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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, May 12, 2021, Vol. 22, No. 89

                           Headlines



F R A N C E

LOXAM SAS: S&P Upgrades Long-Term ICR to 'B+', Outlook Positive


G E R M A N Y

BK LC LUX: S&P Rates EUR1,077MM Sr. Secured Facilities 'B'
GFK SE: S&P Assigns 'B+' Issuer Credit Rating, Outlook Stable
LUFTHANSA: Mulls EUR3-Bil. Capital Increase to Repay State Aid
SYNLAB AG: Fitch Assigns 'BB' LT IDR, Outlook Stable
SYNLAB AG: Moody's Assigns 'Ba3' CFR & Rates New EUR735M Loan 'B1'

[*] GERMANY: Corporate Insolvencies Down 21.8% in February 2021


I R E L A N D

AURIUM CLO VI: S&P Assigns Prelim B- (sf) Rating to Class F Notes
AVOCA CLO XXIII: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes
JUBILEE CLO 2013-X: S&P Assigns Prelim B- (sf) Rating to F-R Notes
NORTHWOODS CAPITAL 23: Moody's Assigns B3 Rating to EUR13M F Notes
NORTHWOODS CAPITAL 23: S&P Assigns B- (sf) Rating to Cl. F Notes

SCULPTOR EUROPEAN II: Moody's Gives B3 Rating to EUR12M F-R Notes
SCULPTOR EUROPEAN II: S&P Assigns B-(sf) Rating to Class F-R Notes


T U R K E Y

AK FINANSAL: Fitch Affirms 'B+' LT Foreign Currency IDR


U N I T E D   K I N G D O M

CPUK FINANCE: S&P Affirms B- (sf) Rating on Class B6-Dfrd Notes
GREENSILL CAPITAL: Cameron Contacted Ministers to Lobby for Firm
GREENSILL CAPITAL: FCA Formally Investigates UK Operations
GREENSILL CAPITAL: Lex Grensill Says Sorry Over Firm's Collapse
PLADIS: Plans to Close Tollcross Site, 468 Jobs at Risk


                           - - - - -


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F R A N C E
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LOXAM SAS: S&P Upgrades Long-Term ICR to 'B+', Outlook Positive
---------------------------------------------------------------
S&P Global Ratings raised its long-term issuer credit and issue
ratings on Loxam SAS and its senior secured notes to 'B+' from 'B',
with the '3' recovery rating unchanged (50%-70%; rounded estimate:
50%). S&P also raised its issue ratings on the senior unsecured
debt to 'B-' from 'CCC+', with the '6' recovery rating unchanged
(0%-10%; rounded estimate: 0%).

The positive outlook reflects S&P's expectation of EBITDA growth
from volume recovery and potential bolt-on acquisition
contributions over the next 12 months, which should result in
margin improvement to more than 37% and leverage decreasing to
about 4.7x in 2021 and to well within the 4.0x-4.5x range in 2022.

Loxam has posted robust results despite the COVID-19 pandemic,
exhibiting good cost control in the process. S&P said, "We estimate
cost-cutting measures have enabled the group to outperform its own
forecasts from the beginning of the pandemic. Loxam demonstrated
flexibility by reducing fleet capital expenditure (capex) to about
EUR192 million in 2020 from EUR466 million in 2019. We believe that
it will maintain cost discipline and the benefits of some
cost-cutting efforts undertaken in 2020 as sales start to recover
in all countries, thereby keeping adjusted EBITDA margins above
35%. We also expect Loxam to remain acquisitive and utilize future
cash flows to fund bolt-on acquisitions, factoring in some
opportunities the group may have. As a result, we expect leverage
to improve to about 4.7x in 2021 and to well within the 4.0x-4.5x
range in 2022."

S&P said, "We forecast that Loxam will maintain positive free
operating cash flow (FOCF) through 2021. The group focused on capex
management and generated FOCF of about EUR300 million in 2020,
despite the COVID-19 pandemic. We expect this flexibility will
enable it to continue this trend in 2021, despite forecast higher
capex and working capital consumption of about EUR10 million. For
2021, we estimate S&P Global Ratings-adjusted FOCF of about EUR170
million, decreasing in 2022 due to a capex increase but remaining
positive.

"The positive outlook reflects our expectation that credit metrics
will continue to recover in 2021 and 2022, despite challenging
industry conditions.We expect that revenue will increase by about
7% in 2021, including bolt-on acquisitions. Loxam demonstrated
improving revenue and profit trends for full-year 2020 after a
temporary hit from the weak economy and nationwide closure of
rental locations. We do not expect a strong rebound in demand for
rental equipment in 2021 as uncertainties weigh on investments and
projects. We estimate that the French market recovered during
first-quarter 2021 while activity in the Nordics, U.K., and Middle
East was still below 2019 levels. However, we expect to see a
recovery that should support better performance in the second
quarter. We estimate Loxam's adjusted leverage will be about 4.7x
in 2021 and improve toward 4.2x in 2022. Our measure of leverage in
2021 includes approximately EUR2,975 million of senior and
unsecured subordinated debt, about EUR250 million of bilateral and
other debt, EUR240 million of government support loans, and about
EUR560 million of financing and operating leases.

"We apply a negative comparable ratings analysis notch. This
indicates the leverage volatility we observed in recent years at
more than 5x, including the effects of the Ramirent acquisition and
the COVID-19 pandemic. We believe that potentially volatile
industry conditions caused by the pandemic might continue through
2021. We could revise the negative comparable ratings analysis if
the group sustains leverage below 5x, with supportive industry
conditions."

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

S&P said, "The positive outlook reflects our expectation of EBITDA
growth from volume recovery and potential bolt-on acquisition
contributions over the next 12 months, which should result in
margin improvement to more than 37% and leverage reducing to about
4.7x in 2021 and to well within the 4.0x-4.5x range in 2022. The
positive outlook indicates our expectation of continued revenue
growth, supported by secular industry growth opportunities and
continued higher profitability."

S&P could lower its ratings in the next 12 months if, on a
sustainable basis:

-- S&P believes adjusted debt to EBITDA would increase above 5x;
FOCF turns negative; and

-- Profitability falls below 30%.

This could occur if an economic downturn and weaker industrial
production weakens the rental market beyond our expectations and
the company conducts large debt-financed transactions.

S&P could raise its ratings if:

-- The company delivers on its forecast and demonstrates a
commitment to maintain debt to EBITDA below 4.5x and toward 4.0x
and funds from operations (FFO) to debt above 15% on a sustainable
basis;

-- The company maintains positive FOCF; and

-- S&P believes the risk of adjusted debt to EBITDA increasing
above 5x is low.




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G E R M A N Y
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BK LC LUX: S&P Rates EUR1,077MM Sr. Secured Facilities 'B'
----------------------------------------------------------
S&P Global Ratings assigned its 'B' ratings to BK LC Lux Finco 1
Sarl (parent of Birkenstock group) and the EUR1,077 million senior
secured facilities due 2028, and a 'CCC+' rating to the EUR430
million unsecured notes due 2029.

S&P said, "The stable outlook reflects our view that Birkenstock
has sufficient rating headroom within its credit metrics, prospects
for gradual deleveraging, and robust annual free operating cash
flow (FOCF) of EUR120 million or higher.

"The Birkenstock brand is well established in mature markets with
relatively lower fashion-led volatility. We believe the Birkenstock
brand has strong equity power within its niche category of sandals
and orthopedic footwear products. This is mainly thanks to its
specific functionality features, long brand history, and good
control of the supply chain and manufacturing process to maintain a
consistent level of product quality. We note that, compared with
other apparel brands, Birkenstock has relatively lower risk
associated with fashion changes. Core models have been in the
market for many years, and the company has a diversified and loyal
customer base, with brand differentiation linked to its products'
orthopedic features. Birkenstock is trying to expand its customer
base, including through partnerships with other brands, such as
Valentino, Stüssy, and others. Although, brand awareness outside
Europe and North America is relatively low, the company intends to
increase penetration in markets like China and India. We note that,
compared with the average for branded apparel, Birkenstock spends a
relatively smaller amount on marketing activities and this supports
sound profitability metrics."

The company has a solid track record of revenue growth, with
relatively stable profitability. During 2012-2020, Birkenstock's
revenue achieved a compound annual growth rate (CAGR) of about 19%,
materially outperforming the global footwear industry. More
recently, during the fiscal year ended Sept. 30, 2020 (fiscal
2020), Birkenstock posted revenue growth of 1.2% year on year. The
group has been able to offset the pandemic's adverse effect on its
wholesale and physical retail channel mainly thanks to strong
momentum in online sales, which were up 81%. S&P said, "We believe
the footwear industry will remain supported by positive industry
factors, such as casualization, premiumization, sustainability, and
wellness trends. For these reasons, we expect a more challenging
environment for formal shoes, while sport and casual shoes could
enjoy some long-term benefits also supported by the shift to
working from home."

S&P considers barriers to entry in the industry to be moderate. The
global footwear industry is highly fragmented, with the top five
players accounting for less than 25% of the market share according
to Euromonitor. Although we view industry barriers as moderate, the
product segment in which Birkenstock operates is relatively small
and with specific features that are not the focus of most of the
larger footwear manufacturers. Key mitigants to competitive
pressure relate mainly to the orthopedic features of footbeds, as
well as Birkenstock's brand equity power, and vertically integrated
business model.

The company's distribution strategy is evolving, alongside an
increasing focus on direct to customer sales. Wholesale is
Birkenstock's largest distribution channel. During fiscal 2020,
wholesale business accounted for about 70% of total sales,
e-commerce 25%, and physical retail about 5%. North America is the
company's most advanced market from a distribution perspective,
with direct-to-customer (DTC) accounting for about 34% of regional
company sales. One of the company's priorities relates to the
rationalization of wholesale with a group of partners that are
better aligned with the Birkenstock brand. The group expects the
DTC channel to generate an increasing portion of sales, primarily
thanks to acceleration in e-commerce. According to Euromonitor, in
2020, digital sales accounted for about 26% of the global footwear
industry's total (up from 11% in 2015), and this is broadly in line
with e-commerce's existing contribution for the group. The share of
revenue generated by the company's own physical retail business is
low by industry standard. The company opened flagship retail stores
in Soho (New York City) in 2018 and Venice Beach (California) in
2019. As of September 2020, Birkenstock owned 52 stores. As part of
brand building and better DTC exposure, Birkenstock expects to open
selected new stores, primarily in Europe (outside Germany) and the
U.S.; although, according to the company's base case the key growth
driver remains the online channel.

There is limited product diversity, given the concentration on a
niche segment of the footwear industry. S&P said, "We note that
over 70% of annual sales are generated from five models--core
classic--with the original "Arizona" model being an important
contributor of total sales. During the past few years, the company
has expanded the Arizona model (sandal with two straps) to include
new colors, textiles, and patterns. The company is also keen to
expand in other categories outside sandals (such as closed-toe
shoes, the children's segment, accessories, and others) but these
still represent a limited part of the overall business. Moreover,
within our credit assessment, we factor in the company's limited
exposure to emerging markets and revenue contributions from a few
mature markets, with the top three countries accounting for more
than 60% of total sales."

Cash flow conversion compensates for relatively high S&P Global
Ratings-adjusted debt to EBITDA. S&P said, "Under our base case, we
expect the company to maintain S&P Global Ratings-adjusted debt to
EBITDA of 7.0x-7.5x over the next two years. We anticipate gradual
deleveraging after the transaction closes, thanks to organic growth
and discipline in discretionary spending. In our adjusted debt
calculation, we include a EUR275 million vendor loan related to the
deferred purchase price under the acquisition agreement. In our
base case, we assume that interest to be paid on the vendor loan
will be in kind, in line with the company's guidance. Moreover, we
adjusted the company's reported debt to include about EUR50 million
related to the net present value of operating leases, and we do not
net cash available on balance sheet to the reported debt. Within
our base case, we forecast the company can generate FOCF (after
capital expenditure [capex], working capital, cash interest, taxes,
and lease payments) of EUR120 million-EUR150 million. Positively,
we forecast our adjusted EBITDA interest coverage ratio to be
sustainably above 3.0x. We note that Birkenstock has undertaken no
acquisitions in the past, and the likelihood of a significant
debt-funded acquisition is low, in our view."

S&P said, "The stable outlook reflects our view that Birkenstock
will maintain S&P Global Ratings-adjusted EBITDA margins of
27%-28%, while continuing to generate robust annual FOCF of EUR120
million-EUR150 million. We believe the company's strategy to
consolidate its position in mature markets, expand in Asia, and
focus on the DTC channel should lead to gradual deleveraging, with
adjusted debt to EBITDA at 7.0x-7.5x over the next two years
(including the vendor loan). Under our base case, we expect the
group to maintain EBITDA interest coverage above 3.0x.

"We would likely lower the rating if Birkenstock's annual FOCF is
materially weaker than anticipated or if the EBITDA interest
coverage ratio falls toward 2.0x. This could result, for example,
from a significant loss of market share in core geographies because
of intense competition or a change in consumer preferences. Another
factor that could prevent gradual deleveraging is materially higher
discretionary spending than currently anticipated.

"We could consider an upgrade if the company accelerated its
organic deleveraging plan, with S&P Global Ratings-adjusted debt to
EBITDA below 5.0x and FOCF to debt close to 10% or higher. This
would most likely be triggered by strong revenue growth in both
mature and emerging markets and improvement in profitability to
about 30% or higher, while maintaining a conservative financing
policy to keep leverage ratios at this level on a sustainable
basis."


GFK SE: S&P Assigns 'B+' Issuer Credit Rating, Outlook Stable
-------------------------------------------------------------
S&P Global Ratings assigned its 'B+' long-term issuer credit rating
to GfK and its 'B+' issue rating and '3' recovery rating to the
company's new senior secured TLB and RCF.

