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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

          Tuesday, August 3, 2021, Vol. 22, No. 148

                           Headlines



A U S T R I A

AUTOBANK: FMA Withdraws Operating License


B U L G A R I A

HUVEPHARMA EOOD: S&P Affirms 'BB' Long-Term ICR, Outlook Positive


F R A N C E

EUROPCAR MOBILITY: Volkswagen to Buy Back Business for EUR2.51BB
TARKETT PARTICIPATION: Fitch Gives Final 'BB-' IDR, Outlook Stable


G E R M A N Y

ALPHA GROUP: Moody's Affirms Caa2 CFR, Alters Outlook to Stable
GERMAN PROPERTY: Liquidator Questions Significant Salaries and Fees


G R E E C E

INTRALOT SA: Funds Oppose Proposed Restructuring


I R E L A N D

ADAGIO IX: Fitch Assigns Final B-(EXP) Rating on Class F Tranche
ARBOUR CLO III: Moody's Assigns B3 Rating to EUR12MM Cl. F-R Notes
ARBOUR CLO III: S&P Assigns B- (sf) Rating on Class F-R Notes
BARINGS EURO 2021-2: Moody's Gives (P)B3 Rating to EUR12MM F Notes
BARINGS EURO 2021-2: S&P Assigns Prelim B- (sf) Rating on F Notes

DRYDEN 73 EURO: Fitch Affirms B- Rating on Class F Notes
JUBILEE CLO 2016-XVII: Fitch Affirms B- Rating on Class F-R Notes
OZLME V: Fitch Affirms B- Rating on Class F Notes


I T A L Y

CAPITAL MORTGAGE 2007-1: Fitch Upgrades 2 Note Classes to 'B+'
COMDATA SPA: S&P Assigns 'SD' ICR on Debt Restructuring
MONTE DEI PASCHI: Reaches Deal to Reduce Legal Liabilities


P O L A N D

GETIN NOBLE: Fitch Maintains 'CCC' LT IDR on Watch Negative


T U R K E Y

AYDEM YENILENEBILIR: Fitch Assigns Final 'B+' IDR, Outlook Stable


U N I T E D   K I N G D O M

AZURE FINANCE NO. 2: S&P Affirms 'B (sf)' Rating on E-Dfrd Notes
ENQUEST PLC: Moody's Upgrades CFR to B3, Outlook Stable
JD CLASSICS: Administrators Sue PwC for Failing to Spot Fraud
STRATTON MORTGAGE 2020-1: Fitch Ups Rating on Class F Notes to B+
VICTORIA'S SECRET UK: Put Into Liquidation Following Court Ruling


                           - - - - -


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A U S T R I A
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AUTOBANK: FMA Withdraws Operating License
-----------------------------------------
Marton Eder at Bloomberg News reports that the FMA has withdrawn
the operating license of Vienna-based Autobank.

According to Bloomberg, an e-mailed statement said the financial
regulator has also ordered the suspension of deposit withdrawals.

Autobank has EUR109 million in deposits, of which EUR107 million
will be covered by ESA, Bloomberg relays, citing FMA spokesman
Klaus Grubelnik.



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B U L G A R I A
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HUVEPHARMA EOOD: S&P Affirms 'BB' Long-Term ICR, Outlook Positive
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S&P Global Ratings affirmed its 'BB' long-term issuer credit rating
on Bulgaria-headquartered animal health products manufacturer
Huvepharma EOOD, and removed it from CreditWatch, where S&P placed
it with positive implications on June 21, 2021.

S&P said, "The positive outlook reflects that we could raise the
rating on Huvepharma in the next 12-18 months if it continues to
post robust operating performance, with S&P Global Ratings-adjusted
EBITDA margins of close to 30% supporting net debt leverage
comfortably at 2x-3x.

"The positive outlook reflects our expectation that the strong
profitable growth momentum from 2020 will last. It also reflects
our expectation that the company will establish a track record of
maintaining adjusted net debt to EBITDA comfortably below 3.0x. In
2020 alone, Huvepharma launched 10 new products, including a new
poultry feed additive product in Europe in August. These launches
led to strong underlying revenue growth of 10.4%, excluding
negative foreign exchange effects. Margins expanded by 490 basis
points to 27.1% on an S&P Global Ratings-adjusted basis. Sales of
another feed additive in the U.S. cattle market, launched in fourth
quarter (Q4) 2019, also gathered momentum. The company's strong
performance continued into Q1 2021, with reported revenue growth of
11.2% and EBITDA margins reaching 30%. We anticipate this trend
will continue for the rest of the year, and project overall revenue
growth of 11%-12% and adjusted EBITDA margin of 29.5%-30.5%. This
should translate into positive free operating cash flows (FOCF) of
around EUR40 million and adjusted net debt to EBITDA of 2.5x-2.6x
(3.0x in 2020). We anticipate a potential further acceleration in
revenue growth to 15%-16% and margins improving to 30%-31% in 2022,
which should translate into further deleveraging to close to
2.0x-2.2x. This is within the company's medium-term financial
policy target of 2.0x-2.5x in reported terms. December 2020 saw the
approval of the first U.S. poultry vaccine that controls necrotic
enteritis, a common bacterial disease in broilers. The penetration
of this vaccine will likely help accelerate revenue growth in 2022.
If the company achieved the abovementioned metrics, we would view
them as supportive of a 'BB+' rating."

Earnings growth should offset risks from the partly-debt-funded
capital investment program. Huvepharma's weak FOCF generation has
weighed heavily on its credit profile over the past two years. It
has invested considerable cash in production capacity expansion,
particularly at its Bulgarian facilities. S&P said, "We anticipate
an acceleration in capex once again to EUR110 million-EUR115
million in 2022 and 2023 (EUR95 million-EUR100 million expected in
2021), as the company finalizes its vaccine production capacity
expansion. This will support its ambitious plans for this
highest-growing product category in animal health. Huvepharma is on
course to complete a new vaccine production facility in Razgrad
(Bulgaria) in 2021, its first outside the U.S. Earlier in the year,
it also started construction of a new (third) facility in the U.S.
That said, we think that the momentum of recent product launches
and a good pipeline of new products--over 100 projects in the
development phase--should enable the company to maintain positive
FOCF."

Huvepharma has an established track record of strong organic
revenue growth. In the past five years, Huvepharma has posted
consistently higher revenue growth than most peers. About 90% of
its revenue growth in the past 10 years has been organic, the rest
through acquisitions. According to the company's estimates, 35% of
its revenue growth in the last three years (2018-2020) came from
new product launches, with 25% from products developed internally.
S&P also views the company's focus on direct sales to customers
(90% of total revenues) as a credit strength, as it promotes strong
brand equity.

Huvepharma operates in a favorable end-market, with solid demand.
The specialised external consultancy, Vetnosis, estimates the
global livestock market (including poultry) at US$19.7 billion. It
is expected to grow by around 5% (constant adjusted growth rate
[CAGR]) between 2019-2024. Poultry--over 50% of Huvepharma's
sales--is set to outpace the other animal categories, growing by
7.2% over the same period, primarily driven by the increase in
global population and demand for protein. This is driving meat
producers to invest in productivity measures, including feed
additives and veterinary products, for disease protection. The new
poultry feed additive product launch in Europe in 2020 positions
Huvepharma to challenge Elanco Animal Health Inc (Elanco;
BB/Stable) in the region. Studies have shown Huvepharma's product
posting some superior results compared to Elanco's, indicating
better control of the prevalent coccidiosis disease in chicken.
This has supported Huvepharma's product traction and strong market
share gains since its launch.

Huvepharma is also well positioned to capitalize on growth
opportunities outside poultry, notably in the large U.S. cattle
market. Through the launch of the first generic monensin product
approved in the U.S. in 2019, Huvepharma can now offer customers a
strong bundled solutions package. This is enabling it to mount an
effective challenge to the incumbent Elanco.

s&p SAID, "Recent investments should help sustain improved
profitability. While Huvepharma's S&P Global Ratings-adjusted
EBITDA margins have been volatile in recent years because of
margin-dilutive acquisitions, we think the recent improvement will
continue over the next 12-24 months. We forecast adjusted margins
to cross the 30% threshold for the first time, which we view as
above average for the sector. Among rated animal health peers,
Huvepharma's margins are only trailing those of Zoetis Inc.
(BBB/Stable/A-2), the world's largest animal health company.
Huvepharma benefits from a balanced and highly integrated
manufacturing footprint, which we think supports its competitive
profitability." Following the completion of the fermentation
capacity expansion at the Peshtera plant in 2019, the company now
also satisfies 90% of its active pharmaceutical ingredients (APIs)
consumption needs, which shields it from external market pricing
volatility, and supports margin stability.

Huvepharma's business position reflects its concentrated asset base
relative to peers in the animal health sector. With an overall
revenue base of around EUR588 million, it is modest relative to
rated peers such as Zoetis, Elanco, and Financiere Top Mendel SAS
(Ceva; B/Stable). It is also less diversified in terms of end
markets given that its products only cater to poultry and
livestock, with no exposure to companion animals--a profitable
market that also has positive growth prospects. Poultry-related
sales account for over 50% of Huvepharma's sales, which we see as a
high concentration relative to peers.

Huvepharma is also still in the early stages of vaccine
development, projected to be the fastest growing product category.
Vaccines are estimated to generate about US$9.7 billion in sales
for the animal health industry. This is projected to grow by 5.6%
CAGR between 2019 and 2024. Vaccines are seen as among the main
replacements of antibiotics, which have come under increased
scrutiny particularly in developed markets (the U.S. and Europe)
where both consumers and regulators seek alternative solutions to
overall animal health and disease prevention. S&P said, "Huvepharma
has set an ambitious target for its vaccines business to grow its
revenues share to 10% in the next five years, from our current
estimation of less than 4%. This should help it reduce its exposure
to antibiotics (just below 30% of total revenues). While vaccines
reportedly account for about 30% of Huvepharma's development-stage
pipeline projects, which is promising, we see potential delays and
overall execution risks given the complexities involved."

S&P said, "The positive outlook reflects that we could raise the
rating on Huvepharma to 'BB+' in the next 12-18 months if the
current strong profitable growth momentum lasts, and translates
into improved debt protection metrics. This would be supported by
ongoing strong sales growth from recent and new feed additive and
veterinary product launches.

