F Notes
----------------------------------------------------------
S&P Global Ratings raised its credit ratings on Fondo de
Titulizacion de Activos Santander Hipotecario 2's class B, C, and D
notes to 'AAA (sf)', 'AA+ (sf)', and 'A (sf)' from 'AA+ (sf)', 'AA-
(sf)', and 'BBB- (sf)', respectively. At the same time, S&P has
affirmed its 'AAA (sf)', 'B- (sf)', and 'D (sf)' ratings on the
class A, E, and F notes, respectively.

S&P said, "The rating actions follow the implementation of our
revised criteria and assumptions for assessing pools of Spanish
residential loans. They also reflect our full analysis of the most
recent information that we have received and the transaction's
current structural features.

"Upon expanding our global RMBS criteria to include Spanish
transactions, we placed our ratings on the class B, C, D, and E
notes under criteria observation. Following our review of the
transaction's performance and the application of our updated
criteria for rating Spanish RMBS transactions, the rating is no
longer under criteria observation.

"Our weighted-average foreclosure frequency (WAFF) assumptions have
decreased due to the calculation of the effective loan-to-value
(LTV) ratio, which is based on 80% original LTV (OLTV) and 20%
current LTV (CLTV). Under our previous criteria, we used only the
OLTV. Our WAFF assumptions also declined because of the
transaction's decrease in arrears. In addition, our
weighted-average loss severity (WALS) assumptions have decreased,
due to the lower CLTV and lower market value declines. The
reduction in our WALS is partially offset by the increase in our
foreclosure cost assumptions."

  Table 1

  Credit Analysis Results

  Rating    WAFF (%)    WALS (%)    Credit coverage (%)
   AAA       14.77       12.41        1.83
   AA        10.08        9.83        0.99
   A          7.72        6.30        0.49
   BBB        5.85        4.99        0.29
   BB         3.88        4.25        0.17
   B          2.50        3.68        0.09

  WAFF--Weighted-average foreclosure frequency.
  WALS--Weighted-average loss severity.

On the latest interest payment date (IPD), the available credit
enhancement, excluding loans in arrears for more than 180 days and
defaults, for the class A, B, C, D, and E notes increased to
38.30%, 25.88%, 18.13%, 6.17%, and 1.47%, respectively, from 33.5%,
22.45%, 15.55%, 4.90%, and 0.71% in S&P's previous review in
January 2020. The increased credit enhancement is due to the senior
notes' amortization and recent build-up of the reserve fund. Given
current negative interest rates, the transaction is not paying
interest on the class A, B, and C notes. Therefore, all collections
are currently used to pay principal on the class A notes and only
interest on the class D and E notes.

This transaction features an amortizing reserve fund, which the
class F notes' issuance funded at closing. It has been fully
depleted from January 2009 to July 2018. It totals EUR6.29 million
and provides 1.47% credit enhancement (EUR3.7 million and 0.79% as
of our previous review).

Loan-level arrears are low at 0.54%, compared with 1.24% as of the
previous review. Overall delinquencies remain below our Spanish
RMBS index.

Cumulative defaults represent 3.3% of the closing pool balance. The
interest deferral trigger for class E is not at risk of being
breached because it is defined at 7%, and S&P does not expect that
this level will be reached in the near term.

S&P said, "Our analysis also considers the transaction's
sensitivity to the potential repercussions of the coronavirus
outbreak. Of the pool, 6.8% of loans are on payment holidays under
the Spanish sectorial moratorium schemes, and the proportion of
loans with either legal or sectorial payment holidays has remained
higher than the market average, which is below 5%. The government
approved a new payment holiday scheme available until March 31,
2021, where the payment holidays could last up to three months;
therefore, current figures might increase. In our analysis, we
considered the potential impact of this scheme extension and the
risk the payment holidays could present should they become arrears
or defaults in the future.

"Our operational, rating above the sovereign, counterparty, and
legal risk analyses remain unchanged since our last review.
Therefore, the ratings assigned are not capped by any of these
criteria. Given that Banco Santander S.A. (A/Negative/A-1) is both
the servicer and collection account provider, we are not stressing
any commingling risk at rating levels at or below the long-term
issuer credit rating (ICR) on Banco Santander. Therefore, classes E
and F are weak-linked to the rating on Banco Santander.

"Our credit and cash flow results indicate that the available
credit enhancement for the class A and B notes is commensurate with
a 'AAA (sf)' rating. We have therefore affirmed our 'AAA (sf)'
rating on class A and raised to 'AAA (sf)' from 'AA+ (sf)' our
rating on the class B notes.

"We have raised to 'AA+ (sf)' and 'A (sf)' from 'AA- (sf)' and
'BBB- (sf)' our ratings on the class C and D notes, respectively.
These notes could withstand stresses at a higher rating than the
rating assigned. However, we have limited our upgrades based on
their overall credit enhancement and their position in the
waterfall, the deterioration in the macroeconomic environment, and
the risk that payment holidays could become arrears in the future.