S&P said, "The stable outlook reflects our expectation that GfK
will materially increase its earnings during 2021-2022 on the back
of a lower cost base and declining restructuring costs, having
mostly completed its restructuring plan during the past four years.
This will translate into positive free operating cash flow (FOCF;
after lease payments) in 2021 and material FOCF in 2022, and S&P
Global Ratings-adjusted leverage of about 7.0x in 2021 and 5.5x in
2022."

The ratings are in line with the preliminary ratings S&P assigned
on April 13, 2021.

S&P said, "Our rating reflects GfK's good market positions,
improving profitability, less aggressive financial policy than
usual for a fully private equity-owned company, and financial
flexibility. The company operates in the highly competitive global
research, data, and analytics market, where it competes with larger
integrated research players such as Kantar, Nielsen IQ, and IRI. We
estimate that GfK is the world's sixth-largest player in this
field, but it holds only about a 1.3% share because the market is
very fragmented. Although smaller than some of its peers in terms
of the size and scale of its operations, we expect GfK's revenue
and cash flow will be relatively more stable. This is thanks to the
sound geographical and product diversity of its operations, its
lower exposure to the volatile fast-moving consumer goods (FMCG)
sector, its relatively high proportion of subscription revenue, and
its improving profitability on the back of a four-year
restructuring program that is almost completed. Since 2017, the
company has been performing an extensive and costly turnaround of
its business, during which it has trimmed more than EUR250 million
of operating costs, streamlined its operations by disposing of
parts of its businesses, and reduced its exposure to more-volatile
ad-hoc research business (one-time projects designed for one client
that cannot be replicated). In our view, this positions GfK well
compared with some of its peers that started similar turnaround
exercises later and are yet to see the benefits. We expect this
restructuring plan to allow GfK to achieve stronger profitability
in 2021-2022 compared with that of some of its peers. We also
anticipate that the company will drive its adjusted financial
leverage to lower levels than some of its peers by 2022. This
reflects not only the benefits of its restructuring exercise, but
also our view that its majority shareholder, NIM, has the ability
and willingness to run a less aggressive financial policy than some
typical fully private equity-owned companies, thereby offsetting
any potentially more aggressive approach from its 46% shareholder,
private equity firm KKR, which jointly controls the company. GfK
also benefits from a significant cash cushion on its balance sheet
of about EUR200 million (almost one-third of its gross debt), which
is not netted off its adjusted metrics and will provide the
company, together with its EUR150 million RCF, with substantial
financial flexibility to fund growth or complete its restructuring
plan without raising new financial debt.

"Post refinancing, GfK's capital structure is highly leveraged, but
we expect leverage will fall with increasing earnings in 2021-2022,
as the company reaps the benefits of its restructuring plan.GfK has
refinanced its capital structure with a new EUR650 million TLB and
a EUR150 million RCF. As a result, we expect that the company's
adjusted leverage in 2021 will be high, at about 7.2x, and then
decline to about 5.5x by year-end 2022 due to increasing EBITDA and
diminishing restructuring costs (these calculations do not net off
GfK's relatively large cash balances). This expectation reflects
our assumption that the global economy will recover strongly in
2021-2022, supporting revenue growth in GfK's key markets, and that
the company's operating efficiency will improve as it reaps the
benefits of the operating cost savings through restructuring. We
also expect that GfK's financial policy will allow for this
deleveraging and that the company will not undertake debt-funded
dividend payments or material debt-funded acquisitions.

"We think that GfK's financial policy will be less aggressive than
that of most private equity-owned peers thanks to majority
shareholder NIM's decisions.GfK is jointly controlled by nonprofit
market research organization NIM, which owns 54% of the company,
and private equity fund KKR (through its Acceleratio fund), which
owns 46% of the economic and voting rights. Since 2017, GfK's
financial leverage has risen and gross debt was up almost EUR200
million by 2020, leading to adjusted debt to EBITDA consistently
above 7.0x--also due to high restructuring costs during the period.
In our view, the presence of a private-equity sponsor raises the
risk that financial leverage could stay high over the medium term.
At the same time, we understand that NIM has a conservative
approach to leverage, and has ultimate majority voting power at GfK
if matters are put to a shareholder's vote, which counterbalances
any aggressive stance regarding financial decisions and leverage.
We therefore expect that GfK's financial policy will be less
aggressive compared with that of some of its peers that are fully
controlled by financial sponsors.

"Our rating on GfK also reflects the company's financial
flexibility due to its high cash balances. Since 2017, KKR has
largely driven the company's business turnaround, which we view
positively for its operating performance. In this time, GfK has not
paid dividends and has maintained significant cash on its balance
sheet. We understand that, from 2022, the company might resume
dividend payments, but we assume that, based on management's
guidance, these will be limited to about EUR30 million and they
will be funded from excess FOCF and not lead to weaker credit
metrics. At year-end 2020, GfK had EUR195 million of cash on its
balance sheet. We do not net off cash when calculating our adjusted
leverage metrics, in line with our criteria, since we do not assume
that this cash will be used to repay debt, but we do not assume
that it will be used to pay dividends either. We understand and
factor in the fact that this cash cushion will provide the company
with the financial flexibility to either absorb potential operating
underperformance, for example, if the global economic recovery or
the completion of the company's turnaround program are delayed, or
to invest in organic growth or bolt-on acquisitions without
incurring additional debt."

GfK benefits from strong positions in the competitive and
fragmented research market. The company operates in an industry
facing structural challenges as large clients seek to reduce data
research and marketing spending. In this context, GfK has a leading
market standing in point-of-sale data and market intelligence (MI)
in the tech and durables sector, where it holds a No. 1 global
position outside North America. It is also the No. 2 consumer panel
(CP) provider outside the U.S. GfK's strong market position
benefits from relatively high barriers to entry resulting from
long-lasting partnerships and client relationships, deep
integration of its data and analytics in customers' daily
processes, and ownership of large sets of high-quality data that
are difficult and costly to replicate. GfK enjoys a relatively high
share of recurring revenue of about 80%, which is higher than that
of its closest competitors. The company has multiyear contracts
with its clients and enjoys longstanding client relationships. It
also has a diverse geographical base, deriving about 65% of its
revenue from Europe, and a solid presence in North America and
Asia-Pacific, which generate another 20% of revenue each. GfK also
offers data, research, and analytics across five product
categories, with MI and CP generating more than 60% of revenue,
while the other product categories contribute less than 15% each.
GfK enjoys a diversified and large client base, but it has higher
customer concentration than some of its peers.

S&P said, "Industry challenges, restructuring, and COVID-19 have
weighed on GfK's revenues, but we expect the company to return to
growth from 2022.GfK's size and scale of operations declined to
about EUR900 million in 2020, from EUR1.4 billion in 2017, due to
structural industry challenges that mainly affected the marketing
and consumer intelligence (M&CI) product category, and increasing
competition and reducing revenue, partly driven by GfK's divestment
of its four divisions (including the custom research business) to
IPSOS in 2018 during its restructuring in 2017-2020. In addition,
in 2020, the company's revenue decreased due to the pandemic, for
example, in the media measurement (MM) product category. For 2021,
we anticipate that some of GfK's product categories might still be
negatively affected by the pandemic, competitive pressures, and
structural declines, so we expect that revenue might decline by up
to 5%, while it should resume growth by more than 3% annually from
2022, mainly thanks to higher revenue from the MI and CP product
categories. We also think GfK's new artificial intelligence
(AI)-based platform, gfknewron, might become an additional growth
spur, albeit from a currently low revenue base."

The tough competitive environment requires GfK to invest in
innovation. There is increasing demand for more data-driven,
real-time analytics and integrated solutions that require
significant investment in new technology and innovation. GfK plans
to spend a major part of its annual capital expenditure (capex) on
developing new technology. S&P understands that the company will
invest material resources in gfknewron, a platform that provides
prescriptive insights and recommendations on pricing, promotions,
consumers, and other topics. gfknewron has a small number of paying
clients and needs to gain scale, but could become a lucrative
earnings stream in the future given its capabilities and lower need
for human capital. GfK's competitors are investing in similar
innovative offerings, trying to meet the demand for insights and
recommendations.

S&P said, "We expect GfK's profitability will improve in 2021-2022
following a turnaround of its business.Since 2017, the company has
undertaken a comprehensive turnaround of its business, incurred
high restructuring costs, and significantly reduced its operating
expenses. This process weighed heavily on profitability in
2017-2020, hence adjusted EBITDA margins were well below those of
some of its peers, and significantly less than 15%. Positively, GfK
largely completed its transformation program in 2020, which led to
a significant EBITDA improvement, with reported EBITDA of EUR141
million compared with EUR57 million in 2019 and EUR23 million in
2017, and we see the company positioned ahead of some of its peers
in its transformation plan. For example, Kantar only started its
business turnaround in 2018 and accelerated it in 2020 after being
acquired by Bain Capital. Equally, Nielsen IQ will start its major
restructuring in 2021 after being acquired by Advent International.
We forecast that GfK's reported EBITDA will increase to EUR150
million-EUR170 million in 2021, from EUR141 million in 2020, and to
EUR200 million-EUR210 million in 2022, driven by increased
operating efficiencies, cost savings, and declining restructuring
costs. This should translate into GfK's adjusted EBITDA margins
improving to 14.0%-18.5% in 2021-2022, likely exceeding those of
peers. GfK's challenges in accomplishing this turnaround will be
twofold. On the one hand, achieving good revenue growth in spite of
the industry's low growth trend and the significant price-led
competition. On the other hand, completing its restructuring plan
on time and budget.

"We expect GfK will generate positive and improving FOCF in
2021-2022 as a result of increasing EBITDA generation, modest
working capital outflows, and moderate capex. GfK's FOCF improved
in 2020 thanks to cost savings and reduced restructuring costs and
despite the impact of the COVID-19 pandemic, compared with negative
FOCF in 2018-2019. We estimate that reported FOCF (before lease
payments) could reach EUR25 million-EUR35 million in 2021 (up to
EUR5 million in reported FOCF after lease payments) and EUR65
million-EUR75 million in 2022 (EUR35 million-EUR45 million in
reported FOCF after lease payments). In our base-case scenario, we
do not assume any material debt-funded acquisitions, but note that
GfK could use cash on balance to finance some bolt-on acquisitions.
We also think that from 2021, the company could start paying modest
dividends of up to EUR30 million per year, including dividends to
minorities, that it would finance from its FOCF.

"GfK has a smaller scale of operations than some of its
better-diversified competitors, but we expect it should achieve
higher operating margins and cash flows and reduce leverage over
the next 18 months.GfK's scale of operations is smaller than its
close competitors Kantar and Nielsen IQ, which are the No. 3 and
No. 4 global research players by market share, respectively. Both
peers have larger scales of operations, generating revenue of above
EUR2 billion each in 2020, and they have more diversity in terms of
product offering. However, GfK benefits from a higher share of
recurring revenue than some of its peers, and we expect that it
could achieve higher profitability and cash flow generation over
the next two years due to being more advanced with its business
turnaround. We therefore expect GfK's leverage will decrease
somewhat in 2021 and decline more rapidly than some of its peers,
to 5.5x in 2022.

"The stable outlook reflects our expectations that GfK will
materially increase its earnings during the next 18 months on the
back of organic revenue growth, a lower cost base, and declining
restructuring costs. In our base case, this will translate into
positive FOCF in 2021 and material FOCF in 2022 and adjusted
leverage of about 7.0x in 2021 and 5.5x in 2022. We also assume
that a financial policy led by GfK's main shareholder NIM,
including minimal dividend payments, no significant debt-financed
mergers or acquisitions, and conservative use of its relatively
large cash balances, will support deleveraging. The rating has
limited headroom to accommodate any further debt or any material
deviation from the operating and financial expectations described
above.

"We could lower the rating if GfK underperforms our base-case
scenario, leading to a lack of deleveraging in 2021 and 2022, if it
fails to reach adjusted debt to EBITDA of about 5.5x by 2022 and
FOCF to debt remains below 5%, or if its liquidity weakens." This
scenario could occur due to the following:

-- The loss of market share and/or inability to increase revenue
and EBITDA as much as we expect due to intense price competition or
continued pressures from the COVID-19 pandemic;

-- Higher-than-expected restructuring or transformation-related
costs that would erode EBITDA, leading to adjusted EBITDA margins
failing to improve sufficiently above 15%; or

-- A more aggressive financial policy than we assume, with
debt-funded dividends or acquisitions leading to adjusted leverage
above 5.5x, or the company using its present cash levels to
distribute dividends.

S&P said, "We view the likelihood of an upgrade in the next 12
months as remote, given that we already incorporate our assumption
of GfK's improving operating performance and deleveraging into the
current rating, as a result of its almost completed restructuring
program. Notwithstanding this, we could consider an upgrade if the
company's business strength improves, evidenced by increased scale
and diversity of operations, a robust market position, adjusted
margins persistently above those of peers, adjusted leverage
reducing below 4.5x, FOCF to debt improving above 10%, and the
company demonstrating a commitment to maintaining credit metrics at
such levels."


LUFTHANSA: Mulls EUR3-Bil. Capital Increase to Repay State Aid
--------------------------------------------------------------
Ilona Wissenbach, Abhinav Ramnarayan and Arno Schuetze at Reuters
report that Lufthansa is working with Deutsche Bank and Bank of
America to sound out investors about a capital increase worth
roughly EUR3 billion (US$3.7 billion), possibly as soon as June,
people close to the matter said.

According to Reuters, the people said the final size and timing of
the rights issue to repay state aid Lufthansa received during the
pandemic will be subject to market conditions and the German
airline is expected to opt for a June/July or September/October
window.

Lufthansa shareholders this month approved a potential capital
increase of up to EUR5.5 billion, though finance chief Remco
Steenbergen has said that was just the sum of the two tranches of
hybrid capital, dubbed silent participation, it received as part of
a 2020 bailout, Reuters recounts.