"We could upgrade Huvepharma if it performs in line with our base
case, such that S&P Global Ratings-adjusted EBITDA margins improve
sustainably toward 30%, thereby supporting positive FOCF and
adjusted net debt to EBITDA comfortably around 2x-3x. An upgrade is
also contingent on a clear capital investment program and the
shareholders' commitment to maintain credit metrics at these
levels.

"We could revise the outlook to stable if Huvepharma's operating
performance deviated from our base-case, with weak FOCF or adjusted
net debt to EBITDA at 3x or above on a sustained basis. This could
be caused by operating setbacks with the investment projects, a
surge in competition, or delays in obtaining approvals for new
product launches."




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F R A N C E
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EUROPCAR MOBILITY: Volkswagen to Buy Back Business for EUR2.51BB
----------------------------------------------------------------
Christoph Rauwald at Bloomberg News reports that Volkswagen AG
reached a deal to buy back Europcar Mobility Group for EUR2.51
billion (US$3 billion) to expand its offering of mobility
services.

According to Bloomberg, Europcar said on July 28 a consortium led
by VW agreed to pay 50 euro cents a share.  Bloomberg first
reported on July 27 that the world's second-largest automaker was
gaining support from the car rental firm's hedge fund backers with
a sweetened offer.

VW CEO Herbert Diess sees major profit potential in mobility
offerings and is trying to remake the manufacturer into a company
increasingly defined by software and services, Bloomberg discloses.
During the company's annual meeting, he told shareholders VW will
establish a booking platform similar to those used for booking
hotels that will store customer data and process payments,
Bloomberg recounts.

Europcar could get a supplemental 1 euro cent a share if the 90%
squeeze-out threshold is reached when the takeover offer is
completed, Bloomberg states.  The rental firm said hedge fund
Attestor Limited -- which is part of VW's consortium -- and
Europcar's other main holders representing 68% of shares have
"entered into firm undertakings to tender their shares", Bloomberg
notes.

Europcar is "well positioned for growth" supported by the
recovering travel and leisure market, Bloomberg quotes Chief
Executive Officer Caroline Parot as saying in a statement.  "This
agreement has the potential to supercharge this growth."

This will be VW's second crack at Europcar ownership, according to
Bloomberg.  The automaker took over the car-rental firm in the late
1990s, then sold it to buyout firm Eurazeo SE in 2006 for EUR1.26
billion, Bloomberg recounts.

                    About Europcar Mobility Group

Headquartered in Paris, France, Europcar Mobility Group S.A. is the
European leader in car rental services, providing short- to
medium-term rentals of passenger vehicles and light trucks to
corporate, leisure and replacement. It generated revenue of around
EUR1.8 billion in 2020.

Europcar agreed the debt restructuring in principle with creditors
on Nov. 26, 2020. The deal includes EUR475 million of new money and
a debt reduction of EUR1.1 billion by fully converting the
borrower's existing unsecured EUR600 million of 4.125% notes due
2024, the EUR450 million of 4% notes due 2026 and the EUR50 million
Credit Suisse facility into equity.

France-based car rental firm Europcar requested the opening of
restructuring proceedings at the Paris Commercial Court on Dec. 14,
2020, to enable the firm to implement the debt restructuring it
agreed with creditors. The proceedings took place via an
accelerated timetable under the "procedure de sauvegarde financiere
acceleree" according to the French insolvency code.

Europcar Mobility sought Chapter 15 protection (Bankr. S.D.N.Y.
Case No. 20-12878) on Dec. 17, 2020.  The case is handled by
Honorable Michael E. Wiles. The Debtor's counsel is David R.
Seligman, P.C. of Kirkland & Ellis LLP.

Europcar obtained approval from the Paris Commercial Court, while a
U.S. court on Feb. 4, 2021, recognized the French process as
"foreign main proceedings" under Chapter 15 of the U.S. Bankruptcy
Code, and gave full effect to the safeguard restructuring plan.

TARKETT PARTICIPATION: Fitch Gives Final 'BB-' IDR, Outlook Stable
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Fitch Ratings has assigned Tarkett Participation a final Long-Term
Issuer Default Rating (IDR) of 'BB-' with a Stable Outlook. Fitch
has also assigned final instrument ratings of 'BB+'/'RR2' to the
recently issued senior secured term loan B (TLB).

The rating reflects the impact on Tarkett Participation's (a
bidding company for Tarkett S.A.'s shares) financial profile from
the additional leverage under the transaction to acquire the
outstanding shares of Tarkett S.A. not already owned by the
Deconinck family, through a simplified public tender by the
Deconinck family and financial investor Wendel. The tender has been
finalised and will increase funds from operations (FFO) gross
leverage to 5.7x at end-2021 (compared with 6.0x expected at the
beginning of the tender), positioning the financial profile at the
lower end of the 'BB' category.

Tarkett's rating reflects its solid business profile, supported by
leading market positions in several product segments and markets,
combined with strong diversification across more than 100
countries, a sound 80/20 split between renovation and new-build and
presence in both the commercial and private residential
end-customer segments.

The rating is pressured by a weak financial profile, largely
attributable to both profitability margins (which Fitch assesses as
weaker and more volatile than other building products companies)
and the leverage profile. However, Fitch recognises that cash
conversion remains sound, despite the added interest costs and
benefits from no near-term maturities, providing expectations of
solid and stable cash flows.

KEY RATING DRIVERS

Higher Leverage: The new EUR950 (equivalent) million loan,
downsized to EUR900 million at closing, will increase FFO gross
leverage to 5.7x at end-2021 compared with 4.2x for Tarkett S.A. at
end-2020. Fitch expects FFO net leverage to increase to 4.6x at
end-2021, compared with 2.7x before the transaction at end-2020.
The financial structure is weak for the rating, reflected by a
financial structure sub-factor score of 'b+', but Fitch expects
deleveraging as the group continues to improve profitability
generation.

The liquidity position is strong and Fitch assumes the company will
fund any squeeze-out, through own cash and temporary drawings under
the available revolving credit facility. However, Fitch does not
include the remaining 14% shares to be acquired in Fitch's rating
case.

Committed Owners: The transaction highlights a strong commitment
from the Deconinck family, which now increased its ownership to
around 66% from 50.8% before the tender and introduced Wendel as
financing partner, with around 23% ownership. Wendel's long-term
investment strategy is aligned with the existing owner's strategy.
Fitch also expects Wendel to contribute additional industrial
expertise. In the event of larger M&A opportunities, the owners
have also indicated further equity support to ensure that leverage
remains below the company-defined net debt to EBITDA of 4.0x and
swiftly returns to the company's medium-term target of 3.0x.

Balanced End-market Diversification: Tarkett's business profile
benefits from an 80/20 split between the more stable renovation
market versus the potentially more volatile new-build market.
Furthermore, the flooring renovation cycle is fairly frequent, with
office space in particular generally changing flooring with every
new tenant or lease contract.

The company's 70/30 split between commercial and private
residential is generally a positive balance between the different
associated demand drivers. However, in 2020 the commercial business
developed less favourably than residential, with the latter gaining
from general home-improvement trends during the pandemic. The
business profile also benefits from geographic diversification
across more mature North America (44% of sales) and Europe (36%)
and faster growing CIS countries and Asia Pacific.

Subdued Recovery in 1H21: The residential business shows solid
recovery especially in 2Q21. However, this is offset by continuing
adverse foreign exchange movements and weak recovery in the sports,
office and hospitality segments in EMEA and North America. Revenues
increased by only 2% in 1H21 (6.3% organic) versus 1H20, although
this represents a weak 1Q with an 8.2% decline in revenues and a
strong 2Q with 12.1% growth. Fitch expects further growth in
residential flooring and gradual recovery in commercial and sport
flooring in 2H21.

Rising raw material and freight costs continue to pressure margins,
somewhat mitigated by growing volumes, increased prices and further
cuts to structural costs. Group margins improved in 1H21 after a
weak 1Q to 8.9% versus 6.1% in 1Q21 (company defined EBITDA
margins).

Raw Material Sensitivity: Tarkett is exposed to raw materials cost
swings and has seen a gradual increase in several of its input
materials, including most oil-based derivatives: PVC, plasticisers,
and vinyl. The company has successfully passed higher raw materials
costs onto to its customers, albeit with a fairly long lag.
Commercial projects can have up to one year between order and
delivery as the order is agreed with designers/architects and floor
installation is at a late stage in the construction.

To mitigate the recent raw materials cost inflation, Tarkett
already increased prices in early 1H21 for certain products. It has
additional increases planned, with the aim of recovering about 50%
of the estimated cost increase in 2021.

Development of Material Recycling: Tarkett is highly committed to
sustainable production and is leading the development of recycling
used flooring for use as raw input materials for its production.
The company targets reaching 30% of recycled raw input materials by
2030 (13% in 2020). Fitch expects this will lessen sensitivity to
raw material swings and Fitch also expects it to support
competitiveness over the longer term as customers become
increasingly focused on recycling capabilities and initiatives.

Deleveraging Targeted: The transaction will increase leverage, but
Fitch expects Tarkett to continue prioritising a conservative
financial policy, with an internal target of company-defined net
debt to EBITDA of 3.0x and to not exceed 4.0x in case of M&A. Fitch
expects gradual deleveraging over the rating horizon, reaching FFO
net leverage of 3.4x in 2023 down from 4.6x in 2021. However, given
the increased debt and weaker leverage metrics Fitch additionally
focuses on gross leverage, which will benefit from expected margin
improvement and continued positive free cash flow.

Notching of Senior Secured Debt: The secured TLB capital structure
results in a two-notch uplift to 'BB+' for the senior secured debt
rating (from the 'BB-' IDR) on the back of superior recovery
prospects (RR2) according to the generic approach under Fitch's
criteria.

DERIVATION SUMMARY

Tarkett's closest Fitch-rated peer is HESTIAFLOOR/Gerflor
(B+/Negative) and the two have fairly similar product offerings
serving primarily commercial end-customers with vinyl and linoleum
flooring. Gerflor is smaller, about a third in terms of turnover,
and has fairly high exposure to France but somewhat better margins
than Tarkett. Tarkett is also larger than Victoria plc
(BB-/Stable), which targets the residential flooring segment but
Tarkett's margins are weaker than Victoria's. Gerflor has higher
leverage than Tarkett hence its lower rating, while Tarkett and
Victoria have similar leverage metrics and deleveraging trends.