"Our cash flow analysis also indicates that the available credit
enhancement for the class E notes is not sufficient to withstand
our cash flow stresses at the 'B' rating level. Therefore, we
performed a qualitative assessment of the key variables for the
transaction. In particular, we have taken into account the increase
in credit enhancement and the transaction's good performance. We
have also considered that this class would be able to pass our 'B'
rating scenario if we were to assume a steady state scenario. In
this scenario, the issuer would be able to meet its payment
obligations on the class E notes and, in line with our 'CCC'
ratings criteria, we have affirm our 'B- (sf)' rating on this
class."

The class F notes have been defaulting on their interest payments
since the July 2009 payment date. S&P has therefore affirmed our 'D
(sf)' rating on the class F notes.

S&P Global Ratings believes there remains high, albeit moderating,
uncertainty about the evolution of the coronavirus pandemic and its
economic effects. Vaccine production is ramping up and rollouts are
gathering pace around the world. Widespread immunization, which
will help pave the way for a return to more normal levels of social
and economic activity, looks to be achievable by most developed
economies by the end of the third quarter. However, some emerging
markets may only be able to achieve widespread immunization by
year-end or later. S&P said, "We use these assumptions about
vaccine timing in assessing the economic and credit implications
associated with the pandemic. As the situation evolves, we will
update our assumptions and estimates accordingly."




===========
S W E D E N
===========

SSAB AB: S&P Affirms 'BB+' ICR on Strong Recovery, Outlook Stable
-----------------------------------------------------------------
S&P Global Ratings affirmed its long-term issuer credit rating on
Swedish steelmaker SSAB AB at 'BB+', and removed it from
CreditWatch, where S&P placed it with negative implications on Nov.
23, 2020. S&P also affirmed its 'B' short-term issuer credit rating
on SSAB.

The stable outlook reflects S&P's view that SSAB will continue to
deleverage in 2021 and 2022, supported by the recovery in the
global steel industry, and that its credit metrics will return to
levels commensurate with the 'BB+' rating.

Steel market conditions have improved significantly.  The market
first showed signs of an accelerated recovery in the last quarter
of 2020, and it has been strengthening ever since. Industry players
are reporting full order books and even potential difficulties in
meeting demand in the first quarter or half of this year. SSAB saw
a 21% quarter-on-quarter increase in shipments in the fourth
quarter of 2020, mainly driven by the Special Steels division and
SSAB Europe.

SSAB should report healthy results in 2021.  This is thanks to a
combination of restocking in the first quarter of the year, along
with strong apparent demand for steel in SSAB's core markets of
Europe and the Americas throughout the year, and a lower cost base
following a cost reduction of SEK1.6 billion in 2020. Healthy
results in the first half of the year should soften somewhat in the
second half of the year with some planned maintenance-related
production outages. S&P said, "Under our revised base case, we now
expect SSAB to report EBITDA of Swedish krona (SEK) 7.5
billion-SEK8.5 billion in 2021, compared with our previous
expectation of SEK6.5 billion-SEK7.0 billion and exceptionally low
EBITDA in 2020 of SEK3.4 billion."

The acquisition of Tata Steel's assets is off the table.   SSAB's
acquisition of Tata Steel's Ijmuiden steel mill in the Netherlands
promised to consolidate the fragmented European steel industry and
make SSAB a stronger player with much more operational flexibility.
However, this did not come to fruition after SSAB decided to end
its discussions with Tata Steel, citing insufficient synergies. S&P
said, "At this stage, we do not expect SSAB to embark on another
acquisition of a similar size or cost in the coming six-to-12
months. In our view, the company will now shift its focus to the
conversion of the basic oxygen furnace (BOF) in Oxelosund, Sweden,
through the use of new hydrogen breakthrough ironmaking technology,
or HYBRIT." This implies an increase in capital expenditure (capex)
of SEK0.6 billion in the pilot phase of the conversion, with the
overall aim being to curb CO2 emissions and become fossil fuel-free
by 2045.

A track record of a prudent financial policy is key for a higher
rating.  S&P said, "In 2020, SSAB reported S&P Global
Ratings-adjusted funds from operations (FFO) to debt of 25%, below
our threshold of 45% at the bottom of the cycle. However, we saw
the year as exceptional. As a result of higher EBITDA and slightly
lower adjusted debt, we expect FFO to debt to improve to around
60%-65% in 2021. This is in line with our expectation for a 'BB+'
rating. In our view, this would allow SSAB to continue
deleveraging, as we do not expect the company to prioritize rapid
organic growth and/or returns to shareholders. According to our
calculations, a combination of adjusted debt in the range of SEK8
billion-SEK9 billion and annual EBITDA of about SEK6.5 billion over
the cycle, or about SEK4.5 billion at the bottom of the cycle,
should ensure financial headroom at the current rating." SSAB could
achieve further headroom over time with improved EBITDA margins and
less volatility in profitability, and this would support a
potential upgrade.