"The actual increase will be lower than that and is really
dependent on what we see the need to be at the moment we decide to
issue," Reuters quotes Mr. Steenbergen as saying.

He has said capital markets needed to be supportive and the
airline's plans to divest units such as LSG, AirPlus and Lufthansa
Technik also needed to be taken into account when determining the
size of the capital increase, Reuters relates.

Lufthansa only expects to fly at about 40% of its pre-pandemic
capacity in 2021, but it has raised its number of holiday
destinations to over 100, banking on surging demand as vaccination
campaigns reach a large number of people, Reuters notes.

Lufthansa has already drawn on EUR1 billion of silent participation
capital from the government and said earlier this month that it was
considering using a further EUR1.5 billion to secure its liquidity
position, according to Reuters.


SYNLAB AG: Fitch Assigns 'BB' LT IDR, Outlook Stable
----------------------------------------------------
Fitch Ratings has assigned Synlab AG (Synlab) a Long-Term Issuer
Default Rating (IDR) of 'BB' with a Stable Outlook. At the same
time Fitch has upgraded Synlab Bondco Plc's IDR to 'BB' from 'B+'
and simultaneously withdrawn it following a change in the corporate
structure.

Fitch has also assigned Synlab and Synlab Bondco Plc senior
unsecured debt ratings of 'BB' with a Recovery Rating of 'RR4'. A
full list of rating actions is provided below.

The 'BB' IDR follows Synlab's successful initial public offering
(IPO) on 30 April 2021, in line with Fitch's expectations. Gross
primary proceeds from the IPO of around EUR400 million plus cash on
balance sheet were used to reduce debt by around EUR415 million.
Post-IPO, Fitch projects improved credit metrics with funds from
operation (FFO) adjusted gross and net leverage to decline to
around 4.0x and 3.3x, respectively in 2021, which is solid for its
rating.

The rating is also supported by stronger free cash flow (FCF)
margins and profitability as Synlab's robust organic performance
was boosted by Covid 19-related sales, which Fitch expects to
continue in the medium term. Furthermore, Fitch views Synlab's
post-IPO financial policy as conservative and aligned with the 'BB'
rating, with the group's commitment to a net leverage target of
below 3.0x (corresponding to around 4.0x FFO net leverage) and
improved financial flexibility supported by an enlarged EUR500
million revolving credit facility (RCF).

The Stable Outlook is underpinned by the group's defensive and
stable operations given the infrastructure-like nature of
lab-testing services, with its social relevance reinforced by the
pandemic, supporting Fitch's projections of sustained positive FCF,
strong credit metrics and low financial leverage.

Fitch is withdrawing the IDR at Synlab Bondco Plc due to the change
in group structure following the IPO. Fitch is also withdrawing the
senior secured debt rating at Synlab Bondco Plc and assigning a new
senior unsecured debt rating following the release of security for
the existing term loan B (TLB) issued at Synlab Bondco Plc.

KEY RATING DRIVERS

Accelerated Deleveraging: Synlab's use of the IPO proceeds of
EUR400 million to further reduce indebtedness has significantly
accelerated a reduction in FFO adjusted net leverage towards 3.0x
by 2023 from around 4.0x in 2020. The structurally improved
financial risk profile has strengthened Synlab's credit profile,
supporting the 'BB' IDR following the completion of the IPO and
debt repayment.

Commitment to Conservative Financial Policy: The upgrade is further
supported by Synlab's announced commitment to a more conservative
financial policy, even though the group retains funding flexibility
to pursue further small/mid-scale acquisition opportunities under
the current rating. Its new leverage target of below 3.0x, which
Fitch estimates would equal FFO adjusted gross leverage of
4.5x-5.0x (4.0x net) based on Fitch-defined EBITDA and excluding
the impact of IFRS 16, is commensurate with the 'BB' rating
category. Further positive rating momentum is predicated, among
other factors, on Synlab adhering to its strict financial
discipline post-IPO.

Strengthening FCF: Fitch projects strong FCF margins of 7%-8% until
2024 on higher EBITDA, lower annual interest costs, and contained
trade working-capital and capex requirements. Fitch expects
moderate trade working-capital outflows of EUR25 million-EUR30
million in the medium term and capex at 4% of revenue, in line with
prior years. Lower annual interest costs, following debt
prepayments and application of post-IPO margin reduction for the
existing TLB will reduce estimated interest costs to around EUR40
million-EUR60 million from 2021 from around EUR120 million in 2020
(excluding IFRS 16-related lease interest expense).

Defensive Business Profile: Synlab's defensive business model, with
its infrastructure-like lab-testing services, offers resilient
earnings and sustained positive cash flows leading to moderate
business risk. The sector's highly regulated environment with high
barriers to entry and Synlab's diversified footprint across
geographies limit exposure to individual country regulation and
result in scale-driven benefits within each market. At the same
time, the regulated nature of lab-testing services and persisting
cost pressures limit the scope for organic growth and profitability
expansion.

Benefit from Covid-19 Testing: Covid-19 testing accounted for 30%
of Synlab's 2020 sales. Fitch expects it will continue to
materially support its sales and EBITDA in the near term, albeit at
a slower pace from 2021, with still strong volumes combined with a
gradual price reduction. Fitch expects some demand for testing
service to remain after 2021 despite targets for herd immunisation
of 60%-70% around mid-2021 in Europe.

Slow progress of mass vaccination in the EU, where Synlab generates
most of its revenues, and the likelihood of coronavirus becoming a
recurring infection akin to other seasonal viral diseases, will
require ongoing testing as a means of virus control and
prevention.

DERIVATION SUMMARY

Fitch rates Synlab using Fitch's Ratings Navigator framework for
medical devices, diagnostics and products (MDDP) companies. Synlab
is the largest lab-testing company in Europe. Following its IPO in
April 2021, Synlab's 'BB' IDR reflects the group's large scale,
with sales approaching EUR3 billion and market-leading positions in
the European lab-testing market, alongside a defensive business
model given the infrastructure-like nature of lab-testing
services.

Compared with other IG global medical diagnostic peers such as
Eurofins Scientific S.E. (BBB-/Stable) and Quest Diagnostics Inc
(BBB/Stable), Synlab is somewhat more geographically concentrated
in Europe (around 95% of sales) and is more exposed to the routine
lab-testing market, compared with Eurofins and Quest, which are
more diversified across other diagnostic markets like environmental
and food testing, and 2x-3x larger in total sales. However,
Synlab's profitability is broadly in line with IG peers', with
solid EBITDAR margins of around 23.1% (expected in 2021) and strong
FCF margins of 7%-8%.

Synlab's 'BB' IDR also factors in a more conservative financial
risk profile, following debt prepayments from asset-disposal
proceeds and the recent IPO. The group's credit risk profile is in
line with the 'BB' rating category, due to large scale and FFO
adjusted (gross) leverage estimated at 4.0x in 2021. This
differentiates Synlab from smaller, more aggressively leveraged
Biogroup (B/Stable) and Inovie Group (B/Stable) with FFO adjusted
gross leverage at 8.0x and 7.0x, respectively.

KEY ASSUMPTIONS

-- Sales growth of 11% in 2021 supported by new contract wins and
    strong demand from Covid-19-related testing. This is followed
    by a significant decline of Covid-19 related sales in 2022
    2024. Sales excluding Covid-19 growing at low single-digits in
    key markets, supplemented by 3%-4% M&A-led growth, over the
    next four years;

-- EBITDA margin (Fitch-defined, excluding IFRS 16) at 23.4% in
    2021, boosted by Covid-19 volumes, before normalising at 18%
    19% in 2023-2024;

-- EUR200 million of bolt-on acquisitions per annum until 2024,
    funded by internal cash flows;

-- Enterprise value (EV)/EBITDA acquisition multiples of 10x;

-- Capex at roughly 4% of sales in 2021-2024;

-- Strong FCF generation, with FCF margin of 12% in 2021,
    followed by 7%-8% until 2024.

RATING SENSITIVITIES

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

-- Evidence of greater business maturity (post Covid-19) as
    reflected in improving product focus and geographical
    diversification leading to FCF margins sustainably in the mid
    to-high single digits;

-- Strict commitment to a conservative financial policy and
    leverage target;

-- FFO adjusted net leverage trending below 3.5x on a sustained
    basis.

-- FFO fixed charge coverage above 5.0x

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

-- Weakening business profile and declining profitability with
    mid-single digit FCF margins;

-- Looser financial policy e.g. willingness to breach group
    leverage target due to renewed debt-funded M&A activity or
    unexpectedly high shareholder remunerations;

-- FFO adjusted net leverage sustainably above 4.0x;

-- FFO fixed charge coverage below 4.0x.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Comfortable Liquidity: Synlab's liquidity position is comfortable
with projected Fitch-defined readily available year-end cash (net
of restricted cash of EUR30 million deemed to be required in daily
operations) of EUR400million- EUR500 million, further reinforced by
EUR200 million available under the committed RCF. Strong operating
performance with moderate working capital and capex should
facilitate high internal cash generation with FCF averaging EUR250
million through to 2024, which is sufficient to accommodate bolt-on
M&A of up to EUR200 million a year.

Synlab benefits from diversified sources of funding and a
long-dated debt maturity profile. Recent debt refinancing has
improved Synlab's debt maturity headroom with term loan and notes
due 2025-2027 and lowered debt-service requirements. Following
Synlab's recent IPO, the group has gained access to equity markets,
which further improves its funding options.

ESG CONSIDERATIONS

Synlab has an ESG Relevance Score of '4' for Exposure to Social
Impacts as it operates in a regulated market and faces increased
risks of tightening regulation constraining its ability to maintain
operating profitability and cash flows. This has a negative impact
on its credit profile and is relevant to the rating in conjunction
with other factors.

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

SYNLAB AG: Moody's Assigns 'Ba3' CFR & Rates New EUR735M Loan 'B1'
------------------------------------------------------------------
Moody's Investors Service has assigned a Ba3 corporate family
rating and a Ba3-PD probability of default rating to Synlab AG, the
new top entity of the Synlab Group. Concurrently Moody's has
assigned a B1 rating to the new EUR735 million senior unsecured
term loan A and a B1 rating to the new EUR500 million senior
unsecured revolving credit facility both issued by Synlab AG.
Finally, Moody's has upgraded the ratings of the term loans
currently issued by Synlab Bondco PLC to Ba2 from B2. The outlook
on Synlab AG and Synlab Bondco PLC is stable.

RATINGS RATIONALE

The rating action reflects the material debt reduction since the
beginning of 2021 with EUR544 million repaid in January 2021 with
the disposal proceeds from A&S and EUR331 million net repayment in
May 2021 with the IPO proceeds. The action also reflects Synlab's
revised, more conservative financial policy with a public net
leverage target of 3.0x in the mid-term and a public guidance for
dividend payout of 20-30%. The company does not plan to pay
dividends before 2022.

The Ba3 corporate family rating takes into account the current
strong tailwind from COVID-19 testing activities. Synlab recorded a
24% revenue growth in 2020 driven by a strong acceleration of
COVID-19 testing activities, mainly PCR testing, during Q3 and Q4.
For 2020, the company estimates that its positive revenue impact
from COVID-19 testing is EUR630 million, which is net of revenue
lost on its core business due to the impact of lockdown and social
distancing measures especially during the 1st wave of the pandemic.
Thanks to scale effects, the boost from COVID-19 testing translated
into margin expansion from 19.7% in 2019 to 25.2% in 2020 (Moody's
adjusted EBITDA). In the context of the 3rd infection wave and the
slow start of the vaccination roll-out, Moody's forecasts Q1 2021
to be a strong quarter in terms of PCR testing revenues in
continental Europe. However, the rating agency expects that the
volume of PCR tests will likely phase down over the course of 2021,
since the need to detect the virus will likely diminish as vaccines
become widely available. In the US and the UK, two countries ahead
of continental Europe in terms of vaccines distribution, the
monthly volume of PCR tests have already started to decline by
around 30% and 20%, respectively, over the December 2020 to March
2021 period. The slope of the decline is highly uncertain and will
depend on different factors including (i) the pace and efficiency
of the current vaccines distribution, (ii) the emergence of new
variants, (iii) the potential cannibalization from antigen and home
tests, (iv) the risk of further reimbursement declines, (v) the
future testing policies from the public authorities as lockdown
measures are gradually lifted, and (vi) the need for serology
testing. Beyond 2021, Moody's anticipates that the need for testing
COVID-19 or other infectious diseases will likely remain but at
levels which will probably be significantly lower than what the
sector currently experiences. Testing will likely remain a central
tool within the public authorities' ongoing surveillance, track and
trace strategy especially during the winter season.

The rating agency recognizes the short-term benefit of the strong
COVID-19 testing activity expected for 2021 because it will support
free cash flow generation which, once reinvested within the
company, for example through M&A, will translate into sustainable
EBITDA improvement. The pandemic has highlighted the vital
importance of testing for public health, certainly a positive for
the sector in the medium term.

Moody's forecasts Synlab's revenue to grow further in 2021 driven
by a strong contribution from COVID-19 testing as explained above.
Beyond 2021, Moody's currently forecasts the exceptional boost from
COVID-19 testing to gradually normalize. The current rating is
based on the expectation that underlying core organic growth
forecasted at around 2% coupled with bolt-on M&A mainly financed by
internally generated cash flow will drive underlying EBITDA
increase and a Moody's adjusted leverage of around 3.9x by 2023
when COVID-19 revenue will have normalized. The current rating is
based on a normalized level of COVID-19 contribution, assumed to be
at significantly lower level than what the sector currently
experiences.

Synlab's ratings continue to be supported by its size as the
largest provider of clinical laboratory testing in Europe and its
geographic diversification. The ratings are further supported by
the defensive nature and positive underlying fundamental trends for
demand for clinical laboratory tests and strong barriers to entry.

