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

                          E U R O P E

          Wednesday, March 31, 2021, Vol. 22, No. 59

                           Headlines



A R M E N I A

ARMENIA: Fitch Affirms 'B+' LT Foreign-Currency IDR


C R O A T I A

ZAGREB CITY: S&P Affirms 'BB-' Long-Term ICR, Outlook Negative


F R A N C E

RAMSAY SANTE: Moody's Rates New EUR1,350MM Term Loan 'Ba3'


I R E L A N D

ANCHORAGE CAPITAL 2021-4: Moody's Assigns B3 Rating to Cl. F Notes
ARBOUR CLO IV: S&P Assigns B- (sf) Rating to EUR11MM Class F Notes
AURIUM CLO VII: Moody's Assigns (P)B3 (sf) Rating to Class F Notes
BAIN CAPITAL 2018-1: Fitch Affirms B- Rating on Class F Notes
BLUEMOUNTAIN EUR 2021-1: S&P Assigns B- (sf) Rating on F Cl. Notes

BLUEMOUNTAIN FUJI III: Fitch Affirms B- Rating on Class F Notes
BOSPHORUS CLO VI: Moody's Assigns B2 (sf) Rating to Class F Notes
CAIRN CLO IV: Moody's Assigns Ba3 (sf) Rating to Class E-R Notes
CARLYLE GLOBAL 2015-1: Fitch Affirms B- Rating on Class E Notes
CVC CORDATUS XVI: Fitch Affirms B- Rating on Class F Notes

GLENBEIGH 2: DBRS Gives Prov. BB (low) Rating on Class F Notes
HALCYON LOAN 2018-1: Fitch Affirms B- Rating on Class F Notes
HAYFIN EMERALD I: Moody's Assigns B3 (sf) Rating to Class F Notes
JUBILEE CLO 2017-XVIII: Fitch Affirms B- Rating on Class F Notes


I T A L Y

CREDITO VALTELLINESE: DBRS Confirms BB (high) LT Issuer Rating


L U X E M B O U R G

ARCELORMITTAL SA: Fitch Affirms BB+ LT IDR, Alters Outlook to Pos.


N E T H E R L A N D S

GREEN STORM 2021: Moody's Assigns Ba1 Rating to Sub. Class E Notes


P O R T U G A L

MADEIRA REGION: DBRS Confirms BB (high) LongTerm Issuer Rating


R U S S I A

BANK MEGAPOLICE: Put Under Provisional Administration


S P A I N

CAIXABANK CONSUMO 4: DBRS Confirms BB(high) Rating on Cl. B Notes
CATALONIA: DBRS Confirms BB (high) LongTerm Issuer Rating


U N I T E D   K I N G D O M

ARCADIA GROUP: Selling Furniture to Raise Cash for Creditors
AVATION PLC: Fitch Raises LT IDRs to 'CCC', Put on Watch Negative
E-CARAT 11: DBRS Confirms BB Rating on Class F Notes
GREENSILL CAPITAL: BBB Launched Investigation Prior to Collapse
LIBERTY STEEL: Plans to Restart Steelmaking Next Week

LIBERTY STEEL: UK Says Considering All Options, Nationalization
MABEL MEZZCO: Moody's Upgrades CFR to B1 on Debt Refinancing
SPECIALIST LEISURE: New Company Formed Following Administration
TAURUS 2021-1: DBRS Finalizes BB (low) Rating on Class E Notes
VERY GROUP: Fitch Affirms 'B-' LT IDR, Alters Outlook to Positive


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A R M E N I A
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ARMENIA: Fitch Affirms 'B+' LT Foreign-Currency IDR
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Fitch Ratings has affirmed Armenia's Long-Term Foreign-Currency
(LTFC) Issuer Default Rating (IDR) at 'B+' with a Stable Outlook.

KEY RATING DRIVERS

Armenia's 'B+' IDRs reflect fairly high government and external
indebtedness, relatively weak external finances and geopolitical
tensions that have the potential to escalate into military
conflict. These are balanced against high income per capita;
governance, development and ease of doing business indicators that
outperform the 'B' rated median; and institutions that have
facilitated orderly political transitions and weathered the 2020
pandemic shock and six-week war with Azerbaijan. It also has a
robust macroeconomic and fiscal policy framework, and credible
commitment to reform, both of which are underpinned by the IMF
stand-by arrangement (SBA).

Fitch expects that prime minister Nikol Pashinyan's 'My Step'
alliance should be able to maintain a working majority coalition in
parliament at the 20 June 2021 snap elections. After Pashinyan
signed a Russia-brokered and maintained ceasefire agreement on 9
November 2020 to end the Nagorno-Karabakh conflict, the country has
seen a period of heightened protests and political interventions by
the military calling for his resignation. Although Fitch expects
Pashinyan to retain power, support for his government has
diminished since the war and could exacerbate the challenges of
implementing structural reforms and tackling corruption.

The effects of Armenia's defeat in the Nagorno-Karabakh war are
likely to persist, with the influx of refugees to Armenia numbering
in the tens of thousands (Armenia's 2019 population: 3 million),
and the need to re-establish diplomatic efforts through the
previously failed OSCE Minsk Group process. Despite the presence of
Russian peacekeeping forces, tensions in Nagorno-Karabakh have the
potential to reignite due to the absence of a demilitarised zone.
The war has also further entrenched Armenia's reliance on Russia
for security and economic relations.

The impact of the twin Covid-19 pandemic and conflict shocks saw
government indebtedness reverse its prior downward trend, with
general government debt/GDP rising 13.8pp to 67.3% at end-2020,
overtaking the current 'B' median (63.8%). Fitch forecasts debt/GDP
to peak at 67.6% at end-2021, before falling gradually to 63.5% by
end-2025 as the government re-implements its medium-term fiscal
rules and targets to reduce the metric to 60% by end-2026. Weaker
growth due to economic scarring from the 2020 shocks and spending
pressures to support the economy constrain the potential for faster
public debt reduction. Foreign-currency denominated debt represents
77% of public debt ('B' median: 61%), increasing the country's
vulnerability to dram depreciation.

The consolidated fiscal deficit widened to 5.1% of GDP in 2020
(compared with a forecast of 7.6% at Fitch's October 2020 review),
from 0.8% in 2019, driven by higher expenditure, including to
support the economy during the pandemic. A budget amendment in 4Q20
widened the state budget deficit and reallocated spending for the
war effort, but under-execution of capital expenditures limited the
2020 deficit outturn. Fitch forecasts the consolidated fiscal
deficit narrow gradually to 4% in 2021 and 2.8% in 2022, due to a
continuation of several fiscal-support measures under the economic
recovery plan in 2021, and Fitch's expectation of some improvement
in capital spending execution.

Potential additional fiscal measures to support a weaker economic
recovery is a key risk to Fitch's projections. The 2021 deficit
will be financed primarily by a USD750 million Eurobond issued in
February 2021, with 71% of the annual financing requirement
completed by end-February.

Armenia has committed to key structural reforms relating to public
financial management under the IMF SBA, including to maintain its
medium-term fiscal trajectory, improve revenue mobilisation, fiscal
risk management, and efficiency of capital expenditure budgeting
and implementation. However, in Fitch's view, additional recovery
spending needs and diminished political support could slow progress
of the reform agenda.

External finances are a key weakness for Armenia, with a high
commodity export dependence (41% of 2020 current external receipts)
that raises vulnerability to copper and precious metal price
fluctuations, and fairly weak foreign direct investment (FDI)
inflows. Net external debt (NXD) is high, at 55.1% of GDP at
end-2020 ('B' median of 32.3%) and Fitch forecasts it to rise to
62.2% by end-2022.

The authorities' overall commitment to exchange-rate flexibility
resulted in the dram depreciating 9% in 2020. The Central Bank of
Armenia maintains its commitment to intervene only to prevent
disorderly adjustments in financial markets, making net
foreign-exchange (FX) sales of USD147 million in 2020 (2019: net
purchases of USD566 million). Broad adherence to the exchange-rate
framework under the IMF's SBA underpins strong access to
international financial institutions (IFIs) and external commercial
financing.

Fitch estimates the current account balance in 2020 to have
remained broadly resilient despite the shocks, improving to a
deficit of 4.3% of GDP (2019: deficit 7.2%). This was due to sharp
compression of goods and services imports, and a spike in
non-resident transfers since 2Q20 driven by large diaspora
transfers akin to the increases during the 2008 and 2013 election
crises.

Fitch forecasts the current account deficit (CAD) to widen to 6.1%
in 2021 and 6.8% in 2022 ('B' median average of 4.3%) as private
consumption and capital expenditure recover and as anti-crisis
diaspora transfers fade, more than offsetting the effect of
stronger terms-of-trade from decade-high copper prices. Net FDI
inflows are expected to cover only a quarter of the 2021 deficit,
with the February 2021 Eurobond and IFI borrowing financing the
bulk.

The twin shocks resulted in real GDP contracting 7.6% in 2020 ('B'
median: 4.5% contraction), with construction and real-estate
activities, trade and tourism-related services being worst hit,
while public services, healthcare and financial services supported
output. Fitch forecasts real GDP growth to rebound to 3.2% in 2021
and 4% in 2022, partly due to base effects and supported by
expansionary policy stances, especially in public investments. The
ongoing third-wave of Covid-19 infections based on official data is
rising above the 2Q20 first wave but still below the peak of the
4Q20 second wave. Despite growing infection rates, and a
vaccination programme slower than regional peers', Fitch does not
expect significant economic and travel restrictions to be
reinstated.

A credible approach to inflation targeting by the CBA has kept
inflation much lower (five-year average: 0.9% in 2020 vs. the
historical 'B' median of 7.3%) and more stable than peers'.
Inflation has picked up in the last three months, rising to 5.3%in
February 2021, after averaging 1.2% in 2020, driven by food prices,
pass-through from depreciation and rising price expectations. Fitch
forecasts near-term inflation to moderate by 2H21 to average 3.5%
in 2021, just under the CBA's 4% target.

In response to rising inflation, the CBA increased its key policy
rate by 125bp to 5.5% in two actions between December 2020 and
February 2021. Fitch forecasts the CBA to tighten policy further in
2021 to choke off inflation.

Armenian banks are well positioned to weather the impact of the
2020 shocks. The banking system is well capitalised relative to
similarly rated peers' (capital adequacy ratio of 16.6% at
end-January 2021), and asset-quality deterioration from the
pandemic should rise only slightly from 7.3% (non-performing loans
ratio) at end-January 2021, due to the authorities opting for just
a brief two-month debt service holiday, while no regulatory
forbearance has been applied for problem loan recognition and
provisioning.

Banking exposure to the Nagorno-Karabakh conflict region is
limited, with loans to the region roughly 3% of GDP (5.3% of bank
loans) at end-2019, and the region's deposits estimated at 1% of
GDP or 1.5% of bank liabilities. Government-subsidised lending to
banks has helped underpin private-sector credit growth of 18.3% on
average in 2020, but which has since moderated to 11.4% in February
2021. Fitch's macroprudential risk indicator for Armenia is '2',
indicating a moderate level of risk due to a positive credit gap in
2019-2020. Residents' deposit dollarisation is high, at 42.3% at
end-2020, in part reflecting sizeable non-resident foreign-currency
transfers.

ESG - Governance:

Armenia has an ESG Relevance Score (RS) of 5 for both Political
Stability and Rights and for the Rule of Law, Institutional and
Regulatory Quality and Control of Corruption, as is the case for
all sovereigns. Theses scores reflect the high weight that the
World Bank Governance Indicators (WBGI) have in Fitch's proprietary
Sovereign Rating Model (SRM). Armenia has a medium WBGI ranking at
the 48th percentile, reflecting a recent record of peaceful
political transitions, a moderate level of rights for participation
in the political process, moderate institutional capacity,
established rule of law and a moderate level of corruption.

RATING SENSITIVITIES

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

-- Public Finances: Improved confidence in general government
    debt/GDP returning to a firm downward path over the medium
    term, for example due to a credibly defined fiscal
    consolidation plan.

-- External Finances: A sustained improvement in external
    indicators, for example lower NXD, improved CAD or FDI inflows
    closer to the 'BB' median.

-- Structural: Further improvement of structural indicators such
    as governance standards, leading to convergence towards the
    'BB' peer median, and improvement in political stability.

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

-- External Finances: A worsening of external imbalances,
    potentially evidenced by higher NXD or wider CAD, or
    recurrence of external-financing pressures leading to a fall
    in reserves and a rise in the interest burden.

-- Structural / Macro: Renewed escalation of the military
    conflict with Azerbaijan over Nagorno-Karabakh or an
    intensification of domestic political instability that leads
    to a weakening of macroeconomic and fiscal policy direction or
    credibility.

-- Public Finances: A sustained upward trajectory in general
    government debt/GDP over the medium term, for example due to a
    structural fiscal loosening and/or further weakening in GDP
    growth prospects.

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

Fitch's proprietary SRM assigns Armenia a score equivalent to a
rating of 'B+' on the LTFC IDR scale.

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

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

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Sovereigns, Public Finance
and Infrastructure 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 three 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.

KEY ASSUMPTION

-- Fitch expects macroeconomic indicators to move in line with
    its March 2021 Global Economic Outlook forecasts.

ESG CONSIDERATIONS

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

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

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

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

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



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C R O A T I A
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ZAGREB CITY: S&P Affirms 'BB-' Long-Term ICR, Outlook Negative
--------------------------------------------------------------
On March 26, 2021, S&P Global Ratings affirmed its 'BB-' long-term
issuer credit rating on the Croatian capital city of Zagreb. The
outlook is negative.

Outlook

S&P said, "The negative outlook reflects our view that persisting
strain on revenue might keep Zagreb from beginning the necessary
reconstruction of its city center following the March 2020
earthquake. In our view, central government support remains
unclear, including the timing of when the city will have access to
the funds for the repair work."

Downside scenario

S&P could lower the rating in the next 12 months if the financial
pressure on the city and its companies continues to rise,
accelerating the accumulation of payables and deteriorating the
cash position amid fading government support after the upcoming
municipal elections.

Upside scenario

S&P would revise the outlook to stable within the next 12 months if
Zagreb regains financial flexibility. This would materialize as,
for example, stable budgetary performance and stronger cash
holdings, or reduced contingent liabilities.

Rationale

COVID-19 fallout and the March 2020 earthquakes have hit Zagreb
hard financially and economically. Operational performance in 2020
deteriorated beyond our previous expectations, and the city
reported higher-than-anticipated debt levels. In our base case for
2021-2023, ongoing tax shortfalls will continue to create budgetary
deficits. S&P said, "However, we now include in our estimates a
lower amount of contingent liabilities. This is because we expect
Zagreb will receive funds from the EU and the central government to
rebuild infrastructure after the earthquakes, even though the
amount and timing of government support has yet to be determined.
In addition, we currently estimate that the city will have to cover
a markedly smaller share of the reconstruction costs than we
initially expected."

That said, Zagreb plans to repay payables from its municipal
companies in 2021 and fund its deficits with new borrowings. This
will increase debt as well as transparency about the city's
financial liabilities. S&P's rating on Zagreb takes into account
its view of the city's very weak liquidity, volatile policy
environment, and unpredictable institutional framework for Croatian
local and regional governments.

Volatile institutional framework and low visibility on the city's
financial plans constrain creditworthiness

In S&P's view, Zagreb's credit quality is limited by the
institutional setup under which Croatian municipalities operate.
The framework changes frequently, and the distribution of resources
is unbalanced and insufficiently aligned to tasks delegated to
municipalities. This is highlighted by Zagreb's accrued deficit,
which reflects the funds the city expects to receive from the
central government in compensation for delegated tasks. In
addition, multiple changes to the tax system make financial
planning difficult. However, S&P acknowledges that the city has
reached an agreement with the central government to fund the
Croatian municipal equalization system. Under the new agreement,
the city will be relieved from the cost of the central government's
tax rate cuts in 2021. Furthermore, the city will receive new
leadership after the elections scheduled for early summer 2021; the
long-serving mayor Mr. Milan Bandic unexpectedly died at the end of
February 2021. So far, the transition to a new acting mayor, a
former deputy mayor, has been smooth. But it remains to be seen how
the city's financial policies will evolve with the new leadership.

S&P said, "We view Zagreb's unreliable long-term planning and lack
of minimum cash holding targets as key management weaknesses. In
addition, the use of unconventional debt instruments, such as
factoring deals, and the sometimes-difficult relationship between
the government and city assembly further hinders management's
effectivity, in our view. We assess Zagreb's oversight and control
over municipal companies as weak, since municipal companies,
including but not limited to Zagrebacki Holding d.o.o., seemingly
lack clear decision-making frameworks and continue to depend on the
city for support." The unpredictability of the central government's
actions constrains policy effectiveness at the city level, limiting
Zagreb's ability to plan effectively. The city's three major
expenditures are education, health care, and maintenance of public
space.

Zagreb benefits from its role as Croatia's economic center. The
city contributes about one-third of total Croatian GDP.
Additionally, unemployment has been decreasing, having reached well
below the national level of 7.1% in 2020, although levels might
rise following the recession in 2020. GDP per capita is comparable
with that of similarly rated international peers, while about 70%
higher than the national average. S&P said, "We expect Croatia's
GDP growth to rebound to more than 5% in 2021 and 3% in 2022, after
the estimated contraction of about 8% in 2020 due to
COVID-19-related impacts on tourism and consumption. We believe
Zagreb's GDP per capita will develop similarly to national growth
trends." Moreover, the pull Zagreb exerts on the country has
resulted in a growing population, in contrast to the national
trend. This will support the city's economic and tax base to some
degree in the medium term.

EU funds via the central government will help fund post-earthquake
reconstruction

Croatia will receive Croatian kuna (HRK) 5.1 billion from the EU
Solidarity Fund to alleviate the costs of rebuilding infrastructure
in Zagreb after the two earthquakes in March 2020. The city will
have access to HRK2.6 billion of this fund at some point in 2021,
but S&P has not factored this support into its base case since the
timing remains vague. Nevertheless, these funds should help the
city cover a large part of the works over the next few years. In
early September 2020, the national parliament passed a law
stipulating that local governments will need to cover 20% of the
cost to rebuild the more heavily damaged private buildings. The
magnitude of these costs is hard to estimate at this time. S&P
said, "We also acknowledge that the reconstruction efforts will
last at least a decade. Currently, the total cost of the needed
reconstruction is estimated at about HRK87 billion. Although the
amount that Zagreb will have to bear cannot be accurately estimated
at this time, we assume that the costs for the city will be lower
than originally expected. The state will finance most of the
reconstruction of public buildings and infrastructure, while the
city will cover a much smaller amount. Additional earthquakes
occurred in December 2020 and January 2021 south of Zagreb, but we
understand that the capital city did not suffer any serious
damage."

S&P said, "Although we expect the economy to recover in 2021,
tourism and economic activity will most likely remain subdued until
the second half of the year. This will create additional tax
shortfalls in 2021 following an already weak 2020. Last year's
operating balance as a percentage of operating revenue more than
halved on a year-to-year basis. Also, we expect that tax losses
following the economic recession will not be fully covered by the
central government, resulting in an operating balance of 7%-8% of
operating revenue in 2021-2023, compared with nearly 11% in
2018-2019. We also note that the central government has implemented
a tax reform and reduced personal income tax rates this year, and
that Zagreb will be largely compensated through the reduction of
other state-delegated expenditure."

Zagreb's budgetary flexibility is limited because most revenue
items depend on the central government's decisions, and expenditure
items like salaries tends to be rigid. The city cannot change its
main revenue source, personal income taxes, except for the surtax
charged. Expenditure flexibility is further constrained by large
fixed subsidies granted to the municipal holding company and the
now stand-alone Zagrebacki Elektricni Tramvaj (ZET); both support
the city in the supply of essential public services. Asset sales
have proven difficult in recent years and do not provide additional
room to maneuver. S&P assumes that the outsourced entities will
debt-finance revenue shortfalls due to fee freezes and fewer ticket
sales following quarantine measures.