S&P said, "The stable outlook reflects our expectation that SSAB
will continue to deleverage in 2021 and 2022, supported by the
recovery in the global steel industry. In our view, deleveraging,
alongside further improvements in the business model, will better
position the company if the recovery in the market is short-lived.
Under our base case, with adjusted EBITDA of SEK7.5 billion-SEK8.5
billion in 2021, we assume that adjusted FFO to debt will be
slightly above 60% in 2021, with an additional improvement in 2022.
This compares with adjusted FFO to debt of 60% that we consider to
be commensurate with the 'BB+' rating in favorable market
conditions, or of more than 45% in a downturn. We do not assume any
mergers or acquisitions.

"We view pressure on the rating as remote in the coming six-to-12
months. Nevertheless, we could lower the rating if the recovery in
the steel industry proved more short-lived than we expected, such
that SSAB's EBITDA dropped materially, translating into adjusted
FFO to debt below 45%. Other scenarios leading to a lower rating
would include SSAB's deviation from its current financial policy,
including the adoption of an aggressive growth strategy or the
payout of sizable dividends, prompting much higher debt."

S&P would consider taking a positive rating action as early as late
2021, subject to the following:

-- Adjusted FFO to debt of about 60% and positive discretionary
cash flow this year, and its belief that SSAB would be able to
maintain such robust credit metrics in the coming years.

-- A further reduction in absolute debt. Given our assumption of
EBITDA of SEK4.5 billion at the bottom of the cycle and about
SEK6.5 billion over the whole cycle, SSAB would need to reduce its
adjusted debt to about SEK8 billion-SEK9 billion, equivalent to net
reported debt of SEK4 billion-SEK5 billion. This compares to
adjusted debt of SEK14 billion as of December 2020. In S&P's view,
this would allow the company to maintain a robust balance sheet
throughout the cycle, notably during severe downturns. An increase
in annual EBITDA over the cycle would translate into lower adjusted
debt.

-- A track record of a prudent financial policy, including debt
well below the company's official public gearing objective of a
maximum of 35% at most times, no changes in shareholder returns,
and disciplined capex.

-- Further enhancement of the business model, including a better
product offering and a reduction in operating costs. This would be
supported by consistently high or improving EBITDA margins of 12%
or above throughout the cycle.

-- Progress with the conversion of the BOF in Oxelosund, and later
on with the company's other BOFs, as an important part of ensuring
it has the assets to operate sustainably in the long term.




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

BELLIS FINCO: Fitch Assigns Final 'BB-' LongTerm IDR
----------------------------------------------------
Fitch Ratings has assigned Bellis Finco Plc a Long-Term Issuer
Default Rating (IDR) of 'BB-' with Stable Outlook.

The final rating assumes that Competition and Markets Authority
(CMA) will approve the buyout of ASDA in April 2021 enabling Bellis
Finco Plc, the top holding company within a restricted group, to
fully control ASDA.

The 'BB-' IDR reflects ASDA's market position and scale in a
resilient, but competitive UK food retail sector, and increased
leverage under the new capital structure.

The ratings recognise its solid profitability and strong free cash
flow cash (FCF) generation, which is comparable with Fitch-rated
peers. Fitch recognises some inherent execution risks in ASDA
repositioning itself in the market, and expect management to
continue managing cost savings well, as it has done in the past.
Fitch views the continued involvement of Walmart Inc. (AA/Stable)
as a positive factor, considering ASDA's reliance on its technology
and the benefits from its purchasing power in non-food. Fitch
projects higher funds from operations (FFO) lease adjusted gross
leverage at around 5.4x, in line with the rating.

The Stable Outlook is driven by Fitch's expectation of steady
operating and financial performance, and is predicated on financial
policies being consistent with gradually declining leverage and
governance principles that adequately align the interests between
shareholders and creditors. This is relevant to the rating
trajectory, given the current absence of a public leverage target
and dividend policy.

Fitch has withdrawn the expected senior secured rating on
instruments that are not in the final capital structure, such as
its euro notes and sterling term loan B; as such their expected
ratings are no longer expected to convert to a final rating.

KEY RATING DRIVERS

Resilient Food Retail Operations: ASDA is one of the leading food
retailers in the UK with a good brand and scale. Food retail is
resilient through economic cycles, though grocers' like-for-like
sales suffer in low inflationary periods. ASDA has lost market
share since discounters started expanding in the UK, given its
higher exposure to lower-income customers and a store base skewed
towards the North/Midlands, where discounters were directing most
of their expansion. ASDA lacks a meaningful presence in the
convenience segment, but its online channel has grown significantly
with weekly slots at around 850,000 (December 2020). This is below
market leader Tesco Plc (1.5 million), but exceeds Ocado Retail JV
(345,000).

Moderate Execution Risks: The rating factors in some execution
risks in separating IT and other key functions from Walmart. Fitch
has included GBP150 million of one-off costs in 2021 and 2022 to
create a standalone IT landscape, but Fitch believes that part of
IT, including e-commerce and merchandising would remain on a
long-term agreement with Walmart, which may require further
significant investments.