Price pressure has been a credit constraint for the sector in the
past. European public authorities have put tariff cuts on hold last
year as the sector was seen as instrumental in the day to day fight
against the coronavirus. In France, a 2.5% tariff cut has been
agreed in April 2021 as part of the 2020-22 triennial agreement.
However, there is a risk that pricing pressure could increase over
time as European governments grapple with the cost of supporting
their economies during the pandemic.

OUTLOOK RATIONALE

The stable outlook reflects Moody's expectation that the operating
environment will remain favorable for the next quarters as the
additional volume from COVID tests will more than offset potential
disruptions on core volume as long as the pandemic persists. The
stable outlook also assumes that the company's M&A strategy will
remain measured in terms of size, pace and acquisition multiple and
that funding will not result in a Moody's adjusted debt / EBITDA
higher than 4.5x.

LIQUIDITY

Synlab's liquidity is good supported by (1) EUR905 million cash on
balance sheet at year-end 2020, (2) a new undrawn EUR500 million
revolving credit facility, (3) expected positive free cash flow
going forward and (4) long dated maturities with the first maturity
in 2026.

The documentation of the new term loan and new revolving credit
facility issued by Synlab AG includes a maintenance covenant (net
total leverage < 4.5x, stepping down to 4.0x by year end 2022)
tested every six months.

ESG CONSIDERATIONS

Synlab has an inherent exposure to social risks, given the highly
regulated nature of the healthcare industry and its sensitivity to
social pressure related to the affordability of and access to
healthcare services. Governance risks for Synlab include any
potential failure in internal control that could result in a loss
of accreditation or reputational damage and, as a result, could
harm its credit profile. Despite the fact that Synlab remains
majority owned by existing shareholders including Cinven, Moody's
considers that the company has strengthened its financial policy as
part of the IPO. Besides the immediate debt reduction following the
IPO and refinancing, the rating agency positively views the more
conservative financial policy with a mid-term target of net debt /
EBITDA leverage ratio of below 3.0x. The company plans to pay
dividends starting in 2022 based on a pay-out ratio of 20-30% of
the prior year's net income.

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

Upward rating pressure could develop if (1) the Moody's adjusted
debt / EBITDA improves sustainably below 3.5x and (2) the Moody's
adjusted retained cash flow/net debt improves sustainably well
above 20%.

Downward rating pressure could develop if (1) the Moody's adjusted
debt/EBITDA deteriorates above 4.5x, (2) the Moody's adjusted
retained cash flow/net debt declines to below 15%, (3) the free
cash flow/debt does not remain in the high single digit area and/or
(4) the company adopts more aggressive financial policies in
relation to leverage (net debt leverage under company definition
above the publicly committed guidance of 3.0x for a prolonged
period), shareholder distributions (payout ratio increases
sustainably from 20-30% public guidance) and/or liquidity
deteriorates (including limited covenant headroom).

STRUCTURAL CONSIDERATIONS

The new EUR735 million term loan A and the new EUR500 million
revolving credit facility issued by Synlab AG are fully unsecured
and do not benefit from any guarantee from operating entities. In
the waterfall analysis, they rank behind the term loans issued by
Synlab Bondco PLC. This is because the term loans issued by Synlab
Bondco PLC benefit from guarantees from operating companies
representing 50% of group's EBITDA and from a security package
including shares, bank accounts, receivables and intercompany
loans.

LIST OF AFFECTED RATINGS

Issuer: Synlab Bondco PLC

Upgrades:

Senior Secured Bank Credit Facilities, Upgraded to Ba2 from B2

Withdrawals:

BACKED Senior Secured Regular Bond/Debenture, Withdrawn,
previously rated B2

Outlook Action:

Outlook, Remains Stable

Issuer: Synlab AG

Assignments:

Probability of Default Rating, Assigned Ba3-PD

Corporate Family Rating, Assigned Ba3

Senior Unsecured Bank Credit Facilities, Assigned B1

Outlook Action:

Outlook, Assigned Stable

Issuer: Synlab Unsecured Bondco PLC

Withdrawals:

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

Corporate Family Rating, Withdrawn, previously rated B2

Senior Unsecured Regular Bond/Debenture, Withdrawn, previously
rated Caa1

Outlook Action:

Outlook, Changed To Rating Withdrawn From Stable

PRINCIPAL METHODOLOGY

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

[*] GERMANY: Corporate Insolvencies Down 21.8% in February 2021
---------------------------------------------------------------
Paul Carrel at Reuters reports that corporate insolvencies in
Germany fell by 21.8% on the year in February, the Federal
Statistics Office said on May 11, continuing a downtrend that saw
them hit their lowest level since 1999 last year thanks to a waiver
during the pandemic.

Germany introduced the waiver last March, when the COVID-19
pandemic hit, part of a package of measures aimed at supporting
businesses but which gave rise to the charge that the government
was simply propping up "zombie companies" with no future, Reuters
relates.

Insolvencies duly fell, Reuters discloses.  But since October,
Berlin has phased out the waiver, Reuters notes.  This year only
firms awaiting state aid provided since November were exempt from
filing -- until this month, according to Reuters.




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

AURIUM CLO VI: S&P Assigns Prelim B- (sf) Rating to Class F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Aurium
CLO VI DAC's class A-Loan, A-R, B-1, B-2, C-R, D-R, E-R, and F
notes. At closing, the issuer will not issue additional unrated
subordinated notes in addition to the EUR27 million of existing
unrated subordinated notes.

The transaction is a reset of an existing Aurium CLO VI
transaction, which originally closed in July 2020. The issuance
proceeds of the refinancing notes will be used to redeem the
refinanced notes (the class A, B, C, D, and E notes), pay fees and
expenses incurred in connection with the reset, and fund the
acquisition of additional assets.

Under the transaction documents, the issuer can purchase workout
loans, 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 loans 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 loans is not subject to the reinvestment
criteria or the full eligibility criteria as is the case with
standard collateral obligations. However, these purchases are
subject to documented workout loan acquisition eligibility
criteria, which include specific eligibility conditions and workout
loan profile tests.

The issuer may purchase workout loans using interest proceeds,
principal proceeds, or amounts in the supplemental reserve account.
The use of interest proceeds to purchase workout loans 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

-- All coverage tests being satisfied following the purchase of a
workout obligation.

The use of principal proceeds is subject to:

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

-- If the above condition is not satisfied: (i) the obligation
meets the documented restructured obligation eligibility criteria,
(ii) the par value tests are satisfied after the reinvestment,
(iii) the obligation ranks pari passu with or senior to the
relevant collateral obligation, and (iv) the obligation to be
acquired is not a warrant.

Workout loans purchased with principal proceeds that have limited
deviation from the eligibility criteria will receive collateral
value credit in the principal balance definition and for
overcollateralization carrying value purposes. Workout loans that
do not meet this version of the eligibility criteria will receive
zero credit. Workout loans purchased with interest or supplemental
reserve proceeds can be designated as declared principal proceeds
workout loans subject to the same limited deviation from the
eligibility criteria requirement as above. Declared principal
proceeds workout loans also receive collateral value credit and
this designation is irrevocable.

If a workout loan was purchased with principal proceeds at a time
when the collateral principal amount was below the reinvestment
target par balance, all amounts from the workout loan will be
credited to the principal account until the principal balance of
the related collateral obligation, and the greater of the principal
proceeds used to purchase the workout loan and the
overcollateralization carrying value of the workout loan have been
recovered.

If a workout loan was purchased with principal proceeds at a time
when the collateral principal amount was above the reinvestment
target par balance, or the workout loan was purchased with interest
or supplemental reserve proceeds, the amounts above the carrying
value can be recharacterized as interest or supplemental reserve
amounts at the manager's discretion. This aims to protect the
transaction from par erosion by capturing the carrying value from
any workout distributions as principal account proceeds.

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

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

  Portfolio Characteristics

  S&P Global Ratings weighted-average rating factor      2,639.54
  Default rate dispersion                                  586.03
  Weighted-average life (years)                              5.22
  Obligor diversity measure                                113.50
  Industry diversity measure                                20.65
  Regional diversity measure                                 1.25
  Weighted-average rating                                     'B'
  'CCC' category rated assets (%)                            0.89
  Actual 'AAA' weighted-average recovery rate               37.35
  Floating-rate assets (%)                                  94.80
  Weighted-average spread (net of floors; %)                 3.54

S&P said, "In our cash flow analysis, we modelled the target par
amount of EUR450 million, a weighted-average spread of 3.50%, the
reference weighted-average coupon of 4.50%, and the covenanted
weighted-average recovery rates as indicated by the collateral
manager. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

"Our credit and cash flow analysis shows that the class B-1, B-2,
C-R, D-R, and E-R notes benefit from break-even default rate (BDR)
and scenario default rate cushions that we would typically consider
to be in line with higher ratings than those assigned. However, as
the CLO will be in reinvestment phase until November 2025, during
which the transaction's credit risk profile could deteriorate, we
have capped our preliminary ratings on 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, after applying our
'CCC' criteria, we have assigned a preliminary 'B-' rating to this
class of notes." The one-notch uplift (to 'B-') from the model
generated results (of 'CCC+'), reflects several key factors,
including:

-- The available credit enhancement for this class of notes is in
the same range as other CLOs that S&P rates, and that have recently
been issued in Europe.

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

-- S&P's model generated BDR at the 'B-' rating level of 25.89%
(for a portfolio with a weighted-average life of 5.22 years),
versus if it was to consider a long-term sustainable default rate
of 3.1% for 5.22 years, which would result in a target default rate
of 16.18%.

-- S&P also noted that the actual portfolio is generating higher
spreads and recoveries versus the covenanted thresholds that it has
have 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 chance for this
note to default, and (iii) if we envision this tranche to default
in the next 12-18 months."

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

Citibank N.A., London Branch is the bank account provider and
custodian. The transaction participants' documented replacement
provisions are in line with our counterparty criteria for
liabilities rated up to 'AAA'.

Under our structured finance sovereign risk criteria, the
transaction's exposure to country risk is sufficiently mitigated at
the assigned preliminary rating levels.

S&P expects the transaction's legal structure and framework to be
bankruptcy remote, in line with its legal criteria.

S&P said, "Spire Management Ltd. is the collateral manager. Under
our "Global Framework For Assessing Operational Risk In Structured
Finance Transactions," published on Oct. 9, 2014, the maximum
potential rating on the liabilities is 'AAA'.

"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-Loan to E-R
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.'

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries if
certain conditions are met (non-exhaustive list): tobacco,
manufacturing or marketing of controversial weapons, and mining of
thermal coal and oil sands extraction. Accordingly, since the
exclusion of assets from these industries does not result in
material differences between the transaction and our ESG benchmark
for the sector, no specific adjustments have been made in our
rating analysis to account for any ESG-related risks or
opportunities."

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    PRELIM.    PRELIM.     INTEREST RATE     SUBORDINATION
           RATING     AMOUNT           (%)               (%)
                     (MIL. EUR)  
  A-Loan   AAA (sf)    150.00     Three/six-month        38.00
                                  EURIBOR plus 0.83%
  A-R      AAA (sf)    129.00     Three/six-month        38.00
                                  EURIBOR plus 0.83%
  B-1      AA (sf)      35.00     Three/six-month        28.00
                                  EURIBOR plus 1.55%
  B-2      AA (sf)      10.00     1.95%                  28.00
  C-R      A (sf)       31.50     Three/six-month        21.00
                                  EURIBOR plus 2.20%
  D-R      BBB (sf)     28.10     Three/six-month        14.76
                                  EURIBOR plus 3.30%
  E-R      BB- (sf)     22.50     Three/six-month         9.75
                                  EURIBOR plus 6.04%
  F        B- (sf)      14.60     Three/six-month         6.51
                                  EURIBOR plus 8.70%
  Sub      NR           27.00     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.
N/A--Not applicable.
NR--Not rated.


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

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

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

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

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

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

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

  Portfolio Benchmarks
                                                     CURRENT
  S&P weighted-average rating factor                2,778.08
  Default rate dispersion                             498.43
  Weighted-average life (years)                         5.20
  Obligor diversity measure                           128.73
  Industry diversity measure                           17.53
  Regional diversity measure                            1.23

  Transaction Key Metrics
                                                     CURRENT
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                       B
  'CCC' category rated assets (%)                       1.50
  Covenanted 'AAA' weighted-average recovery (%)       36.87
  Covenanted weighted-average spread (%)                3.80
  Covenanted weighted-average coupon (%)                4.50

Loss mitigation obligations

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

Loss mitigation 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 such
obligations does not materialize. In S&P's view, the presence of a
bucket for loss mitigation obligations, the restrictions on the use
of interest and principal proceeds to purchase such assets, and the
limitations in reclassifying proceeds received from such assets
from principal to interest help to mitigate the risk.

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

-- The manager determining that after such purchase 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:

-- 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, or, if not the case, the amount of principal proceeds
to be applied to such purchase does not exceed the outstanding
principal balance of the related defaulted obligation or credit
impaired obligation;

-- The obligation meeting the restructured obligation criteria;

-- The obligation ranking senior to, or pari passu with, the
related defaulted or credit impaired obligation;

-- The obligation not maturing after the maturity date; and

-- The obligation having a par value greater than or equal to its
purchase price.

Loss mitigation obligations purchased with principal proceeds,
which have limited deviation from the eligibility criteria due to
meeting the restructured obligation criteria, will receive
collateral value credit for principal balance and
overcollateralization carrying value purposes. Loss mitigation
obligations purchased with interest or collateral enhancement
proceeds will receive zero credit. Any distributions received from
loss mitigation obligations purchased with the use of principal
proceeds will form part of the issuer's principal account proceeds
and cannot be recharacterized as interest. Any other amounts can
form part of the issuer's interest account proceeds. The manager
may, at their sole discretion, elect to classify amounts received
from any loss mitigation obligations as principal proceeds.