Direct debt is less than half the tax-supported debt, reflecting
the large outsourcing of debt via factoring deals and funding via
various municipal companies to circumvent debt financing rules. In
2020, tax-supported debt surpassed 90% of consolidated revenue,
which is moderate in an international comparison, but much higher
than for peers in the region. S&P said, "We assume Zagreb will
accumulate debt in addition to financing needs over the coming
years to help pay off the deficit accumulated over the past years.
We therefore forecast rising net new borrowing, both at the city
level and at Zagrebacki Holding. We assume that the city's debt
ratio, which includes debt of Zagrebacki Holding and other
municipal companies, peaked in 2020 and will gradually decline over
our forecast period thanks to an increasing budget." In the past,
this was somewhat mitigated by Zagreb's relatively high operating
margins, which is no longer the case.

Zagreb's high debt burden is exacerbated by its large contingent
liabilities, consisting of Zagreb's share of earthquake damages and
litigations, which we continue to consider as high. S&P also
factors in Zagrebacki Holding's and ZET's payables, as well as the
long- and short-term debt of related entities not already included
in tax-supported debt, which the city intends to partly pay off in
2021.

Zagreb's liquidity situation remains a key credit weakness.
Available liquidity is limited, with Zagreb's cash holdings at a
low HRK21 million at end-2020. S&P said, "We do not anticipate a
change and believe there isn't enough cash to cover the next 12
months of debt service or upcoming deficits. Also, we view access
to external liquidity as very limited, because Croatia's domestic
banking sector is relatively weak, in our view."

  Ratings List

  Ratings Affirmed

  Zagreb (City of)
   Issuer Credit Rating    BB-/Negative/--




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RAMSAY SANTE: Moody's Rates New EUR1,350MM Term Loan 'Ba3'
----------------------------------------------------------
Moody's Investors Service assigned Ba3 ratings to Ramsay Generale
de Sante S.A.'s (Ramsay Sante) new EUR1,350 million guaranteed
senior secured term loan B due 2026/2027, its new EUR100 million
guaranteed senior secured revolving credit facility (RCF) due 2026
and new EUR100 million guaranteed senior secured capex/acquisition
facility due 2026. The outlook is stable.

Proceeds from the new term loan B, together with about EUR200
million proceeds from other debt sources, will be used to repay the
company's existing senior secured term loans due 2022 and 2024 and
the EUR40 million drawing under its existing capex/acquisition
facility.

The rating assigned to the proposed debt instruments assumes that
the final transaction documents will not be materially different
from draft legal documentation reviewed by Moody's to date and that
these agreements are legally valid, binding and enforceable.

RATINGS RATIONALE

Ramsay Sante is refinancing its term loan facilities, RCF and
capex/acquisition facility in a transaction that will result in
extended maturities and is overall leverage neutral. The new debt
instruments' margin will include ESG-linked step up and step downs,
based on social KPIs. The company also plans to raise in the near
term an additional EUR100 million of other senior secured debt and
EUR100 million of debt secured by real estate assets (Fiducie
Surete real estate loan).

Ramsay Sante's Ba3 corporate family rating reflects its large scale
and leading position in integrated care in Europe as one of the
largest companies in terms of revenue in France and the Nordic
countries; its industrial ownership by Ramsay Health Care; its
overall good degree of visibility in terms of future operating
performance; its favourable demographics, which should continue to
drive growth; and the overall high barriers to entry, resulting
from the need to obtain necessary authorizations and attract
qualified personnel.

These factors are balanced by Ramsay Sante's high leverage, which
was 7.3x as of end of June 2020 (fiscal 2020), including IFRS 16
application; the risk that tariffs could once again come under
pressure in the future or that there might be other policy changes
that could hurt the margin in France; and exposure to a certain
degree of event risk, because Ramsay Sante is likely to continue to
have an active role in the consolidation of the European private
hospital market.

RATING OUTLOOK

The outlook on Ramsay Sante's rating is stable and reflects Moody's
expectation that the company will continue to grow its EBITDA and
gradually deleverage, bringing its Moody's-adjusted debt/EBITDA to
levels more in line with its Ba3 rating. The current rating does
not allow flexibility for significant debt-financed acquisitions.

STRUCTURAL CONSIDERATIONS

The new term loan, RCF and capex/acquisition facility are issued by
Ramsay Generale de Sante S.A. and benefit from upstream guarantees
from operating subsidiaries representing at least 75% of group
consolidated EBITDA. They are secured by collateral which
essentially comprises share pledges on material subsidiaries and
offers limited protection to creditors in case of a default.
Therefore, Moody's has modelled all three instruments as unsecured
in its Loss Given Default (LGD) analysis. Moody's rates the term
loan, RCF and capex/acquisition facility at Ba3, in line with the
corporate family rating, and ranks them in line with trade
payables, pensions and operating leases. The EUR100 million of
other new senior secured debt is expected to share the same
collateral as the term loan, RCF and capex/acquisition facility,
while the EUR100 million real estate loan will be backed by real
estate assets.

The term loan and capex/acquisition facility do not include any
maintenance financial covenant, while the RCF includes a springing
covenant: if the RCF is more than 40% drawn, the senior secured net
leverage ratio has to remain below 6.0x.

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

An upgrade is currently unlikely, given Ramsay Sante's high
leverage, but we would consider upgrading the rating if the
company's leverage (Moody's-adjusted debt/EBITDA) falls below 5.5x
on a sustained basis; its Moody's-adjusted EBITA/interest expense
exceeds 3.0x on a sustained basis; it maintains a robust positive
free cash flow (FCF) and reaches retained cash flow/debt in the
high teens in percentage terms; there is no adverse regulatory or
policy change, or adverse change in business strategy or financial
policy.

Moody's would consider downgrading Ramsay Sante's rating if the
company fails to bring leverage down and leverage remains above
6.5x for a prolonged period; its Moody's-adjusted EBITA/interest
expense stays below 2.0x; the company's FCF turns negative or
liquidity weakens; there is an adverse regulatory or policy change,
or an adverse change in business strategy or financial policy.

PRINCIPAL METHODOLOGY

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

COMPANY PROFILE

Ramsay Sante is one of the leading European healthcare providers.
Following its acquisition of Capio in 2018, Ramsay Sante is present
in several countries, including France, Denmark, Sweden, Norway,
and Italy. Ramsay Sante offers a broad range of medical, surgical
and psychiatric healthcare services. It operated around 342
facilities as of the end of June 2020. The group also invests in
the development of ambulatory care and faster recovery after
surgery. In fiscal 2020, Ramsay Sante generated around EUR3.7
billion in revenue and EUR547 million of EBITDA. Most of Ramsay
Sante is owned by Ramsay Health Care (UK) Limited (52.53%) and
Predica (39.62%).



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

ANCHORAGE CAPITAL 2021-4: Moody's Assigns B3 Rating to Cl. F Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by Anchorage Capital
Europe CLO 2021-4 DAC (the "Issuer"):

EUR265,500,000 Class A Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

EUR20,200,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR28,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

EUR26,600,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

EUR34,700,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

EUR28,800,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Ba3 (sf)

EUR12,600,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 90% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the c.a. 3 month ramp-up period in compliance with the
portfolio guidelines.

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

In addition to the seven classes of notes rated by Moody's, the
Issuer has issued EUR46,900,000 Subordinated Notes due 2034 which
are not rated.

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

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in European economic activity.

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: EUR450,000,000

Diversity Score: 49

Weighted Average Rating Factor (WARF): 3300

Weighted Average Spread (WAS): 3.87%

Weighted Average Coupon (WAC): 4.25%

Weighted Average Recovery Rate (WARR): 43.0%

Weighted Average Life (WAL): 8.5 years

ARBOUR CLO IV: S&P Assigns B- (sf) Rating to EUR11MM Class F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Arbour CLO IV
DAC's class A, B, C, D, E, and F refinancing notes. At closing, the
issuer also issued unrated subordinated notes.

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

The portfolio's reinvestment period ends approximately four years
after closing, and the portfolio's weighted-average life test will
be approximately 8.5 years after closing.

The ratings assigned to the notes reflect S&P' assessment of:

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

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

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

  Portfolio Benchmarks
                                                       Current
  S&P Global Ratings weighted-average rating factor   2,817.34
  Default rate dispersion                               709.98
  Weighted-average life (years)                           4.62
  Obligor diversity measure                             128.92
  Industry diversity measure                             22.19
  Regional diversity measure                              1.23

  Transaction Key Metrics
                                                       Current
  Total par amount (mil. EUR)                           400.00
  Defaulted assets (mil. EUR)                                0
  Number of performing obligors                            176
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                       'B'
  'CCC' category rated assets (%)                         6.81
  'AAA' actual weighted-average recovery (%)             36.37
  Covenanted weighted-average spread (%)                  3.40
  Reference weighted-average coupon (%)                   4.00

Workout obligation mechanics

Under the transaction documents, the issuer can purchase workout
obligations, which are assets of an existing collateral obligation
held by the issuer offered in connection with the obligation's
bankruptcy, workout, or restructuring, to improve its recovery
value.

The purchase of workout obligations is not subject to the
reinvestment criteria or the eligibility criteria. It receives no
credit in the principal balance definition, although where the
workout obligation meets the eligibility criteria with certain
exclusions, it is accorded defaulted treatment in the par coverage
tests. The cumulative exposure to workout obligations is limited to
10% of target par.

The issuer may purchase workout obligations using either interest
proceeds, principal proceeds, amounts in the collateral enhancement
account, the supplemental reserve account, or contributions. The
use of interest proceeds to purchase workout obligations is subject
to (i) the class D interest coverage test passing following the
purchase, and (ii) the manager determining there are sufficient
interest proceeds to pay interest on all the rated notes on the
upcoming payment date. The use of principal proceeds is subject to
the following conditions:

-- Each workout obligation is a debt obligation;

-- Each workout obligation ranks pari passu with or senior to the
relevant collateral debt obligation issued by the obligor that is
the subject of the restructuring insolvency, bankruptcy,
reorganization, or workout in connection with which the applicable
workout obligation is to be acquired;

-- Each of the par value tests and the reinvestment
overcollateralization test must be satisfied immediately after the
acquisition of each obligation;

-- Each obligation has a maturity date that does not exceed the
rated notes' maturity date;

-- Each obligation's par value is greater than or equal to the
applicable obligation's purchase price; and

-- The aggregate collateral balance is greater that the unadjusted
reinvestment target par amount following the purchase.

To protect the transaction from par erosion, any distributions
received from workout obligations that are either purchased with
the use of principal, with interest, or amounts in the supplemental
reserve account, collateral enhancement account, or contribution
but which have been afforded credit in the coverage test, will
irrevocably form part of the issuer's principal account proceeds
and cannot be recharacterized as interest.

Reverse collateral allocation mechanism

If a defaulted euro-denominated obligation becomes the subject of a
mandatory exchange for U.S.-denominated obligation following a
collateral allocation mechanism (CAM) trigger event, the portfolio
manager may sell the CAM obligation and invest the sale proceeds in
the same obligor (a CAM euro obligation), provided the obligation:

-- Is denominated in euros;

-- Ranks as the same or more senior level of priority as the CAM
obligation; and

-- Is issued under the same facility as the CAM obligation by the
obligor.

To ensure that the CLO's original or adjusted collateral par amount
is not adversely affected following a CAM exchange, a CAM
obligation may only be acquired if, following the reinvestment, the
numerator of the CLO's par value test, referred to as the adjusted
collateral principal amount, is either:

-- Greater than the reinvestment target par balance;

-- Maintained or improved when compared to the same balance
immediately after the collateral obligation became a defaulted
obligation; or

-- Maintained or improved compared to the same balance immediately
after the mandatory exchange which resulted in the issuer holding
the CAM exchange. Solely for the purpose of this condition, the CAM
obligation's principal balance is carried at the lowest of its
market value and recovery rate, adjusted for foreign currency risk
and foreign exchange rates.

Finally, a CAM euro exchanged obligation that is also a
restructured obligation may not be purchased with sale proceeds
from a CAM exchanged obligation.

The portfolio manager may only sell a CAM obligation and reinvest
the sale proceeds in a CAM euro obligation if, in the portfolio
manager's view, the sale and subsequent reinvestment is expected to
result in a higher level of ultimate recovery when compared to the
expected ultimate recovery from the CAM obligation.

Rating rationale

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted-average rating of
'B'. We consider that the portfolio primarily comprises broadly
syndicated speculative-grade senior secured term loans and senior
secured bonds. Therefore, we conducted our credit and cash flow
analysis by applying our criteria for corporate cash flow CDOs.

"In our cash flow analysis, we used the EUR400 million par amount,
the covenanted weighted-average spread of 3.40%, the reference
weighted-average coupon of 4.00%, and the actual weighted-average
recovery rates for all rated notes. 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 cash flow analysis also considers scenarios where the
underlying pool comprises 100% floating-rate assets (i.e., the
fixed-rate bucket is 0%) and where the fixed-rate bucket is fully
utilized (in this case, 15%). In latter scenarios, the class F
cushion is -0.07%. 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
(7.00%), we believe this class is able to sustain a steady-state
scenario, where the current market level of stress and collateral
performance remains steady. Consequently, we have assigned our 'B-
(sf)' rating to the class F notes, in line with our 'CCC' ratings
criteria.

"The transaction's documented counterparty replacement and remedy
mechanisms adequately mitigate its exposure to counterparty risk
under our current counterparty criteria.

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

"We consider that the transaction's legal structure is bankruptcy
remote, in line with our legal criteria.

"Our credit and cash flow analysis indicate that the available
credit enhancement for the class B to D notes could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe that our ratings are
commensurate with the available credit enhancement for the class A,
B, C, D, E, and F 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 we looked at in our
publication, "How Credit Distress Due To COVID-19 Could Affect
European CLO Ratings," published on April 2, 2020.

"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."

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."

  Ratings List

  Class   Rating     Amount    Sub(%)   Interest rate*
                   (mil. EUR)
  A       AAA (sf)   248.00    38.00    Three/six-month EURIBOR
                                           plus 0.79%
  B       AA (sf)     40.00    28.00    Three/six-month EURIBOR
                                           plus 1.30%
  C       A (sf)      25.00    21.75    Three/six-month EURIBOR
                                           plus 2.05%
  D       BBB (sf)    27.00    15.00    Three/six-month EURIBOR
                                           plus 3.10%
  E       BB- (sf)    21.00     9.75    Three/six-month EURIBOR
                                           plus 5.71%
  F       B- (sf)     11.00     7.00    Three/six-month EURIBOR
                                           plus 7.90%
  Sub     NR          43.00      N/A N/A

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

EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A—-Not applicable.


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

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

EUR21,500,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

EUR12,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR34,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

EUR25,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

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

EUR13,000,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and/ or high yield bonds.
The portfolio is expected to be at least 80% ramped up as of the
closing date and to comprise of predominantly corporate loans to
obligors domiciled in Western Europe. The remainder of the
portfolio will be acquired during the six months ramp-up period in
compliance with the portfolio guidelines.

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

In addition to the seven classes of notes rated by Moody's, the
Issuer will issue EUR28,400,000 Subordinated Notes due 2034 which
are not rated.

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

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of European corporate assets from a gradual and
unbalanced recovery in European economic activity.

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: 46*

Weighted Average Rating Factor (WARF): 2925

Weighted Average Spread (WAS): 3.55%

Weighted Average Coupon (WAC): 3.55%

Weighted Average Recovery Rate (WARR): 44.0%

Weighted Average Life (WAL): 8.5 years

BAIN CAPITAL 2018-1: Fitch Affirms B- Rating on Class F Notes
-------------------------------------------------------------
Fitch Ratings has affirmed Bain Capital Euro CLO 2018-1 DAC and
revised the Outlooks on the class E and F notes to Stable from
Negative.

Bain Capital Euro CLO 2018-1

     DEBT                  RATING           PRIOR
     ----                  ------           -----
A XS1713469598      LT  AAAsf  Affirmed     AAAsf
B-1 XS1713468780    LT  AAsf   Affirmed     AAsf
B-2 XS1713465257    LT  AAsf   Affirmed     AAsf
C XS1713468194      LT  Asf    Affirmed     Asf
D XS1713467469      LT  BBBsf  Affirmed     BBBsf
E XS1713467030      LT  BB-sf  Affirmed     BB-sf
F XS1713466909      LT  B-sf   Affirmed     B-sf

TRANSACTION SUMMARY

Bain Capital Euro CLO 2018-1 DAC is a cash flow CLO mostly
comprising senior secured obligations. The transaction is still
within its reinvestment period and is actively managed by Bain
Capital Credit, Limited.

KEY RATING DRIVERS

Resilient to Coronavirus Stress (Positive)

The affirmations reflect that the portfolio credit quality has been
largely stable since Fitch's last review. The revision of the
Outlooks on the class E and F notes to Stable from Negative and the
Stable Outlook on all other tranches reflect the resilience across
all rating scenarios in the sensitivity analysis run in light of
the coronavirus pandemic.

Fitch recently updated its CLO coronavirus stress scenario to
assume half of the corporate exposure on Negative Outlook is
downgraded by one notch instead of 100%.

Asset Performance Stable (Neutral)

Asset performance has been stable since Fitch's last review. The
portfolio remains below its target par by 2.5% as of the 8 March
2021 investor report. All coverage tests and collateral quality
tests are passing. Exposure to assets with a Fitch-derived rating
of 'CCC+' and below has reduced to 9.4% from 11.7% (excluding
unrated names). The limit is 7.5%. The manager reports an exposure
to defaulted assets of EUR7.1 million in the portfolio.

Average Credit Quality Portfolio (Neutral)

Fitch assesses the average credit quality of the obligors to be in
the 'B'/'B-' category. The Fitch weighted average rating factor
(WARF), calculated by Fitch, of the current portfolio as of 20
March 2021 is 35.20. Calculated by the trustee it is 34.72, both
below the maximum covenant of 37.25. The Fitch WARF would increase
to 36.60 after applying the coronavirus stress.

High Recovery Expectations (Positive)

Senior secured obligations comprise 98.6% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate (WARR) of the current portfolio is
reported by the trustee at 65.3% as of 8 March 2021.

Portfolio Well Diversified (Positive)

The portfolio is well diversified across obligors, countries and
industries. The top 10 obligor concentration is no more than 13.6%
and no obligor represents more than 2.1% of the portfolio balance.

Junior Tranches Above Model-Implied Ratings (Negative)

The current ratings for the class E and F notes are one notch above
the model-implied ratings. However, Fitch has affirmed these
ratings and deviated from the model as the shortfalls for these
tranches were driven by the back-loaded default timing scenario,
which is not Fitch's expectation in the current distressed economic
environment. Moreover, for the class E notes, the shortfalls are
marginal for a category-level downgrade and for the class F notes,
the limited margin of safety available with the current credit
enhancement available (5.9%) is more in line with a 'B-' rating
definition.

RATING SENSITIVITIES

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

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

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

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

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

Coronavirus 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 an up to two-notch downgrade.

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

Bain Capital Euro CLO 2018-1

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.

BLUEMOUNTAIN EUR 2021-1: S&P Assigns B- (sf) Rating on F Cl. Notes
------------------------------------------------------------------
S&P Global Ratings assigned credit ratings to BlueMountain EUR
2021-1 CLO DAC's class A, B, C, D, E, and F notes. The issuer has
also issued subordinated notes.

The ratings reflect S&P's assessment of:

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

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

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

-- The transaction's legal structure, which is bankruptcy remote.

-- The transaction's counterparty risks, which are in line with
our counterparty rating framework.

  Portfolio Benchmarks
                                                Current
  S&P weighted-average rating factor           2,846.13
  Default rate dispersion                        446.88
  Weighted-average life (years)                    5.36
  Obligor diversity measure                      125.14
  Industry diversity measure                      19.94
  Regional diversity measure                       1.32
  
  Transaction Key Metrics
                                                Current
  Portfolio weighted-average rating
      derived from S&P's CDO evaluator                B
  'CCC' category rated assets (%)                 1.43%
  Covenanted 'AAA' weighted-average recovery (%)  35.73
  Covenanted weighted-average spread (%)           3.75
  Covenanted weighted-average coupon (%)           3.75

Workout obligations

Under the transaction documents, the issuer can purchase workout
obligations, which are assets of an existing collateral obligation
held by the issuer offered in connection with bankruptcy, workout,
or restructuring of the obligation, to improve the related
collateral obligation's recovery value.