Cost Savings to Support Strategy: Synergies with EG Group
(B-/Stable) via partnerships on wholesale revenue into EG
convenience stores and rents from food services are not material at
GBP14 million. Cost-saving initiatives are significant, with
execution risks somewhat mitigated by management's proven ability
to deliver them. Moreover, the strategy to narrow the price gap
with discounters and further expand the existing price gap with
other traditional grocers may not work if competitors react to this
move. Additional cost savings may not be fully achieved, which
could suppress margin improvement in Fitch's forecast horizon
through to 2023.

Strong Cash Generation: Fitch's rating reflects continued
cost-saving initiatives that offset both the cost challenges and
some gross margin sacrifice to stay competitive. These lead to
healthy, steady profit margins (EBITDAR above 6% from 2022), which
are broadly aligned with Tesco's and strong cash generation. Fitch
projects a FFO margin of around 3% and a FCF margin of 1% in 2021,
trending upwards thereafter. This profitability is solid for the
rating, although Fitch sees temporary impact in 2021 from the
repayment of business-rate relief.

Transaction Adds Leverage: Fitch expects FFO adjusted gross
leverage of around 5.4x in 2021, which is commensurate with a 'BB-'
rating, following the GBP3.68 billion of new debt added to ASDA's
capital structure. Fitch's rating case reflects the potential to
deleverage by an average of 0.5x per year given strong cash
generation. Fitch sees inherent risk related to the repayment of
forecourts bridge loan in terms of asset sales. Fitch has assumed
that the forecourts bridge is fully repaid from disposal proceeds
in 1H21.

Financial Policies Define Deleveraging Path: In the absence of
material scheduled debt amortisation and publicly stated financial
policies, the use of accumulated cash balances will depend on
capital-allocation decisions that are not yet fully articulated.
Fitch does not expect the repayment of Walmart's GBP500 million
instrument, which Fitch has treated as equity in line with Fitch's
criteria, at least over the next couple of years despite a step-up
coupon clause, due to Walmart's importance to ASDA in technology.

There is no intention to pay dividends currently, but this may be
revised, for example, when net debt/ EBITDA is under 2.6x according
to documentation.

Acceptable Liquidity Buffer: ASDA has acceptable expected initial
liquidity with around GBP350 million cash (cash relating to working
capital is restricted) post buyout, although Fitch views the
available GBP690 million revolving credit facilities (RCFs) as
somewhat limited for the large size of the business relative to
peers. One of the RCFs, amounting to GBP190 million, has a short
tenor (364 days).

Its structurally negative working-capital position, cash-generative
business and continuation of supply-chain finance facilities should
support liquidity. A strong freehold asset base, valued at around
GBP9 billion post forecourts disposal, provides further financial
flexibility. Fitch's rating case assumes that repayment of business
rates relief does not have a negative impact on cash position after
the completion of the transaction.

Governance Under Scrutiny: Although ASDA will remain a
privately-owned company, it has some weaknesses in the planned
governance and complexity of the group structure, with a number of
planned related-party transactions, resulting in a moderate impact
on the rating. At the same time, Fitch recognises the intention to
have a diverse board with three independent members and the
progress made on this so far.

It faces execution risks on its strategic repositioning and
separation from Walmart, which requires solid implementation by
management. Moreover, given the scale of the business, Fitch views
solid financial disclosure in financial reporting an important
safeguard for creditors, as well as clarity on consistent financial
policies that favour deleveraging.

DERIVATION SUMMARY

Fitch rates ASDA using its global Food Retail Navigator. ASDA's
rating is negatively influenced by the group's smaller scale and
weaker market position compared with main food retailers in Europe,
such as Tesco plc (BBB-/Stable) and Ahold Delhaize NV
(BBB+/Stable). ASDA has a similar market position as Sainsbury's
with operations restricted in the UK. ASDA lacks a convenience
presence, but has a strong online contribution. ASDA benefits from
healthy profitability and strong cash generation with historical
and expected FFO margins trending towards 4%, in line with most
sector peers including Tesco's.

Following completion of the transaction, Fitch expects ASDA's FFO
adjusted gross leverage (5.4x in 2021) to be meaningfully higher
than Tesco's (around 4.0x excluding Tesco Bank), but below Lannis
Limited (Iceland Foods)'s (B/Stable) expected 7.0x over FY22
(year-end March) that will only gradually reduce thereafter.

KEY ASSUMPTIONS

-- Revenue to drop by 12% in 2021 to reflect the disposal of
    petrol stations division, growing at 1.2% until 2024;

-- EBITDA margin at 3.8% in 2020, increasing to 4.5% in 2021 and
    stable at 5.4% for 2022-2024;

-- Capex at 2%-2.4% of sales over 2021-2024;

-- One-off costs at GBP150 million over 2021-2022 from the
    separation from Walmart; and

-- No dividends or major M&A activity over the next four years.