In this transaction, if a loss mitigation obligation that was
originally purchased with interest subsequently becomes an eligible
collateral debt obligation, the manager can designate it as such
and transfer out of the principal account into the interest account
the market value of the asset. S&P considered the alignment of
interests for this re-designation and considered, for example, that
the reinvestment criteria has to be satisfied following such
re-designation and that the market value of the eligible collateral
debt obligation cannot be self-marked by the manager, among other
factors.

The cumulative exposure to loss mitigation obligations purchased
with principal is limited to 5% of the target par amount. The
cumulative exposure to loss mitigation 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 4.4 years after
closing.

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

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread (3.80%), the
reference weighted-average coupon (4.50%), and the actual
weighted-average recovery rates of the portfolio. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

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

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

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

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

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

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector (see "ESG Industry Report Card: Collateralized Loan
Obligations," March 31, 2021). Primarily due to the diversity of
the assets within CLOs, the exposure to environmental credit
factors is viewed as below average, social credit factors are below
average, and governance credit factors are average. For this
transaction, the documents prohibit assets from being related to
the following industries if certain conditions are met
(non-exhaustive list): tobacco, manufacturing or marketing of
controversial weapons, thermal coal production, speculative
extraction of oil and gas, and obligors which violate the ten
principles of United Nations Global Compact. Accordingly, since the
exclusion of assets from these industries does not result in
material differences between the transaction and our ESG benchmark
for the sector, no specific adjustments have been made in our
rating analysis to account for any ESG-related risks or
opportunities."

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 will be managed by KKR Credit
Advisors (Ireland) Unlimited Co.

  Ratings List

  CLASS     PRELIM.    PRELIM.  INTEREST RATE    CREDIT
            RATING     AMOUNT       (%)        ENHANCEMENT (%)
                     (MIL. EUR)  
  X         AAA (sf)     1.60     3mE + 0.30        N/A
  A-loan    AAA (sf)   125.00     3mE + 0.84      38.00
  A         AAA (sf)   123.00     3mE + 0.84      38.00
  B-1       AA (sf)     25.00     3mE + 1.50      28.00
  B-2       AA (sf)     15.00           1.9       28.00
  C         A (sf)      25.60     3mE + 2.05      21.60
  D         BBB (sf)    26.00     3mE + 3.05      15.10
  E         BB- (sf)    21.50     3mE + 5.76       9.73
  F         B- (sf)     12.00     3mE + 8.15       6.73
  Sub       NR          32.30            N/A        N/A

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


JUBILEE CLO 2013-X: S&P Assigns Prelim B- (sf) Rating to F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Jubilee
CLO 2013-X DAC's class A-1, A-2, B-R, C-R, D-R-R, E-R-R, and F-R
notes. At closing, the issuer will also issue subordinated notes
and unrated class X notes.

The preliminary 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 S&P considers to be
bankruptcy remote.

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

  Portfolio Characteristics

  S&P Global Ratings weighted-average rating factor     2,912.98
  Default rate dispersion                                 632.26
  Weighted-average life (years)                             4.16
  Obligor diversity measure                               106.47
  Industry diversity measure                               18.64
  Regional diversity measure                                1.15
  Portfolio weighted-average rating
    derived from S&P's CDO Evaluator                         'B'
  'CCC' category rated assets (%)                           6.90
  Actual 'AAA' weighted-average recovery rate              36.13
  Covenanted weighted-average spread (%)                    3.60
  Covenanted weighted-average coupon (%)                    4.35

Loss mitigation obligations

Under the transaction documents, the issuer can purchase loss
mitigation 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 rate.

Loss mitigation 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 these
obligations does not materialize. In S&P's view, the presence of a
bucket for loss mitigation obligations, the restrictions on the use
of interest and principal proceeds to purchase such assets, and the
limitations in reclassifying proceeds received from such assets
from principal to interest help to mitigate the risk.

The purchase of loss mitigation obligations is not subject to the
reinvestment criteria or the eligibility criteria. The issuer may
purchase loss mitigation obligations using either interest
proceeds, principal proceeds, or amounts in the collateral
enhancement account. The use of interest proceeds to purchase loss
mitigation 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 such loss mitigation obligation, each
interest coverage test shall 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 or, if the aggregate collateral balance is below the
reinvestment target par balance, the principal proceeds used does
not exceed the outstanding principal balance of the related default
or credit impaired obligation; and

-- The obligation purchased is a debt obligation that meets the
restructured obligation criteria and ranks senior or pari passu
with the related defaulted or credit risk obligation.

Loss mitigation obligations that are purchased with principal
proceeds and have limited deviation from the eligibility criteria
will receive collateral value credit in the principal balance
determination. To protect the transaction from par erosion, any
distributions received from loss mitigation obligations purchased
with the use of principal proceeds will form part of the issuer's
principal account proceeds and cannot be recharacterized as
interest.

Loss mitigation obligations that are purchased with interest will
receive zero credit in the principal balance determination and the
proceeds received will form part of the issuer's interest account
proceeds. The manager may, at their sole discretion, elect to
classify amounts received from any loss mitigation obligations as
principal proceeds.

In this transaction, if a loss mitigation obligation that has been
purchased with interest subsequently becomes an eligible CDO, the
manager can designate it as such and transfer the asset's market
value to the interest account from the principal account. S&P
considered the alignment of interests for this re-designation and
considered factors including that the reinvestment criteria has to
be met and that the manager cannot self-mark the market value.

The cumulative exposure to loss mitigation obligations purchased
with principal is limited to 5% of the adjusted target par amount.
The cumulative exposure to loss mitigation obligations purchased
with principal and interest is limited to 10% of the adjusted
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 4.3 years after
closing.

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

"In our cash flow analysis, we modelled EUR384.97 million, slightly
below the target par amount, because we consider one asset as
defaulted (we have instead applied a recovery benefit in our
analysis). At the same time, we modelled a covenanted
weighted-average spread (3.60%), the reference weighted-average
coupon (4.35%), and the target minimum weighted-average recovery
rates as indicated by the collateral manager. We applied various
cash flow stress scenarios, using four different default patterns,
in conjunction with different interest rate stress scenarios for
each liability rating category.

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

"Until the end of the reinvestment period on 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.

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

"The transaction's legal structure and framework is bankruptcy
remote, in line with our legal criteria.

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

"The class F-R notes' current break-even default rate (BDR) cushion
is -0.43%. Based on the portfolio's actual characteristics and
additional overlaying factors, including our long-term corporate
default rates and the class F-R notes' credit enhancement, this
class is able to sustain a steady-state scenario, in accordance
with our criteria." S&P's analysis further reflects several
factors, including:

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

-- Our model-generated portfolio default risk at the 'B-' rating
level is 25.10% (for a portfolio with a weighted-average life of
4.16 years) versus 12.9% if we were to consider a long-term
sustainable default rate of 3.1% for 4.16 years.

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

-- If we envision this tranche to default in the next 12-18
months.

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

S&P said, "Taking the above factors into account and following our
analysis of the credit, cash flow, counterparty, operational, and
legal risks, we believe that our assigned preliminary 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-1 to E-R-R
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-R notes."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and is managed by Alcentra Ltd.

Environmental, social, and governance (ESG) credit factors

S&P regards the exposure to ESG credit factors in the transaction
as being broadly in line with our benchmark for the sector.
Primarily due to the diversity of the assets within CLOs, the
exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets for which the obligor's primary business activity
is related to the following industries: oil and gas, controversial
weapons, ozone depleting substances, endangered or protected
wildlife, pornography or prostitution, tobacco or tobacco products,
and payday lending. Accordingly, since the exclusion of assets from
these industries does not result in material differences between
the transaction and our ESG benchmark for the sector, no specific
adjustments have been made in S&P's rating analysis to account for
any ESG-related risks or opportunities.

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    PRELIM.    PRELIM.  INTEREST RATE    CREDIT
           RATING     AMOUNT       (%)        ENHANCEMENT (%)
                     (MIL. EUR)  

  X        AAA (sf)     2.50     3mE + 0.40       N/A
  A-1      AAA (sf)   204.65     3mE + 0.85     39.05
  A-2      AAA (sf)    30.00     3mE + 1.05^*   39.05
  B-R      AA (sf)     39.10     3mE + 1.70     28.89
  C-R      A (sf)      24.10     3mE + 2.50     22.63
  D-R-R    BBB- (sf)   26.10     3mE + 3.60     15.85
  E-R-R    BB- (sf)    22.00     3mE + 6.37     10.09
  F-R      B- (sf)     11.10     3mE + 8.48      7.20
  Sub      NR          63.90     N/A              N/A

*EURIBOR to be capped at 2%.
NR--Not rated. N/A--Not applicable.
3mE--Three-month Euro Interbank Offered Rate.


NORTHWOODS CAPITAL 23: Moody's Assigns B3 Rating to EUR13M F Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to nine classes of debt issued by
Northwoods Capital 23 Euro Designated Activity Company (the
"Issuer"):

EUR32,000,000 Class A Senior Secured Floating Rate Notes due 2034,
Assigned Aaa (sf)

EUR164,000,000 Class A-1 Senior Secured Floating Rate Loan due
2034 Notes, Assigned Aaa (sf)

EUR50,000,000 Class A-2 Senior Secured Floating Rate Loan due 2034
Notes, Assigned Aaa (sf)

EUR13,000,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)

EUR25,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned Aa2 (sf)

EUR28,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)

EUR29,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)

EUR18,000,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba3 (sf)

EUR13,000,000 Class F Mezzanine Secured Deferrable Floating Rate
Notes due 2034, 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 at least
70% of the portfolio must consist of senior secured loans.
Therefore, up to 10% of the portfolio may consist of senior
unsecured obligations, second-lien loans, mezzanine obligations,
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 six month and three week
ramp-up period in compliance with the portfolio guidelines.

Northwoods European CLO Management LLC ("Northwoods") 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 and two-month 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 nine classes of debt rated by Moody's, the
Issuer issued EUR1,000 Class Z Notes due 2034 which are not rated
and EUR35,000,000 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 debt 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 regard 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 debt's performance is subject to uncertainty. The debt's
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 debt's
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: 52

Weighted Average Rating Factor (WARF): 3010

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 3.75%

Weighted Average Recovery Rate (WARR): 42.75%

Weighted Average Life (WAL): 8.604 years

NORTHWOODS CAPITAL 23: S&P Assigns B- (sf) Rating to Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Northwoods
Capital 23 Euro DAC's class A-1 Loan, A-2 Loan, A, B-1, B-2, C, D,
E, and F notes. At closing, the issuer also issued unrated
subordinated notes.

Northwoods Capital 23 is a European cash flow CLO securitization of
a revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by speculative-grade borrowers. Northwoods
European CLO Management LLC, a Delaware limited liability company,
which is a wholly owned subsidiary of Angelo, Gordon & Co., will
manage the transaction.

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

The portfolio's reinvestment period will end approximately four
years after closing, and the portfolio's maximum average maturity
date will be eight and half years after closing.

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
S&P's counterparty rating framework.

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor     2,758.76
  Default rate dispersion                                 613.72
  Weighted-average life (years)                             5.82
  Obligor diversity measure                                88.37
  Industry diversity measure                               18.36
  Regional diversity measure                                1.25

  Transaction Key Metrics
                                                         CURRENT
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                         'B'
  'CCC' category rated assets (%)                           3.50
  Covenanted 'AAA' weighted-average recovery (%)           34.50
  Covenanted weighted-average spread (%)                    3.60
  Covenanted weighted-average coupon (%)                    4.00

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 the portfolio at closing, primarily comprising
broadly syndicated speculative-grade senior secured term loans and
senior secured bonds, to be well-diversified. Therefore, we
conducted our credit and cash flow analysis by applying our
criteria for corporate cash flow collateralized debt obligations.

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread of 3.60%, the
covenanted weighted-average coupon of 4.00%, and the covenanted
weighted-average recovery rates for all rating levels. 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% of floating-rate assets (i.e., the fixed-rate bucket
is 0%) and where the fixed-rate bucket is fully utilized (in this
case 20%).

"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 to
be limited at the assigned ratings, as the exposure to individual
sovereigns does not exceed the diversification thresholds outlined
in our 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-1 Loan, A-2 Loan, A, B-1, B-2, C, D, and E notes. Our credit and
cash flow analysis indicates that the available credit enhancement
for the class B-1, B-2, and C 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.

"Our credit and cash flow analysis shows a negative break-even
default rate (BDR) cushion for the class F notes at the 'B-' rating
level. Nevertheless, based on the portfolio's actual
characteristics and additional overlaying factors, including our
long-term corporate default rates and recent economic outlook, we
believe this class is able to sustain a steady-state scenario, in
accordance with our criteria." S&P's analysis reflects several
factors, including:

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

-- S&P's BDR at the 'B-' rating level is 24.94% versus a portfolio
default rate of 18.04% if we were to consider a long-term
sustainable default rate of 3.1% for a portfolio with a
weighted-average life of 5.82 years.

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

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

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

S&P said, "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 E and F notes.

Environmental, social, and governance (ESG) credit factors

S&P siad, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector (see "ESG Industry Report Card: Collateralized Loan
Obligations," March 31, 2021). Primarily due to the diversity of
the assets within CLOs, the exposure to environmental credit
factors is viewed as below average, social credit factors are below
average, and governance credit factors are average. For this
transaction, the documents prohibit assets from being related to
the following industries: weapons; marijuana; tobacco; pornography;
prostitution; illegal activities; child or forced labor; production
of asbestos fibers; thermal coal; fracking activities; opioid drug
manufacturing and distribution that has negative environment,
social, and governance impact; or payday lending activities.
Accordingly, since the exclusion of assets from these industries
does not result in material differences between the transaction and
our ESG benchmark for the sector, no specific adjustments have been
made in our rating analysis to account for any ESG-related risks or
opportunities."