Workout obligations allow the issuer to participate in potential
new financing initiatives by the borrower in default. This feature
aims to mitigate the risk of other market participants taking
advantage of CLO restrictions, which typically do not allow the CLO
to participate in a defaulted entity's new financing request.
Hence, this feature increases the chance of a higher recovery for
the CLO. While the objective is positive, it can also lead to par
erosion, as additional funds will be placed with an entity that is
under distress or in default. This may cause greater volatility in
our ratings if the positive effect of the obligations does not
materialize. In S&P's view, the presence of a bucket for workout
obligations, the restrictions on the use of interest and principal
proceeds to purchase those assets, and the limitations in
reclassifying proceeds received from those assets from principal to
interest help to mitigate the risk.

The purchase of workout obligations is not subject to the
reinvestment criteria or the eligibility criteria. The issuer may
purchase workout obligations using interest proceeds, principal
proceeds, or amounts in the collateral enhancement account. The use
of interest proceeds to purchase workout obligations is subject
to:

-- The manager determining that there are sufficient interest
proceeds to pay interest on all the rated notes on the upcoming
payment date; and

  -- Following the purchase of a workout obligation, all coverage
tests must be satisfied.

The use of principal proceeds is subject to:

-- Passing par coverage tests;

-- The manager having built sufficient excess par in the
transaction so that the aggregate collateral balance is equal to or
exceeds the portfolio's reinvestment target par balance after the
reinvestment;

-- The workout obligation has a par value greater than or equal to
its purchase price

Workout obligations that have limited deviation from the
eligibility criteria will receive collateral value credit in the
principal balance definition and for overcollateralization carrying
value purposes. To protect the transaction from par erosion, the
carrying value from any workout distributions will form part of the
issuer's principal account proceeds. The amounts above the carrying
value can be recharacterized as interest at the manager's
discretion. Workout obligations that do not meet this version of
the eligibility criteria will receive zero credit.

The cumulative exposure to workout obligations purchased with
principal is limited to 5% of the target par amount. The cumulative
exposure to workout obligations purchased with principal and
interest is limited to 10% of the target par amount.

Rating rationale

Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately 4.5 years after
closing.

The portfolio is well-diversified, primarily comprising broadly
syndicated speculative-grade senior-secured term loans and
senior-secured bonds. Therefore, it has conducted S&P's credit and
cash flow analysis by applying its criteria for corporate cash flow
CDOs.

S&P said, "In our cash flow analysis, we used the EUR350 million
target par amount, the covenanted weighted-average spread (3.75%),
the reference weighted-average coupon (3.75%), and covenant
weighted-average recovery rates at each rating level. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

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

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

S&P said, "We consider that the transaction's documented
counterparty replacement and remedy mechanisms adequately mitigate
its exposure to counterparty risk under our current counterparty
criteria.

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

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

"For the class F notes, our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses that
are commensurate with a 'CCC+' rating. However, we have applied our
'CCC' rating criteria resulting in a 'B-' rating to this class of
notes.

The one notch of ratings uplift (to 'B-') from the model generated
results (of 'CCC+'), reflects several key factors, including:

-- Credit enhancement comparison: We noted that the available
credit enhancement for this class of notes is in the same range as
other CLOs that we rate, and that have recently been issued in
Europe.

-- Portfolio characteristics: The portfolio's average credit
quality is similar to other recent CLOs.

-- S&P's model generated break even default rate at the 'B-'
rating level of 27.16% (for a portfolio with a weighted-average
life of 5.36 years), versus if it was to consider a long-term
sustainable default rate of 3.1% for 5.36 years, which would result
in a target default rate of 16.62%.

-- S&P also noted that the actual portfolio is generating higher
spreads and recoveries versus the covenanted thresholds that it has
modelled in its cash flow analysis.

S&P said, "For us to assign a rating in the 'CCC' category, we also
assessed (i) whether the tranche is vulnerable to non-payments in
the near future, (ii) if there is a one in two chances for this
note to default, and (iii) if we envision this tranche to default
in the next 12-18 months.

"Following this analysis, we consider that the available credit
enhancement for the class F notes is commensurate with the 'B-
(sf)' rating assigned.

"Taking the above factors into account and following our analysis
of the credit, cash flow, counterparty, operational, and legal
risks, we believe that our ratings are commensurate with the
available credit enhancement for all the rated classes 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 we looked at in our
publication "How Credit Distress Due To COVID-19 Could Affect
European CLO Ratings," published on April 2, 2020.

"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."

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."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it is managed by Assured Investment
Management LLC.

  Ratings List

  Class   Rating    Amount    Interest rate (%)   Credit
                   (mil. EUR)                     enhancement (%)

  A       AAA (sf)   217.00     3mE + 0.83        38.00
  B       AA (sf)     35.00     3mE + 1.35        28.00
  C       A (sf)      22.80     3mE + 2.05        21.49
  D       BBB (sf)    23.60     3mE + 3.20        14.74
  E       BB- (sf)    16.60     3mE + 5.41        10.00
  F       B- (sf)     10.50     3mE + 7.76         7.00
  Sub     NR          31.90         N/A             N/A

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


BLUEMOUNTAIN FUJI III: Fitch Affirms B- Rating on Class F Notes
---------------------------------------------------------------
Fitch Ratings has affirmed BlueMountain Fuji Euro CLO III DAC's
notes and revised the Outlook on the class E and F notes to Stable
from Negative.

BlueMountain Fuji Euro CLO III

      DEBT                RATING           PRIOR
      ----                ------           -----
A-1 XS1861113113    LT  AAAsf  Affirmed    AAAsf
A-2 XS1861113469    LT  AAAsf  Affirmed    AAAsf
B XS1861113899      LT  AAsf   Affirmed    AAsf
C XS1861114277      LT  Asf    Affirmed    Asf
D XS1861114517      LT  BBBsf  Affirmed    BBBsf
E XS1861114863      LT  BBsf   Affirmed    BBsf
F XS1861116991      LT  B-sf   Affirmed    B-sf

TRANSACTION SUMMARY

BlueMountain Fuji Euro CLO III DAC is a securitisation of mainly
senior secured loans (at least 90%) with a component of senior
unsecured, mezzanine and second-lien loans. The portfolio is
managed by BlueMountain Fuji Management, LLC. The reinvestment
period ends in July 2022.

KEY RATING DRIVERS

Resilient to Coronavirus Stress

The affirmation reflects the broadly stable portfolio credit
quality since October 2020. The Stable Outlooks and the revision of
the Outlooks on the class E and F notes to Stable from Negative
reflect the resilience to the coronavirus baseline sensitivity
analysis that Fitch ran in light of the pandemic. All notes
displayed cushions under this stress.

Fitch recently updated its CLO coronavirus stress scenario to
assume that half of the corporate exposure on Negative Outlook is
downgraded by one notch instead of 100%.

Portfolio Performance

As of the latest investor report dated 26 February 2021, the
transaction was 0.39% below par and all portfolio profile tests,
coverage tests and collateral quality tests were passing. Exposure
to assets with a Fitch-derived rating (FDR) of 'CCC+' and below was
4.30% (excluding unrated assets). Assets with an FDR on Negative
Outlook made up 28.11% of the portfolio balance.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors in the
'B'/'B-' category. The Fitch weighted average rating factor (WARF)
of the current portfolio is 34.25 (assuming unrated assets are
'CCC'), below the maximum covenant of 35, while the
trustee-reported Fitch WARF was 37.32.

High Recovery Expectations

Senior secured obligations make up 98.61% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top 10 obligors represent 11.75% of the portfolio
balance with no obligor accounting for more than 1.56%.

Cash Flow Analysis

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

RATING SENSITIVITIES

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

-- At closing, Fitch used a standardised stress portfolio
    (Fitch's stressed portfolio) that was customised to the
    portfolio limits as specified in the transaction documents.
    Even if the actual portfolio shows lower defaults and smaller
    losses (at all rating levels) than Fitch's stressed portfolio
    assumed at closing, an upgrade of the notes during the
    reinvestment period is unlikely, as the portfolio's credit
    quality may still deteriorate through natural credit migration
    or reinvestments.

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

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

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

Coronavirus Downside Sensitivity

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies. The downside sensitivity
incorporates a single-notch downgrade to all FDRs for assets that
are on Negative Outlook. In this case, the model-implied ratings
for the class E and F notes would be one notch below their current
ratings.

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

BlueMountain Fuji Euro CLO III

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.

BOSPHORUS CLO VI: Moody's Assigns B2 (sf) Rating to Class F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by Bosphorus CLO VI
Designated Activity Company (the "Issuer"):

EUR2,000,000 Class X Secured Floating Rate Notes due 2034,
Definitive Rating Assigned Aaa (sf)

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

EUR26,750,000 Class B-1 Secured Floating Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

EUR10,000,000 Class B-2 Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

EUR24,500,000 Class C Secured Deferrable Floating Rate Notes due
2034, Definitive Rating Assigned A2 (sf)

EUR19,600,000 Class D Secured Deferrable Floating Rate Notes due
2034, Definitive Rating Assigned Baa2 (sf)

EUR17,150,000 Class E Secured Deferrable Floating Rate Notes due
2034, Definitive Rating Assigned Ba2 (sf)

EUR10,500,000 Class F Secured Deferrable Floating Rate Notes due
2034, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 85% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the five months ramp-up period in compliance with the
portfolio guidelines.

Commerzbank AG, London Branch, 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 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.

Interest and principal amortisation amounts due to the Class X
Notes are paid pro rata with payments to the Class A Notes. The
Class X Notes amortise by 12.5% or EUR250,000 over eight payment
dates starting on the 2nd payment date.

In addition to the eight classes of notes rated by Moody's, the
Issuer will issue EUR1,500,000 Class Z-1 Notes due 2034,
EUR1,500,000 Class Z-2 Notes due 2034 and EUR29,950,000
Subordinated Notes due 2034 which are not rated. The Class Z-1 and
Class Z-2 Notes receive payments in an amount equivalent to a
certain proportion of the senior and subordinated management fees
respectively and its notes' payment is pari passu with the payment
of the management fees.

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 pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of European corporate assets from a gradual and
unbalanced recovery in European economic activity.

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: EUR350,000,000

Diversity Score: 38

Weighted Average Rating Factor (WARF): 2872

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 45.0%

Weighted Average Life (WAL): 8.5 years

CAIRN CLO IV: Moody's Assigns Ba3 (sf) Rating to Class E-R Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by Cairn
CLO IV Designated Activity Company (the "Issuer"):

EUR188,000,000 Class A-R Senior Secured Floating Rate Notes due
2031, Assigned Aaa (sf)

EUR29,750,000 Class B-R Senior Secured Floating Rate Notes due
2031, Assigned Aa2 (sf)

EUR17,250,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2031, Assigned A2 (sf)

EUR20,600,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2031, Assigned Baa3 (sf)

EUR16,250,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2031, Assigned Ba3 (sf)

At the same time, Moody's upgraded the outstanding notes which have
not been refinanced:

EUR7,750,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2031, Upgraded to B2 (sf); previously on May 1, 2019
Definitive Rating Assigned B3 (sf)

Moody's upgrade of the Class F Notes is a result of the
refinancing, which increases excess spread available as credit
enhancement to the rated notes.

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.

As part of this refinancing, the Issuer has extended the weighted
average life test date by 12 months to October 30, 2026. It has
also amended certain definitions and minor features

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second-lien loans, high yield bonds and mezzanine
loans.

Cairn Loan Investments LLP will continue to 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 remaining
reinvestment period which will end on April 30, 2021. 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 pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in global economic activity.

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: EUR299.0 million

Defaulted Par: EUR3.5 million as of March 2021

Diversity Score: 44

Weighted Average Rating Factor (WARF): 3144

Weighted Average Spread (WAS): 3.66%

Weighted Average Coupon (WAC): 4.81%

Weighted Average Recovery Rate (WARR): 45.07%

Weighted Average Life (WAL) Test Date: October 30, 2026

CARLYLE GLOBAL 2015-1: Fitch Affirms B- Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has revised the Outlooks on Carlyle Global Market
Strategies Euro CLO 2015-1 DAC's class B, C, D and E notes to
Stable from Negative and affirmed the ratings.

Carlyle Global Market Strategies Euro CLO 2015-1 DAC

      DEBT                    RATING           PRIOR
      ----                    ------           -----
A-1-R XS2109445671     LT  AAAsf   Affirmed    AAAsf
A-2A-R XS2109446133    LT  AAsf    Affirmed    AAsf
A-2B-R XS2109446729    LT  AAsf    Affirmed    AAsf
B XS2109447537         LT  Asf     Affirmed    Asf
C XS2109448006         LT  BBB-sf  Affirmed    BBB-sf
D XS2109448931         LT  BB-sf   Affirmed    BB-sf
E XS2109449582         LT  B-sf    Affirmed    B-sf
X XS2109444948         LT  AAAsf   Affirmed    AAAsf

TRANSACTION SUMMARY

Carlyle Global Market Strategies Euro CLO 2015-1 DAC is a cash flow
collateralised loan obligation (CLO) of mostly European leveraged
loans and bonds. The transaction is still in its reinvestment
period and the portfolio is actively managed by CELF Advisors LLP.

KEY RATING DRIVERS

Performance Stable Since Last Review

The transaction was below par by 0.6% as of the latest investor
report dated 16 February 2021. The transaction was passing all
portfolio profile tests, collateral quality tests and coverage
tests except the Fitch weighted average rating factor (WARF) test
(36.69 versus a limit of 36), the Fitch 'CCC' test (8.5% versus a
7.5% limit) and another agency's 'CCC' test. The manager has
classified one asset for EUR5 million as defaulted.

Resilient to Coronavirus Stress

The affirmations reflect a broadly stable portfolio credit quality
since November 2020. The Stable Outlooks on the class A notes, and
the revision of the Outlooks on class B to E notes to Stable from
Negative reflect the default rate cushion in the sensitivity
analysis Fitch 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 places the average credit quality of the obligors in the
'B'/'B-' category. The Fitch WARF (assuming unrated assets are CCC)
and the WARF calculated by the trustee were 36.75 and 36.69,
respectively, above the maximum covenant of 36. The
Fitch-calculated WARF would increase by 1.9 after applying the
baseline coronavirus stress.

High Recovery Expectations

Senior secured obligations comprise 99% of the portfolio. Fitch
views the recovery prospects for the assets as more favourable than
for second-lien, unsecured and mezzanine assets. In the latest
investor report, the Fitch weighted average recovery rate (WARR) of
the current portfolio was 65.5%, above the minimum covenant of
65.1%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top 10 obligor concentration is 13.7%, 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 an
    unexpectedly high level 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 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
Covid-19 infections in the major economies. This downside
sensitivity incorporates a single-notch downgrade to all
Fitch-derived ratings for assets that are on Negative Outlook. In
this case the model-implied ratings for all classes would be the
same as their current ratings.

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 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 or other nationally
recognised statistical rating organisations 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.

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.

CVC CORDATUS XVI: Fitch Affirms B- Rating on Class F Notes
----------------------------------------------------------
Fitch Ratings has affirmed CVC Cordatus Loan Fund XVI DAC and
revised the Outlooks on the class D, E and F notes to Stable from
Negative.

CVC Cordatus Loan Fund XVI DAC

      DEBT                 RATING           PRIOR
      ----                 ------           -----
A-1 XS2078646093    LT  AAAsf   Affirmed    AAAsf
A-2 XS2078646689    LT  AAAsf   Affirmed    AAAsf
B XS2078647497      LT  AAsf    Affirmed    AAsf
C-1 XS2078647901    LT  Asf     Affirmed    Asf
C-2 XS2078648545    LT  Asf     Affirmed    Asf
D XS2078649436      LT  BBB-sf  Affirmed    BBB-sf
E XS2078649782      LT  BB-sf   Affirmed    BB-sf
F XS2078650103      LT  B-sf    Affirmed    B-sf
X XS2078645954      LT  AAAsf   Affirmed    AAAsf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Resilient to Coronavirus Stress

The affirmation of all notes and revision of the Outlooks revision
on the class D to F notes to Stable from Negative reflect the
resilience of the portfolio to the sensitivity analysis ran in
light of the coronavirus pandemic. Fitch recently updated its CLO
coronavirus stress scenario to assume half of the corporate
exposure on Negative Outlook is downgraded by one notch (floored at
'CCC+') instead of 100%.

The class E and F notes' ratings deviate one notch from the
model-implied ratings. The mild shortfall at the current rating is
driven by the back-default timing, which is not Fitch's base case
expectation. Given the steady performance with above average
portfolio credit quality and a relatively low 'CCC' exposure,
downgrades to the next rating category are unlikely. This is
reflected in the affirmation of both classes and revision of their
Outlooks to Stable.

Steady Portfolio Quality

The portfolio's weighted average credit quality is 'B'/'B-'. By
Fitch's calculation, the portfolio weighted average rating factor
(WARF) is 33.1, unchanged from Fitch's calculated WARF in the
latest review in November 2020. Assets with a Fitch-derived rating
(FDR) on Negative Outlook make up 27% of the portfolio balance. The
portfolio WARF would increase by 1.3 points in the coronavirus
sensitivity analysis. Assets with a FDR in the 'CCC' category or
below make up about 4.3% of the collateral balance if including
0.7% unrated assets.

The transaction is slightly below par. Most tests including the
'CCC' test are passing although the reported weighted average
spread, weighted average recovery rate and the top 10 obligor
limits are showing marginal failure. However, the manager can
switch to another matrix point. Furthermore, the portfolio is
diversified with the top 10 obligors and the largest obligor at
15.1% and 1.7%, respectively.

Senior secured obligations comprise 99% of the portfolio, which
have more favourable recovery prospects than second-lien, unsecured
and mezzanine assets. Fitch's weighted average recovery rate of the
current portfolio based on the investor report is 64.8%.

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
    higher loss expectation than initially assumed due to
    unexpected high level of default and portfolio deterioration.
    However, this is not Fitch's base case scenario.

Coronavirus Downside Sensitivity: Fitch has added a sensitivity
analysis that contemplates a more severe and prolonged economic
stress in the major economies. The downside sensitivity applies a
notch downgrade to the FDRs of the corporate exposures on Negative
Outlook (floored at CCC+) and this sensitivity results in no
downgrades of the class A to C notes, a one-notch downgrade for the
class D and E notes and a two-notch downgrade of the class 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

CVC Cordatus Loan Fund XVI 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.

GLENBEIGH 2: DBRS Gives Prov. BB (low) Rating on Class F Notes
--------------------------------------------------------------
DBRS Ratings GmbH assigned provisional ratings to the following
classes of notes to be issued by Glenbeigh 2 Issuer DAC (Glenbeigh
2 or the Issuer):

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

The provisional rating on the Class A Notes addresses the timely
payment of interest and the ultimate repayment of principal on or
before the final maturity date. The provisional rating on the Class
B Notes addresses the timely payment of interest once most senior
and the ultimate repayment of principal on or before the final
maturity date. The provisional ratings on the Class C, Class D,
Class E, and Class F notes address the ultimate payment of interest
and repayment of principal by the final maturity date. DBRS
Morningstar does not rate the Class Z Notes, Class S Instruments
(Class S1 and Class S2, together Class S), Class Y Instrument, or
the VRR loan (Citibank, N.A., London Branch will retain at least 5%
of each Class of Notes and the Instruments in the form of the VRR
loan) to be issued in this transaction.

The proceeds from the issuance of the collateralized notes will be
used to purchase a buy-to-let (BTL) residential mortgage portfolio
originated by Permanent TSB Plc (PTSB; the originator or the
original seller). The portfolio was purchased by Citibank, N.A.,
London Branch (the sponsor) on November 13, 2020, and the
beneficial interest was immediately transferred to Glenbeigh 2
Seller DAC (the interim seller). On the closing date, the
beneficial interests will be sold to the Issuer via multiple
interim sellers.