RATING SENSITIVITIES

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

-- Fitch does not anticipate an upgrade over the next two years,
    until ASDA successfully executes its new strategy and delivers
    cost-saving measures to maintain profitability despite cost
    challenges. Positive rating momentum would also depend on
    governance principles and financial disclosure being aligned
    with listed peers and a commitment to conservative financial
    policies favouring deleveraging leading to:

-- FFO adjusted gross leverage trending below 4.0x on a sustained
    basis

-- FFO fixed charge cover above 3.0x

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

-- Negative like-for-like growth exceeding other "Big Four"
    competitors especially if combined with a material drop in
    profitability

-- Weakening liquidity buffer due to neutral or negative FCF
    margin

-- FFO adjusted gross leverage above 5.5x on a sustained basis

-- FFO fixed charge cover below 2.0x

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

Sufficient Liquidity: Fitch expects pro-forma readily available
cash following the buy-out transaction at around GBP350 million
which, along with an undrawn GBP690 million RCF, should be
sufficient to fund operations and working-capital needs. Fitch's
readily available cash excludes GBP150 million restricted for
working-capital purposes.

In addition, ASDA will have no material financial debt maturing
before 4.5 years (assuming forecourts bridge repaid as planned).
Due to a healthy FCF margin of around 1.5% on average over
2021-2024, Fitch expects readily available cash to subsequently
accumulate towards GBP1.3 billion by 2024 (excluding any dividends
and M&A activity).

ESG CONSIDERATIONS

ASDA has an ESG Relevance Score of '4' for Governance Structure due
to private equity ownership that may favour aggressive financial
policy decisions in the future, which has a negative impact on the
credit profile, and is relevant to the ratings in conjunction with
other factors.

ASDA has an ESG Relevance Score of '4' for Group Structure due to
complexity of the group structure with a number of related-party
transactions, 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.


CAFFE CONCERTO: Subsidiary Enters Company Voluntary Arrangement
---------------------------------------------------------------
Sophie Witts and Katherine Price at The Caterer report that a
subsidiary of Caffe Concerto has entered a company voluntary
arrangement (CVA), securing the future of three sites.

Speaking to The Caterer, director Stephano Borjack clarified that
the main Caffe Concerto company is not proceeding with a CVA.

Instead, creditors at Lux Management & Investments Group, a
franchisee of Caffe Concerto, which oversees four of its 19 sites,
voted to approve the plans this week, The Caterer notes.


CAFFE NERO: Chief Works on Plan to Avert Landlords' Legal Threat
----------------------------------------------------------------
Sabah Meddings at The Times reports that Gerry Ford is plotting a
way out of the crisis engulfing Caffe Nero, the coffee-shop chain
he founded 24 years ago.

Mr. Ford has spent weeks hunkered down with lawyers from
Linklaters, working on a plan to fend off a legal threat funded by
the billionaire owners of Asda, The Times relates.

According to The Times, in the summer, a judge is expected to
decide on a case brought by a small group of Nero's landlords,
including Lord Sugar, who object to a restructuring process that
will wipe out all but 30% of rent arrears since the start of the
pandemic.

The landlords are being helped by EG Group, led by Mohsin and Zuber
Issa, who want to add Nero to their empire, The Times discloses.


CARLYLE GLOBAL 2016-1: Fitch Affirms B- Rating on Class E-R Notes
-----------------------------------------------------------------
Fitch Ratings has revised the Outlook on Carlyle Global Market
Strategies Euro CLO 2016-1 DAC's class D and E notes to Stable from
Negative, and affirmed all ratings.

       DEBT                   RATING           PRIOR
       ----                   ------           -----
Carlyle Global Market Strategies Euro CLO 2016-1 DAC

A-1-R XS1813993091      LT  AAAsf  Affirmed    AAAsf
A-2-A-R XS1813993760    LT  AAsf   Affirmed    AAsf
A-2-B-R XS1813994149    LT  AAsf   Affirmed    AAsf
A-2-C-R XS1815318867    LT  AAsf   Affirmed    AAsf
B-1-R XS1813994578      LT  Asf    Affirmed    Asf
B-2-R XS1815315418      LT  Asf    Affirmed    Asf
C-R XS1813994735        LT  BBBsf  Affirmed    BBBsf
D-R XS1813994909        LT  BBsf   Affirmed    BBsf
E-R XS1813992366        LT  B-sf   Affirmed    B-sf

TRANSACTION SUMMARY

The transaction is a cash flow CLO, mostly comprising senior
secured obligations. The transaction is still within its
reinvestment period and is actively managed by CELF Advisors LLP.

KEY RATING DRIVERS

Asset Performance Stable:

The transaction was below par by 1.5% as of the latest investor
report dated 4 February 2021. All portfolio profile tests,
collateral quality tests and coverage tests were passing except for
Fitch's and another agency's 'CCC' test (8.7% versus a limit of
7.5%), and another agency's weighted average rating factor (WARF)
test. The manager classified one asset for EUR1.1 million as
defaulted.

Resilient to Coronavirus Stress

The affirmations reflect a broadly stable portfolio credit quality
since January 2021. The Stable Outlooks on all investment-grade
notes, and the revision of the Outlooks on the sub-investment grade
notes to Stable from Negative 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 in the
'B'/'B-' category. The Fitch WARF calculated by Fitch (assuming
unrated assets are CCC) and by the trustee for the current
portfolio was 35.63 and 36.36, respectively, below the maximum
covenant of 37. The Fitch WARF would increase by 1.7 after applying
the coronavirus stress.