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       CREDIT       INTEREST RATE*
                     (MIL. EUR)  ENHANCEMENT(%)
  A         AAA (sf)    32.00        38.50      Three/six-month
                                                EURIBOR plus 0.79%
  A-1 Loan  AAA (sf)   164.00        38.50      Three/six-month
                                                EURIBOR plus 0.79%
  A-2 Loan  AAA (sf)    50.00        38.50      Three/six-month
                                                EURIBOR plus 0.79%
  B-1       AA (sf)     13.00        29.00      Three/six-month
                                                EURIBOR plus 1.65%
  B-2       AA (sf)     25.00        29.00      2.00%
  C         A (sf)      28.00        22.00      Three/six-month
                                                EURIBOR plus 2.40%
  D         BBB- (sf)   29.00        14.75      Three/six-month
                                                EURIBOR plus 3.60%
  E         BB- (sf)    18.00        10.25      Three/six-month
                                                EURIBOR plus 6.21%
  F         B- (sf)     13.00         7.00      Three/six-month
                                                EURIBOR plus 8.47%
  Z         NR           0.001         N/A      N/A
  Sub       NR          35.00          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.


SCULPTOR EUROPEAN II: Moody's Gives B3 Rating to EUR12M F-R Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by
Sculptor European CLO II DAC (the "Issuer"):

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

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

EUR37,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

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

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

EUR22,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Ba3 (sf)

EUR12,000,000 Class F-R 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.

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 EUR250,000 over the eight payment dates,
starting on the second payment date.

As part of this reset, the Issuer issued EUR3,230,000 of additional
Subordinated Notes in addition to the EUR44,650,000 of Subordinated
Notes issued on September 14, 2017 which remain outstanding. The
Subordinated Notes are not rated. It also amended certain
concentration limits, definitions including the definition of
"Adjusted Weighted Average Rating Factor" and minor features. The
issuer included the ability to hold loss mitigation obligations. In
addition, the Issuer amended the base matrix and modifiers that
Moody's took 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 loans, second-lien loans, high yield bonds and mezzanine
loans. The underlying portfolio is expected to be fully ramped as
of the closing date.

Sculptor Europe Loan Management Limited ("Sculptor Management")
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 four-year and 2-month
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk
obligations and credit improved obligations.

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

The coronavirus 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 regard 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: EUR397,801,167

Defaulted Par: EUR3,333,000 as of April 01, 2021

Diversity Score: 56

Weighted Average Rating Factor (WARF): 3050

Weighted Average Spread (WAS): 3.6%

Weighted Average Coupon (WAC): 3.5%

Weighted Average Recovery Rate (WARR): 43.5%

Weighted Average Life (WAL): 8.5 years

SCULPTOR EUROPEAN II: S&P Assigns B-(sf) Rating to Class F-R Notes
------------------------------------------------------------------
S&P Global Ratings today assigned its credit ratings to Sculptor
European CLO II DAC's class X-R, A-R, B-R, C-R, D-R, E-R, and F-R
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 4.2 years
after closing, and the portfolio's weighted-average life test is
approximately 8.5 years after closing.

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

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

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

-- 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   2,883.61
  Default rate dispersion                               653.61
  Weighted-average life (years)                           4.69
  Obligor diversity measure                             125.72
  Industry diversity measure                             20.71
  Regional diversity measure                              1.36

  Transaction Key Metrics
                                                       CURRENT
  Total par amount (mil. EUR)                           400.00
  Defaulted assets (mil. EUR)                             0.67
  Number of performing obligors                            168
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                       'B'
  'CCC' category rated assets (%)                         7.39
  'AAA' identified portfolio
    weighted-average recovery (%)                        37.50
  Covenanted weighted-average spread (%)                  3.60
  Reference weighted-average coupon (%)                   3.50

Loss mitigation loan mechanics

Under the transaction documents, the issuer can purchase loss
mitigation loans, 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.

Loss mitigation loans 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 such loans does not
materialize. In S&P's view, the presence of a bucket for loss
mitigation loans, the restrictions on the use of interest and
principal proceeds to purchase such assets, and the limitations in
reclassifying proceeds received from such assets from principal to
interest help to mitigate the risk.

The purchase of loss mitigation loans is not subject to the
reinvestment criteria or the eligibility criteria. The issuer may
purchase loss mitigation loans using interest proceeds, principal
proceeds, or amounts standing to the credit of the supplemental
reserve account. The use of interest proceeds to purchase loss
mitigation loans is subject to (1) the manager determining that
there are sufficient interest proceeds to pay interest on all the
rated notes on the upcoming payment date, and (2) in the manager's
reasonable judgment, following the purchase, all coverage tests
will be satisfied on the upcoming payment date. The use of
principal proceeds is subject to (1) passing par coverage tests,
(2) the manager having built sufficient excess par in the
transaction so that the principal collateral amount is equal to or
exceeds the portfolio's reinvestment target par balance after the
reinvestment, and (3) the obligation purchased is a debt obligation
ranking senior or pari passu with the related defaulted or credit
risk obligation, maturity date not exceeding the maturity date of
notes and par value greater than its purchase price.

Loss mitigation loans that are purchased with principal proceeds
and have limited deviation from the eligibility criteria will
receive collateral value credit in the adjusted collateral
principal amount or the collateral principal amount determination.
To protect the transaction from par erosion, any distributions
received from loss mitigation loans purchased with the use of
principal proceeds will form part of the issuer's principal account
proceeds and cannot be recharacterized as interest.

Loss mitigation loans that are purchased with interest will receive
zero credit in the principal balance determination, and the
proceeds received will form part of the issuer's interest account
proceeds. The manager can however elect to give collateral value
credit to loss mitigation loans, purchased with interest proceeds,
subject to them meeting the same limited deviation from eligibility
criteria conditions. The proceeds from any loss mitigations
reclassified in this way are credited to the principal account.

The cumulative exposure to loss mitigation loans purchased with
principal is limited to 3% of the reinvestment target par balance.
The cumulative exposure to loss mitigation loans purchased with
principal and interest is limited to 10% of the reinvestment target
par balance.

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 EUR399.13 million
performing amount, the covenanted weighted-average spread of 3.60%,
the reference weighted-average coupon of 3.50%, and the covenanted
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% of floating-rate assets (i.e., the
fixed-rate bucket is 0%) and where the fixed-rate bucket is fully
utilized (in this case, 10%). In latter scenarios, the class F-R
cushion is negative. Based on the portfolio's actual
characteristics and additional overlaying factors, including our
long-term corporate default rates and the class F-R notes' credit
enhancement (6.80%), 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-R notes, in line with
our criteria."

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

S&P said. "Following the application of our structured finance
sovereign risk criteria, we consider that 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-R to D-R 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."

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector (see "ESG Industry Report Card: Collateralized Loan
Obligations," published on March 31, 2021). Primarily due to the
diversity of the assets within CLOs, the exposure to environmental
credit factors is viewed as below average, social credit factors
are below average, and governance credit factors are average. For
this transaction, the documents prohibit assets from being related
to the following industries: tobacco, weapons, thermal coal, fossil
fuels, and production of pornography or trade in prostitution.
Accordingly, since the exclusion of assets from these industries
does not result in material differences between the transaction and
our ESG benchmark for the sector, no specific adjustments have been
made in our rating analysis to account for any ESG-related risks or
opportunities.

"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
X-R, A-R, B-R, C-R, D-R, E-R, and F-R 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 X-R to E-R
notes to five of the 10 hypothetical scenarios we looked at in our
publication. The results shown in the chart below are based on the
covenanted weighted-average spread, coupon, and recoveries.

"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have not included the above scenario analysis results
for the class F-R 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)  
  X-R    AAA (sf)      2.00       N/A      Three/six-month EURIBOR

                                             plus 0.30%
  A-R    AAA (sf)    248.00     37.87      Three/six-month EURIBOR

                                             plus 0.85%
  B-R    AA (sf)      37.00     28.60      Three/six-month EURIBOR

                                             plus 1.70%
  C      A (sf)       26.00     22.08      Three/six-month EURIBOR

                                             plus 2.45%
  D-R    BBB (sf)     27.00     15.32      Three/six-month EURIBOR

                                             plus 3.60%
  E-R    BB- (sf)     22.00      9.80      Three/six-month EURIBOR

                                             plus 5.89%
  F-R    B- (sf)      12.00      6.80      Three/six-month EURIBOR

                                             plus 8.28%
  Sub    NR           47.88       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.



===========
T U R K E Y
===========

AK FINANSAL: Fitch Affirms 'B+' LT Foreign Currency IDR
-------------------------------------------------------
Fitch Ratings has affirmed the support-driven 'B+' Long-Term
Foreign-Currency Issuer Default Ratings (LTFC IDRs) of five
subsidiaries of large local-owned Turkish private banks: Ak
Finansal Kiralama A.S., Is Finansal Kiralama A.S., Yapi Kredi
Finansal Kiralama A.O., Yapi Kredi Faktoring A.S., Yapi Kredi
Yatirim Menkul Degerler A.S. (YKY) and two subsidiaries of
foreign-owned Turkiye Garanti Bankasi (Garanti BBVA): Garanti
Faktoring A.S. and Garanti Finansal Kiralama A.S.

The Outlooks on the LTFC IDRs mirror those on the respective
parents and are Negative for subsidiaries of large local-owned
private banks and Stable for Garanti Finansal Kiralama and Garanti
Faktoring.

The ratings are equalised with those of their parents, reflecting
Fitch's view that they are core and highly integrated subsidiaries.
The rating actions follow Fitch's affirmation of the IDRs of large
Turkish banks.

KEY RATING DRIVERS

LTFC IDRs

The ratings of the NBFI subsidiaries reflect their roles in the
groups, enhancing the parents' franchises, product offering and
growth prospects and that they are majority owned by their parents
(or parent group companies). The subsidiaries offer core products
and services (leasing, factoring and investment banking/brokerage)
in the domestic Turkish market.

The Negative Outlook on the LTFC IDRs of subsidiaries of
local-owned private banks Ak Finansal Kiralama, Is Finansal
Kiralama, Yapi Kredi Finansal Kiralama, Yapi Kredi Faktoring and
YKY, reflects operating environment pressures and the implications
on the credit profiles of their banking groups.

The Stable Outlook on the LTFC IDRs of Garanti Finansal Kiralama
and Garanti Faktoring mirrors that on their parent, which in turn
mirrors that on the sovereign and reflects support from its
ultimate parent Banco Bilbao Vizcaya Argentaria S.A. (BBVA;
BBB+/Stable).

All companies in this review share the same branding as their
parents, are highly integrated into their banking groups in terms
of risk and IT systems, and draw most of their senior management
and underwriting practices from parent banks. The subsidiaries
benefit from the strong franchises of their parent groups and
mostly share the same customer base, with a high share of referrals
from their respective groups. In addition, the cost of support
would be low as the subsidiaries are small relative to their
parents, with total assets not exceeding 5% of group assets (mostly
2%-3%).

These factors lead Fitch to believe support from parent banks to
the subsidiaries remains highly probable.

Is Finansal Kiralama, Yapi Kredi Finansal Kiralama, Garanti
Finansal Kiralama and Ak Finansal Kiralama are among the leaders in
the Turkish leasing sector. They predominantly run financial
leasing with contract tenors of three to five years. Long-term
funding remains scarce in Turkey, therefore leasing business models
are exposed to interest rate risk and refinancing risks.

Leasing companies focus on equipment. The share of real estate
lease-back exposure declined in 2019-2020 but remains material.
Lira-denominated leasing comprised 20%-35% at end-2020, exposing
companies to FX risks. Companies reported moderate impairment
levels of 5%-12%, but Fitch expects asset quality to deteriorate in
2021-2022 as portfolios season. This would also pressure
profitability which has so far been reasonable (return on average
equity ranging from 11%-35% in 2019-2020).

Garanti Faktoring and Yapi Kredi Faktoring's business models focus
on factoring, with a short operational cycle of 90-180 days.
Domestic factoring remains the core product with cross-border
(mostly export) deals amounting to only 10%-25% at end-2020.
Factoring books are predominantly lira-denominated (75%). Factoring
companies' asset quality was stable in 2020 with impaired
receivables ratios remaining moderate around 4%.

YKY is an investment company focusing on equity and derivative
transactions. YKY's balance sheet is short term on both sides,
limiting exposure to the volatile lira interest rate. Profitability
benefited from market volatility and commission income increased to
TRY0.7 billion in 2020 (2019: TRY0.3 billion).

Absent high growth or significant losses, the capital position
remained stable for all the companies in 2020. As they are very
small compared with the parent banks, all the subsidiaries benefit
from flexibility in profit retention and can also rely on capital
support in case of need. Regulatory requirements are loose, with a
low 3% minimum equity/assets ratio. However, the companies mostly
keep leverage (expressed as debt-to-tangible equity) within a
reasonable range of 3x-6x, with the exception of Garanti Faktoring
(17x) and Yapi Kredi Faktoring (10x).

Access to money market via Takasbank is an important lira funding
source (particularly for factoring companies). Additionally, all
the companies have proven access to bank funding and capital
markets, although Fitch notes that third party funding remains
predominantly short term (up to six months). Fitch also believes
that ordinary support and potential availability of funding from
strong parent banks underpins the funding profiles of all the
companies and mitigates refinancing risks (more pronounced for
leasing subsidiaries).

LTLC IDRs, NATIONAL RATINGS AND SUPPORT RATINGS

The Long-Term Local Currency (LTLC) IDRs of 'B+' for the
subsidiaries of local-owned private banks is driven by that of
their respective parent and reflects the sovereign's greater
ability to provide support.