Other peers include the largest flooring company globally, US based
Mohawk Industries (BBB+/Stable) and building products company Masco
Corporation (BBB/Stable). These companies are more than twice the
size of Tarkett and have higher exposure to residential
end-customers. Mohawk is also large in ceramics tiles and Masco's
offering spans across a portfolio of home improvement building
products. Both companies have higher margins and lower FFO
leverage, Mohawk at 2.0x and Masco at 2.8x expected in 2021.

KEY ASSUMPTIONS

-- Single-digit revenue growth reflecting business recovery after
    weak 2020 and acquisitions with a recovery to the pre-pandemic
    revenue base in 2024;

-- EBITDA margin to improve together with the growing revenue
    base and continuation of cost-cutting measures initiated in
    2019;

-- Capex intensity at 3.4% in 2021 and decreasing to nearer 3%
    over the rating horizon;

-- No dividends assumed over the rating horizon;

-- M&A of EUR20 million in 2021 followed by EUR60 million from
    2022 onwards;

-- Limited gross debt reduction due to TLB structure; leverage
    metrics benefiting from improved profitability generation;

-- No squeeze-out of the remaining 14.11% of shares.

RATING SENSITIVITIES

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

-- Delivery of cost-saving measures driving an improved operating
    margin profile;

-- EBITDA margin sustainably above 10%;

-- FCF margins sustainably above 2%;

-- FFO net leverage sustainably below 3.5x.

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

-- EBITDA margin below 8%;

-- FFO margin below 6%;

-- FCF not remaining positive;

-- FFO gross leverage sustainably above 5.5x;

-- FFO net leverage sustainably above 4.5x.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Strong Liquidity: Fitch expects Tarkett to maintain strong
liquidity and forecast around EUR210 million of Fitch-adjusted cash
at end-2021. The new financing results in higher interest payments
due to the higher cost of debt and debt amount, but Fitch expects
the free cash flow margin to remain above 2% in 2022-23 and nearing
3% in 2024. Liquidity will be further supported by a new EUR350
million revolving credit facility, which Fitch expects to be
undrawn over the rating horizon.

The liquidity position is strong and Fitch assumes the company will
fund any squeeze-out through own cash and temporary drawings under
the available revolving credit facility.

Cash flow will benefit from no dividends post transaction, in
addition to the lack of debt amortisation before the bullet
maturity in 2028, and Fitch forecasts excess cash will be used for
acquisitions.

ESG CONSIDERATIONS

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

ISSUER PROFILE

Tarkett is a leading flooring and sports surface manufacturer
offering solutions to the healthcare, education, housing, hotels,
offices, commercial and sports markets. Products include vinyl,
linoleum, carpet, rubber and wood flooring as well as synthetic
turf and athletics track.



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G E R M A N Y
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ALPHA GROUP: Moody's Affirms Caa2 CFR, Alters Outlook to Stable
---------------------------------------------------------------
Moody's Investors Service has affirmed the Caa2 corporate family
rating of the German operator of hotels and hostels Alpha Group
SARL ("A&O") and the probability of default rating of Caa2-PD.
Concurrently, Moody's has affirmed the rating of the A&O's
guaranteed senior secured term loan B and its guaranteed senior
secured revolving credit facility at Caa2. The rating outlook has
changed to stable from negative.

"Our decision to affirm A&O's ratings and stabilise the rating
outlook follows the cash injection from Alpha Groups sponsor that
eases the imminent liquidity constraints on the company" says
Oliver Schmitt, a Vice President - Senior Credit Officer and lead
analyst for A&O.

RATINGS RATIONALE

After the cash injection from Alpha Group's sponsor TPG Capital via
shareholder loan, imminent liquidity concerns have eased.
Nevertheless the business continues to be impaired by COVID-19
related restrictions and limited interest in hostel stays. The
company reported record-low occupancy of 10.8% for Q1 2021 given
travel restrictions in particular in Germany. Moody's expect a
recovery in Q2 and especially in Q3 2021 from holiday travelers,
but for occupancy to remain way below 2019. Moody's see continued
challenges for recovery in the very tourist-dependent cities, as
well as in the group's business with multiple different guests per
room and schools / sports clubs as main sources of revenues. Prices
continue to be lower than pre-COVID, with ADR around EUR17 for 2020
and just above EUR20 in Q1 2021 compared to an average of EUR23 to
EUR25 for 2017 to 2019.

Uncertainty remains how rising COVID-19 infection rates will
influence travel behavior and government actions. The German
government in particular shows signs of tightening travel
restrictions, which have so far had limited impact on intra-German
travel. Political response to rising infections and whether metrics
other than COVID infection rates drive decisions will be an
important driver for A&O's business in the next 12 to 18 months.

Outside of new restrictions, Moody's expect a further recovery for
the business in 2022, but Moody's do not expect a full recovery of
the business for the next years to come. While projecting 2022 is
still rather uncertain in the lodging industry, Moody's expect
debt/EBTIDA to remain clearly double digit, but for profitability
to return well into positive (EBITA-margin). Moody's do not expect
the company to generate free cash flow that allow for a meaningful
reduction of debt even in 2022. Interest cover will remain below
1x. These projections assume full equity credit for the shareholder
loan the company received alongside the existing shareholder loans,
which is still to be confirmed.

A&O's liquidity position is still weak but has stabilised compared
with Moody's previous assessment. The company's liquidity position
significantly eroded until May 2021. Despite a partial recovery of
occupancy rates in Q3 2020, new restrictions lead to weak results
from November 2020 onwards. The company received EUR15 million cash
from its shareholder in June 2021 as part of a new covenant waiver,
which continues to contain a minimum cash position of EUR10 million
requirement. Management also expects to receive cash from the
German government support schemes as well as a partial repayment of
loans granted to associated companies.

RATIONAL FOR THE STABLE OUTLOOK

The stable outlook balances the ongoing uncertainties around the
development of COVID-19 infections and the respective political and
travelers' responses with the improved liquidity profile of the
company.

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

Positive rating pressure would not arise until the coronavirus
outbreak is brought under control and business restrictions are
lifted. A recovery of earnings and free cash flow leading to an
improved liquidity situation and some recovery in credit metrics
could lead to positive rating pressure.

A return of liquidity concerns can lead to downgrade pressure.
Moody's would also see a revival of legal or effective travel
restrictions a threat to the current ratings, as it may hinder
positive free cash flow generation.

PRINCIPAL METHODOLOGY

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

COMPANY PROFILE

Based in Berlin, Germany, A&O Hotels and Hostels (A&O) operates a
network of 38 hotels and hostels in Central Europe including
Germany, Austria, Italy, Hungary, Czech Republic, Poland, Denmark
and the Netherlands. The company specializes in offering low cost
accommodation focusing on large groups. In 2020 the group generated
EUR59 million in revenues, 60% below 2019 revenues of EUR149
million. The group is owned by private equity firm TPG Capital.

GERMAN PROPERTY: Liquidator Questions Significant Salaries and Fees
-------------------------------------------------------------------
Joe Brennan at The Irish Times reports that the liquidator of a
Kildare company linked to a Germany property group that collapsed
last year, resulting in losses of up to EUR107 million for Irish
investors, has queried the "significant" level of salaries, fees
and expenses paid out by the Irish firm before it became
insolvent.

Hanover-based German Property Group (GPG), formerly known as
Dolphin Trust, collapsed last year after taking EUR1.5 billion from
investors in the Republic, the UK, Asia and elsewhere since it was
set up by businessman Charles Smethurst in 2008, The Irish Times
recounts.  Mr. Smethurst's home was raided by German police in
March as part of an ongoing investigation into suspected investment
fraud, The Irish Times recounts.

Irish investments were channelled to the German group through two
special-purpose vehicles (SPVs) -- MUT 103 and Dolphin MUT 116 --
set up in Naas, Co Kildare, in 2011-2012 by Wealth Options Trustees
Limited (WOTL), of the same address, The Irish Times discloses.

MUT 103, an investment vehicle for EUR41.3 million of retail
savings, was put into liquidation in March; and Dolphin MUT 116,
responsible for EUR65.8 million of pension savings, entered
liquidation in May, The Irish Times relays.  Liquidators of both
SPVs are dealing with GPG's insolvency administrator in Germany,
The Irish Times notes.

According to The Irish Times, MUT 103's liquidator, Myles Kirby of
Kirby Healy Chartered Accountants, said in an update for investors
and creditors on July 30 that he had raised questions about fund
flows at MUT 103.

"In the early years the entire funds raised from investors were
transferred out of the company and on to GPG," The Irish Times
quotes the liquidator as saying.  "However, that changed and in
2018 and 2019 there is a significant difference between the funds
received from investors and the amounts transferred out to GPG.
That difference arises from salary payments, fees and other
expenses discharged directly by the company."

Mr. Kirby, as cited by The Irish Times, said that the directors of
MUT 103 have defended the use of funds and have asked him to set
out his concerns in more detail.  The liquidator said he remained
in correspondence with the directors, The Irish Times notes.

According to The Irish Times, a spokesman for the directors said
"they deny any wrongdoing in how the investor funds were used and
they are continuing to engage with the liquidator on this topic and
the overall liquidation process, including assisting with the
associated costs".  He said they are constrained on commenting in
detail.

Meanwhile, the GPG insolvency administrator is selling 20
properties held by the failed group, The Irish Times discloses.
Some of the properties are assigned to the Irish SPVs, and Mr.
Kirby described talks with the insolvency administrative on the
treatment of sale proceeds as "constructive", according to The
Irish Times.

However, he warned: "It is increasingly clear that the German
properties will only realise a fraction of the total investment.
The issue is the extent of the shortfall and the options available
to me to recoup that shortfall."




===========
G R E E C E
===========

INTRALOT SA: Funds Oppose Proposed Restructuring
------------------------------------------------
Lucca de Paoli at Bloomberg News reports that Intralot's attempt to
stave off defaulting on US$250 million of notes due September has
been challenged by some holders of its other bonds, who argue the
deal would leave them "with nothing" in the event of insolvency.

According to Bloomberg, funds run by Northlight and Bardin Hill
filed a suit in a New York court last week alleging the proposed
restructuring would rob them of the "crown jewel" of Intralot's
business if the company collapsed.

The Greek gaming firm has already agreed a restructuring with more
than 90% of its 2021 bondholders, enabling it to offer new secured
notes that would not mature until 2025, Bloomberg relates.

Intralot is a Greek company that supplies integrated gambling,
transaction processing systems, game content, sports betting
management and interactive gambling services, to state-licensed
gaming organizations worldwide.