High Recovery Expectations

Senior secured obligations comprise at least 98.5% of the
portfolio. Fitch views the recovery prospects for these assets as
more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch weighted average recovery rate (WARR) of the
current portfolio under Fitch's calculation is 63.14%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top 10 obligor concentration is no more than 13.3%,
and no obligor represents more than 1.5% of the portfolio balance.

RATING SENSITIVITIES

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

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

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

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

-- Downgrades may occur if build-up of the notes' 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 disruptions to supply and demand due to
    Covid-19 become apparent for other sectors, loan ratings in
    those sectors would also come under pressure. Fitch will
    update the sensitivity scenarios in line with the view of its
    leveraged finance team.

Coronavirus 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 a single-notch downgrade to all the corporate
exposure on Negative Outlook. This scenario does not result in
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

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's 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
Recognised Statistical Rating Organisations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio's
information or information on the risk-presenting entities.

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.


JUPITER MORTGAGE 1: Moody's Gives (P)Ca Rating to 4 Tranches
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to RMBS
Notes to be issued by JUPITER MORTGAGE NO.1 PLC:

GBP[] Class A Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Aaa (sf)

GBP[] Class B Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Aa3 (sf)

GBP[] Class C Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)A3 (sf)

GBP[] Class D Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Baa3 (sf)

GBP[] Class E Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Ba3 (sf)

GBP[] Class F Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)B3 (sf)

GBP[] Class G Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Ca (sf)

GBP[] Class H Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Ca (sf)

GBP[] Class I Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Ca (sf)

GBP[] Class X Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Ca (sf)

Moody's has not assigned a rating to the subordinated GBP [] Class
Z Mortgage Backed Floating Rate Notes due July 2060.

RATINGS RATIONALE

The Notes are backed by a pool of UK residential mortgage loans
originated by NRAM Limited (NR) ("NRAM"); GMAC-RFC Limited (NR)
("GMAC"); Mortgage Express (NR); Kensington Mortgage Company
Limited (NR) ("Kensington"); Keystone Property Finance Limited (NR)
("Keystone"); Bradford & Bingley plc (NR); Legal & General Group
Plc (NR) ("L&G"); Close Brothers Limited (Aa3/P-1;
Aa2(cr)/P-1(cr)). The pool was acquired by Citibank, N.A., London
Branch (Aa3/P-1; Aa3(cr)) from UKAR.

The securitised portfolio consists of [19,311] mortgage loans with
a current balance of GBP[3,074] million as of October 31, 2020 pool
cut off date. The VRR Loan Note is a risk retention Note which
receives 5% of all available receipts, while the remaining Notes
and certificates receive 95% of the available receipts.

The ratings are primarily based on the credit quality of the
portfolio, the structural features of the transaction and its legal
integrity.

Moody's determined the portfolio lifetime expected loss of 4.25%
and a MILAN credit enhancement ("MILAN CE") of 20% related to
borrower receivables. The expected loss captures Moody's
expectations of performance considering the current economic
outlook, while the MILAN CE captures the loss Moody's expect the
portfolio to suffer in the event of a severe recession scenario.
Expected defaults and MILAN CE are parameters used by Moody's to
calibrate its lognormal portfolio loss distribution curve and to
associate a probability with each potential future loss scenario in
the ABSROM cash flow model to rate RMBS.

Portfolio expected loss of 4.25%: This is in line with the UK
non-conforming sector average and is based on Moody's assessment of
the lifetime loss expectation for the pool taking into account: (i)
the collateral performance of NRAM; GMAC; Mortgage Express;
Kensington; Keystone; Bradford & Bingley Limited; L&G; and Close
Brothers Limited (the originators); (ii) 8.67% of loans that were
previously restructured and 11.7% of loans in arrears in the
portfolio; (iii) the current macroeconomic environment in the UK
and the potential impact of future interest rate rises on the
performance of the mortgage loans; and (iv) benchmarking with
comparable transactions in the UK market.

MILAN CE of 20%: This is in line with the UK non-conforming sector
average and follows Moody's assessment of the loan-by-loan
information taking into account the following key drivers: (i) the
WA current LTV of 79.12%; (ii) 8.67% of loans that were previously
restructured and 11.71% of loans in arrears in the portfolio; and
(iii) the historical performance of the loans.

Citibank N.A., London Branch is appointed as cash manager, while
CSC Capital Markets UK Limited (NR) is appointed as back-up
servicer facilitator. To help ensure continuity of payments the
deal contains estimation language whereby the cash flows will be
estimated from the three most recent servicer reports should the
servicer report not be available.

As there is no swap in the transaction, Moody's has modelled the
spread taking into account the minimum margin covenant of SONIA +
2.5%. Due to uncertainty on enforceability of this covenant,
Moody's has taken the view not to give full credit to this
covenant. Instead, Moody's has stressed the interest rate of the
pool by assuming that loans revert to an SVR yield equal to SONIA +
2%.