The issuance structure under Glenbeigh 2 offers subordination and
liquidity support for regular payments on the notes, through
separate revenue and principal priority of payments. The structure
features an amortizing liquidity reserve fund (LRF) of 2.5% of the
Class A outstanding balance (including the equivalent VRR loan
proportion); it will be funded at closing of the transaction, and
will provide liquidity support to the Class A Notes and the Class S
instruments. Additional credit support could be provided by the
general reserve fund (GRF); it will be equal to 2.5% of the Class A
closing balance (including the equivalent VRR loan proportion)
minus the LRF.

Typical to Irish RMBS, the transaction will also feature a
provisioning mechanism in the transaction, linked to the arrears'
status of a loan in addition to provisioning based on losses. The
degree of provisioning grows the longer a loan is in arrears.
Additionally, recoveries will form part of principal funds, thus
helping in faster repayment of Class A, which would otherwise be
used in payment of interest on junior notes.

As of December 31, 2020, the portfolio consisted of 781 loans with
an aggregate outstanding balance of EUR 299.5 million. Most of
these loans were securitized in the Fastnet transactions, which
were rated by DBRS Morningstar. All of the mortgage loans in the
provisional portfolio are classified as BTL loans and are secured
by a first-ranking mortgage right. About 13.5% of the loans have
been restructured in the past, of which about 4.5% of the loans in
the portfolio were restructured in the past three years. For most
of these recent restructures, the borrower has agreed to an
increase in the monthly payment (i.e., positive restructures).

There are no loans in 90 days past due (DPD) delinquency, but there
are about 1.22% of the loans in 30 to 90 DPD delinquency, including
which a total of 4.75% of the loans are in 0 to 90 DPD delinquency.
About 36.8% of the portfolio has been given to borrowers flagged as
self-employed or unemployed. About 86.2% of the portfolio consists
of interest-only (IO) loans, with 13.0% being part and part loans,
and the remaining being annuities. None of the loans were or have
been granted payment holidays as a response to the Coronavirus
Disease (COVID-19) pandemic.

The representations and warranties given by the original seller
(PTSB), in the event of a breach, are time limited and monetarily
capped. These limitations are mitigated because of the seasoning of
the portfolio and the restructured nature of some loans (which
would have required a detailed loan file scrutiny and a refresh of
the borrower's financial status). Furthermore: the day-to-day
servicing and the legal title of the mortgage loans is expected to
be transferred from PTSB to Pepper Finance Corporation (Ireland)
DAC by March 26, 2021.

Citibank, N.A., London Branch (Citibank London) will act as Issuer
account bank. Based on the DBRS Morningstar private rating of
Citibank London, the downgrade provisions outlined in the
documents, and the transaction structural mitigants, DBRS
Morningstar considers the risk arising from the exposure to
Citibank London to be consistent with the ratings assigned to the
rated notes as described in DBRS Morningstar's "Legal Criteria for
European Structured Finance Transactions" methodology.

DBRS Morningstar based its ratings on a review of the following
analytical considerations:

-- The transaction's capital structure, including the form and
sufficiency of available credit enhancement.

-- The credit quality of the mortgage loan portfolio and the
ability of the parties to perform servicing and collection
activities.

-- DBRS Morningstar estimated stress-level probability of default
(PD), loss given default (LGD), and expected losses (EL) on the
mortgage portfolio. The PD, LGD, and EL are used as inputs into the
cash flow engine. The mortgage portfolio was analyzed in accordance
with DBRS Morningstar's "Master European Residential
Mortgage-Backed Securities Rating Methodology and Jurisdictional
Addenda".

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay the noteholders according to the terms and
conditions of the notes. The transaction cash flows were analyzed
using Intex DealMaker.

-- The Republic of Ireland's sovereign rating of A (high)/R-1
(middle) with Stable trends as of the date of this press release.

-- The consistency of the transaction's legal structure with DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology and the presence of legal opinions
addressing the assignment of the assets to the issuer.

-- The relevant counterparties, as rated by DBRS Morningstar, are
appropriately in line with DBRS Morningstar's legal criteria to
mitigate the risk of counterparty default or insolvency.

-- The structural mitigants in place to avoid potential payment
disruptions caused by operational risk, such as a downgrade, and
replacement language in the transaction documents.

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

Notes: All figures are in Euro unless otherwise noted.


HALCYON LOAN 2018-1: Fitch Affirms B- Rating on Class F Notes
-------------------------------------------------------------
Fitch Ratings has revised the Outlooks on Halcyon Loan Advisors
European Funding 2018-1 Designated Activity Company's class D, E
and F notes to Stable from Negative and affirmed the ratings on all
notes.

Halcyon Loan Advisors European Funding 2018-1 DAC

      DEBT                 RATING            PRIOR
      ----                 ------            -----
A-1 XS1840846437    LT  AAAsf   Affirmed     AAAsf
A-2 XS1840846783    LT  AAAsf   Affirmed     AAAsf
B-1 XS1840846940    LT  AAsf    Affirmed     AAsf
B-2 XS1840847161    LT  AAsf    Affirmed     AAsf
C XS1840847328      LT  Asf     Affirmed     Asf
D XS1840847674      LT  BBB-sf  Affirmed     BBB-sf
E XS1840848565      LT  BB-sf   Affirmed     BB-sf
F XS1840847914      LT  B-sf    Affirmed     B-sf

TRANSACTION SUMMARY

Halcyon Loan Advisors European Funding 2018-1 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 96bp as of the latest
investor report available. As per the report, all portfolio profile
tests, coverage tests and collateral quality tests are passing
except for Fitch WARF and Fitch 'CCC' obligation tests. As of 20
March 2021, exposure to assets with a Fitch-derived rating of
'CCC+' and below is 12.96% (excluding unrated assets), or 14.54% if
including unrated assets, above the limit of 7.5%. The report also
states two defaulted assets comprising 75bp of the Aggregate
Collateral Balance.

Resilience to Coronavirus Stress:

The affirmation reflects a mostly stable portfolio credit quality.
The Stable Outlook on all investment-grade notes, and the revision
of the Outlook on class D, E and F notes to Stable from Negative
reflect the default rate cushion in the sensitivity analysis run 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 of 20 March 2021, the Fitch-calculated
weighted average rating factor (WARF) of the portfolio was 36.52,
slightly higher than the trustee-reported WARF of 8 March 2021 of
36.17, due to rating migration and considering unrated assets as
'CCC'.

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
65.4%, as per the report.

Portfolio Well Diversified:

The portfolio is well diversified across obligors, countries and
industries. The top 10 obligors' concentration is 14.86% and no
obligor represents more than 2.2% of the portfolio balance.
According to Fitch's calculation, the largest industry is chemicals
at 13.6% of the portfolio balance, against limits of 17.5%.

RATING SENSITIVITIES

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

-- At closing, Fitch used a standardised stress portfolio
    (Fitch's stressed portfolio) customised to the limits
    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, by natural credit migration and
    due to 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 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 will
    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 one-notch
downgrade to all the corporate exposure on Negative Outlook. This
scenario results in a one-notch downgrade of the model-implied
ratings for the class 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

Halcyon Loan Advisors European Funding 2018-1 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 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.

HAYFIN EMERALD I: Moody's Assigns B3 (sf) Rating to Class F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by Hayfin
Emerald CLO I DAC (the "Issuer"):

EUR247,250,000 Class A Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

EUR29,750,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR15,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

EUR25,500,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

EUR28,400,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

EUR21,600,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Ba3 (sf)

EUR10,900,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned 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 issues the refinancing notes in connection with the
refinancing of the following classes of notes: Class X Notes, Class
A-1 Notes, Class A-2 Notes, Class A-3 Notes, Class B Notes, Class C
Notes, Class D Notes, Class E Notes and Class F Notes due in 2031
(the "Original Notes"). On the refinancing date, the Issuer uses
the proceeds from the issuance of the refinancing notes to redeem
in full the Original Notes.

In addition, the CLO issues the Class M notes that, on each payment
date, will receive a Subordinated Class M Return Amount (0.35% pa
of collateral principal amount).

On the Original Closing Date, the Issuer also issued EUR42,050,000
Subordinated Notes due 2034, which will remain outstanding. The
terms and conditions of the subordinated notes are amended in
accordance with the refinancing notes' conditions.

As part of this full refinancing, the Issuer renews the
reinvestment period at four and a half years and extends the
weighted average life test to 8.5 years. It also amends certain
concentration limits, definitions and minor features. In addition,
the Issuer amends the base matrix and modifiers that Moody's has
taken into account for the assignment of the definitive ratings.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior obligations, second-lien loans, high yield bonds and
mezzanine obligations. The underlying portfolio is expected to be
fully ramped as of the closing date.

Hayfin Emerald Management LLP ("Hayfin") manages the CLO. It
directs 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 and a half
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.

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 pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of corporate assets from a gradual and unbalanced
recovery in global economic activity.

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: EUR406.8m

Diversity Score: 47*

Weighted Average Rating Factor (WARF): 2950

Weighted Average Spread (WAS): 3.60%

Weighted Average Recovery Rate (WARR): 42.50%

Weighted Average Life (WAL): 8.5 years

JUBILEE CLO 2017-XVIII: Fitch Affirms B- Rating on Class F Notes
----------------------------------------------------------------
Fitch Ratings has revised the Outlook on Jubilee CLO 2017-XVIII DAC
class D, E and F notes to Stable from Negative. All ratings have
been affirmed.

Jubilee CLO 2017-XVIII DAC

     DEBT               RATING         PRIOR
     ----               ------         -----
A XS1619572164   LT  AAAsf  Affirmed   AAAsf
B XS1619572917   LT  AAsf   Affirmed   AAsf
C XS1619573568   LT  Asf    Affirmed   Asf
D XS1619574376   LT  BBBsf  Affirmed   BBBsf
E XS1619574962   LT  BBsf   Affirmed   BBsf
F XS1619575183   LT  B-sf   Affirmed   B-sf

TRANSACTION SUMMARY

Jubilee CLO 2017-XVIII DAC.is a securitisation of mainly senior
secured loans (at least 90%) with a component of senior unsecured,
mezzanine and second-lien loans. The portfolio is managed by
Alcentra Ltd. The reinvestment period ends in July 2021.

KEY RATING DRIVERS

Resilient to Coronavirus Stress

The affirmation reflects the broadly stable portfolio credit
quality since July 2020. The Stable Outlooks on the class A, B and
C notes and the revision of the Outlooks on the class D, E and F
notes to Stable from Negative reflect the default rate cushion in
the sensitivity analysis ran in light of the coronavirus pandemic.

Fitch recently updated its CLO coronavirus stress scenario to
assume half of the corporate exposure on Negative Outlook is
downgraded by one notch instead of 100%.

Portfolio Performance

As of the latest investor report dated 3 March 2021, the
transaction was 1.15% below par and all portfolio profile tests,
coverage tests and collateral quality tests were passing, except
for the Fitch weighted average rating factor (WARF), Fitch weighted
average recovery rate, weighted average life test and Fitch
portfolio profile test. As of the same report, the transaction had
one defaulted asset. Exposure to assets with a Fitch-derived rating
(FDR) of 'CCC+' and below was 8.20 % (excluding unrated assets).
Assets with an FDR on Negative Outlook made up 19% of the portfolio
balance.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors in the
'B'/'B-' category. The Fitch WARF of the current portfolio is 35.51
(assuming unrated assets are 'CCC') - above the maximum covenant of
34.00, while the trustee-reported Fitch WARF was 34.85.

High Recovery Expectations

Senior secured obligations make up 98.3% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top 10 obligors represent 16.9% of the portfolio
balance with no obligor accounting for more than 1.9%. Around 34%
of the portfolio consists of semi-annual obligations but a
frequency switch has not occurred due to the transaction's high
interest coverage ratios.

Cash Flow Analysis

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

RATING SENSITIVITIES

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

-- The transaction features a reinvestment period and the
    portfolio is actively managed. At closing, Fitch used a
    standardised stress portfolio (Fitch's stressed portfolio)
    that was customised to the portfolio limits as specified in
    the transaction documents. Even if the actual portfolio shows
    lower defaults and smaller losses (at all rating levels) than

-- Fitch's stressed portfolio assumed at closing, an upgrade of
    the notes during the reinvestment period is unlikely, as the
    portfolio's credit quality may still deteriorate, not only
    through natural credit migration, but also through
    reinvestments.

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

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

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

Coronavirus Downside Sensitivity

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies. The downside sensitivity
incorporates a single-notch downgrade to all FDRs for assets that
are on Negative Outlook. In this case the model-implied ratings for
the class E and F notes would be one notch below their current
ratings.

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

Jubilee CLO 2017-XVIII 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.



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

CREDITO VALTELLINESE: DBRS Confirms BB (high) LT Issuer Rating
--------------------------------------------------------------
DBRS Ratings GmbH confirmed the ratings of Credito Valtellinese SpA
(Creval or the Bank) including the Long-Term Issuer Rating of BB
(high) and the Short-Term Issuer Rating of R-3. The trend on all
ratings remains Stable. The Bank's Deposit ratings were confirmed
at BBB (low)/R-2 (middle), one notch above the Intrinsic Assessment
(IA), reflecting the legal framework in place in Italy which has
full depositor preference in bank insolvency and resolution
proceedings. DBRS Morningstar has also maintained the Bank's IA at
BB (high) and support assessment at SA3.

KEY RATING CONSIDERATIONS

The confirmation of the ratings takes into account the Group's
significant progress in reducing its non-performing exposures
(NPEs), which has left the Bank with a much cleaner asset quality
profile. Specifically, the Bank proceeded with an additional EUR
800 million of disposals in 2020, which brought the NPE ratio below
the Group's target for 2023. However, as for other Italian banks,
we also take into account the likely formation of new NPEs this
year, when moratoria expire.

The ratings also incorporate the Bank's robust capital levels,
which remains at the higher-end of its domestic peer group and well
above regulatory requirements. We view the latter as key to absorb
the potential fallout from the crisis. In addition, ratings are
underpinned by the Bank's solid small to medium sized franchise,
with a meaningful presence in retail and commercial banking in the
region of Lombardy, especially in its home province of Sondrio, and
Sicily. The rating action also takes into account Creval's solid
retail funding base and sound liquidity profile.

Nonetheless, the ratings also take into account that, whilst
profitability has improved, it still reflects core revenue pressure
due to the low interest rate environment, the potential de-risking
and the still high cost of credit. In addition, the ratings also
reflect our expectation that Creval, as with other Italian banks,
will likely experience pressure on earnings in the year ahead as a
result of COVID-19.

RATING DRIVERS

An upgrade is unlikely whilst Italy is still experiencing the
current challenging economic outlook. An upgrade of the Long-Term
ratings would require the Bank to demonstrate sustained
profitability whilst maintaining their current asset quality
profile

A downgrade would be driven by a significant deterioration of the
Bank's profitability and asset quality. A material deterioration of
capital buffers could also lead to a downgrade.

RATING RATIONALE

Creval is a small-medium sized retail and commercial bank, with a
meaningful presence in Lombardy, especially in its home province of
Sondrio, as well as in Sicily. The Bank is in the second year of
its strategic plan for 2019-2023, which encompasses a larger
contribution from retail business, especially fee-generating
activities such as bancassurance as well as income from consumer
lending. In addition, the Bank has been committed to improving
efficiency and asset quality, which was already evidenced in 2020
despite the COVID 19 crisis, even achieving the targets ahead of
the Bank's business plan. The Bank could be acquired in 2021 as
Credit Agricole Italia, a 75.6% owned subsidiary of Credit Agricole
S.A., has made a voluntary public tender offer in cash for all
ordinary shares of Creval for EUR 737 million. The process is still
ongoing and we will be monitoring further developments regarding
the potential acquisition. If the acquisition goes ahead, DBRS
Morningstar anticipates Creval's ratings would be upgraded to
reflect the strengths of its new shareholder structure.

DBRS Morningstar notes the Bank's profitability continued to
improve despite the challenging operating environment which
translated into revenue pressure and high cost of credit. In
particular, a continued emphasis on cost reduction, with operating
costs down 9% YoY, enabled the Bank to mitigate the negative
effects of the COVID-19 crisis. However, we consider that Creval,
as with other Italian banks, is likely to experience pressure on
earnings in the year ahead, especially stemming from the still high
cost of risk. Creval reported EUR 113.2 million net profit for FY
2020, doubling its net profit from FY 2019. This was mainly driven
by lower provisions from a high base in FY 2019 due to the increase
in coverage to facilitate NPE disposals finalized in FY 2020 as
well as lower costs related to the Bank's transformation plan which
more than offset revenue pressure.

Creval's risk profile continued to improve in 2020, now comparing
favorably with its domestic peers. The total stock of NPEs
continued to decrease to EUR 0.9 billion at end-2020, down from EUR
1.5 billion at end-2019, and the Bank executed several NPE sales
for around EUR 800 million. As a result, the Gross NPE ratio
improved to 5.8% from 9.4% at end-2019 (and 11.0% at end-2018). Net
of provisions, the Bank's net NPE ratio also improved to 3.1% at
end-2020 from 4.7% a year earlier. However, we expect new NPEs will
likely appear in 2021 with the ending of the support provided by
the moratoria schemes.

DBRS Morningstar views Creval's funding profile as solid, supported
by its large deposit retail franchise. At end-2020, customer
deposits and certificates of deposits accounted for 90% of the
Bank's total funding, up from 85% at end-2019. This is due to the
increase in central bank deposits, especially TLTRO 3 amidst the
COVID-19 crisis. Creval's liquidity position remains adequate with
a large stock of liquid assets amply covering retail and wholesale
maturities.

DBRS Morningstar views as positive that Creval maintains ample
cushions above its minimum capital requirements. The CET1 ratio
(fully loaded) was 19.6% at end-2020 compared to 15.5% at end-2019,
mostly thanks to retained earnings and risk-weighted asset (RWA)
optimization. The fully loaded Total Capital Ratio stood at 21.8%
at end-2020 compared to 17.7% at end-2019.

Notes: All figures are in EUR unless otherwise noted.




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

ARCELORMITTAL SA: Fitch Affirms BB+ LT IDR, Alters Outlook to Pos.
------------------------------------------------------------------
Fitch Ratings has revised ArcelorMittal S.A.'s (AM) Outlook to
Positive from Negative while affirming the steel group's Long-Term
Issuer Default Rating (IDR) and senior unsecured ratings at 'BB+'.

The Positive Outlook reflects the group's revised
capital-allocation framework addressing shareholder distributions,
decisive actions by AM to preserve its financial profile during the
pandemic that resulted in absolute debt reduction as well as
forecast deleveraging and positive free cash flow (FCF) generation.
A faster-than-expected rebound in steel markets, plus announced
measures to optimise costs, a streamlined asset base and gains from
realisation of organic growth projects, have led to upward
revisions of Fitch's forecasts.

Fitch expects AM to use cash flow generated during the current
market peak in a balanced approach between debt reduction,
shareholder returns and investment targets. As AM's net debt target
of USD7 billion already achieved in 2020 is below Fitch-adjusted
debt, Fitch would expect the group to continue repaying gross debt
and adhere to more stringent debt ratios than its public guidance,
which would be commensurate with a rating upgrade.

KEY RATING DRIVERS

Navigating Through 2020: AM addressed pandemic pressures with
measures to preserve FCF and strengthen its balance sheet,
including USD2 billion common shares and hybrid issuance, dividend
suspension and optimisation of fixed costs. Coupled with market
recovery these resulted in a stronger performance than Fitch
expected with EBITDA of USD4.3 billion in 2020. AM's reported net
debt fell to USD6.4 billion, its lowest ever and below its target
of USD7 billion, hence allowing it to recommence shareholder
distributions. However, on a Fitch-adjusted basis funds from
operations (FFO) gross leverage was 7.4x (5.4x net), largely
exceeding Fitch's negative rating sensitivity.