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

ADAGIO IX: Fitch Assigns Final B-(EXP) Rating on Class F Tranche
----------------------------------------------------------------
Fitch Ratings has assigned Adagio IX EUR CLO DAC expected ratings.

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

Adagio IX EUR CLO DAC

DEBT                             RATING
----                             ------
A                    LT  AAA(EXP)sf   Expected Rating
B-1                  LT  AA(EXP)sf    Expected Rating
B-2                  LT  AA(EXP)sf    Expected Rating
C                    LT  A(EXP)sf     Expected Rating
D                    LT  BBB-(EXP)sf  Expected Rating
E                    LT  BB-(EXP)sf   Expected Rating
F                    LT  B-(EXP)sf    Expected Rating
Subordinated Notes   LT  NR(EXP)sf    Expected Rating
X                    LT  AAA(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The transaction is a cash flow collateralised obligation (CLO). It
comprises primarily European senior secured obligations with a
component of senior unsecured, mezzanine, second-lien loans and
high-yield bonds. Net proceeds from the note issuance are being
used to fund a portfolio with a target par of EUR400 million. The
portfolio is managed by AXA Investment Managers, Inc. The CLO
envisages a 4.5-year reinvestment period and an 8.5-year weighted
average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch places the
average credit quality of obligors in the 'B' category. The Fitch
weighted average rating factor (WARF) of the identified portfolio
is 33.38, below the maximum WARF covenant for assigning expected
ratings of 35.

High Recovery Expectations (Positive): At least 90% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the identified portfolio is 61.32%,
above the minimum WARR covenant for assigning expected ratings of
60%.

Diversified Asset Portfolio (Positive): The indicative maximum
exposure of the 10 largest obligors for assigning the expected
ratings is 16% of the portfolio balance and fixed-rated obligations
are limited at 7.5% of the portfolio. The transaction also includes
various concentration limits, including the maximum exposure to the
three-largest Fitch-defined industries in the portfolio at 40%.
These covenants ensure that the asset portfolio will not be exposed
to excessive concentration.

Portfolio Management (Positive): The transaction has a 4.5-year
reinvestment period and includes reinvestment criteria similar to
those of other European transactions. Fitch's analysis is based on
a stressed-case portfolio with the aim of testing the robustness of
the transaction structure against its covenants and portfolio
guidelines.

Deviation from Model-Implied Rating (Negative): The expected
ratings on the class A, B, C, D, and E and notes are one notch
higher than their model-implied ratings (MIR). The expected ratings
are supported by the significant default cushion on the identified
portfolio due to the notable cushion between the covenants of the
transaction and the portfolio's parameters, including high
diversity of the identified portfolio that is used for
surveillance.

The class F notes' deviation from the MIR by two notches reflects
Fitch's view that the tranche displays a significant margin of
safety in the form of credit enhancement. The notes do not present
a "real possibility of default", which is the definition of 'CCC'
in Fitch's Rating Definitions.

RATING SENSITIVITIES

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

-- A reduction of the rating default rate (RDR) at all rating
    levels by 25% of the mean RDR and a 25% increase of the
    recovery rate at all rating levels, would lead to an upgrade
    of up to five notches for the rated notes, except the class A
    and X notes, which are already the highest rating on Fitch's
    scale and cannot be upgraded.

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

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

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

-- An increase of the RDR at all rating levels by 25% of the mean
    RDR and a 25% decrease of the recovery rate at all rating
    levels would lead to a downgrade of up to five notches for the
    rated notes.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognised statistical rating organisations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

ARBOUR CLO III: Moody's Assigns B3 Rating to EUR12MM Cl. F-R Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing debt issued by Arbour
CLO III Designated Activity Company (the "Issuer"):

EUR196,000,000 Class A-R Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

EUR50,000,000 Class A-R Senior Secured Floating Rate Loan due
2034, Definitive Rating Assigned Aaa (sf)

EUR22,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR20,000,000 Class B-2-R Senior Secured Fixed Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR23,750,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

EUR28,250,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

EUR20,000,000 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.

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 portfolio is expected to be 65% 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 prior to the effective date on January 30, 2021, in
compliance with the portfolio guidelines.

Oaktree Capital Management (UK) LLP will manage the CLO. It will
direct the selection, acquisition and disposition of collateral on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's 4.5-year
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit impaired
obligations or credit improved obligations.

On February 12, 2016 (the "Original Issue Date"), the Issuer issued
EUR44,600,000 of unrated Subordinated Notes due 2029 (the "Existing
Subordinated Notes"). In addition, the Issuer issued EUR4,766,000
of Additional Subordinated Notes which are not rated and which form
a single class of Subordinated Notes with an aggregate principal
amount outstanding of EUR49,366,000 and a maturity extended to
2034.

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.

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: EUR400,000,000.00

Diversity Score: 50

Weighted Average Rating Factor (WARF): 3039

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 4.25%

Weighted Average Recovery Rate (WARR): 44.0%

Weighted Average Life (WAL): 8.5 years

ARBOUR CLO III: S&P Assigns B- (sf) Rating on Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Arbour CLO III DAC's
class A-R, A-R-Loan, B-1-R, B-2-R, C-R, D-R, E-R, and F-R notes.
The issuer issued additional unrated subordinated notes in addition
to the EUR44.6 million of existing 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 (linked to six-month
EURIBOR).

The portfolio's reinvestment period ends approximately 4.5 years
after closing, and the portfolio's weighted-average life test will
be approximately 8.5 years after closing.

The ratings assigned to the notes reflect S&P'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 we consider to be
bankruptcy remote.

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

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor     2,848.85
  Default rate dispersion                                 603.70
  Weighted-average life (years)                             4.69
  Obligor diversity measure                               120.18
  Industry diversity measure                               19.92
  Regional diversity measure                                1.19

  Transaction Key Metrics
                                                         CURRENT
  Total par amount (mil. EUR)                             400.00
  Defaulted assets (mil. EUR)                                  0
  Number of performing obligors                              166
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                         'B'
  'CCC' category rated assets (%)                           6.68
  'AAA' actual weighted-average recovery (%)               35.91
  Modeled weighted-average spread (%)                       3.45
  Reference weighted-average coupon (%)                     4.25

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 is well-diversified, primarily
comprising broadly syndicated speculative-grade senior secured term
loans and senior secured bonds. Therefore, we conducted our credit
and cash flow analysis by applying our criteria for corporate cash
flow CDOs.

"In our cash flow analysis, we used the EUR400 million par amount,
the actual weighted-average spread of 3.45%, the reference
weighted-average coupon of 4.25%, 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 cash
flow analysis also considers scenarios where the underlying pool
comprises 100% floating-rate assets (i.e., the fixed-rate bucket is
0%) and where the fixed-rate bucket is fully utilized (in this
case, 15%).

"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 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 the transaction's legal structure 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 that our ratings are
commensurate with the available credit enhancement for the class
A-R, A-R-Loan, B-1-R, B-2-R, C-R, D-R, and E-R notes. Our credit
and cash flow analyses indicate that the available credit
enhancement for the class B-1-R, B-2-R, C-R, D-R, and E-R notes
could withstand stresses commensurate with higher ratings 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
these notes.

"Our credit and cash flow analysis shows a negative break-even
default rate cushion for the class F-R notes at the 'B-' rating.
Nevertheless, 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 (7.00%),
we believe this class is able to sustain a steady-state scenario,
where the current market level of stress and collateral performance
remains steady. Consequently, we have assigned our 'B- (sf)' rating
to the class F-R notes, in line with our 'CCC' ratings criteria.

"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-R 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. The results
shown in the chart below are based on the covenanted
weighted-average spread, covenanted coupon, and actual 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."

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 certain activities,
including, but not limited to, the following: tobacco industry,
coal mining, oil sands industry, and production of controversial
weapons. 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."

  Ratings List

  CLASS    RATING    AMOUNT     CREDIT           INTEREST RATE (%)
                    (MIL. EUR)  ENHANCEMENT (%)
  A-R      AAA (sf)    196.00        38.50       3mE + 0.93
  A-R-Loan AAA (sf)     50.00        38.50       3mE + 0.93
  B-1-R    AA (sf)      22.00        28.00       3mE + 1.65
  B-2-R    AA (sf)      20.00        28.00             2.10
  C-R      A (sf)       23.75        22.06       3mE + 2.20
  D-R      BBB (sf)     28.25        15.00       3mE + 3.10
  E-R      BB- (sf)     20.00        10.00       3mE + 5.89
  F-R      B- (sf)      12.00         7.00       3mE + 8.69
  Sub. notes   NR       49.37          N/A             N/A

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


BARINGS EURO 2021-2: Moody's Gives (P)B3 Rating to EUR12MM F Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to debt to be issued by Barings Euro
CLO 2021-2 Designated Activity Company (the "Issuer"):

EUR188,000,000 Class A Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

EUR60,000,000 Class A Senior Secured Floating Rate Loan due 2034,
Assigned (P)Aaa (sf)

EUR15,000,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

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

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

EUR27,800,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

EUR19,200,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Ba3 (sf)

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

RATINGS RATIONALE

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

The Issuer is a managed cash flow CLO. At least 92.5% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 80% 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 ramp-up period in compliance with the
portfolio guidelines.

Barings (U.K.) Limited ("Barings ") 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 and half year
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk
obligations or credit improved obligations.

In addition to the eight classes of debt rated by Moody's, the
Issuer will issue EUR33,600,000 of Subordinated Notes 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.

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: 48

Weighted Average Rating Factor (WARF): 3050

Weighted Average Spread (WAS): 3.80%

Weighted Average Coupon (WAC): 3.75%

Weighted Average Recovery Rate (WARR): 44.20%

Weighted Average Life (WAL): 8.5 years

BARINGS EURO 2021-2: S&P Assigns Prelim B- (sf) Rating on F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Barings
Euro CLO 2021-2 DAC's class A loan and class A, B-1, B-2, C, D, E,
and F notes. At closing, the issuer will issue unrated subordinated
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 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                   2,957.66
  Default rate dispersion                                581.95
  Weighted-average life (years)                            5.24
  Obligor diversity measure                              101.61
  Industry diversity measure                              22.35
  Regional diversity measure                               1.43

  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 (%)          36.00
  Covenanted weighted-average spread (%)                   3.80
  Covenanted weighted-average coupon (%)                   3.75

Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs. Following this,
the rated notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately four and half 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 (3.75%), and the target minimum
'AAA' weighted-average recovery rate (36.00%) 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.