CURRENT ECONOMIC UNCERTAINTY:

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

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

PRINCIPAL METHODOLOGY

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.

Moody's issues provisional ratings in advance of the final sale of
securities, but these ratings represent only Moody's preliminary
credit opinions. Upon a conclusive review of the transaction and
associated documentation, Moody's will endeavour to assign
definitive ratings to the Notes. A definitive rating may differ
from a provisional rating.

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

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

Factors that would lead to a downgrade of the ratings include:
economic conditions being worse than forecast resulting in
worse-than-expected performance of the underlying collateral,
deterioration in the credit quality of the counterparties and
unforeseen legal or regulatory changes.


JUPITER MORTGAGE 1: S&P Assigns Prelim. CCC Rating on Cl. X Debt
----------------------------------------------------------------
S&P Global Ratings has assigned preliminary credit ratings to
Jupiter Mortgage No.1 PLC's class A, B-Dfrd, C-Dfrd, D-Dfrd,
E-Dfrd, F-Dfrd, G-Dfrd, H-Dfrd, I-Dfrd, and X-Dfrd notes. At
closing, Jupiter Mortgage No. 1 will also issue unrated class Z and
S1, S2, and Y certificates, and VRR loan notes.

At closing, the seller (Jupiter Seller Ltd.) will purchase the
beneficial interest in the portfolio from the sponsor (Citibank
N.A., London Branch), who in turn will acquire the portfolio from
the original sellers, NRAM Ltd. and Bradford and Bingley PLC (B&B).
The issuer will use the issuance proceeds to purchase the full
beneficial interest in the mortgage loans from the seller. The
issuer will grant security over all of its assets in favor of the
security trustee.

The pool is well seasoned. Most of the loans are first-lien U.K.
owner-occupied and BTL residential mortgage loans, however the pool
includes a small percentage of retirement interest-only loans and
lifetime mortgage loans. The borrowers in this pool may have
previously been subject to a county court judgement (or the
Scottish equivalent), an individual voluntary arrangement, a
bankruptcy order, may be self-employed, have self-certified their
incomes, or were otherwise considered by banks and building
societies to be nonprime borrowers. The loans are secured on
properties in England, Wales, Scotland, and Northern Ireland, and
were mostly originated between 2003 and 2009.

Of the preliminary pool, which is current on payments, 2.4% of the
mortgage loans by current balance are currently granted payment
holidays due to COVID-19. There is high exposure to interest-only
loans in the pool at 92.3%, and 9.2% of the mortgage loans are
currently in arrears greater than one month.

A general reserve fund provides liquidity, and principal can be
used to pay senior fees and interest on the notes subject to
various conditions. A further liquidity reserve fund will be funded
to provide liquidity support to the class A and B-Dfrd notes.

B&B is the servicer in this transaction, and Computershare Mortgage
Services Ltd. is the delegated servicer.

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

S&P said, "Our credit and cash flow analysis and related
assumptions consider the transaction's ability to withstand the
potential repercussions of the COVID-19 outbreak, namely, higher
defaults and longer recovery timing. Considering these factors, we
believe that the available credit enhancement is commensurate with
the preliminary ratings assigned. As the situation evolves, we will
update our assumptions and estimates accordingly."

  Preliminary Ratings

  Class        Prelim. Rating*   Class size (%)
  A               AAA (sf)         81.50
  B-Dfrd          AA+ (sf)          6.25
  C-Dfrd          AA (sf)           1.50
  D-Dfrd          AA- (sf)          1.75
  E-Dfrd          A (sf)            2.00
  F-Dfrd          BBB+ (sf)         1.75
  G-Dfrd          BBB- (sf)         1.50
  H-Dfrd          BB- (sf)          1.25
  I-Dfrd          B- (sf)           1.50
  Z               NR                1.00
  X-Dfrd          CCC (sf)          1.50
  S1 certificate  NR                 N/A
  S2 certificate  NR                 N/A
  Y certificate   NR                 N/A
  VRR loan notes  NR                5.00

*S&P's preliminary ratings address timely receipt of interest and
ultimate repayment of principal for the class A notes, and the
ultimate payment of interest and principal on the other rated
notes.
N/A--Not applicable.
NR--Not rated.
SONIA--Sterling Overnight Index Average.


KONECRANES: J&D Pierce to Purchase East Kilbride-Based Operation
----------------------------------------------------------------
Perry Gourley at The Scotsman reports that J&D Pierce secured an
agreement with Konecranes to purchase the East Kilbride-based
operation, which closed last year with the loss of 80 jobs after
the Finnish firm warned it needed to "fix the lack of
profitability" at the site.

The North Ayrshire-based firm, which has worked on major projects
across the UK including the expansion of Gatwick and Heathrow
airports, has acquired the 300,000 square foot plant at College
Milton along with 14 acres of yard space in a deal thought to be
worth around GBP8 million.  Recruitment will soon take place for
both manufacturing and office staff.