Strong 2021 Expected: Steel companies responded to a
pandemic-induced fall in demand in a disciplined manner with idling
up to 30% capacities or by operating at reduced run rates in 2020.
Since lockdowns were eased, capacity restarts have been lagging
demand recovery and along with low inventories, led to a shortage
in the value chain, translating into a price rally and high
margins. Fitch expects the current price gains to be short-lived,
but they will support 1H21 results, given European steelmakers'
full order books. Fitch forecasts AM's reported EBITDA at close to
USD9.5 billion in 2021 with possible upside depending on the pace
of price moderation.

New Financial Policy: The capital-return policy introduced in
February completed AM's capital-allocation framework, which
envisages a progressive base dividend of a proposed USD330 million,
starting in 2021. After the dividend is paid out, remaining FCF
will be divided between share buybacks and retention. Share
buybacks are subject to net debt/EBITDA being below 1.5x; otherwise
only the base dividend is paid.

Further Debt-Reduction Potential: Fitch expects AM to take a
balanced approach to distributing excess cash flows between
shareholder returns, capital investments and debt repayment. Strong
FCF generation in 2021-2022, coupled with anticipated high cash
balances, would allow the group to repay gross debt, which would
translate into FFO gross leverage of 2.8x, a level that is
commensurate with investment- grade rating. Fitch's guidance for
the investment-grade rating is tighter than AM's stated financial
policy due to debt adjustments of USD8.6 billion, and Fitch would
therefore expect AM to pursue more stringent leverage metrics
compared with the targeted levels.

Ilva Deconsolidation Credit Positive: The new arrangement between
AM and Invitalia, an Italian state-owned company, to form a
public-private partnership to recapitalise Ilva will allow AM to
deconsolidate the loss-making entity. Invitalia will primarily fund
the EUR1.9 billion capex for the asset turnaround while AM's
contribution is expected to be limited to EUR70 million. Ilva will
be operated as a joint venture (JV) between AM and Invitalia.

Organic Growth in Focus: Sale of its US assets and the new
agreement on Ilva streamline AM's asset portfolio and allow more
focused investments in strategic projects. Key investment projects
with a total budget of US1.5 billion include two projects in the
growing markets in Brazil and Mexico and recommencement expansion
in Liberia that will add 10 million tonnes (mt) iron ore production
by 2024. These projects are expected to add USD600 million EBITDA
by 2024.

Above-Average Cost Position: CRU estimates that AM's lowest-cost
operations in Ukraine and Brazil sit in the first quartile and
higher-cost operations in Europe and NAFTA in the second to fourth
quartile. The cost position of its iron ore mines is also above
average. During the pandemic AM reduced fixed costs to align with
lower production and identified several ways to make permanent
fixed-cost reductions by closing less efficient facilities,
reducing overheads, insourcing of the repair function and
increasing productivity. These measures should reduce costs by USD1
billion in total by 2022.

Environmental Agenda: AM Europe aims to reduce Scope 1 carbon
dioxide emissions in steelmaking by 30% by 2030 and to achieve net
zero emissions by 2050. In the medium term emissions can be reduced
by a higher use of scrap in steelmaking and increased application
of carbon capture and utilisation. These are less capex-intensive
and expected capex requirements are included in AM's budget. In the
longer run carbon-neutral steelmaking is expected to rely on the
direct reduced iron-EAF (electric arc furnace) route based on
renewable energy. The cost of such transformation is significant,
but given uncertainty around the regulatory framework and
availability of technologies, Fitch is not incorporating it into
Fitch's forecast.

Capturing Growth Potential in India: AM has a 60% share in AMNS
India JV with Nippon Steel & Sumitomo Metal Corporation that
acquired the distressed Essar Steel. Essar is the fourth-largest
Indian steel producer with up to 7.5 mt capacity and high
self-sufficiency in iron ore and pellets. In 2020 Essar produced
6.6 mt crude steel and generated EBITDA of USD679 million. Net debt
/EBITDA was around 6x, with no debt maturities in the next four
years under its USD5.1 billion 2030 term loan facility. AM
guarantees USD3.1 billion of AMNS's debt, which Fitch adds to AM's
adjusted indebtedness.

Fitch expects AMNS to be self-reliant and to reinvest internally
generated cash flow to finance its turnaround as well as its growth
plans (of about USD2.6 billion) over the coming five years. At the
same time, Fitch does not assume any dividend contributions over
the next four years.

Significant Scale and Diversification: AM is the world's
second-largest steel producer by actual output and installed
capacity with a leading position in its key regions. AM is the
world's most diversified steel producer by product type, industrial
application and geography. It benefits from vertical integration
into iron ore. It also has a strong product mix, with a significant
share of high value-added products, being the global leader in
automotive steels.

DERIVATION SUMMARY

AM is the second-largest global steel producer with 71.5 mt of
output in 2020 and ranks behind only China Baowu Steel Group
Corporation Limited (A/Stable; 'bbb' Standalone Credit Profile),
which has become the largest producer through a series of
consolidations. AM is the largest steel producer in Europe,
accounting for around 20% of the market, has over a 30% market
share in Brazil, over 50% each in Canada and Africa and is the
fifth-largest steel producer in the CIS. It is also exposed to
developing Indian, Chinese and US markets via JVs.

AM's peers include China Baowu Steel Group Corporation Limited,
Gerdau S.A. (BBB-/Stable), PAO Severstal (BBB/Stable), PJSC
Novolipetsk Steel (NLMK) (BBB/Stable), PJSC Magnitogorsk Iron &
Steel Works (BBB/Stable) and EVRAZ plc (BB+/Stable).

Baowu' rating is supported by substantial operating scale, strong
profitability, low-cost operations, cash flow generation, an
adequate financial structure and state support. The rating also
takes into account its lack of raw material self-sufficiency and
lower diversification. Similarly to AM, Baowu is largely exposed to
the automotive sector with AM being the largest steel supplier to
automotive with around a 17% global market share while Baowu ranks
third.

Gerdau is smaller in scale than AM. It is geographically
diversified across the Americas and its EAF mini-mills-based
profile provides high operating flexibility. The ability to source
scrap, largely internally, allows it to lock in stable margins
between scrap and steel prices. Gerdau, like ArcelorMittal Brazil,
has a leading position on the Brazilian steel market. Gerdau's
leverage profile compares favourably, following the company's
asset-divestment strategy that led to a material reduction in gross
debt, with leverage expected at around 2.5x in the next three years
and tested commitment to a sound financial structure.

Russian peers PAO Severstal, NLMK and MMK are less geographically
diversified, with the sales of Severstal and MMK focused on the
domestic market (60%-70% share of domestic sales), while NLMK's
sales are spread across Russia, Europe and partly the US. AM has a
higher value-added and more sophisticated product mix than the
Russian companies. The three Russian peers sit in the first
quartile of the global steel cost curve due to higher raw-materials
integration, domestic-currency weakness against the US dollar and
lower energy costs. Their leverage profiles are some of the
strongest in the steel industry, supported by conservative
financial targets, with FFO gross leverage below 1.5x.

KEY ASSUMPTIONS

-- Iron ore and coking coal prices in line with Fitch's commodity
    price assumptions. Iron ore: USD125/t in 2021, USD90/t in
    2022, USD80/t in 2023 and USD70/t afterwards. Coking coal:
    USD135/t in 2021-2022, USD140/t in 2023 and thereafter;

-- Mid-single digit decline in steel shipments in 2021 due to the
    sale of US assets and deconsolidation of Ilva, followed by low
    double-digit growth until 2023;

-- EBITDA margin in the steel segment to retreat from the peak of
    2021 towards a normalised level;

-- Capex of around USD3 billion per year in the next four years;

-- Progressive increase in dividend and half of FCF (AM's
    definition) to be used for share buybacks as projected net
    debt/EBITDA remains within its target;

-- Working capital accumulation in 2021 and partial reverse in
    2022.

RATING SENSITIVITIES

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

-- FFO leverage sustainably below 2.8x (gross) and 2.3x (net).

-- Deployment of excess cash towards gross debt reduction and
    commitment to a revised capital- allocation policy with a
    balanced approach between deleveraging and shareholder
    returns.

-- EBITDA margin above 10% on a sustained basis.

-- FCF (post dividends) margin above 2% on a sustained basis.

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

-- Since the rating is on Positive Outlook, negative rating
    action is unlikely at least in the short term. However,
    inability to reduce FFO leverage to below 2.8x (gross) and
    2.3x (net) would result in the Outlook being revised to
    Stable.

-- FFO leverage sustained above 3.8x (gross) and 3.3x (net) would
    put negative pressure on the rating.

-- EBITDA margin below 8% on a sustained basis.

-- Persistently negative FCF (post-dividend).

-- Failure to carry out debt reduction due to large debt-funded
    M&A, aggressive capex, increased shareholder distributions or
    a weaker steel market.

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

Strong Liquidity: As of end-2020, AM had USD11.1 billion of
liquidity including around USD5.6 billion of readily available cash
and USD5.5 billion of fully available long-term committed revolving
credit facilities that mature at end-2025 (apart from USD100
million that matures at end-2023). This compares with about USD2.5
billion of short-term debt maturities.

Liquidity is also supported by AM's EUR1.5 billion commercial paper
programme (EUR1 billion used at end- 2020) and solid capital-market
access. Fitch also forecasts that AM will generate post-dividend
FCF in the next three years.

SUMMARY OF FINANCIAL ADJUSTMENTS

-- Fitch reclassified leases as other liabilities, effectively
    reducing balance-sheet debt by about USD815 million at end
    2020. Furthermore, Fitch has reclassified USD212 million of
    depreciation of right- of-use assets and USD66 million of
    interest on lease liabilities as lease expenses, reducing
    Fitch EBITDA by USD278 million in 2019.

-- Fitch adjusted balance-sheet debt as at end-2020 by including
    the utilised amount of the true sale of receivables programme
    of about USD3.8 billion.

-- USD1 billion mandatory convertible bonds reclassified as debt
    instead of non-controlling interest and other liabilities
    reported in the financial statements.

-- Fitch assigned 50% equity credit to USD1 billion of mandatory
    convertible subordinated notes.

-- Fitch adjusted EBITDA by non-recurring impairment charges of
    USD211 million.

-- Fitch added debt of third parties and AM's joint ventures
    (excluding Calvert JV and counter guarantee from Prime
    Shipping Investments Limited) guaranteed by AM of USD4.2
    billion to AM's debt.

ESG CONSIDERATIONS

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



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

GREEN STORM 2021: Moody's Assigns Ba1 Rating to Sub. Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to Notes
issued by Green STORM 2021 B.V.:

EUR500.0M Senior Class A Mortgage-Backed Notes 2021 due 2068,
Definitive Rating Assigned Aaa (sf)

EUR9.2M Mezzanine Class B Mortgage-Backed Notes 2021 due 2068,
Definitive Rating Assigned Aa1 (sf)

EUR8.6M Mezzanine Class C Mortgage-Backed Notes 2021 due 2068,
Definitive Rating Assigned Aa2 (sf)

EUR8.6M Junior Class D Mortgage-Backed Notes 2021 due 2068,
Definitive Rating Assigned A1 (sf)

EUR5.3M Subordinated Class E Notes 2021 due 2068, Definitive
Rating Assigned Ba1 (sf)

RATINGS RATIONALE

The Notes are backed by a 5-year revolving pool of Dutch
residential mortgage loans originated by Obvion N.V. (NR). The
mortgage loans in this portfolio qualify as energy efficient under
the Green Bond Principles and the Climate Bond Low Carbon Housing
Standards and relate to residential buildings that belong to the
top 15% of the Dutch residential mortgage market in terms of energy
efficiency or refurbished houses that have shown at least a 30%
improvement in energy efficiency, selected under certain Green
Eligibility Criteria.

The portfolio of assets amounts to approximately EUR526.4 million
(net of savings deposits) as of February 2021 pool cut-off date.
The transaction benefits from a non-amortising reserve fund, funded
at 1.01% of the total Class A to D Notes' amount at closing,
building up to 1.3% by trapping available excess spread. Credit
enhancement for Class A Notes at closing is provided by 5.0%
subordination, the 1.01% non-amortising reserve fund, and excess
spread. The transaction represents the 52nd issuance out of the
STORM label.

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

According to Moody's, the transaction benefits from various credit
strengths such as a granular portfolio and a non-amortising reserve
fund. However, Moody's notes that the transaction features some
credit weaknesses such as an unrated servicer and a long revolving
period. Various mitigants have been included in the transaction
structure such as performance triggers which will stop the
revolving period if pool performance deteriorates.

Moody's determined the portfolio lifetime expected loss of 0.6% and
Aaa MILAN credit enhancement ("MILAN CE") of 7.4% 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 0.6%: This is in line with the Dutch
RMBS sector and is based on Moody's assessment of the lifetime loss
expectation for the pool taking into account: (i) the availability
of the NHG-guarantee for 10.9% of the loan parts in the pool at
closing, which can reduce during the replenishment period to 8.0%;
(ii) the performance of the seller's precedent transactions; (iii)
benchmarking with comparable transactions in the Dutch RMBS market;
(iv) the current economic conditions in the Netherlands; and (v)
historical recovery data of foreclosures received from the seller.

MILAN CE of 7.4%: This is in line with the Dutch RMBS sector
average and follows Moody's assessment of the loan-by-loan
information taking into account the following key drivers: (i) the
percentage of the NHG-guaranteed loans (10.9%), which can reduce
during the replenishment period to 8.0%; (ii) the replenishment
period of five years during which there is a risk of deterioration
in pool quality through the addition of new loans; (iii) the
Moody's calculated weighted average current loan-to-market-value
(LTMV) of 64.0%; which is slightly lower than LTMVs observed in
other Dutch RMBS transactions; (iv) the proportion of interest-only
loan parts (40.1%); and (v) the weighted average seasoning of 3.9
years.

CURRENT ECONOMIC UNCERTAINTY:

The coronavirus pandemic has had a significant impact on economic
activity. Although global economies have shown a remarkable degree
of resilience to date and are returning to growth, the uneven
effects on individual businesses, sectors and regions will continue
throughout 2021 and will endure as a challenge to the world's
economies well beyond the end of the year. While persistent virus
fears remain the main risk for a recovery in demand, the economy
will recover faster if vaccines and further fiscal and monetary
policy responses bring forward a normalization of activity. As a
result, there is a heightened degree of uncertainty around Moody's
forecasts. Moody's analysis has considered the effect on the
performance of consumer assets from a gradual and unbalanced
recovery in Dutch economic activity.

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

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

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

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

Factors 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 may lead to a downgrade of the ratings of the Notes
include, significantly higher losses compared to Moody's
expectations at closing, due to either a significant, unexpected
deterioration of the housing market and the economy, or performance
factors related to the originator and servicer.



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

MADEIRA REGION: DBRS Confirms BB (high) LongTerm Issuer Rating
--------------------------------------------------------------
DBRS Ratings GmbH confirmed the Long-Term Issuer Rating of the
Autonomous Region of Madeira (Madeira) at BB (high) and its
Short-Term Issuer Rating at R-4. The trend on all ratings remains
stable.

KEY RATING CONSIDERATIONS

Madeira's ratings are underpinned by (1) the region's track record
of improving its debt metrics prior to the crisis; (2) the
financial oversight and support to the regional government from the
Republic of Portugal (BBB (high), Stable); and (3) Madeira's
enhanced control over its indirect debt as well as its commercial
liabilities through a gradual re-centralization of these
liabilities onto its own balance sheet.

The adverse impact of the Coronavirus Disease (COVID-19) on the
regional economy, and particularly its tourism sector, and the
still considerable uncertainty concerning the timeframe for full
recovery are key challenges for Madeira's creditworthiness. The
Stable trend on Madeira's ratings, however, reflects DBRS
Morningstar's view that the strong commitment of the region to
monitor its debt level and the ongoing support from the national
government should help the region navigate through the current
period of heightened challenges. This State support will remain key
for Madeira's economic recovery in 2021 and 2022 but also to avoid
a structural weakening of the region's credit profile.

Madeira's debt increased sharply in 2020 due to the economic and
fiscal shock related to the COVID-19 pandemic and the pre-funding
of COVID-19 related measures. Given this pre-funding mostly
realized in 2020, DBRS Morningstar currently considers that
Madeira's debt metrics are likely to stabilize in 2021 and then
return to their downward trend over the medium-term, once full
recovery is underway. Nevertheless, the region's still very high
direct and indirect debt levels continue to weigh on Madeira's
ratings. The regional government's still large exposure to regional
companies (although it has decreased in recent years) and its
economic concentration in the tertiary sector, particularly
tourism, also remain key challenges to Madeira's overall credit
profile.

RATING DRIVERS

Madeira's ratings could be upgraded if any or a combination of the
following occur: (1) Madeira substantially reduces its
indebtedness; (2) the Portuguese sovereign rating is upgraded; (3)
Madeira's economic indicators recover significantly faster than
currently anticipated and the region enhances its economic
resilience and diversification; or (4) there are indications of a
further strengthening of the relationship between the region and
the central government.

Madeira's ratings could be downgraded if any or a combination of
the following occur: (1) the Portuguese sovereign rating is
downgraded; (2) Madeira fails to stabilize its financial
performance and debt metrics over the medium-term; or (3)
indications emerge that the financial support and oversight
currently provided by the central government weaken.

RATING RATIONALE

Regional Economy is Significantly Affected by the Collapse of the
Tourism Sector

On the economic front, the region had delivered solid gross
domestic product (GDP) growth prior to 2020 with GDP growing
between 2015 and 2019, at an average annual rate of 2.2%. However,
the economic disruption was considerable in 2020, with an economic
contraction estimated at close to 20% versus 7.6% nationally, given
the overweight of the tourism sector in the region's gross value
added and its geographical location as an Archipelago in the middle
of the Atlantic Ocean. Healthcare restrictions and lockdowns took
their toll on tourists' arrival and air passengers traffic
plummeted in 2020 with a drop of 60% in new arrivals compared to
2019. In addition, given the slow rollout of the vaccination
process and the arrival of new COVID-19 variants, the recovery of
the tourism and therefore of Madeira's economic output in 2021 is
still uncertain.

Lower passenger inflows have had direct consequences for
restaurants and hotels in the region, with hotels' revenues
estimated to have fallen by about 70% in 2020. The unemployment
rate has increased to 8.6% in September 2020 versus 6.9% in
September 2019. Nevertheless, the full impact of the pandemic on
the regional labor market is still difficult to estimate, as
corporates have benefited from the national government's subsidized
working scheme, in line with the rest of Portugal, as well as
regional support, which has so far mitigated against more
substantial job losses.

Going forward, the region's tourism sector will remain constrained
by the evolution of the healthcare situation, particularly in
Europe which represents the main source of tourists in the region.
DBRS Morningstar will also monitor the potential uplift in the
economic recovery linked to additional funds expected to be
received by the region from the European Union (EU, AAA, Stable).

Financial Performance and Debt Levels, Although Improving in Recent
Years, Are Impacted by the COVID-19 Pandemic

In terms of fiscal performance, Madeira's results had markedly
improved prior to the pandemic. The region's deficit therefore
represented less than 7% of operating revenues on average in the
last four years, significantly down from a very large 74% at the
end of 2013. In 2020, the region's financing deficit widened to 14%
and should remain very high in 2021 (above 30% in the budget)
reflecting the pandemic situation, with the budgetary impact of
regional COVID-19 related measures amounting to EUR 458 million
over 2020 and 2021. While large deficits are credit negative for
Madeira, DBRS Morningstar will focus its analysis on whether these
deficits remain concentrated in one or two years and do not
translate into a structural weakening of the region's financial
performance.

The region has already pre-funded those COVID-19 related measures
in 2020 through a EUR 458 million loan and should therefore be able
to stabilize its debt level in 2021, with the expected rise in
operating revenue. The region's solid GDP growth and the parallel
rise in tax proceeds prior to 2020 had supported the decrease in
Madeira's debt ratios and Madeira would have been able to maintain
this trend excluding the impact of COVID-19.