"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 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, C, and D could withstand
stresses commensurate with the same or higher ratings 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 these notes.

"The class F notes' current break-even default rate (BDR) cushion
is negative at the 'B-' rating. 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 S&P has rated and that have recently
been issued in Europe.

-- S&P's BDR at the 'B-' rating level is 26.44% versus a portfolio
default rate of 16.24% if we were to consider a long-term
sustainable default rate of 3.1% for a portfolio with a
weighted-average life of 5.24 years.

-- Whether the tranche is vulnerable to non-payment 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, "Following this analysis, we consider that the available
credit enhancement for the class F notes is commensurate with a
preliminary 'B- (sf)' rating.

"Taking the above factors into account and following our analysis
of the credit, cash flow, counterparty, operational, and legal
risks, we believe that our preliminary ratings are commensurate
with the available credit enhancement for all of 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 loan, and
the class A to E notes to five of the 10 hypothetical scenarios we
looked at in our publication, see "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."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it will be managed by Barings (U.K.)
Ltd.

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:
production or distribution of biological, chemical, radiological
and nuclear weapons, assault weapons or firearms, pornography, coal
mining, oil sands and associated pipelines, food commodity
derivatives, tobacco, palm oil and palm fruit products, 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."

  Ratings List

  CLASS    PRELIM.  PRELIM. AMOUNT   INTEREST RATE    CREDIT
           RATING    (MIL. EUR)           (%)       ENHANCEMENT(%)
  A        AAA (sf)      188.00        3mE + 0.98      38.00
  A loan   AAA (sf)       60.00        3mE + 0.98      38.00
  B-1      AA (sf)        15.00        3mE + 1.75      28.00
  B-2      AA (sf)        25.00              1.90      28.00
  C        A (sf)         25.00        3mE + 2.40      21.75
  D        BBB (sf)       27.80        3mE + 3.45      14.80
  E        BB- (sf)       19.20        3mE + 6.17      10.00
  F        B- (sf)        12.00        3mE + 8.99       7.00
  Subordinated  NR        33.60             N/A          N/A

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


DRYDEN 73 EURO: Fitch Affirms B- Rating on Class F Notes
--------------------------------------------------------
Fitch Ratings has revised Dryden 73 Euro CLO 2018 BV class E and F
notes' Outlook to Stable from Negative.

     DEBT                 RATING            PRIOR
     ----                 ------            -----
Dryden 73 Euro CLO 2018 B.V.

A-1 XS2063331974    LT  AAAsf   Affirmed    AAAsf
A-2 XS2063332600    LT  AAAsf   Affirmed    AAAsf
B-1 XS2063333244    LT  AAsf    Affirmed    AAsf
B-2 XS2063333913    LT  AAsf    Affirmed    AAsf
C-1 XS2063334481    LT  Asf     Affirmed    Asf
C-2 XS2063335298    LT  Asf     Affirmed    Asf
D XS2063335702      LT  BBB-sf  Affirmed    BBB-sf
E XS2063336429      LT  BB-sf   Affirmed    BB-sf
F XS2063336346      LT  B-sf    Affirmed    B-sf

TRANSACTION SUMMARY

Dryden 73 CLO 2018 BV is a cash flow collateralised loan obligation
(CLO) of mostly European leveraged loans and bonds. The transaction
is in its reinvestment period and the portfolio is actively managed
by PGIM Limited.

KEY RATING DRIVERS

Outlooks Revised to Stable (Positive): Fitch has revised the
Outlooks on the class E and F notes to Stable as the agency has
removed coronavirus baseline stress, which used to drive the
Outlook, from its analysis. The Stable Outlook reflects the low
likelihood of downgrade to the 'Bsf' and 'CCCsf' rating categories,
respectively.

Asset Performance Resilient to Pandemic (Neutral): Asset
performance has been stable since Fitch's last review in May 2021.
It was 0.66% above par as of the latest investor report dated 30
June. The transaction is passing all coverage tests. Exposure to
assets with a Fitch-derived rating (FDR) of 'CCC+' and below was
5.1% (or 5.8% if including unrated names that are treated as CCC in
the analysis while the manager may re-classify such assets as 'B-'
for up to 10% of the portfolio), compared with a 7.5% limit.
Exposure to defaulted assets was EUR6.5 million as of end-June,
which included EUR1.7million reported as current pay obligations.

Average Credit-quality Portfolio (Neutral): Fitch assesses the
average credit quality of the obligors in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) calculated by Fitch
of the current portfolio as of 24 July 2021 was 34.5, versus 34.7
in the June investor report and a maximum of 34.

High Recovery Expectations (Positive): The portfolio comprises 92%
of senior secured obligations. Fitch views the recovery prospects
for these assets as more favourable than for second-lien, unsecured
and mezzanine assets. The Fitch weighted average recovery rate
(WARR) of the current portfolio was reported by the trustee at
61.8% as of 30 June 2021 compared with a minimum of 61.5%.

Diversified Portfolio (Positive): The portfolio is diversified
across obligors, countries and industries. The top-10 obligor
concentration is 20.4% and no obligor represents more than 2.9% of
the portfolio balance. The largest Fitch-defined industry as
calculated by the agency represents 13.2% and the three largest
Fitch-defined industries at 34.4%, both within their respective
limits of 17.5% and 40%.

Model Deviation for Class E and F (Neutral): The current ratings of
the class E and F notes are a notch higher than their respective
model-implied ratings. This is because Fitch sees a low likelihood
of a downgrade to below the respective 'BBsf' and 'Bsf' rating
categories and also because the model-derived ratings were driven
by a back-loaded default scenario, which is not Fitch's immediate
expectation in the current economic environment. In addition, for
the class F notes the deviation reflects a limited margin of safety
to default, given the available credit enhancement of 8.2%, which
is more in line with a 'B-sf' rating.

RATING SENSITIVITIES

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognised statistical rating organisations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

JUBILEE CLO 2016-XVII: Fitch Affirms B- Rating on Class F-R Notes
-----------------------------------------------------------------
Fitch Ratings has revised Jubilee CLO 2016-XVII class F notes'
Outlook to Stable from Negative and affirmed all ratings.

     DEBT                     RATING            PRIOR
     ----                     ------            -----
Jubilee CLO 2016-XVII DAC

A-1-R-R XS2307741533    LT  AAAsf   Affirmed    AAAsf
A-2-R-R XS2307740725    LT  AAAsf   Affirmed    AAAsf
B-1-R-R XS2307739123    LT  AAsf    Affirmed    AAsf
B-2-R-R XS2307741293    LT  AAsf    Affirmed    AAsf
C-R XS1874093575        LT  Asf     Affirmed    Asf
D-R XS1874093906        LT  BBB-sf  Affirmed    BBB-sf
E-R XS1874094201        LT  BB-sf   Affirmed    BB-sf
F-R XS1874094466        LT  B-sf    Affirmed    B-sf

TRANSACTION SUMMARY

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

KEY RATING DRIVERS

Outlook Revised to Stable: The Outlook revision on the class F
notes to Stable from Negative reflects the removal of the
coronavirus baseline stress from Fitch's analysis. The Stable
Outlook reflects the low likelihood of downgrade to 'CCCsf' given
the class F notes' available 5.5% credit enhancement.

Stable Asset Performance: The transaction was below par by 2.6% as
of the latest investor report dated 2 July 2021. It was passing all
Fitch-related portfolio profile tests, collateral quality tests and
coverage tests. As per the trustee report, the portfolio had two
defaulted assets, with a total principal balance of EUR5.2
million.

Average Credit-quality Portfolio: Fitch assesses the average credit
quality of the obligors in the 'B'/'B-' category. The Fitch
weighted average rating factor (WARF) calculated by Fitch (assuming
unrated assets are CCC) and by the trustee for the current
portfolio was 34.91 and 34.01, respectively, versus the maximum
covenant of 36.

High Recovery Expectations: Senior secured obligations comprise
98.2% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch-weighted average recovery rate (WARR)
of the current portfolio was reported by the trustee at 65.41% as
of 2 July 2021, above the minimum of 62.95%.

Diversified Portfolio: The portfolio is well-diversified by
obligor, country and industry. The top-10 obligor concentration is
15.8% and no obligor represents more than 2.5% of the portfolio
balance.

Model Deviation for Class F: The rating for the class F notes is
higher than their model-implied rating, reflecting a limited margin
of safety to default due to the available credit enhancement of
5.5%, which is more in line with a 'B-sf' rating. The notes do not
present a "real possibility of default", which is the definition of
'CCC' in Fitch's Rating Definitions.

RATING SENSITIVITIES

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognised statistical rating organisations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

OZLME V: Fitch Affirms B- Rating on Class F Notes
-------------------------------------------------
Fitch Ratings has revised OZLME V DAC class F notes' Outlook to
Stable from Negative, and affirmed all ratings.

     DEBT                  RATING           PRIOR
     ----                  ------           -----
OZLME V DAC

A XS1904641641      LT  AAAsf   Affirmed    AAAsf
B-1 XS1904642029    LT  AAsf    Affirmed    AAsf
B-2 XS1904642458    LT  AAsf    Affirmed    AAsf
C XS1904642706      LT  Asf     Affirmed    Asf
D XS1904643001      LT  BBB-sf  Affirmed    BBB-sf
E XS1904643423      LT  BB-sf   Affirmed    BB-sf
F XS1904643340      LT  B-sf    Affirmed    B-sf

TRANSACTION SUMMARY

OZLME V DAC is a cash-flow CLO mostly comprising senior secured
obligations. The transaction is within its reinvestment period and
is actively managed by the collateral manager.

KEY RATING DRIVERS

Outlooks Revised to Stable (Positive): Fitch has revised the
Outlook on the class F notes to Stable from Negative as the agency
has removed coronavirus baseline stress from its analysis. The
Stable Outlook reflects the low likelihood of downgrade to 'CCCsf'
given the class F notes' available 6.8% credit enhancement.

Asset Performance Resilient to Pandemic (Neutral): Asset
performance has been stable since Fitch's last review in February
2021. It was 0.25% below par as per the investor report dated 1
July 2021. Except for Fitch weighted average recovery rating (WARR)
test, the transaction was passing all coverage tests, Fitch-related
collateral-quality and portfolio-profile tests. Exposure to assets
with a Fitch-derived rating (FDR) of 'CCC+' and below was 6.35%,
compared with a 7.5% limit. Exposure to defaulted assets was EUR2.1
million.