The LTLC IDRs of 'BB-' for Garanti Finansal Kiralama and Garanti
Faktoring are aligned with that of Garanti BBVA and reflect a lower
likelihood of government intervention in local currency and support
from the ultimate parent BBVA.

The Outlooks on the LTLC IDRs for all the companies are Stable,
mirroring that on the Turkish sovereign.

The affirmation of National Ratings at 'A+(tur)' for subsidiaries
of local private banks and at 'AA(tur)' for Garanti Finansal
Kiralama and Garanti Faktoring with Stable Outlooks reflects
Fitch's view that their respective creditworthiness in local
currency relative to other Turkish issuers is unchanged.

The Support Ratings of '4' for all the companies reflects limited
probability of support from their respective parents.

RATING SENSITIVITIES

The subsidiaries' ratings are sensitive to changes in the parents'
ratings and Fitch's view of the ability and willingness of the
parents to provide support in case of need.

Factors that could, individually or collectively, lead to negative
rating action/downgrade or widening of notching with the parent:

-- The Outlooks on the LTFC IDRs of private-owned large banks'
    subsidiaries are Negative, mirroring those on the parents and
    therefore are sensitive to further marked deterioration in the
    operating environment or significantly weaker than expected
    economic recovery.

-- The LTFC IDRs and Outlooks on of Garanti Finansal Kiralama and
    Garanti Faktoring are sensitive to negative sovereign rating
    action, particularly if triggered by further weakening in
    Turkey's external finances that leads to increased government
    intervention risk or weaker ability or propensity of support
    coming from BBVA to Garanti BBVA.

-- The ratings could be notched down from their respective
    parents if the subsidiaries become materially larger relative
    to the respective banks' ability to provide support; or the
    subsidiaries' strategic importance is materially reduced
    through, for example, a substantial reduction in business
    referrals, levels of operational and management integration, a
    reduced level of ownership or a prolonged period of
    underperformance. However, these considerations do not form
    part of Fitch's base case, given the subsidiaries' small sizes
    relative to their parents and key roles within their
    respective groups.

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

-- The Outlooks on the large local-owned Turkish private banks'
    companies' LTFC IDRs could be revised in line with the parent
    banks to Stable, reflecting reduced operating environment
    risks.

-- Upgrades of all the companies' LTFC IDRs are unlikely in the
    short term.

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.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The ratings are equalised with the respective parent banks (AKBANK
T.A.S. , Turkiye Garanti Bankasi A.S., Turkiye Is Bankasi A.S. ,
Yapi ve Kredi Bankasi A.S.)

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
entities, either due to their nature or the way in which they are
being managed by the entities.

           RATING          PRIOR
           ------          -----
Is Finansal Kiralama A.S.

     LT IDR B+   Affirmed   B+
     ST IDR B    Affirmed   B
LC   LT IDR B+   Affirmed   B+
LC   ST IDR B    Affirmed   B
Natl LT A+(tur)  Affirmed   A+(tur)
Support 4        Affirmed   4

Ak Finansal Kiralama A.S.

     LT IDR B+   Affirmed   B+
     ST IDR B    Affirmed   B
LC   LT IDR B+   Affirmed   B+
LC   ST IDR B    Affirmed   B
Natl LT A+(tur)  Affirmed   A+(tur)
Support 4        Affirmed   4

Yapi Kredi Finansal Kiralama A.O.

     LT IDR B+   Affirmed   B+
     ST IDR B    Affirmed   B
LC   LT IDR B+   Affirmed   B+
LC   ST IDR B    Affirmed   B
Natl LT A+(tur)  Affirmed   A+(tur)
Support 4        Affirmed   4

Garanti Finansal Kiralama A.S.

     LT IDR B+   Affirmed   B+
     ST IDR B    Affirmed   B
LC   LT IDR BB-  Affirmed   BB-
LC   ST IDR B    Affirmed   B
Natl LT AA(tur)  Affirmed   AA(tur)
Support 4        Affirmed   4

Yapi Kredi Faktoring A.S.

     LT IDR B+   Affirmed   B+
     ST IDR B    Affirmed   B
LC   LT IDR B+   Affirmed   B+
LC   ST IDR B    Affirmed   B
Natl LT A+(tur)  Affirmed   A+(tur)
Support 4        Affirmed   4

Yapi Kredi Yatirim Menkul Degerler A.S.

     LT IDR B+   Affirmed   B+
     ST IDR B    Affirmed   B
LC   LT IDR B+   Affirmed   B+
LC   ST IDR B    Affirmed   B
Natl LT A+(tur)  Affirmed   A+(tur)
Support 4        Affirmed   4

Garanti Faktoring A.S.

     LT IDR B+   Affirmed   B+
     ST IDR B    Affirmed   B
LC   LT IDR BB-  Affirmed   BB-
LC   ST IDR B    Affirmed   B
Natl LT AA(tur)  Affirmed   AA(tur)
Support 4        Affirmed   4



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

CPUK FINANCE: S&P Affirms B- (sf) Rating on Class B6-Dfrd Notes
---------------------------------------------------------------
S&P Global Ratings assigned its 'B- (sf)' credit rating to CPUK
Finance Ltd.'s new 4.5% fixed-rate GBP255.0 million class B6-Dfrd
notes with a six-year expected maturity date in August 2027. S&P's
rating on these junior notes only addresses the ultimate payment of
interest and ultimate payment of principal on the legal final
maturity date. At the same time, S&P has affirmed its 'BBB (sf)'
ratings on the outstanding class A2, A4, and A5 notes, and its 'B-
(sf)' ratings on the class B4-Dfrd and B5-Dfrd notes. S&P has also
withdrawn its 'B- (sf)' rating on the class B3-Dfrd notes as they
have fully redeemed.

The new issuance will result in a class B6-Dfrd notes leverage
ratio of about 9.6x, based on FY 2020 EBITDA of GBP200.0 million.
S&P said, "We note that FY2020 (financial year 2020) and FY2021
experienced stressed income due to park closures following the
COVID-19 outbreak, which led to the observed increased leverage. We
expect the EBITDA to recover in the longer term."

The transaction blends a corporate securitization of the U.K.
operating business of the short break holiday village operator
Center Parcs (Holdings 1) Ltd. (CPH1), the borrower, with a
subordinated high-yield issuance. It originally closed in February
2012 and has been tapped several times since, most recently in
September 2020.

The transaction will likely qualify for the appointment of an
administrative receiver under the U.K. insolvency regime. When the
events of default allow security to be enforced ahead of the
company's insolvency, an obligor event of default would allow the
noteholders to gain substantial control over the charged assets
prior to an administrator's appointment, without necessarily
accelerating the secured debt, both at the issuer and at the
borrower level.

S&P said, "However, under certain circumstances, the removal of the
class B free cash flow debt service coverage ratio (FCF DSCR)
financial covenant would, in our opinion, prevent the borrower
security trustee, on behalf of the class B6-Dfrd noteholders, from
gaining control over the borrowers' assets as their operating
performance deteriorates and would no longer trigger a borrower
event of default under the class B6 loan, ahead of the operating
company's insolvency or restructuring. This may lead us to conclude
that we are unable to rate through an insolvency of the obligors,
which is an eligibility condition under our criteria for corporate
securitizations. These criteria state that noteholders should be
able to enforce their interest on the assets of the business ahead
of the insolvency and/or restructuring of the operating company. If
at any point the class B6-Dfrd noteholders lose their ability to
enforce by proxy the security package, we may revise our analysis,
including forming the view that the class B6-Dfrd notes' security
package is akin to covenant-light corporate debt rather than
secured structured debt.

"We have received legal comfort confirming that the obligors are
not companies that benefit from the new moratorium provisions under
the Corporate Insolvency and Governance Act (CIGA) 2020."

Business risk profile (BRP)

S&P said, "We have applied our corporate securitization criteria as
part of our rating analysis on the notes in this transaction. As
part of our analysis, we assess whether the operating cash flows
generated by the borrower are sufficient to make the payments
required under the notes' loan agreements by using a debt service
coverage ratio (DSCR) analysis under a base-case and a downside
scenario. Our view of the borrowing group's potential to generate
cash flows is informed by our base-case operating cash flow
projection and our assessment of its BRP, which we derive using our
corporate methodology.

"The COVID-19 outbreak had a severe impact on the lodging and
hospitality industry in the U.K., and we believe the industry is
unlikely to revert back to its 2019 performance until 2023.
However, we anticipate some divergence among the operators within
the sector. We consider entities targeting domestic holiday goers
and located in outdoor settings will likely see the underlying
demand recover relatively quickly compared with those businesses
dependent on international travelers, and those located within
urban regions. The forward booking curve data for the domestic
holiday parks in U.K. for the 2021 summer support the assumption.
In line with our view of other U.K. lodging and hospitality
operators rated under our corporate methodology, the expected
earnings and cash flows losses in 2021 will be driven by a macro
event (rather than company- or industry-specific circumstances), in
our view."

S&P continues to assess Center Parcs', the borrower's, BRP as
fair.

Operating performance for the 36 weeks ended Dec. 31, 2020
Multiple COVID-19-related lockdown measures reflected in the
company's operating decline as revenue and EBITDA dropped by 68%
and 94%, respectively, to GBP115 million and GBP11.6 million. The
occupancy rate of 30.5% for the period includes occupancy of 60.6%
when the villages were open. With the focus on customer service
quality and staff welfare, the company opted not to open its entire
capacity even when it was permissible. S&P understands that since
the villages reopened on April 12, 2021, the management has
followed a similar strategy of capacity constraints in the initial
period and plan to return to full capacity at the end of summer. A
14% improvement in the average daily rate (ADR) to GBP238.5
incorporates the benefit of mix as the lower-yielding rooms
remained closed as part of supply constraint. S&P expects the ADR
rate to revert toward the GBP203-GBP210 range in FY2023.

Fixed overheads, interest payments, and customer refunds
contributed toward a cash burn of about GBP90 million during the
same period. Brookfield's GBP190 million cash injection in the
company since the start of the pandemic (April 2020) helped
alleviate the liquidity issue. About GBP70 million of the GBP190
million injections was structured as a working capital loan, but
S&P does not expect any cash to be upstreamed until the business
recovers fully to pre-pandemic levels.

Rating Rationale For The Class A Notes

CPUK Finance's primary sources of funds for principal and interest
payments on the new and existing class A notes are the loan
interest and principal payments from the borrowers and amounts
available from the GBP90 million liquidity facility. The liquidity
line is available at the issuer level and covers about 18 months of
the class A notes' interest payments and the issuer's senior
expenses. The class B notes do not benefit from liquidity support.

S&P said, "Our ratings on the senior class A notes address the
timely payment of interest and the ultimate repayment of principal
due on the notes on their legal final maturity. They are based
primarily on our ongoing assessment of the borrowing group's
underlying BRP, the integrity of the transaction's legal and tax
structure, and the robustness of operating cash flows supported by
structural enhancements.

"In our view, the transaction's credit quality has declined due to
health and safety fears related to COVID-19. We believe this will
negatively affect the cash flows available to the issuer."

DSCR analysis

S&P's cash flow analysis serves to both assess whether cash flows
will be sufficient to service debt through the transaction's life
and to project minimum DSCRs in its base-case and downside
scenarios.

Application of paragraph 46

S&P said, "In the face of the liquidity stress resulting from the
COVID-19 pandemic on those sectors directly affected by the U.K.
government's response to the pandemic, we expect the maximum
liquidity stress to be contained within the first quarter of 2021
(calendar year), and be followed by a recovery period that may last
through 2023. Importantly, we also believe that the effect of
COVID-19 on the industries and companies themselves will not be
long lasting, meaning that the underlying companies' business
strengths will not fundamentally or materially deteriorate over the
long term. As a result, our analysis begins with the construction
of a base-case projection that serves as the basis for the
construction of the downside case. However, our anchor, which does
not reflect liquidity support at the issuer level that we see as a
mitigating factor to the liquidity stress we expect to result from
the U.K. government's response to the COVID-19 pandemic, is not
determined. Rather, we developed the downside scenario from the
base case to assess whether the COVID-19 liquidity stress would
negatively affect the level of the resiliency-adjusted anchor for
each class of notes.

"That said, we performed the base-case analysis to assess whether,
post-COVID-19, the anchor would be adversely affected given the
long-term prospects currently assumed under our base-case
forecast."

Base-case forecast

S&P said, "We typically do not give credit to growth after the
first two years, however in this review we consider the growth
period to continue through FY2023 in order to accommodate both the
duration of the COVID-19 stress and the subsequent recovery.

"After considering the likely effect of COVID-19, our current
assumptions include the below.

"Because of the lockdown-enforced park closures, latest of which
was from Dec. 21, 2020, and reopening just three weeks before end
of FY2021, the full-year FY2021 results will likely be worse than
its trading for 36 weeks ended Dec. 31, 2020. We forecast the
full-year revenues to be in the GBP120 million-GBP130 million range
(compared to GBP115 million for the 36 weeks trading). Despite the
various support measures provided by the U.K. government, we
forecast EBITDA to decline significantly and turn negative in 2021,
from GBP200 million in 2020. One-off costs relating to hygiene,
cleaning, and safety protocols, along with limitations to the
extraction of operating leverage from its sites, will result in a
negative EBITDA of about GBP5 million to GBP20 million.

"The company's fiscal 2022 results will bounce back as the lockdown
and social distancing measures are eased. As of April 16, 2021,
bookings for fiscal 2022 were 52.1% sold. However, we forecast the
company's self-imposed capacity limitation will be in place until
July 2021, and calculate the overall occupancy rate for the year to
be about 90%. We believe the higher ADR rates benefits will easily
offset the headwind of a lower occupancy rate. We forecast ADR to
improve to GBP215 (compared to GBP195 for fiscal 2019) on the back
of solid demand for premium staycation locations, and to partly
mitigate the consequence of management's decision to open a limited
number lower-yielding rooms during the initial months of fiscal
2022. We expect the ADR rate to normalize toward the GBP203-GBP210
range in FY 2023. We forecast net accommodation revenue to be
GBP305 million-GBP310 million in fiscal 2022 and increase to GBP310
million to GBP320 million in fiscal 2023."