Nevertheless, from an international comparison, the region's
debt-to-operating revenues, at 556% at the end of 2020, remains
extremely high. Madeira's debt ratio continues to represent, in
DBRS Morningstar's view, the main constraint on the region's
ratings. However, the national government's support via the
explicit guarantees provided by the Portuguese Treasury and Debt
Management Agency (IGCP) and the General Directorate of Treasury
and Finance (DGTF) should mitigate the risk of an increase in the
region's debt financing costs, in line with the very low costs of
funding currently experienced by Portugal.

Sovereign Guarantees Will Continue to Support the Rating

The explicit guarantees provided by the central government for the
refinancing of the regional debt and DBRS Morningstar's expectation
that this support will continue are positive credit features,
critical for Madeira's rating. The region's refinancing needs have
fully benefited from the national government's explicit guarantee
in recent years and should continue to do so going forward (upon
request from the regional government). The medium-term debt
trajectory of the region will remain the key focus of DBRS
Morningstar's analysis. Any indication that higher debt levels will
linger for longer or that the central government's support to the
region is weaker than currently foreseen, would be credit negative
for Madeira.

ESG CONSIDERATIONS

Institutional Strength, Governance and Transparency (G) was a key
driver behind this ration action. Madeira's re-centralization of
its reclassified public entities' debt onto its own balance sheet
and the subsequent enhanced transparency and oversight over their
operations and finances highlight the strengthening of the region's
Governance in recent years and was significant to the region's
credit rating.

RATING COMMITTEE SUMMARY

DBRS Morningstar's European Sub-Sovereign Scorecard generates a
result in the BBB (low) – BB range. The main points discussed
during the Rating Committee include the COVID-19 outbreak and its
impact on the regional economy, as well as on Madeira's financial
performance and debt metrics. The relationship between the central
government and the Autonomous Region of Madeira.

Notes: All figures are in Euros (EUR) unless otherwise noted.




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

BANK MEGAPOLICE: Put Under Provisional Administration
-----------------------------------------------------
The Bank of Russia, by virtue of its Order No. OD-474, dated March
26, 2021, revoked the banking license of Cheboksary-based
Commercial Bank "Megapolice", Ltd (Bank "Megapolice", Ltd)
(Registration No. 3265; hereinafter, Bank Megapolice).  The credit
institution ranked 234th by assets in the Russian banking system.

The Bank of Russia made this decision in accordance with Clause 6
of Part 1 of Article 20 of the Federal Law "On Banks and Banking
Activities", based on the facts that Bank Megapolice:

   -- violated federal banking laws and Bank of Russia regulations,
due to which the regulator repeatedly applied measures against it
over the past 12 months, which included restrictions on household
deposit-taking3 and on the performing of cash foreign currency sale
and purchase transactions with individuals.

Bank Megapolice understated the amount of loan loss provisions to
be set up and overstated the value of assets in order to
artificially improve its financial indicators and conceal its
actual financial standing.

The control measures to purchase foreign currency performed by the
Bank of Russia revealed repeated cases when Bank Megapolice failed
to reflect such operations in its accounting.

The Bank of Russia will submit information about the bank's
transactions suggesting a criminal offence to law enforcement
agencies.

The Bank of Russia appointed a provisional administration to Bank
Megapolice for the period until the appointment of a receiver or a
liquidator.  In accordance with federal laws, the powers of the
credit institution's executive bodies were suspended.

Information for depositors: Bank Megapolice is a participant in the
deposit insurance system; therefore depositors will be compensated
for their deposits in the amount of 100% of the balance of funds,
but no more than a total of RUR1.4 million per depositor (including
interest accrued), except the cases stipulated by Chapter 2.1 of
the Federal Law "On the Insurance of Deposits with Russian Banks".

Deposits are to be repaid by the State Corporation Deposit
Insurance Agency (hereinafter, the Agency).  Depositors may obtain
detailed information regarding the repayment procedure 24/7 at the
Agency's hotline (8 800 200-08-05) and on its website
(https://www.asv.org.ru/) in the Deposit Insurance / Insurance
Events section.




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

CAIXABANK CONSUMO 4: DBRS Confirms BB(high) Rating on Cl. B Notes
-----------------------------------------------------------------
DBRS Ratings GmbH confirmed its ratings on the Class A Notes and
Class B Notes (the Notes) issued by Caixabank Consumo 4, Fondo de
Titulizacion (the Issuer) at AA (sf) and BB (high) (sf),
respectively.

The rating on the Class A Notes addresses the timely payment of
interest and ultimate payment of principal on or before the legal
final maturity date in July 2056. The rating on the Class B Notes
addresses the ultimate payment of interest and principal on or
before the legal final maturity date.

The confirmations follow an annual review of the transaction and
are based on the following analytical considerations:

-- The portfolio performance, in terms of level of delinquencies
and defaults, as of the January 2021 payment date;

-- Probability of default (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables;

-- Current available credit enhancement to the Notes to cover the
expected losses at their respective rating levels;

-- Current economic environment and an assessment of sustainable
performance, as a result of the Coronavirus Disease (COVID-19)
pandemic.

The transaction is a securitization of unsecured consumer loans
granted to individuals residing in Spain by CaixaBank, S.A.
(CaixaBank), which is also the servicer of the portfolio and acts
as the issuer account bank. At closing, the static EUR 1.7 billion
collateral portfolio consisted of loans granted primarily to
borrowers in Catalonia (33.4% of the initial portfolio balance),
Andalusia (17.3%), and Madrid (10.7%). The transaction closed in
May 2018.

PORTFOLIO PERFORMANCE

As of the January 2021 payment date, loans that were 0 to 30 days,
30 to 60 days, and 60 to 90 days delinquent represented 0.9%, 0.4%,
and 0.1% of the outstanding collateral balance, respectively, while
loans more than 90 days delinquent amounted to 3.3%. Gross
cumulative defaults amounted to 4.0% of the original portfolio
balance, with cumulative recoveries of 3.5% to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and updated its base case PD and LGD
assumptions to 6.1% and 71.5%, respectively, based on applicable
updated performance data available from the originator.

CREDIT ENHANCEMENT

The subordination of the Class B Notes and the cash reserve
provides credit enhancement to the Class A Notes, while only the
cash reserve provides credit enhancement to the Class B Notes,
following the full repayment of the Class A Notes. As of the
January 2021 payment date, credit enhancement to the Class A Notes
increased to 33.6% from 21.1% at the time of the last rating action
twelve months ago; credit enhancement to the Class B Notes
increased marginally to 4.7% from 4.6%.

The transaction benefits from an amortizing cash reserve available
to cover senior expenses and all payments due on the senior-most
class of notes outstanding at the time. The reserve was funded to
EUR 68.0 million at closing through a subordinated loan granted by
CaixaBank, and starting from the July 2019 payment date has been
amortizing to its target level equal to 4% of the outstanding
principal balance of the Notes. As of the January 2021 payment
date, the cash reserve was at its target balance of EUR 21.8
million.

CaixaBank acts as the account bank for the transaction. Based on
the account bank reference rating of CaixaBank at A (high), which
is one notch below the DBRS Morningstar public Long-Term Critical
Obligations Rating (COR) of AA (low), the downgrade provisions
outlined in the transaction documents, and other mitigating factors
inherent in the transaction structure, DBRS Morningstar considers
the risk arising from the exposure to the account bank to be
consistent with the ratings assigned to the Notes, as described in
DBRS Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
continue to increase in the coming months for many ABS
transactions, some meaningfully. The ratings are based on
additional analysis and, where appropriate, adjustments to expected
performance as a result of the global efforts to contain the spread
of the coronavirus. For this transaction, DBRS Morningstar
conducted additional sensitivity analysis to determine that the
transaction benefits from sufficient liquidity support to withstand
high levels of payment holidays in the portfolio.

Notes: All figures are in Euros unless otherwise noted.


CATALONIA: DBRS Confirms BB (high) LongTerm Issuer Rating
---------------------------------------------------------
DBRS Ratings GmbH confirmed the Long-Term Issuer Rating of the
Autonomous Community of Catalonia (Catalonia) at BB (high) and its
Short-Term Issuer Rating at R-4. The trend on all ratings is
Stable.

KEY RATING CONSIDERATIONS

The Stable trend reflects DBRS Morningstar's assessment that the
risks to the ratings remain broadly balanced. As a reminder, DBRS
Morningstar changed the trend on Catalonia's ratings to Stable from
Positive on June 5, 2020, to reflect the substantial shock from the
Coronavirus Disease (COVID-19) pandemic on the Spanish and the
regional economy. In 2020, Catalonia's finances have been affected
by a combination of higher healthcare-related expenditure and lower
tax collection. Nevertheless, the fiscal impact of the COVID-19
disease last year has been largely mitigated by the extraordinary
transfers provided by the national government to all Spanish
regions. In 2021, further extraordinary funding coupled with
additional European funds should continue to support regional
finances. DBRS Morningstar considers that Catalonia's financial
performance is however likely to remain under pressure in 2022 and
2023, as the central government's budgetary support decreases.

Catalonia's ratings remain underpinned by (1) the region's robust
economic indicators prior to the pandemic and its sound fiscal
performance in recent years; and (2) the financing support provided
by the Kingdom of Spain (A, Stable) to the regional government.
While the political situation in the region remains a source of
uncertainty, its impact on the regional economy or more generally
on fiscal and financial management has thus far remained limited.

Catalonia's Long-Term Issuer Rating currently remains at the BB
(high) level given the region's high debt metrics, the uncertainty
regarding potential lasting effects from the COVID-19 pandemic on
the regional economy and a still challenging political environment.
Although DBRS Morningstar expects the region's debt reduction to be
a slow and lengthy process and the political noise over
independence to remain over the long-term, the expected formation
of a new regional government and gaining visibility around
Catalonia's economic prospects will be key in the assessment of the
region's credit profile in coming quarters

RATING DRIVERS

The ratings could be upgraded if: (1) the relationship between the
region and the national government remains stable after the
formation of a new regional government, with debt and fiscal
management staying insulated from any potential rise in political
tensions; (2) the region continues its fiscal consolidation towards
a balanced budget position and improves its debt sustainability
metrics; or (3) the Kingdom of Spain's rating is upgraded.

The ratings could be downgraded if: (1) there is a material
escalation of the political tensions between the region and the
national government. Specifically, indications that the financing
support received by the region may be reduced would have negative
credit implications; or (2) there is a structural deterioration in
the region's fiscal performance, leading deficits to widen and
placing debt metrics on a medium-term upward trajectory.

RATING RATIONALE

The COVID-19 outbreak has taken its toll on the Spanish and the
regional economy in 2020

Catalonia and Spain more generally, have been severely affected by
the pandemic. The latest figures available estimate that the
regional gross domestic product (GDP) decreased by 11.4% in 2020,
marginally worse than Spain's 11% decline. The large GDP decline
largely reflected the extent of the healthcare crisis within the
regional and national territories, the stringency of the lockdown
that followed, and the higher concentration of economic activity in
sectors severely affected such as tourism.

For 2021, economic forecasts remain clouded with uncertainty, given
the risk related to the potential resurgence of infections with the
apparition of new virus variants and the somewhat slow rollout of
the vaccination process. While DBRS Morningstar views positively
the improvement of the healthcare situation in Spain in recent
weeks, the pickup in the economic recovery in coming quarters will
be key to limit scarring effects of the virus on the regional and
national economies. DBRS Morningstar's current moderate GDP growth
scenario for Spain anticipates a rebound of 6.5% in 2021.

Despite the strength of the COVID-19 shock, the fiscal measures
taken by the national government over the last 12 months as well as
the resources expected from the Next Generation EU (NGEU, including
the Recovery and Resilience Facility (RRF) as well as REACT-EU
funds) from 2021, should help alleviate the long-term impact of the
pandemic. DBRS Morningstar considers that the overall impact of the
crisis on Catalonia will largely depend on how quickly economic
activity resumes in coming months and quarters and on the ability
of the region to absorb EU funds.

Following Regional Elections, the Political Environment Remains a
Key Rating Consideration

On the political front, a new regional government is now expected
to be formed in coming weeks, following the regional elections that
took place in Catalonia on 14 February 2021. While the
pro-independence parties slightly reinforced their majority in the
regional parliament with 74 seats compared with 70 in the 2017
elections, and obtained a slim majority of the votes (51% of the
total), this is counterbalanced, in DBRS Morningstar's view, by (1)
the strong results of the Socialist party (PSC-PSOE) which obtained
the most votes with 23% of the total; and (2) the lead taken by
Esquerra Republicana de Catalunya (ERC) among pro-independence
parties, which presents a rhetoric on the independence question
more oriented towards political dialogue.

While DBRS Morningstar expects the pro-independence question to
remain at the top of the Catalan political agenda going forward,
the tone of the discussions, if driven by ERC, should remain
contained, with the less confrontational stance seen over the last
24 months to remain the key driver of the political interaction
between the regional and the national governments. Further
information on the election's results can be found in the following
press release: DBRS Morningstar: Catalonia - COVID-19 Key Policy
Focus For Now Even As Pro-Independence Parties Win Greater
Parliamentary Representation.

The National Government's Budgetary Support Mitigates So Far the
Impact on Regional Finances

On the fiscal front, Catalonia's fiscal performance marginally
deteriorated in 2020, with a deficit-to-operating revenue ratio
estimated at -6.5% compared with -3.6% in 2019. When considering
the deficit-to-GDP, which includes some European System of Accounts
(ESA) accounting adjustments, provisional figures for 2020 stand at
around -0.4%, which would represent a marginal improvement compared
to the -0.62% recorded in 2019. While final figures are still
pending, DBRS Morningstar considers that the deterioration in
Catalonia's financial performance is likely to have remained
limited in 2020, reflecting the targeted budgetary support received
from the national government. Spanish regions are responsible for
healthcare and education expenditure in Spain. As a result,
maintaining such financial support as long as necessary for
economic activity to recover will be key to avoid substantial
deterioration in regional finances going forward.

In 2021, the national government will continue to maintain a high
level of transfers (entregas a cuenta) towards its regions. These
transfers within the regional financing system will also be
complemented by extraordinary transfers of EUR 13.5 billion,
expected to assist regions in covering the additional costs related
to the pandemic. In addition, European transfers related to the
NGEU plan (estimated to represent EUR 15-20 billion in 2021) should
allow regions to increase their capital expenditure throughout the
year and possibly boost their economic recovery.

While the regional deficit is still expected to widen in 2021, with
a reference rate for the deficit set at -1.1% of GDP for Spanish
regions, overall, the fiscal focus for DBRS Morningstar will remain
the years 2022 and 2023, likely to be affected by negative
settlements under the regional financing system, as well as a
decrease in the amount of extraordinary transfers provided by the
national government. DBRS Morningstar continues to consider it
likely that the national government will allow regions to repay any
settlement over the long-term, as it did regarding the 2008 and
2009 negative settlements which are currently being repaid over 20
years. Nevertheless, addressing the share of new expenditure,
particularly healthcare related, that is likely to remain
structurally higher going forward will remain critical for regional
finances to stabilize over the medium-term.

DBRS Morningstar will monitor (1) the level of transfers to
regions; (2) the speed of absorption of EU funds; (3) the increase
in the regions' structural expenditure; and (4) any potential
additional measures taken by the national government to limit the
future impact of the crisis on the regional finances.

The National Government's Financing is Critical to the Region's
Creditworthiness

DBRS Morningstar expects Catalonia's financing needs to continue to
be covered by the national government. Such financing remains
critical for the region's credit ratings. Catalonia's debt is very
high, at close to EUR 82 billion at the end of 2020. This
represents around 242% of the region's operating revenues,
decreasing from 278% in 2019 due to the substantial increase in
transfers received from the national government last year; or
around 38% of the region's GDP compared with 35% in 2019. DBRS
Morningstar gains comfort around the region's debt sustainability
given the support it receives from the national government. The
Spanish Treasury currently holds about 80% of the regional debt
stock (Banco de España figure) and Catalonia has benefited from
very low funding rates in recent years. While the improvement in
the region's fiscal and debt metrics is now being challenged by the
healthcare crisis, DBRS Morningstar continues to consider that
Catalonia remains committed to strengthen its financial performance
over the medium-term.

RATING COMMITTEE SUMMARY

The DBRS Morningstar European Sub-Sovereign Scorecard generates a
result in the BBB (high) – BBB (low) range. Additional
considerations factored into the Rating Committee decision included
the remaining uncertainty related to the political environment in
the region and its potential impact on the region's relationship
with the national government; the medium-term economic and fiscal
risks related to the current pandemic.

The main points discussed during the Rating Committee include: the
region's economic growth in 2020 and the forecast for 2021; the
impact of the COVID-19 pandemic on Catalonia's fiscal and debt
trajectories; the financial support provided by the national
government during the pandemic; the political situation in the
region and Catalonia's relationship with the national government.

Notes: All figures are in Euros (EUR) unless otherwise noted.




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

ARCADIA GROUP: Selling Furniture to Raise Cash for Creditors
------------------------------------------------------------
Sahar Nazir at Retail Gazette reports that Sir Philip Green's
Arcadia Group is continuing to sell off furniture and fittings at
its distribution and data centres as it seeks to raise cash for
creditors.

The move follows what clearance company Hilco called a "healthy
response" to a two-day auction for furniture and equipment at
Arcadia's headquarters in London, Retail Gazette notes.

The auction included black lacquer desks and a glass-fronted
cocktail cabinet created by Green & Mingarelli Design -- the
interior design business set up by Green's wife Lady Tina Green,
Retail Gazette discloses.

Furnishings from Arcadia's offices and the boardroom were sold
after hundreds of computers, cameras, desks and office chains went
under the hammer, Retail Gazette relays.

Last week, it was revealed that Arcadia's executive suite had been
put up for sale by Hilco, Retail Gazette recounts.

According to Retail Gazette, Hilco was selling chairs, sofas and
desks from the Colegrave House executive suite, as well as other
boardroom and meeting room furniture.

Arcadia went into administration in November and it was revealed
that the retail group owed creditors GBP800 million, Retail Gazette
relates.

It also had a pension deficit of GBP510 million when it appointed
administrators at Deloitte, Retail Gazette states.

Scheme trustees told pensioners in February that GBP173 million has
been secured already to help fund their retirements, Retail Gazette
recounts.

Deloitte have already said unsecured creditors will be mostly left
out of pocket, Retail Gazette notes.


AVATION PLC: Fitch Raises LT IDRs to 'CCC', Put on Watch Negative
-----------------------------------------------------------------
Fitch Ratings has downgraded the Long-Term Issuer Default Ratings
(IDRs) of Avation PLC and its subsidiaries (collectively Avation)
to 'RD' (Restricted Default) from 'C' upon the completion of the
maturity extension of the company's senior unsecured notes on 25
March 2021, which Fitch views as a distressed debt exchange (DDE).

Following the DDE, Fitch has subsequently upgraded the IDRs to
'CCC' from 'RD', upgraded the senior unsecured debt ratings to
'CCC-' with Recovery Rating of 'RR5', from 'C' with 'RR5', and
placed all ratings on Rating Watch Negative.

KEY RATING DRIVERS

IDRs AND SENIOR DEBT

The downgrade of the IDRs to 'RD' reflects Fitch's view that a DDE
has occurred, following the extension of the maturity of the
unsecured notes to 31 October 2026. This is consistent with the
approach outlined in Fitch's "Distressed Debt Exchange Criteria",
as there has been material reduction in the original terms of the
bonds, and Fitch believes that the debt maturity was extended to
avoid bankruptcy, similar insolvency proceedings or traditional
payment default.

The subsequent upgrade of the IDRs to 'CCC' reflects that
substantial credit risk remains, because the company continues to
face pressure on profitability, high leverage relative to peers and
tight liquidity.

The Rating Watch Negative reflects uncertainty around Avation's
lease exposure to Philippine Airlines (PAL), whose restructuring
could affect Avation's ability to refinance its secured debt
payments, which will negatively affect its cash flows and
leverage.

The post-DDE upgrade of the senior unsecured debt rating to 'CCC-'
with 'RR5' positions the debt class one notch below Avation's IDRs
and reflects below-average recovery prospects in a stressed
scenario.