Average Credit-quality Portfolio (Neutral): Fitch assesses the
average credit quality of the obligors in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) calculated by Fitch
of the current portfolio as of 24 July 2021 was 34.25, versus 34.37
in the investor report and a maximum of 35.

High Recovery Expectations (Positive): The portfolio comprises
95.1% of senior secured obligations. Fitch views the recovery
prospects for these assets as more favourable than for second-lien,
unsecured and mezzanine assets. The Fitch WARR of the current
portfolio reported by the trustee was at 64.4% as of 1 July 2021
compared with a minimum of 65.08%.

Diversified Portfolio (Positive): The portfolio is well-diversified
by obligor, country and industry. The top-10 obligor concentration
is 13.6% and no obligor represents more than 1.6% of the portfolio
balance. The largest Fitch-defined industry as calculated by the
agency represents 12.8% and the three-largest Fitch-defined
industries 32.4%, both within their respective limits of 17.5% and
40%.

Model deviation for Class F (Neutral): The rating for the class F
notes is a notch higher than the model-implied rating, reflecting a
limited margin of safety to default due to their available credit
enhancement of 6.8%, which is more in line with a 'B-sf' rating.

RATING SENSITIVITIES

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

The majority of the underlying assets or risk -resenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognised statistical rating organisations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.



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

CAPITAL MORTGAGE 2007-1: Fitch Upgrades 2 Note Classes to 'B+'
--------------------------------------------------------------
Fitch Ratings has upgraded Cordusio RMBS Securitisation S.r.l. -
Series 2007's class D and E notes (Cordusio 4) and Capital Mortgage
Series 2007-1 class B and C notes (Capital Mortgage). Fitch has
also affirmed Cordusio RMBS UCFin S.r.l. 2006 Series (Cordusio 3).

        DEBT                   RATING            PRIOR
        ----                   ------            -----
Capital Mortgage Series 2007-1

Class A1 IT0004222532    LT  A+sf    Affirmed    A+sf
Class A2 IT0004222540    LT  A+sf    Affirmed    A+sf
Class B IT0004222557     LT  B+sf    Upgrade     B-sf
Class C IT0004222565     LT  B+sf    Upgrade     CCsf

Cordusio RMBS 3 - UBCasa 1 S.r.l.

Class A2 IT0004144892    LT  AA-sf   Affirmed    AA-sf
Class B IT0004144900     LT  AA-sf   Affirmed    AA-sf
Class C IT0004144934     LT  A+sf    Affirmed    A+sf
Class D IT0004144959     LT  BBBsf   Affirmed    BBBsf

Cordusio RMBS Securitisation S.r.l. - Series 2007

Class A3 IT0004231244    LT  A+sf    Affirmed    A+sf
Class B IT0004231285     LT  A+sf    Affirmed    A+sf
Class C IT0004231293     LT  A+sf    Affirmed    A+sf
Class D IT0004231301     LT  BBB+sf  Upgrade     BBB-sf
Class E IT0004231319     LT  BB+sf   Upgrade     Bsf

TRANSACTION SUMMARY

The transactions are securitisations of Italian residential
mortgage loans originated and serviced by the UniCredit group
(BBB-/Stable/F3).

KEY RATING DRIVERS

Increasing CE: Credit enhancement (CE) is continuing to build up as
a result of sequential amortisation and for Cordusio 3 and 4,
non-amortising reserves. The amortisation of the notes was further
accelerated by Unicredit's repurchase of defaulted loans in
February 2021 for Cordusio 3 and Cordusio 4 and in February and
March 2021 for Capital Mortgage, resulting in significant increases
of CE for all the notes, supporting the upgrades.

Unicredit has repurchased defaulted loans with a current balance of
around EUR15.0 million, EUR21.6 million and EUR70.8 million from
Cordusio 3, Cordusio 4 and Capital Mortgage, respectively. The
proceeds paid by the bank to the respective SPV are applied to the
priority of payments, resulting in amortisation of the notes and
for Capital Mortgage, a clearing of all outstanding principal
deficiency ledgers and replenishment of the reserve fund.

Payment Interruption Risk Exposure: In Fitch's view, Cordusio 4 and
Capital Mortgage could be exposed to payment interruption risk in
case of servicer disruption, despite the cash reserve being at
target in Cordusio 4 and starting to replenish in Capital Mortgage.
This is because the reserve fund can also be used to provision for
defaults and so may not be available to cover interest shortfalls.
Reserves have been depleted in the past by weak performance and
their replenishment was largely supported by the seller's
repurchase activity.

The notes' maximum achievable ratings are commensurate with the
'Asf' category, in line with Fitch's Structured Finance and Covered
Bonds Counterparty Rating Criteria. Consequently, Fitch constrains
the ratings of Capital Mortgage's class A1 and A2 notes and
Cordusio 4's class A3 and B notes at 'A+sf'.

Sovereign Cap: Italian securitisations can achieve a maximum rating
of 'AA-sf', six notches above Italy's Long-Term Issuer Default
Rating (BBB-/Stable). This is the case for Cordusio 3's class A2
and B notes of. The Stable Outlooks on these tranches mirror that
on the sovereign.

Repurchase of Defaulted Loans: As a result of Unicredit
repurchases, the balance of outstanding non-foreclosed defaults
remaining in the portfolios after the repurchase is EUR16 million
for Cordusio 3 (5.4% of the outstanding portfolio), EUR20.8 million
for Cordusio 4 (3.9% of the outstanding portfolio) and EUR48.4
million for Capital Mortgage (12% of the outstanding portfolio).

The impact of repurchases is generally positive but depends on the
repurchase price of receivables. Fitch found limited sensitivity of
the ratings to downside risks represented by the seller's
repurchase activity.

Performance Remains Stable: As of March 2021 (April 2021 for
Capital Mortgage), three-month plus delinquencies were at 0.3%
(Capital Mortgage), 1.6% (Cordusio 3) and 1.3% (Cordusio 4),
broadly in line with the Italian RMBS average (around 1%). Gross
cumulative defaults (CGD) stood at 14.2%, 6.3% and 5.5% of the
respective original portfolio balances. Cordusio 3 and Cordusio 4
have shown similar performance trends so far. For Cordusio 3, CGD
are not far from the junior notes trigger (6.5%), which if breached
will result in excess spread being trapped into the principal
available funds, accelerating an increase in CE.

Capital Mortgage reported gross cumulative defaults of 14.2% as of
April 2021. Following repurchase of the defaulted loans, Capital
Mortgage has cleared the principal deficiency ledger balance to
zero, and the reserve has been replenished up to EUR20.8 million
(below the target of EUR37.2 million).

Capital Mortgage and Cordusio 4 have an ESG Relevance Score of '5'
for Transaction Parties & Operational Risk due to payment
interruption risk, which has a negative impact on the credit
profile, and is highly relevant to the rating, resulting in a cap
on the senior notes' rating.

RATING SENSITIVITIES

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

-- Increases in CE as the transactions deleverage to fully
    compensate credit losses and cash flow stresses that are
    commensurate with higher ratings, all else being equal. Fitch
    tested an additional rating sensitivity scenario by applying a
    decrease in the foreclosure frequency (FF) of 15% and an
    increase in the recovery rate (RR) of 15%. The subordinated
    notes' ratings could be upgraded by one to two notches in all
    transactions.

-- The ratings on Capital Mortgage's class A1 and A2 notes and
    Cordusio 4's class A3 and B notes are exposed to unmitigated
    payment interruption risk. The rating cap could be lifted
    following further portfolio amortisation and stable
    performance, leading to reserve fund replenishment for Capital
    Mortgage, and the reserve fund remaining at its target for
    Cordusio 4.

-- The ratings of Capital Mortgage's class B and C notes are
    reliant on recoveries from the still large stock of
    outstanding defaults. To date, recoveries have been volatile.
    Larger and faster recoveries than expected could trigger
    positive rating action.

-- The ratings of Cordusio 3's class A2 and B are sensitive to
    changes in Italy's Long-Term IDR. Changes to Italy's IDR and
    the rating cap for Italian structured finance transactions
    could trigger rating changes to the notes rated at this level.

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

-- The rating of Capital Mortgage's class B and C notes are
    reliant on recoveries from the stock of outstanding defaults
    and recoveries are volatile. Recovery cash flows consistently
    lower or slower than Fitch's assumptions may put pressure on
    these ratings.

-- Fitch conducts sensitivity analyses by stressing both a
    transaction's base-case FF and RR assumptions, and examining
    the rating implications on all classes of issued notes. Fitch
    tested a 15% increase in the weighted average (WA) FF and a
    15% decrease in the WARR. The results from the rating analysis
    indicated a downgrade of up to two notches.

-- The ratings of Cordusio 3's class A2 and B notes are sensitive
    to changes in Italy's Long-Term IDR. Changes to Italy's IDR
    and the rating cap for Italian structured finance transactions
    could trigger rating changes on the notes rated at this level.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Capital Mortgage Series 2007-1, Cordusio RMBS 3 - UBCasa 1 S.r.l.,
Cordusio RMBS Securitisation S.r.l. - Series 2007

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pool[s] and the transaction[s]. Fitch has not reviewed the results
of any third party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

Fitch did not undertake a review of the information provided about
the underlying asset pool[s] ahead of the transaction's [Capital
Mortgage Series 2007-1, Cordusio RMBS 3 - UBCasa 1 S.r.l., Cordusio
RMBS Securitisation S.r.l. - Series 2007] initial closing. The
subsequent performance of the transaction[s] over the years is
consistent with the agency's expectations given the operating
environment and Fitch is therefore satisfied that the asset pool
information relied upon for its initial rating analysis was
adequately reliable.

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

Capital Mortgage's class A1 and A2 and Cordusio 4' s class A3 and B
notes' ratings are capped at 'A+sf'/Stable, five notches above
Unicredit's Long-Term IDR (collection account bank provider) due to
unmitigated payment interruption risk, in accordance to Fitch's
Structured Finance and Covered Bonds Counterparty Rating Criteria.

Cordusio 3' s class A3 and B notes' ratings are linked to changes
in Italy's Long-Term IDR. Changes to Italy's IDR and the rating cap
for Italian structured finance transactions, currently 'AA sf',
could trigger rating changes on the notes rated at this level.