On-site spend (predominantly from the sale of food and beverages,
retail items, leisure activities, and spa-related activities) faces
uncertainty on a quick bounce back. Government -imposed limitations
until June 12, 2021, to provide all the facilities, such as
swimming pools, spas, indoor play areas, and bowling alleys, social
distancing measures, and potential customer preference to avoid
public restaurants within the parks could influence the extent of
recovery. Therefore, we forecast a lower on-site spend in fiscal
2022 compared to GBP187 million in fiscal 2019, and expect on-site
revenue spend of GBP195 million in fiscal 2023.

Overall, S&P forecasts total revenue of about GBP480 million-GBP490
million and GBP505 million-GBP515 million in fiscal 2022 and 2023,
respectively.

Additional cleaning costs, inflationary cost pressures, and lower
operating leverage will affect the group's EBITDA as S&P forecasts
it to be about GBP225 million and GBP245 million in fiscal 2022 and
2023, respectively.

S&P said, "We also expect the borrower to reduce capital
expenditure (capex) to about GBP36 million in 2021 compared to
GBP44 million in 2019. We anticipate the company to increase its
growth capex and therefore forecast GBP60 million of capex in 2022,
and capex spend of about GBP50 million from 2023.

"Weakened earnings and tax relief will likely result in reduced tax
payments in FY2021 and FY2022. We expect the company to be subject
to higher 25% tax rate from FY2024 onwards."

Downside DSCR analysis

S&P said, "Our downside DSCR analysis tests whether the
issuer-level structural enhancements improve the transaction's
resilience under a moderate stress scenario. Considering CPH1 and
U.K. hotels' historical performance during the financial crisis of
2007-2008, in our view a 15% decline in EBITDA from our base case
is appropriate for the borrower's particular business. We applied
this 15% decline to the base-case at the point where we believe the
stress on debt service would be greatest.

"We currently expect that the COVID-19 liquidity stress will result
in a reduction in EBITDA that will far exceed the 15% decline we
would normally assume under our downside stress. Hence, our
downside scenario comprises both our EBITDA projections during the
period of the COVID-19 liquidity stress, followed by a long-term
forecast but with the level of ultimate recovery limited such that
the ultimate level achieved is 15% lower than what we would assume
for a base-case forecast over the long-term. For example, our
downside scenario forecast of EBITDA reflects our base-case
assumptions for recovery into FY2023 until the level of EBITDA is
within 85% of our projected long-term EBITDA of GBP245.9 million.

"Our downside DSCR analysis resulted in a strong resilience score
for the class A notes. This reflects the headroom above a 1.80:1
DSCR threshold that is required under our criteria to achieve a
satisfactory resilience score after considering the level of
liquidity support available to each class (see "New Issue: CPUK
Finance Ltd.," published on Nov. 20, 2018).

"Each class' resilience score corresponds to rating
categories--excellent at 'AAA' through vulnerable at 'B' (see
paragraph 46 of our criteria). Within each category, the
recommended resilience-adjusted anchor reflects notching based on
where the downside DSCR falls within a range (for the class A
notes). As a result, the resilience-adjusted anchors for the class
A notes would not be adversely affected under our downside
scenario."

Liquidity facility adjustment

Given that S&P has given full credit to the liquidity facility
amount available to the class A notes, a further one-notch increase
to any of the resilience-adjusted anchors is not warranted.

Comparable rating analysis

S&P said, "As mentioned, we performed our base-case analysis to
assess whether, post-COVID-19, the anchor would be adversely
affected given the long-term prospects currently assumed in our
base-case forecast.

"As highlighted in our prior review, we could also lower our
ratings on the notes if additional debt financed shareholder
returns or weak operating performances were to cause the leverage
to increase beyond 8.0x and the S&P adjusted free operating cash
flow-to–debt ratio were to decline toward 3% for a sustained
period. Our assessment of the leverage has increased beyond 8.0x,
leading to a one-notch downgrade of the class B notes."

Rating Rationale For The Class B Notes

S&P's ratings on the junior class B notes only address the ultimate
repayment of principal and interest on their legal final maturity
dates.

The class B4-Dfrd, B5-Dfrd, and B6-Dfrd notes are structured as
soft-bullet notes with expected maturity dates in August 2025,
August 2026, and August 2027, respectively, and legal final
maturity dates in February 2047, February 2051, and February 2051.
Interest and principal is due and payable to the noteholders only
to the extent received under the B4-Dfrd, B5-Dfrd, and B6-Dfrd
loans. Under their terms and conditions, if the loans are not
repaid on their expected maturity dates, interest would no longer
be due and would be deferred. Similarly, if the class A loans are
not repaid on the second interest payment date following their
respective expected maturity dates, the interest on the class B
loans would be deferred. The deferred interest, and the interest
accrued thereafter, becomes due and payable on the class B4-Dfrd,
B5-Dfrd, and B6-Dfrd notes' final maturity date. S&P said, "Our
analysis focuses on scenarios in which the loans underlying the
transaction are not refinanced at their expected maturity dates. We
therefore consider the class B5-Dfrd and B6-Dfrd notes as deferring
accruing interest from the class B4-Dfrd's expected maturity date
and one year after the class A2 notes' expected maturity date,
respectively, and receiving no further payments until the class A
notes are fully repaid."

Moreover, under the terms of the class B issuer-borrower loan
agreement, further issuances of class A notes, for the purpose of
refinancing, are permitted without consideration given to any
potential effect on the then current ratings on the outstanding
class B notes.

S&P said, "Both the extension risk, which we view as highly
sensitive to the borrowing group's future performance given its
deferability, and the ability to refinance the senior debt without
consideration given to the class B notes, may adversely affect the
ability of the issuer to repay the class B notes. As a result, the
uplift above the borrowing group's creditworthiness reflected in
our ratings on the class B notes is limited."

Counterparty risk

S&P said, "We do not consider the liquidity facility or bank
account agreements to be in line with our current counterparty
criteria. As a result, the maximum supported rating continues to be
the lowest issuer credit rating (ICR) among the bank account and
liquidity providers. Currently, the lowest rated providers are
Barclays Bank PLC and National Westminster Bank PLC, which act as
the issuer's liquidity provider and account bank, respectively.

"However, our ratings are not currently constrained by our ICRs on
any of the counterparties, including the liquidity facility,
derivatives, and bank account providers."

Outlook

S&P said, "Over the next 12 to 24 months, we expect Center Parcs'
operating performance will remain under pressure against the
current economic shock stemming from COVID-19 and the U.K.
government's response. As we receive more issuer-specific and
industry-level data and learn more about what actions issuers will
be taking to mitigate the effect on turnover, we will assess this
transaction to determine whether rating actions are warranted."

Upside scenario

Due to the current economic shock stemming from the COVID-19
pandemic and the U.K. government's response, S&P does not
anticipate raising our assessment of Center Parcs' BRP within the
next two years.

Downside scenario

S&P said, "We could lower our rating on the notes if we were to
lower the BRP on the borrower to weak from fair. This could occur
if CPH1's operating performance were to deteriorate materially due
to macroeconomic, geopolitical event risks, or a change in customer
preference resulting in substantial decline in RevPAL performance
to about GBP150 per night and EBITDA margin moving to below 30%.
Additional rating drivers could arise from events that could have
material reputational impact.

"We may consider lowering our ratings on the class A notes if their
minimum projected DSCRs in our downside scenario have a
material-adverse impact on each class' resilience-adjusted anchor.
We may also consider lowering our ratings on the class A notes if
our minimum projected DSCR gets closer to the lower end of the
1.8:1.0-4.0:1.0 range in our base-case scenario.

"We could lower our ratings on the class B notes if there were a
further deterioration in our assessment of the borrower's overall
creditworthiness, a reflection of its financial and operational
strength over the short to medium term. We could also lower the
ratings on these notes if we considered the capital structure to be
unsustainable while leverage keeps increasing and free operating
cash flow (FOCF) turns negative, or its FOCF to debt remains
insignificant."

In a scenario where the class B4-Dfrd notes are no longer
outstanding, the lack of the class B FCF DSCR covenant would
prevent, in certain circumstances, the class B5-Dfrd and B6-Dfrd
noteholders from enforcing security and exercising recourse against
the borrower, which may either result in a lower rating or prevent
us from continuing to rate the class B5-Dfrd and B6-Dfrd notes
under S&P's corporate securitization criteria.

  Ratings List

  CLASS     RATING    BALANCE (MIL. GBP)

  Rating assigned
  
  B6-Dfrd   B- (sf)     255.0

  Ratings affirmed

  A2        BBB (sf)    440.0
  A4        BBB (sf)    340.0
  A5        BBB (sf)    379.5
  B4-Dfrd   B- (sf)     250.0
  B5-Dfrd   B- (sf)     250.0

  Rating withdrawn

                  RATING TO   RATING FROM
  
  B3-Dfrd           NR        B- (sf)

  NR--Not rated.


GREENSILL CAPITAL: Cameron Contacted Ministers to Lobby for Firm
----------------------------------------------------------------
William James and Paul Sandle at Reuters report that former British
Prime Minister David Cameron repeatedly contacted senior ministers
over a four-month period in 2020 to lobby for the now-failed,
supply-chain finance firm Greensill Capital, according to documents
published on May 11.

According to Reuters, documents provided by Mr. Cameron to
parliament's Treasury Committee showed the communications included
texts, WhatsApp messages and telephone calls to finance minister
Rishi Sunak, cabinet office minister Michael Gove and health
minister Matt Hancock.

Mr. Cameron was lobbying the government to allow Greensill, founded
by Australian banker Lex Greensill in 2011, to access a COVID-19
loan scheme, Reuters discloses.

Lex Greensill was brought in as an adviser to the government while
Mr. Cameron was British prime minister from 2010 to 2016, Reuters
recounts.

After leaving office, Mr. Cameron in turn became an adviser to
Greensill Capital, which filed for insolvency protection in March,
Reuters notes.

Mr. Cameron has denied breaking any code of conduct or government
rules and the government has repeatedly said the outcome of his
discussions on Greensill's proposals for access to a COVID-19 loan
scheme were not taken up, Reuters relates.

The data release showed Mr. Cameron contacted six different
ministers and a similar number of government and Bank of England
officials, Reuters discloses.  The messages ranged from arranging
calls to listing the merits of Greensill's business, according to
Reuters.

In later messages, Mr. Cameron expressed frustration at not getting
agreement from the treasury and the bank, Reuters notes.


GREENSILL CAPITAL: FCA Formally Investigates UK Operations
----------------------------------------------------------
Huw Jones at Reuters reports that Britain's Financial Conduct
Authority said on May 11 it was formally investigating the UK
operations of collapsed supply chain finance company Greensill as
part of global probes.

"We are also cooperating with counterparts in other UK enforcement
and regulatory agencies, as well as authorities in a number of
overseas jurisdictions," Reuters quotes FCA CEO Nikhil Rathi as
saying in a letter to parliament's Treasury Select Committee.

Greensill Capital lent money to firms by buying their invoices at a
discount, but it collapsed in March 2021 after insurers pulled
their cover, Reuters recounts.  Among the investors burnt in the
widespread fallout included clients of Swiss banking giant Credit
Suisse, steel magnate Sanjeev Gupta's GFG Alliance and some 26
German towns, Reuters discloses.

Lawmakers have opened an inquiry into lessons from Greensill's
implosion and were set to meet with the company's founder Lex
Greensill in a public hearing on May 11, Reuters relays.  

Mr. Rathi will appear before the committee today, May 12, according
to Reuters.

Mr. Rathi, as cited by Reuters, said the FCA is investigating
matters relating to Greensill Capital UK, Greensill Capital
Securities and the oversight of the latter by its principal,
Mirabella Advisers LLP.

The FCA said it was only responsible for supervising how Greensill
Capital UK complied with anti-money laundering (AML)safeguards,
Reuters notes.

According to Reuters, Mr. Rathi said "The wider activities that
GCUK undertook were not regulated by the FCA . . . . and the
origination of a supply-chain finance instrument is not a regulated
activity."

To help with the "smooth functioning" of the administration of
Greensill, the FCA has decided that for now it won't cancel the
firm's registration for AML compliance, Reuters states.


GREENSILL CAPITAL: Lex Grensill Says Sorry Over Firm's Collapse
---------------------------------------------------------------
Guy Faulconbridge at Reuters reports that Australian banker Lex
Greensill on May 11 said he was sorry over the collapse of his
supply-chain finance firm Greensill Capital, and that he took full
responsibility for its failure.

"I am truly sorry," Mr. Greensill told a parliamentary committee
investigating the collapse.  "Please understand that I bear
complete responsibility for the collapse of Greensill Capital."



PLADIS: Plans to Close Tollcross Site, 468 Jobs at Risk
-------------------------------------------------------
Douglas Barrie at The Scotsman reports that Pladis has put forward
proposals to close its Tollcross site, subject to a "full and
meaningful consultation with employees".

According to The Scotsman, the move would put 468 roles at risk of
redundancy with the global snack firm highlighting "excess
capacity" across its UK sites.

Under the plans, the Glasgow operation would cease in the second
half of 2022 with production moved to other factories, The Scotsman
discloses.

David Murray, Pladis UK and Ireland managing director, announced
the consultation to employees at meetings on May 11, The Scotsman
relates.

As well as McVitie's, Pladis owns Ulker, Godiva and regional brands
such as Jacob's, Go Ahead and Carr's.




                           *********


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

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

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

This material is copyrighted and any commercial use, resale or
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