As part of the deal, J&D Pierce has secured a long-term
sub-contract agreement to manufacture cranes for Konecranes in the
UK.  The site will also become the headquarters for J&D Pierce's
Strubeam business, which specializes in the manufacture of bridges
and heavy plated fabrication.


STRATTON MORTGAGE 2021-2: Moody's Gives (P)Ca Rating to 3 Tranches
------------------------------------------------------------------
Moody's Investors Service has assigned provisional credit ratings
to the following Notes to be issued by Stratton Mortgage Funding
2021-2 PLC:

GBP [] Class A Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Aaa (sf)

GBP [] Class B Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Aa3 (sf)

GBP [] Class C Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)A3 (sf)

GBP [] Class D Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Baa3 (sf)

GBP [] Class E Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Ba3 (sf)

GBP [] Class F Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)B3 (sf)

GBP [] Class G Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Caa3 (sf)

GBP [] Class H Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Ca (sf)

GBP [] Class I Mortgage Backed Floating Rate Notes due July 2060,
Assigned (P)Ca (sf)

GBP [] Class X Mortgage Backed Fixed Rate Notes due July 2060,
Assigned (P)Ca (sf)

Moody's has not assigned a rating to the subordinated GBP [] Class
Z Mortgage Backed Notes due July 2060.

RATINGS RATIONALE

The Notes are backed by a pool of UK residential mortgage loans
originated by NRAM Limited (NR) ("NRAM"); GMAC-RFC Limited (NR)
("GMAC"); Mortgage Express (NR); Kensington Mortgage Company
Limited (NR) ("Kensington"); Keystone Property Finance Limited (NR)
("Keystone"); Bradford & Bingley Plc (NR); Legal & General Group
Plc (NR) ("L&G"); Close Brothers Limited (Aa3/P-1;
Aa2(cr)/P-1(cr)). The pool was acquired by Citibank, N.A., London
Branch (Aa3/P-1; Aa3(cr)) from UKAR.

The securitised portfolio consists of [10,786] mortgage loans with
a current balance of GBP[1,662] million as of 31 October 2020 pool
cut off date. The VRR Loan Note is a risk retention Note which
receives 5% of all available receipts, while the remaining Notes
and certificates receive 95% of the available receipts.

The ratings are primarily based on the credit quality of the
portfolio, the structural features of the transaction and its legal
integrity.

Moody's determined the portfolio expected loss of 4.25% and a MILAN
credit enhancement ("MILAN CE") of 20% related to borrower
receivables. The expected loss captures our expectations of
performance considering the current economic outlook, while the
MILAN CE captures the loss Moody's expect the portfolio to suffer
in the event of a severe recession scenario. Expected defaults and
MILAN CE are parameters used by Moody's to calibrate its lognormal
portfolio loss distribution curve and to associate a probability
with each potential future loss scenario in the ABSROM cash flow
model to rate RMBS.

Portfolio expected loss of 4.25%: This is in line with the UK
non-conforming sector average and is based on Moody's assessment of
the lifetime loss expectation for the pool taking into account: (i)
the collateral performance of NRAM; GMAC; Mortgage Express;
Kensington; Keystone; Bradford & Bingley plc; L&G and Close
Brothers Limited (the originators); (ii) 8.95% of loans that were
previously restructured and 12.1% of loans in arrears in the
portfolio; (iii) the current macroeconomic environment in the UK
and the potential impact of future interest rate rises on the
performance of the mortgage loans; and (iv) benchmarking with
comparable transactions in the UK market.

MILAN CE of 20%: This is in line with the UK non-conforming sector
average and follows Moody's assessment of the loan-by-loan
information taking into account the following key drivers: (i) the
WA current LTV of 82.8%; (ii) 8.95% of loans that were previously
restructured and 12.1% of loans in arrears in the portfolio; and
(iii) the historical performance of the loans.

Citibank, N.A., London Branch is appointed as cash manager, while
CSC Capital Markets UK Limited (NR) is appointed as back-up
servicer facilitator. To help ensure continuity of payments the
deal contains estimation language whereby the cash flows will be
estimated from the three most recent servicer reports should the
servicer report not be available.

As there is no swap in the transaction, Moody's has modelled the
spread taking into account the minimum margin covenant of SONIA +
2.5%. Due to uncertainty on enforceability of this covenant,
Moody's has taken the view not to give full credit to this
covenant. Instead, Moody's has stressed the interest rate of the
pool by assuming that loans revert to an SVR yield equal to SONIA +
2%.

CURRENT ECONOMIC UNCERTAINTY:

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

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

PRINCIPAL METHODOLOGY

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.

Moody's issues provisional ratings in advance of the final sale of
securities, but these ratings represent only Moody's preliminary
credit opinions. Upon a conclusive review of the transaction and
associated documentation, Moody's will endeavour to assign
definitive ratings to the Notes. A definitive rating may differ
from a provisional rating.

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

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

Factors that would lead to a downgrade of the ratings include:
economic conditions being worse than forecast resulting in
worse-than-expected performance of the underlying collateral,
deterioration in the credit quality of the counterparties and
unforeseen legal or regulatory changes.


                           *********


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

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

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


                * * * End of Transmission * * *