ESG CONSIDERATIONS

Capital Mortgage Series 2007-1 has an ESG Relevance Score of '5'
for Transaction Parties & Operational Risk due to payment
interruption risk, which has a negative impact on the credit
profile, and is highly relevant to the rating, resulting in a
rating cap to the senior note' rating.

Cordusio RMBS Securitisation S.r.l. - Series 2007 has an ESG
Relevance Score of '5' for Transaction Parties & Operational Risk
due to payment interruption risk, which has a negative impact on
the credit profile, and is highly relevant to the rating, resulting
in a rating cap to the senior note' rating.

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.

COMDATA SPA: S&P Assigns 'SD' ICR on Debt Restructuring
-------------------------------------------------------
S&P Global Ratings assigned an 'SD' issuer credit rating to
Italy-based Comdata SpA and a 'D' issue rating to its senior
secured debt facilities.

S&P said, "The 'SD' rating assigned to Comdata reflects the
formalization of the agreement from all lenders on the
restructuring process, which we expect will conclude soon. We
assigned our 'D' issue rating to the senior secured facilities of
EUR595 million, which originally comprised the EUR510 million term
loan B (TLB) and its EUR85 million RCF."

The restructure will result in the amalgamation of both senior
secured facilities. This effectively extends the RCF maturity by
one year to align with the maturity of the TLB. S&P said, "We
expect around one-third of this combined amount will be converted
into quasi-equity instruments. In our view, these events result in
the lenders receiving less than the original promise, and as such
we consider this a distressed exchange."

In June 2021, Comdata converted about EUR356 million of its senior
secured facilities into Law 130 notes. These notes continue to be
bound by the existing senior facilities agreement and will remain
on completion of restructuring.

S&P said, "Subject to ongoing developments of the group's
restructuring plan, after any restructuring is complete, we would
reassess the group's proposed capital structure, business plan, and
financial policy and review the rating on Comdata. We expect to
raise the issuer credit rating on completion of this restructure
and assign ratings to proposed debt instruments within the new
capital structure including the Law 130 notes. We anticipate that
liquidity will also improve on completion of this transaction."

The Comdata group specializes in BPO services in the customer
operations field, using innovative technologies to reengineer
process and manage customers. The company operates from 110 centers
across 222 countries, offering services in 30 different languages.

Comdata generated EUR897 million of revenue in 2020.


MONTE DEI PASCHI: Reaches Deal to Reduce Legal Liabilities
----------------------------------------------------------
Lucca de Paoli at Bloomberg News reports that Italy's Monte dei
Paschi di Siena reached an agreement to pare back its legal
liabilities by EUR3.8 billion, a move that could remove one of the
main obstacles to a possible sale of the troubled bank.

According to Bloomberg, the lender signed a preliminary deal with
Fondazione Monte dei Paschi di Siena to settle a case related to
the purchase of Banca Antonveneta in 2007, as well as capital
increases in 2011 and 2014-15.

The settlement would reduce legal claims that previously amounted
to about EUR10 billion, Bloomberg discloses.

Italy is running out of time to find a solution for Monte Paschi
after talks on a takeover by UniCredit SpA were disrupted by a
change in leadership, Bloomberg states.



===========
P O L A N D
===========

GETIN NOBLE: Fitch Maintains 'CCC' LT IDR on Watch Negative
-----------------------------------------------------------
Fitch Ratings has maintained Getin Noble Bank S.A.'s (Getin)
Long-Term Issuer Default Rating (IDR) of 'CCC' and Viability Rating
(VR) of 'ccc' on Rating Watch Negative (RWN).

KEY RATING DRIVERS

IDRS, VR AND NATIONAL RATINGS

The ratings of Getin mainly reflect its breach of capital
requirements and persistent losses. The RWN reflects the heightened
risk of a further material weakening in Getin's solvency due to
potential losses on the bank's foreign-currency (FC) mortgage
portfolio, driven by the continued inflow of legal cases brought
against the bank (in line with other banks in the market). The RWN
also reflects the risk to loss escalation these lawsuits could
generate under negative scenarios from possible Supreme Court
rulings.

The failure of Getin is a real possibility because of (i) the
potential for losses on its FC mortgage portfolio, (ii) the
expected further erosion of capital ratios as a result of increased
provisioning requirements during the next 18 months; and (iii) the
bank's limited capacity to address its capital shortfall through
earnings generation due to pressures on its business model. The
latter mainly reflects weak loan demand for the bank's core
unsecured retail loans and pressure on interest income due to a
near zero interest-rate environment following cuts to reference
rates in 1H20.

In January 2021, Getin's breach of capital requirements deepened
with the bank's Tier 1 ratio no longer meeting the legal
requirement of 7.02% (including the Pillar 2 requirement for Swiss
franc mortgages). The breach was a result of additional legal risk
provisions related to the FC mortgage portfolio coupled with
amortisation of the IFRS9 introduction effect on the bank's
regulatory capital. By 1 January 2023, amortisation of IFRS9,
including the impact of Covid 19-related provisioning amortisation,
will result in a reduction in Getin's CET1 capital equal to 1.8% of
end-1Q21 risk-weighted assets.

Getin plans to address its capital shortfalls mainly through
improved profitability and amortisation of high capital-absorbing
Swiss franc loans (resulting in an estimated 3% reduction of
risk-weighted assets annually according to the bank). Fitch
believes internal capital generation in the current environment
will be challenging for Getin will take the bank several years to
restore its capital ratios above the combined buffer requirement.
However, Fitch does not expect immediate sanctions on the bank as
long as management is able to demonstrate some profitability
improvements and capital ratios do not fall sharply from current
levels. Its record in improving its cost of funding suggests some
progress in restoring performance prospects.

Legal risks related to the Swiss franc mortgage portfolio continue
to rise, reflected in the continued inflow of lawsuits filed
against Getin. At end-1Q21, the value of litigation claims
increased to about 77% of the bank's CET1 capital. Legal provision
coverage of the swiss franc mortgage portfolio remains low at about
3.9%, comparing poorly with levels seen at other Polish banks with
material FC mortgage loans. In Fitch's view, legal provisions,
coupled with modest lending growth in the bank's core product of
unsecured retail loans and still high levels of loan impairment
charges, will continue to weigh on profitability, making it
difficult for Getin to address capital needs in the short-to-medium
term.

On 2 September 2021 the Polish Supreme Court is due to hold a
hearing on issues affecting the scope of losses for banks in cases
where clauses in FC mortgage contracts were found to be abusive. In
Fitch's view, if the Supreme Court issues a ruling that is negative
for banks, it could incentivise borrowers to continue to file court
claims rather than accept amicable compensations in line with the
proposal put forward by the Polish Financial Supervision Authority.
It could also result in an accelerated inflow of new court cases
leading to faster recognition of associated legal costs through
additional provisions by banks.

Getin's asset quality is weak and has modestly deteriorated since
the start of the pandemic with the impaired loans ratio rising to
19.4% at end-1Q21 (17.4% at end-2019). Inflows of new impaired
loans are normalising, as economic recovery gathers pace. However,
loan book amortisation and weak new loan origination in core
segments will weigh on the bank's asset-quality metrics, which will
only be moderately cushioned by Getin's resumption of sales of
non-performing loans.

Funding and liquidity have been stable since deposit outflows in
2018, underpinned by a fairly granular customer deposit base and
reasonable liquidity holdings. However, liquidity risks remain
heightened by Getin's capital problems. The latter have also
resulted in weakening access to wholesale markets for FC liquidity,
as evident in the need to access Polish Central Bank swap
facilities in February 2021.

The National Ratings reflect the bank's creditworthiness relative
to Polish peers'.

SUPPORT RATING and SUPPORT RATING FLOOR

The Support Rating Floor (SRF) of 'No Floor' and the Support Rating
(SR) of '5' for Getin reflect Fitch's view that potential sovereign
support for the bank cannot be relied upon. This is underpinned by
the Polish resolution legal framework, which requires senior
creditors to participate in losses, if necessary, instead of a bank
receiving sovereign support.

RATING SENSITIVITIES

IDRS

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

-- A downgrade of the bank's VR, coupled with Fitch's view of
    increasing risk of default on the bank's senior obligations,
    in particular if continued losses result in liquidity
    pressure;

-- Regulatory resolution process that could result in losses
    being imposed on the bank's senior creditors.

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

-- Upgrade of the bank's VR.

VR

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

-- A material and lasting widening of the capital shortfall that
    remains unaddressed whether due to an increase in legal claims
    related to Swiss franc mortgages or other factors. In
    particular Fitch would downgrade the bank if it breaches its
    legal Tier 1 capital requirement of 6% without prospects of
    restoring the ratio above this level;

-- Dependence on prolonged regulatory forbearance of an
    extraordinary nature or the start of a resolution process;

-- Failure to improve earnings to a level allowing absorption of
    the IFRS 9 amortisation in its regulatory capital.

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

-- Restoring internal capital generation and sustainably
    increasing capital ratios to levels above regulatory
    requirements.

NATIONAL RATINGS

The National Ratings are sensitive to changes in the bank's
Long-Term IDR.

SUPPORT RATING AND SUPPORT RATING FLOOR

An upgrade of Getin's SR and upward revision of the bank's SRF
would be contingent on a positive change in the sovereign's
propensity to support the bank, which Fitch does not expect given
the resolution legislation in place.

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.

ESG CONSIDERATIONS

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



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

AYDEM YENILENEBILIR: Fitch Assigns Final 'B+' IDR, Outlook Stable
-----------------------------------------------------------------
Fitch Ratings has assigned Aydem Yenilenebilir Enerji Anonim
Sirketi (Aydem RES) a final Long-Term Issuer Default Rating (IDR)
of 'B+' with Stable Outlook. Fitch has also assigned Aydem RES's
USD750 million 7.75% notes due 2027 a final senior secured rating
of 'B+', with a Recovery Rating of 'RR4'.

The notes' final rating reflects their final terms.

Aydem RES's ratings reflect its high initial leverage, limited but
increasing size and scale of operations, and rising exposure to
merchant price and foreign-exchange (FX) as feed-in tariffs
gradually expire. Rating strengths are its good asset quality, low
offtake risk, supportive regulation for renewable energy producers
in Turkey, high profitability and mitigated FX exposure on debt by
naturally hedged revenue.

KEY RATING DRIVERS

Final Terms of Notes: The notes constitute direct, secured,
unsubordinated and unconditional obligations of Aydem RES. The
proceeds are mostly being used to repay existing bank debt and for
capex. The notes assume four equal amortisation payments of USD75
million each in 2025-2026 and a bullet payment of USD450 million in
2027.