The maturity extension addresses Avation's near-term senior
unsecured debt maturity and provides modest relief to its liquidity
profile. The company continues to face refinancing risk for its
senior secured debt, with balloon payments of USD103.2 million due
in February 2022. Fitch believes Avation's ability to address the
February 2022 balloon payment will be heavily dependent on the
resolution of PAL's restructuring and the status of the encumbered
aircraft, in combination with the broader recovery of the airline
industry and the market confidence in the aviation sector.

Fitch believes Avation will have minimal liquidity headroom over
the next 12 months, with liquidity coverage of debt maturities and
purchase commitments meaningfully below 1.0x. Avation expects
unrestricted cash balances to remain at around USD20 million from
2022 to 2025, which, together with lease rent collections, should
be sufficient to cover interest payment and operating costs.
Avation has one ATR720-600 aircraft for sale, which, if sold, could
generate liquidity and support repayment of the senior secured
debt. Avation is also pursuing other short-term initiatives to
maintain liquidity, including encumbering its four unencumbered
aircraft, but this would reduce the company's financial
flexibility, in Fitch's view.

Fitch believes Avation also faces elevated asset-quality risk, as
the status of the widebody aircraft leased to PAL remains
uncertain, while 7 ATRs returned by Virgin Australia Holdings
Limited (VAH) are still being marketed for sale or lease. The
company recorded aircraft impairments of USD46.7 million and
expected credit losses on receivables of USD12.9 million in the
first half of the financial year ending 30 June 2021 (1HFY21),
mostly related to the restructuring of leases to VAH and PAL. These
led the company to record a net loss of USD61 million and a sharp
increase in leverage to 8.3x by end-December 2020 from 5.6x at
end-June 2020.

While Avation's customers are seeing improvements in their
operations and its largest customers are based in countries less
affected by the pandemic, the company's asset quality is still
vulnerable because of high concentration on the four largest
lessees (63% of monthly lease revenue) and the slow recovery of the
airline industry.

Avation's leverage is materially higher than that of peers and the
company has limited near-term flexibility to meaningfully
deleverage, while Fitch assesses profitability as vulnerable due to
asset-quality risks. On 18 March 2021, Avation completed the
issuance of GBP7.5 million (USD10.5 million) in new ordinary shares
to existing and new institutional investors, and certain directors
of the company. The new share issuance only improves the company's
liquidity and leverage marginally and does not lead to material
deleveraging.

Fitch continues to expect a slow recovery for the aircraft leasing
sector following the unprecedented downturn, driven by the dramatic
decline in global air traffic as a result of the coronavirus
pandemic. The spread of the coronavirus has resulted in a prolonged
grounding of the majority of commercial passenger aircraft, leading
to widespread rent deferral requests and numerous lease
restructurings, which will pressure the earnings, impairments and
leverage of aircraft lessors.

RATING SENSITIVITIES

IDRs AND SENIOR DEBT

The Rating Watch Negative will be resolved once there is clarity
about how the outcome of PAL's restructuring will affect its
aircraft leased from Avation.

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

-- The ratings could be downgraded in the event of an adverse
    outcome of the PAL restructuring, including the airline
    rejecting a meaningful proportion of the aircraft leased to it
    by Avation and leading to further weakening in Avation's
    liquidity position. The ratings could also be downgraded if
    Avation is unable to proactively refinance its secured debt or
    repay the debt in full, or is unable to obtain a waiver when a
    breach of covenants triggers the acceleration clause. An
    increase in leverage above 10.0x would also weigh on the
    ratings.

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

-- The ratings could be affirmed at the current levels if PAL's
    restructuring does not adversely affect Avation, and Avation
    is otherwise able to comfortably manage to its covenant levels
    and address the liquidity risks associated with its upcoming
    the balloon payments related to its secured debt.

-- General resumption of air travel and the return of broader
    economic activity towards pre-coronavirus levels could also
    support the ratings at the current level, provided it reduces
    the company's downside risks related to asset quality,
    earnings, leverage and funding.

-- Fitch does not expect upward rating momentum to emerge over
    the near term. However, over the long term, Avation's ratings
    could be positively influenced by a meaningful increase in the
    company's liquidity coverage ratio to above 0.5x and leverage
    falling below 7.0x on a sustained basis.

The 'CCC-' with 'RR5' ratings assigned to the unsecured debt are
likely to move in tandem with the IDR, but could be further notched
down from the Long-Term IDR should aircraft values deteriorate
beyond Fitch's expectations in a stressed scenario, or if secured
debt increases as a percentage of total debt, such that the
unencumbered pool shrinks and causes the expected recoveries on the
senior unsecured debt to decline. Conversely, should recovery
prospects for the unsecured debt meaningfully improve, such that
Fitch believed the instrument exhibited average recovery prospects,
the rating could be equalised with the IDR.

BEST/WORST CASE RATING SCENARIO

International scale credit ratings of Financial Institutions and
Covered Bond 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.

SUMMARY OF FINANCIAL ADJUSTMENTS

Fitch has adjusted its core leverage calculation by including
maintenance right assets and lease premiums in tangible equity.
This reflects Fitch's assessment that the balance-sheet items
contain sufficient economic value to support creditors. Fitch
regards aircraft purchase rights as intangible assets until they
are exercised and reflected in the cost of the aircraft. As such,
Fitch excludes these from its calculation of tangible equity.

ESG CONSIDERATIONS

Avation's ESG Relevance Score for Management Strategy was changed
to '4' from '3' to reflect heightened execution risk in the
challenging operating environment faced by the aviation industry.
This has a moderate negative impact on Avation's 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.

E-CARAT 11: DBRS Confirms BB Rating on Class F Notes
----------------------------------------------------
DBRS Ratings Limited confirmed the following ratings on the notes
issued by E-CARAT 11 plc (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at A (sf)
-- Class D Notes at BBB (high) (sf)
-- Class E Notes at BB (high) (sf)
-- Class F Notes at BB (sf)
-- Class G Notes at B (low) (sf)

The rating of the Class A Notes addresses the timely payment of
interest and the ultimate repayment of principal by the legal
maturity date in May 2028. The ratings on the Class B, Class C,
Class D, Class E, Class F, and Class G Notes address the ultimate
payment of interest and ultimate repayment of principal by the
legal maturity date while junior to other outstanding classes of
notes, but the timely payment of interest when they are the
senior-most tranche.

The confirmations follow an annual review of the transaction and
are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses as of the February 2021 payment date;

-- Probability of default (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables;

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

-- No revolving period termination events have occurred;

-- Current economic environment and an assessment of sustainable
performance, as a result of the Coronavirus Disease (COVID-19)
pandemic.

The Issuer is a securitization of receivables related to both
conditional sale and personal contract purchase auto loan contracts
granted by Vauxhall Finance plc (Vauxhall Finance, Originator, or
Seller) to borrowers in England, Wales, Scotland, and Northern
Ireland. The underlying motor vehicles related to the finance
contracts consist of both new and used passenger vehicles and light
commercial vehicles. The transaction has a 12-month revolving
period, which is scheduled to end in April 2021.

PORTFOLIO PERFORMANCE

As of the February 2021 payment date, loans that were 30 to 60
days, and 60 to 90 days delinquent represented 0.2%, and 0.1% of
the outstanding portfolio balance, respectively, while loans more
than 90 days delinquent amounted to 0.1%. The gross cumulative
defaults amounted to 0.5% of the aggregate initial portfolio
balance, with cumulative recoveries of 77.9% to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the pool
receivables and maintained its base case PD and LGD assumptions at
5.9% and 21.8%, respectively, based on a worst-case portfolio
composition as permitted by the concentration limits applicable
during the revolving period. DBRS Morningstar maintained its
residual value haircuts at 43.0%, 37.7%, 30.7%, 27.4%, 20.3%,
17.6%, and 6.0% at AAA (sf), AA (sf), A (sf), BBB (high) (sf), BB
(high) (sf), BB (sf), and B (low) (sf), respectively.

CREDIT ENHANCEMENT

The subordination of the respective junior obligations provides
credit enhancement to the rated notes. As of the February 2021
payment date, credit enhancement to the Class A, Class B, Class C,
Class D, Class E, and Class F Notes was 27.8%, 20.8%, 15.8%, 11.8%,
8.5%, 6.8%, and 5.0%, respectively. The credit enhancement levels
have remained unchanged since the DBRS Morningstar initial rating
as the transaction is still in the revolving period.

The transaction benefits from a liquidity reserve available only if
the principal collections are not sufficient to cover the shortfall
of senior expenses, swap expenses, and Class A interest and, if not
deferred in the waterfalls, the Class B, Class C, and Class D
interest payments. The liquidity reserve is currently at its target
level of EUR 4.4 million.

HSBC Bank plc acts as the account bank for the transaction. Based
on the DBRS Morningstar private rating of HSBC Bank plc, the
downgrade provisions outlined in the transaction documents, and
other mitigating factors inherent in the transaction structure,
DBRS Morningstar considers the risk arising from the exposure to
the account bank to be consistent with the ratings assigned to the
notes, as described in DBRS Morningstar's "Legal Criteria for
European Structured Finance Transactions" methodology.

BNP Paribas Personal Finance acts as the swap counterparty for the
transaction. DBRS Morningstar's private rating of BNP Paribas
Personal Finance is above the First Rating Threshold as described
in DBRS Morningstar's "Derivative Criteria for European Structured
Finance Transactions" methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
continue to increase in the coming months for many ABS
transactions, some meaningfully. The ratings are based on
additional analysis and, where appropriate, adjustments to expected
performance as a result of the global efforts to contain the spread
of the coronavirus. For this transaction, DBRS Morningstar
conducted an additional sensitivity analysis to determine that the
transaction benefits from sufficient liquidity support to withstand
high levels of payment holidays in the portfolio. As of the
February 2021 payment date, 6.6% of the outstanding portfolio
balance had a payment moratorium.

Notes: All figures are in British pounds sterling unless otherwise
noted.


GREENSILL CAPITAL: BBB Launched Investigation Prior to Collapse
---------------------------------------------------------------
Kalyeena Makortoff at The Guardian reports that Britain's
state-owned business bank launched an investigation into Greensill
Capital, and loans it extended to Sanjeev Gupta's steel empire,
months before the lender collapsed into administration.

The news comes as former prime minister David Cameron was cleared
of any potential breach of lobbying rules linked to his efforts to
personally influence officials in Whitehall on Greensill's behalf,
The Guardian notes.

The British Business Bank (BBB) ordered an investigation into the
supply chain finance firm in the autumn, shortly after approving
Greensill as an accredited lender that could hand out emergency
Covid loans to struggling firms in June, The Guardian relates.

According to The Guardian, it suggests officials were raising red
flags internally about Greensill's lending practices months before
its financial troubles started making national headlines in early
March.

The BBB's own inquiry centres on the way Greensill used the 80%
government-backed coronavirus large business interruption scheme
(CLBILS) to lend tens of millions of pounds to Gupta's GFG
Alliance, The Guardian discloses.

Concerns first emerged about Greensill's involvement in the scheme
in October 2020 when the FT reported it had provided tens of
millions of pounds worth of government-backed loans to two of
Gupta's companies, which employed just 11 people, The Guardian
relays.  Since then, it has emerged that Greensill loaned firms
connected to Gupta an estimated GBP400 million, The Guardian
states.

External law firms have been drafted in to aid the BBB's
investigation, which is still ongoing, The Guardian says, citing a
source with knowledge of the matter.  The question of who will be
left responsible if wrongdoing is discovered has been complicated
by Greensill's collapse earlier this month, according to The
Guardian.


LIBERTY STEEL: Plans to Restart Steelmaking Next Week
-----------------------------------------------------
Eric Onstad at Reuters reports that tycoon Sanjeev Gupta's Liberty
Steel UK plans to restart steelmaking next week and continues to
seek new funding after its main financial backer Greensill Capital
went into insolvency, it said on March 29.

Gupta's conglomerate GFG Alliance said earlier this month it was in
talks with administrators of Greensill over a standstill agreement,
Reuters relates.  

According to Reuters, on March 29, GFG said those negotiations were
ongoing and also said that Liberty Steel was still seeking support
from the UK government.

In an insolvency filing earlier in March, Greensill said that GFG,
which is its largest client, had warned in February that it would
"collapse into insolvency" if the supply chain finance firm stopped
providing it with working capital, Reuters recounts.

GFG, however, said on March 29 that its steel and mining operations
in Europe and Australia were booking record profits and had
adequate funding, Reuters notes.

In Britain, GFG said Liberty Steel was working with customers on
payment terms that would bring in cash earlier while looking for
additional working capital facilities, Reuters relays.

According to Reuters, the March 29 statement also said that
Liberty's British steel operations planned to restart operations on
around April 6, but did not say when they had closed.


LIBERTY STEEL: UK Says Considering All Options, Nationalization
---------------------------------------------------------------
BBC News reports that the UK government has restated it is
considering "all options" to keep Liberty Steel's UK plants and
jobs afloat, including nationalization.

On March 28, the government rejected a request for GBP170 million
in financial support for the firm, BBC recounts.

According to BBC, a minister said but that is due to concerns about
the "very opaque" structure of its owner GFG.

Business Secretary Kwasi Kwarteng said the government could not put
money into a "black box", BBC notes.

Mr. Kwarteng told the BBC's Today programme that Liberty Steel was
"an important national asset" but that the structure of its owner
-- Gupta Family Group (GFG) -- was "very opaque" and "not
helpful".

"We are custodians of taxpayer's money . . . and we feel that if we
gave the (GBP170 million) money, there was no guarantee that the
money would stay in the UK, and would protect British jobs," BBC
quotes Mr. Kwarteng as saying.

Liberty Steel's founder, Sanjeev Gupta, is trying to refinance GFG
after its key financial backer Greensill Capital filed for
insolvency earlier this month, BBC discloses.

Mr. Kwarteng, as cited by BBC, said he wanted to see Mr. Gupta's
plans "work through" before the government took any further
action.

There are about 3,000 staff directly employed at Liberty's UK
sites, which include Rotherham, Motherwell and Newport, and a
further 2,000 jobs at GFG Alliance in the UK.

The GBP170 million request was made for working capital for Liberty
Steel plants, BBC states.

Mr Gupta's empire employs 35,000 people worldwide.

According to BBC, GFG Alliance said most of its businesses around
the world "are performing well and generating positive cash flow,
supported by the operational improvements we've made and strong
steel, aluminium and iron ore markets."

"We are taking prudent steps across our global portfolio to manage
resources while we try to negotiate a formal standstill agreement
with Greensill's administrators and refinance the businesses.

"In the UK, GFG Alliance has invested significantly to rescue steel
and aluminium plants saving thousands of jobs in industrial
communities across the United Kingdom, that would have otherwise
been lost."

The GFG spokesperson added that Liberty Steel had been hit by the
coronavirus crisis due to a drop in demand for aerospace products
compounded by energy prices, BBC relays.


MABEL MEZZCO: Moody's Upgrades CFR to B1 on Debt Refinancing
------------------------------------------------------------
Moody's Investors Service has upgraded to B1 from B2 the corporate
family rating and upgraded to B1-PD from B2-PD the probability of
default rating of Mabel Mezzco Limited (Wagamama or the company).
Concurrently, the rating agency has upgraded to B1 from B2 the
rating of the GBP225 million backed senior secured notes issued by
the company's subsidiary Wagamama Finance plc. The outlook of both
entities has changed to stable from negative.

RATINGS RATIONALE

The rating action follows the debt refinancing and equity raise
announced earlier this month by Wagamama's listed parent The
Restaurant Group plc (TRG). The outstanding notes issued by
Wagamama Finance plc will be repaid upon closing of the
refinancing, expected by May.

During a year severely disrupted by the coronavirus pandemic
Wagamama recorded industry leading results in those periods when it
was able to fully operate its estate. The company's credit quality
and liquidity benefited from access to government support including
the Coronavirus Job Retention Scheme, a business rate holiday, and
reduced VAT rates, as well as Eat Out to Help Out last summer.
Flexibility was also forthcoming from the company's banks via an
increase in its revolving credit facility and a covenant waiver.
Wagamama reported a cash balance of GBP27 million at the end of
September 2020, only marginally lower than at its December 2019
year end, albeit helped by a modest increase in drawings under its
revolving credit facility.

Meanwhile, TRG had taken a number of actions to support the group's
overall credit quality. Its latest GBP175 million equity raise
follows a similar exercise last April which garnered gross proceeds
of GBP57 million. Furthermore, TRG's medium term credit profile was
also enhanced by decisive steps to restructure the portfolio of its
Leisure and Concessions divisions last year. These actions resulted
in early exits from a long tail of sites that had been expected to
remain a drag on profitability. As a consequence Wagamama's UK
sites now account for nearly 40% of TRG's portfolio, up from less
than 23% pre-pandemic.

Wagamama has a track record of superior margins and stronger
revenue and earnings growth than other parts of TRG. In light of
this and the fact that the refinancing will see all funded debt at
the TRG level, Moody's does not believe there is currently a
material gap in credit quality between Wagamama and its parent. The
rating agency sees scope for TRG, and Wagamama in particular, to
return quickly to pre-pandemic trading volumes once limitations on
social distancing are lifted in the months ahead, factoring in
strong pent up demand as well as lower competition due to failures
of other branded restaurant operators.

Moody's highlights that risks remain in respect of the timing of a
return to normal trading conditions. However, the rating agency
estimates that pro-forma for the refinancing and equity infusion,
and on the basis of pre-pandemic volumes, TRG's Moody's-adjusted
gross leverage, measured as Moody's-adjusted Debt to EBITDA would
be comfortably below 4.0x and Moody's-adjusted interest coverage,
measured as Moody's-adjusted EBIT to Interest, would be approaching
2.5x.

ENVIRONMENTAL, SOCIAL & GOVERNANCE CONSIDERATIONS

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety. In terms of governance the rating agency recognises the
credit positive steps at TRG taken in the wake of the pandemic.

RATIONALE FOR STABLE OUTLOOK

The stable outlook balances the possibility that Wagamama's
profitability and that of TRG could in due course exceed
pre-pandemic levels against the company's limited scale and focus
on a single brand, as well as the risk that the recovery from the
pandemic could yet be derailed or delayed.

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

Although unlikely for at least the next 12 to 18 months, in due
course, in a stable and supportive operating environment, upward
pressure could develop if Wagamama and TRG are each able to sustain
financial results which enable both companies to sustain
Moody's-adjusted leverage below 4.0x. Increased scale, solid
liquidity, conservative financial policies and significantly
positive free cash flow for both TRG and Wagamama would also likely
be pre-requisites for an upgrade.

Conversely, downward pressure on the rating could arise if trading
conditions and performance do not improve in the months ahead.
Quantitatively downward pressure would build if the company's
Moody's-adjusted leverage remained above 5.5x on a sustained basis,
or if the company was unable to sustain positive free cash flow.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Restaurant
Industry published in January 2018.

COMPANY PROFILE

Wagamama is the UK's only company of scale offering pan-Asian
cuisine in the branded restaurant industry with a UK estate of
around 150 as well as more than 50 international sites operated
under a franchise model and six sites in the US, operated under a
joint venture.

TRG acquired Wagamama in December 2018 in a transaction valuing the
business at GBP559 million.

SPECIALIST LEISURE: New Company Formed Following Administration
---------------------------------------------------------------
Coreena Ford at BusinessLive reports that a new coach company is
set to launch holidays across the UK and beyond after securing
multimillion-pound launch investment.

Caledonian Leisure, based in Leeds, was formed last Summer when the
former senior team at brands Caledonian Travel and National
Holidays came together following the collapse of holiday company
Specialist Leisure Group -- owner of Shearings and National
Holidays, BusinessLive recounts.

The team acquired Scottish coach holiday brand Caledonian Travel
and self-drive themed short breaks specialist UKBreakaways.com,
which had been part of the Specialist Leisure Group when it went
into administration last May, leading to hundreds of job losses,
BusinessLive discloses.

The new firm will trade under the Caledonian Travel and
UKBreakaways.com brands after securing the significant investment
from Mobeus Equity Partners, the investors behind the recent IPO of
Virgin Wines and the proposed IPO of Parsley Box, BusinessLive
states.


TAURUS 2021-1: DBRS Finalizes BB (low) Rating on Class E Notes
--------------------------------------------------------------
DBRS Ratings Limited finalized its provisional ratings on the notes
issued by Taurus 2021-1 UK DAC (the Issuer) as follows:

-- Class A notes at AAA (sf)
-- Class B notes at AA (low) (sf)
-- Class C notes at A (low) (sf)
-- Class D notes at BBB (low) (sf)
-- Class E notes at BB (low) (sf)

All trends are Stable.

Taurus 2021-1 UK DAC is the securitization of a GBP 340.1 million
senior commercial real estate (CRE) loan secured by 45
light-industrial and logistics assets in the United Kingdom with a
large concentration in London and the South East. The transaction
is arranged by Merrill Lynch International and jointly managed by
Barclays Bank Plc for the benefit of funds managed by Blackstone
Group Inc. (Blackstone or the Sponsor).

At issuance, the Issuer purchased the senior loan from the loan
seller, Bank of America Europe DAC, using the proceeds from the
note issuance and the issuer loan provided by the loan seller. The
issuer loan is sized at 5% of the senior loan amount in order to
satisfy risk retention requirements. In conjunction with the senior
loan, AustralianSuper Pty Ltd advanced a GBP 85.0 million mezzanine
facility, which is subordinated to the securitized senior facility.
The senior loan margin will directly mirror the weighted-average
coupon, which is 1.59% at issuance on all the issued notes;
therefore, there will be no excess spread and no excess spread
notes were issued. The senior loan's margin, however, is capped at
2.29%. The Sponsor will pay Issuer costs in accordance with the
ongoing financing costs letter.

The senior loan refinanced Blackstone's acquisitions since Q1 2020,
specifically, 38 assets (the original portfolio or United IV
subportfolio) that were acquired before October 2020 and seven
assets that were acquired between November and December 2020 (the
add-on portfolio). As such, the data tape was produced based on
various cut-off dates ranging from August 31, 2020 to December 23,
2020. However, the official cut-off date of the portfolio was set
at December 23, 2020 and this date was used to calculate
weighted-average unexpired loan terms. The entire 45-asset
portfolio (the original portfolio plus the add-on portfolio) has
been renamed United V and was integrated into Blackstone's
logistics platform Mileway, which includes four other DBRS
Morningstar-rated CMBS transactions: Taurus 2020-2 UK DAC, BAMS
CMBS 2018-1 DAC, Taurus 2019-2 UK DAC, and Scorpio (European Loan
Conduit No.34) DAC.

The United V portfolio is characterized by its strong presence of
light-industrial assets in and surrounding the Greater London area
with 27 of its assets located in London, the South East, and East
of England, covering a 46.9% lettable area and 59.8% gross rent.
CBRE Limited (CBRE) valued the United IV subportfolio at GBP 442.8
million including a 4.9% portfolio premium. The sum of the market
values (MVs) of the individual properties amounted to GBP 422.0
million as of 30 September 2020. Similarly, Cushman & Wakefield
(U.K.) LLP (C&W) valued the add-on assets and concluded an
aggregated MV of GBP 103.9 million and a portfolio value of GBP
114.3 million. For the purpose of covenants calculations, the
portfolio premium was capped at 5%, bringing the transaction's
portfolio value to GBP 551.8 million. DBRS Morningstar underwrote
the portfolio's value at GBP 361.5 million, which represents a
31.0% haircut to the aggregated MV or a 34.3% haircut to the
portfolio MV.

As of the cut-off dates, the portfolio generated a total gross
rental income (GRI) of GBP 26.6 million with a weighted-average
unexpired lease term (WAULT) of 4.6 years to break and 6.5 years to
expiry. DBRS Morningstar noted that one of the largest 10 tenants,
Commodore Kitchens Limited, will be switched from holding over to a
lease expiring in August 2021 upon the completion of the
acquisition. The Sponsor will then engage with the tenant to move
to a long-term lease. Overall, DBRS Morningstar concluded a total
stressed net cash flow (NCF) of GBP 22.7 million, which is 10.4%
lower than the net operating income (NOI) pre-rent free.

Although the economic fallout from the Coronavirus Disease
(COVID-19) has negatively affected all CRE sectors, the portfolio's
light-industrial and logistics properties have experienced a less
severe impact compared with other asset types. As of the relevant
acquisition date, the United IV portfolio registered a 90% rent
collection rate between April and August 2020 while the add-on
portfolio recorded a 78% collection rate. The lower collection rate
of the add-on portfolio is mainly related to M.S. International
Investment Ltd. in the Summit Centre asset. Based on the final
arrears table dated on January 19, 2021, there were GBP 5.0 million
arrears (19.0% of GRI); however, the 30 days and over arrears were
at GBP 2.2 million (8.9% of GRI). DBRS Morningstar believes that
the location of the assets helped protect the portfolio from being
hit hard by the pandemic, the impact of which is expected to reduce
as the mass vaccination campaign by the government continues to be
rolled out.

Similar to other Blackstone loans, only cash trap (rather than
financial default) covenants are applicable prior to a permitted
change of control (CoC). The cash trap covenants are 71.6%
loan-to-value (LTV) during the loan term but the debt yield (DY)
covenant will tighten from 6.1% in the first year to 6.7% in year
two and then to 7.4% during the three-year extended term. After a
permitted CoC, the financial default covenants on the LTV and the
DY will be applicable; they are set at 15 percentage points higher
than the LTV at the time of the permitted CoC for LTV covenant and
at the highest of 6.1% or 85% of the DY at the time of the
permitted CoC for DY covenant. The senior loan must have, among
other requirements, a LTV no higher than 61.6% in order for the CoC
to qualify as permitted CoC.

The two-year senior loan has three one-year extension options,
which can be exercised if certain conditions are met. During the
loan term, the borrower will purchase an interest cap agreement to
hedge against increases in the interest payable under the loan. BNP
Paribas will provide a cap agreement that will cover 100% of the
outstanding balance with a cap strike rate that ensures a hedged
interest coverage ratio of no less than 2.0 times (x) but should be
no more than 1.5%. After the loan maturity, the Sterling Overnight
Index Average (Sonia) rate on the notes will be capped at 4%.

To cover any potential interest payment shortfalls, Bank of America
N.A. London Branch, provided the Issuer with a liquidity facility
of GBP 11.4 million. The liquidity facility covers the Class A,
Class B, and Class C notes as well as the corresponding portion of
the Issuer loan. DBRS Morningstar estimates that the commitment
amount at closing will be equivalent to approximately 20 months of
coverage based on the hedging terms mentioned above or
approximately 11 months of coverage based on the 4% Sonia cap. The
liquidity facility if there is a portfolio MV decline or based on
the amortization, if any.

The Class E Notes are subject to an available funds cap where the
shortfall is attributable to an increase in the weighted-average
margin of the notes.

The final legal maturity of the notes is in 2031, five years after
the fully extended loan maturity date. DBRS Morningstar believes
that this provides sufficient time to enforce the loan collateral
and repay the bondholders, given the security structure and
jurisdiction of the underlying loan.

To comply with the applicable regulatory requirements, Bank of
America Europe DAC advanced a GBP 11.4 million loan to the Issuer,
representing 5% of the total securitized balance.

DBRS Morningstar note that there are a couple of caveats in the
Irish legal opinions relating to the accuracy and completeness of
information disclosed in the searches (namely legal searches
against the Issuer/loan seller, as applicable, for mortgages,
debentures, notices, the appointment of any examiner or liquidator,
proceedings, petitions, orders, or decrees etc.). The legal
opinions of the transaction and the senior loan assume that there
is a higher risk that the searches are not fully up-to-date while
emergency coronavirus measures introduced by the Irish government
remain in place and due to the Irish Companies Registration Office
(CRO) not having confirmed when it will clear the backlog in
filings arising from the temporary suspension of the CRO service.
However, DBRS Morningstar understood that the loan seller is
providing standard representations and warranties to the Issuer.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
tenants and borrowers. DBRS Morningstar anticipates that vacancy
rate increases and cash flow reductions may continue to arise for
many CMBS borrowers, some meaningfully. In addition, CRE values
will be negatively affected, at least in the short term, impacting
refinancing prospects for maturing loans and expected recoveries
for defaulted loans.

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


VERY GROUP: Fitch Affirms 'B-' LT IDR, Alters Outlook to Positive
-----------------------------------------------------------------
Fitch Ratings has revised The Very Group Limited's (TVG) Outlook to
Positive from Stable, while affirming the retailer's Long-Term
Issuer Default Rating (IDR) at 'B-'. Fitch has also affirmed the
GBP550 million senior secured notes issued by The Very Group
Funding plc at 'B-'/'RR4'.

The Positive Outlook reflects stronger revenue growth forecast of
around 15% for the financial year to June 2021 following strong
trading throughout UK lockdowns. While Fitch does not expect this
exceptional performance to endure over the rating horizon, Fitch
forecasts retail-only EBITDA trending towards GBP200 million by
2022. This should allow the group to maintain leverage metrics
commensurate with a 'B' rating, assuming no re-leveraging of the
current capital structure upon refinancing or distributions to the
parent.

The 'B-' rating reflects an inherently highly leveraged balance
sheet prior to the onset of the pandemic, capturing through
adjustments driven by Fitch's methodology, the very weak
capitalisation of the consumer-credit subsidiary, Shop Direct
Finance Company Limited (SDFCL). The rating also reflects TVG's
solid position as a multi-category pure-play online retailer in the
UK, aided by SDFCL's financing offers for consumer purchases.

KEY RATING DRIVERS

Manageable Refinancing Risks: The revolving credit facilities (RCF)
and the high-yield bond are due to be refinanced in May and
November 2022, respectively. Successful refinancing with a capital
structure conducive to maintaining funds from operations (FFO)
adjusted gross leverage below 7.0x for the retail operations would
be central to an upgrade to 'B'. Fitch believes the company's
ability to complete a refinancing is supported by an accelerating
shift towards online purchases of goods and subject to the capital
structure not re-leveraging.

Strong Lockdown Trading: TVG has strengthened its presence during
the UK lockdowns after restrictions were placed on non-essential
store retailers since March 2020. Growth continues to be driven by
the success of Very brand, which accounted for 75% of the group's
retail sales in FY20, counteracting a managed decline under the
Littlewoods brand. Growth of the company's retail business for
1HFY21 was around 15% and Fitch expects this strong momentum will
continue through to FYE21.

It is unclear whether there will be a medium-term shift away from
online consumption once restrictions on non-essential store-based
retailers in the UK are lifted, and if so, to what extent.
Nevertheless, Fitch expects the group will emerge from the pandemic
with an enlarged and receptive customer base and assume it will
retain sustainably the level of sales it would reach in FY21.

Deleveraging Ability: Based on the current capital structure, the
group should be able to deleverage towards 6.5x in FY22 from around
8.0x in FY20 on an FFO adjusted gross leverage basis, through high
revenue growth. This is underpinned by the successful transfer of
operations to its new fulfilment centre, Skygate. Fitch believes
the new warehouse will be able to service higher dispatch volumes
with cost efficiency benefiting operating margins.

The costs of running two warehouses in parallel are set to end in
3Q21 with in-house fulfilment operations being solely run on one
site. In tandem with the end of administrative Payment Protection
Insurance (PPI)-related disbursements, this should remove
exceptional costs and improve earnings quality from 2H21.

Synergies with SDFCL: SDFCL provides consumer financing as a
complementary core offering to its online general merchandise
retail operations. EBITDA margin (excluding exceptional PPI
payments) at SDFCL of around 25% is healthy. The profitability
stemming from revolving credit provided to retail customers allows
the financing unit to help pay the group's expenses for operations,
IT and marketing costs, supporting retail sales volume growth in a
symbiotic way. Fitch continues to view this feature as supportive
of The Very Group's sustainable business model during a downturn.

Risk from SDFCL's Weak Capitalisation: SDFCL's capitalisation has
deteriorated as a result of recognising the final PPI charges.
Fitch calculates that gross debt/tangible equity at end-June 2020
stood at 17.1x, up from 6.4x at end- June 2018. Further
deterioration in SDFCL's capitalisation is a rating risk, as it may
disrupt the unit's ability to continue supporting TVG's retail
operations as around 90% of sales are made on credit. To reflect
this, Fitch adds back around GBP400 million of debt to TVG's retail
operations, as Fitch views this amount as a form of equity
injection from the parent to SDFCL to sustain the latter's capital
structure over the rating horizon.

Improving Liquidity: Strong retail trading since the onset of
Covid-19 and the shareholders' equity injection of GBP100 million
in FY20 has improved liquidity. Fitch-defined unrestricted cash on
balance sheet was GBP176 million at FYE20, versus GBP6 million at
FYE19. Its RCF was fully repaid at end-2020 although Fitch expects
around GBP100 million to be frequently utilised. Incremental
securitisation proceeds and improving quality of earnings will
continue to enhance liquidity over the rating horizon.

Governance and Group Structure Complexities: Fitch continues to
assign a Relevance Score of 4 under Group Structure due to group
complexity and to certain related-party transactions, which may
lead to some misalignment between shareholders and creditors'
interests. Fitch also continues to assign a Relevance Score of 4
for Governance Structure given sub-optimal board independence and
effectiveness relative to rated peers', as well as ownership
concentration. These factors have a negative impact on the credit
profile and are relevant to the ratings in conjunction with other
factors.

DERIVATION SUMMARY

Fitch assesses TVG's rating using the Ratings Navigator for
Non-Food Retailers. Non-food retail remains one of the most
disrupted sectors, even before the pandemic, due to changing
consumer preferences, technology, digitalisation and data
analytics, accelerating brand and product obsolescence,
environmental considerations and the changing face of UK high
streets.

These challenges require continuous reassessment of retailers'
business strategies. The pandemic has accelerated certain trends
such as digitalisation and revealed inherent weaknesses of market
participants' business models. This will result in a shake-up of
the competitive landscape in the near- to medium-term, as weaker
retailers exit the market, while those capable of adapting to and
embracing new challenges, such as the Very Group, should benefit
from technology and service leadership.

TVG stands out as one of the UK's second-largest pure-play digital
retailer with a complementary consumer-finance proposition that is
commensurate with a 'BB' business profile. This is balanced by an
aggressive financial structure with FFO adjusted gross leverage
improving towards 7.0x by FYE21 and strengthening financial
flexibility.

TVG is rated at the same level as Douglas GmbH (B-(EXP)/Stable),
Europe's largest beauty retailer, which demonstrates strong online
and omni-channel capabilities. The Positive Outlook reflects
Fitch's expectation that TVG would be able to deleverage to below
7.0x in the near term whereas Fitch expects the leverage of
Douglas, which has been assigned the same upgrade Sensitivity, to
remain higher by 2023, at around 8.0x.

Pure online beauty retailer THG Holdings plc (B+/Positive) is rated
two notches above Very Group, mainly due to its more conservative
post-IPO financial policy with FFO adjusted gross leverage
projected to drop to 4.4x in 2021 and 2.6x by 2023 as the business
strengthens its global presence Europe with in-house online
capabilities supporting online retail volumes.

KEY ASSUMPTIONS

-- Strong sales momentum continuing throughout FY21 growth of
    around 15%, with around 2% annual growth in the following
    three years;

-- Retail-only EBTIDA margin to recover above 10% by FY22 as
    recent cost-initiatives drive better utilisation of
    operational leverage;

-- Retail working-capital outflow at 1.5% of sales, largely
    offset by GBP30 million of securitisation proceeds per annum
    recognised below FCF;

-- Capex of GBP65 million per annum; and

-- Permanent repaid of GBP100 million RCF before FYE22.

KEY RECOVERY RATING ASSUMPTIONS

-- Fitch assumes that The Very Group would be considered a going
    concern in bankruptcy and that it would be reorganised rather
    than liquidated.

-- In Fitch's bespoke going-concern recovery analysis Fitch
    considered an estimated post-restructuring EBITDA available to
    creditors of GBP71 million; derived from discounting FY20's
    retail-only EBITDA of GBP149 million by 10%, after excluding a
    GBP70 million "run-rate" contribution for operating cost from
    SDFCL. Fitch envisages SDFCL being restructured in tandem with
    the retail operations given their strategic integration.
    Therefore, Fitch assumes that SDFCL would be restructured by a
    third-party/joint-venture and creditors of the restricted
    group would have claim to the retail operations not enabled by
    a consumer-credit subsidiary. Accordingly, GBP1.3 billion of
    non-recourse securitisation financing outside the group is
    removed from the debt waterfall.

-- Fitch has used a distressed enterprise value/EBITDA multiple
    of 5.0x. This reflects the group's exposure to rapid online
    sales growth and leading position in UK underpinned by high
    brand awareness.

-- For the debt waterfall Fitch assumes a fully drawn super
    senior RCF of GBP100 million ranking ahead of TVG's high-yield
    bond of GBP550 million and GBP50 million RCF that is pari
    passu to the high-yield bond. After deducting 10% for
    administrative claims, Fitch's principal waterfall analysis
    generated a ranked recovery for noteholders in the 'RR4' band,
    indicating a senior secured instrument rating of 'B-' aligned
    with the IDR. The waterfall analysis output percentage on
    current metrics and assumptions is 36%.

RATING SENSITIVITIES

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

-- Maintenance of a capital structure post-refinancing that
    supports the prospects of sustaining a retail-only FFO
    adjusted gross leverage below 7.0x;

-- Steady retail-only profitability, and solid cash flow
    generation, for example reflected in a consistently positive
    FCF margin; and

-- Further shareholder support to bolster SDFCL's current capital
    and/or maintenance of adequate asset quality that would help
    boost the subsidiary's tangible equity.

Factors that could, individually or collectively, lead to a
stabilisation of the rating:

-- Re-leveraging of the capital structure upon refinancing that
    would prevent Fitch from having visibility that retail-only
    FFO adjusted gross leverage would reduce below 7.0x;

-- Decline in business and decreasing profitability under more
    challenging market conditions when UK store-focused peers
    reopen, constraining the FFO margin below 6% and FFO fixed
    charge coverage below 2.5x; and

-- No improvement in SDFCL's capital position, thus undermining
    the division's ability to continue supporting the group's
    retail activities.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Improved Liquidity; Upcoming Refinancing: Strong retail trading
along with a shareholder equity injection has improved the
liquidity profile, even when the outstanding PPI payments are
considered. At end-2020, the RCF was fully repaid, providing retail
operations with increasing liquidity headroom beyond FY21.

Current refinancing plans have yet to be articulated. The RCF and
high-yield bond issue both mature in 2022. In light of the strong
performance of the retail operations and the group's competitive
position, subject to not re-leveraging upon refinancing, Fitch does
not foresee major refinancing risks.

SUMMARY OF FINANCIAL ADJUSTMENTS

In Fitch's analysis, Fitch strips out the results of SDFCL for a
proxy of cash flows available to service debt at The Very Group.
Fitch also deconsolidates the GBP1.3 billion non-recourse
securitisation financing outside of the group under SDFCL. This
securitisation debt is core to the group's consumer-financing offer
and is repaid by the collection of receivables predominantly
originated from retail.

Due to the below-average asset quality and inherent funding and
liquidity constraints for SDFCL (due to the encumbered nature of
SDFCL receivables), Fitch adds back around GBP400 million of debt
to TVG's retail operations, as Fitch views this amount as a form of
equity injection from TVG to SDFCL to attain a capital structure
for the subsidiary that would require no cash calls to support the
latter's operations over the rating horizon. Fitch makes this
adjustment despite the business being financed on a non-recourse
basis via receivables securitisation.

ESG CONSIDERATIONS

The ESG Relevance Score of 4 for Group Structure and Governance
Structure given sub-optimal board independence and group complexity
involving a high number of related party transactions.

The ESG Relevance Score for Customer Welfare/Fair Messaging,
Privacy and Data Security has been changed to 3 from 4 following
the near-term settlement of PPI claims against SDFCL

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.


                           *********


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

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

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

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