Supportive Regulation: About 80% of Aydem RES's capacities,
providing about 90% of consolidated revenue in 2020, benefited from
the Renewable Energy Support Mechanism, or YEKDEM, a law that
provides fixed feed-in tariffs (FiTs) denominated in US dollars for
10 years. Assets under the YEKDEM framework benefit from a lack of
price risk and low offtake risk as all renewable generation is
purchased by the Energy Market Regulatory Authority. After 10
years, assets switch to merchant-market terms and start selling at
wholesale prices in Turkish lira, which are lower than FiTs.

Rising Merchant Exposure: Fitch forecasts the share of FiT-linked
revenue to fall to about 80% of consolidated revenue in 2023, 70%
in 2024 and below 60% in 2025 as FiTs for the company's hydro and
wind plants gradually expire. This will weaken its business and
financial profiles due to decreasing revenue visibility and rising
FX mismatch. However, rising merchant exposure will be gradual,
which should give the company sufficient time to adapt its business
strategy and capital structure with the proposed bond amortisation
in 2025 and 2026. By 2028, Aydem RES will operate on a fully
merchant basis and Fitch expects its debt capacity for the current
rating to reduce significantly.

High but Decreasing Leverage: Fitch forecasts funds from operations
(FFO) gross and net leverage to increase to slightly above 7x and
6x, respectively, in 2021, on the back of weak hydrology, before
easing to an average of about 4.5x and 4.0x over 2022-2025, levels
that are commensurate with the rating. This will be driven by cash
flow from operations averaging TRY1,014 million (USD105 million)
over 2021-2025, average capex of TRY159 million and dividend
payments averaging 60% of pre-dividend free cash flow (FCF) in
2023-2025. More rapid deleveraging, as anticipated by management,
may be positive for the ratings, but could be offset by the reduced
debt capacity.

Reliance on Hydro: About 80% of Aydem RES's electricity is produced
at hydro plants, but these are highly dependent on weather
conditions and contribute to cash flow volatility. Fitch forecasts
Aydem RES's generation to contract by 15% in 2021 following a dry
year, but to grow by 30% in 2022 as water levels normalise and
newly constructed assets are commissioned. Geographical
diversification across Turkey slightly reduces operational
volatility.

New Capex Projects: Aydem RES plans to add about 700MW of extra
capacity in 2022-2023. Most of the projects are hybrid power plants
(396MW solar and 196MW wind), which Fitch assumes means
constructing solar or wind farms to complement existing hydro
plants. Hybrid capacities benefit from FiT incentive of the
existing plant, have a short construction cycle and require lower
capex than greenfield projects. Fitch views Aydem RES's investments
in new renewable projects as credit-positive and forecast them to
start contributing to EBITDA in 2022.

Positive FCF: Fitch forecasts Aydem RES to generate positive FCF
from 2023 after several expansion projects are completed. This is
backed by strong profitability, a very low cost base and small
maintenance capex needs, supporting the credit profile. In Fitch's
view, the company has flexibility to adjust dividends, maintaining
leverage commensurate with the rating and complying with bond
covenants.

Challenging Operating Environment: The ratings incorporate FX
volatility and operating environment risks in Turkey. A fall of
about 20% of the lira against the US dollar in 2021 and prospects
of an erosion in international reserves or severe stress in the
corporate or banking sectors create risks for the stability of
YEKDEM. A compromised YEKDEM could threaten the stable US
dollar-linked tariffs for renewable energy producers, for Aydem
RES's business processes and for smooth currency conversion.

Part of a Larger Group: Aydem RES is 82% controlled by a larger
Aydem Energy group. Aydem Energy is present across the utility
value chain in Turkey and apart from renewables, has 1GW of
installed thermal capacity, large electricity distribution and
electricity retail businesses. Four out of eight board members
represent Aydem Energy, with the remaining four being independent.

Standalone Profile Drives Rating: Aydem RES's bondholders benefit
from covenants that will restrict dividend payments, loans to the
parent and other affiliate transactions. Fitch therefore views the
overall parent links as weak and focus Fitch's analysis on the
standalone Aydem RES.

DERIVATION SUMMARY

Aydem RES shares the same operating and regulatory environment as
Zorlu Yenilenebilir Enerji Anonim Sirketi (B-/Stable). Both have
similar scale of operations, high profitability and benefit from
YEKDEM, which will gradually expire, decreasing revenue visibility
and raising FX mismatches. Aydem RES's exposure to hydro leads to
more volatile generation volumes than at Zorlu's geothermal power
plants. This is balanced by Aydem RES's slightly higher
geographical diversification. The rating differential reflects
Aydem RES's lower forecast leverage.

Aydem RES has a weaker business profile than Turkish peers Enerjisa
Enerji A.S. and Baskent Elektrik Dagitim A.S. (both
AA+(tur)/Stable) due to higher cash-flow predictability of
regulated electricity distribution than Aydem RES's mix of
quasi-regulated FiT and merchant exposure. Aydem RES has a stronger
business profile than Ukraine-based renewable energy producer DTEK
Renewables B.V. (B-/Stable) due to lower counterparty risk of the
renewable energy off-taker in Turkey, higher cash-flow
predictability and a stronger operating environment.

Aydem RES's business profile also compares well with that of
Uzbekistan-based hydro power generator Uzbekhydroenergo JSC
(B+/Stable, SCP 'b') on the back of a stronger regulatory framework
with long-term tariffs and better asset quality.

Aydem RES has a stronger financial profile than Zorlu and DTEK
Renewables, but weaker than that of Enerjisa and Baskent. Aydem
RES's strong profitability and positive FCF expectations support
the company's deleveraging plans.

KEY ASSUMPTIONS

-- GDP growth in Turkey of 6.3% in 2021 and 3.7%-4.5% in 2022
    2025. Inflation of 15.5% in 2021, 12.0% in 2022 and 9.0%-9.5%
    in 2023-2025;

-- Electricity generation volumes about 15% below management
    forecasts for hydro and 2% below for wind;

-- US dollar-denominated tariffs as approved by the regulator and
    merchant price increasing below CPI in lira for the next five
    years;

-- Operating expenses in Turkish lira to increase slightly below
    inflation rate until 2025;

-- Capex close to management forecasts for the next five years;

-- Dividend outflow of about 60% of pre-dividend FCF on average
    over 2023-2025.

KEY RECOVERY RATING ASSUMPTIONS

For issuers with IDRs of 'B+' and below, Fitch performs a recovery
analysis for each class of obligations of the issuer. The issue
rating is derived from the IDR and the relevant Recovery Rating
(RR) and notching, based on the going-concern enterprise value of
the company in a distressed scenario or its liquidation value.

-- The recovery analysis assumes that Aydem RES would be a going
    concern in bankruptcy and that the company would be
    reorganised rather than liquidated.

-- A 10% administrative claim is assumed.

Going-Concern Approach

-- The going-concern EBITDA estimate reflects Fitch's view of a
    sustainable, post-reorganisation EBITDA level upon which we
    base the valuation of the company.

-- The going-concern EBITDA is estimated at USD99 million.

-- Fitch assumes an enterprise value multiple of 5x.

With these assumptions, Fitch's waterfall generated recovery
computation (WGRG) for the senior secured notes is in the 'RR3'
band. However, according to Fitch's Country-Specific Treatment of
Recovery Ratings Criteria, the Recovery Rating for Turkish
corporate issuers is capped at 'RR4'. The Recovery Rating for
senior secured notes is therefore 'RR4' with the WGRG output
percentage at 50%.

RATING SENSITIVITIES

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

-- Improved financial profile with FFO leverage below 4x, FFO net
    leverage below 3.5x and FFO interest cover above 3x on a
    sustained basis without significant weakening in revenue
    visibility.

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

-- Generation volumes well below current forecasts, a sustained
    reduction in profitability or a more aggressive financial
    policy leading to FFO leverage above 5x, FFO net leverage
    above 4.5x and FFO interest cover below 2.3x on a sustained
    basis. Deterioration of the business mix with FiT-linked
    revenue representing less than 60% on a structural basis could
    lead to a tightening of these sensitivities.

-- Disruption of payments from the Energy Market Regulatory
    Authority, reduction of FiTs or cancellation of FiTs' hard
    currency linkage or assets switching to merchant price faster
    than assumed by the existing business plan.

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

The bond refinancing improves the company's liquidity profile as
there will be no debt maturities over 2021-2024. Proceeds from
USD750 million notes issuance are mostly being used to refinance
bank debt and for expansion capex.

Aydem RES's FX exposure will gradually become less balanced as the
share of the company's US dollar-linked revenue falls to about 80%
in 2023, 70% in 2024 and below 60% in 2025. This will limit
financial flexibility and make the company more exposed to the
volatile USD/TRY exchange rate. This is mitigated by the proposed
partially amortising debt structure.

ISSUER PROFILE

Aydem RES is a small renewable energy producer operating mostly
hydro and wind power plants across Turkey. Aydem RES is controlled
by Aydem Energy by 81.56%, with the remaining being free float.

SUMMARY OF FINANCIAL ADJUSTMENTS

-- Lease as opex approach;

-- Other operating income and expenses are not part of EBITDA.

ESG CONSIDERATIONS

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



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

AZURE FINANCE NO. 2: S&P Affirms 'B (sf)' Rating on E-Dfrd Notes
----------------------------------------------------------------
S&P Global Ratings raised its credit ratings on Azure Finance No. 2
PLC's class B notes to 'AA+ (sf)' from 'A+ (sf)', class C notes to
'A (sf)' from 'BBB+ (sf)', and class D-Dfrd notes to 'BBB (sf)'
from 'BBB- (sf)'. At the same time, S&P has affirmed its 'AAA
(sf)', 'B (sf)', and 'CCC+ (sf)' ratings on the class A, E-Dfrd,
and F-Dfrd notes, respectively.

The ratings actions follow S&P's review of the transaction's
performance and the application of our current criteria, and
reflect its assessment of the payment structure according to the
transaction documents.

The transaction has been amortizing strictly sequentially since
closing in July 2020. This has resulted in increased credit
enhancement for the outstanding notes, most notably for the senior
and mezzanine notes. As of the June 2021 servicer report, the pool
factor had declined to 65.3% (for non-defaulted receivables), and
the available credit enhancement for the class A, B, C, D-Dfrd, and
E-Dfrd notes had increased to 52.0%, 30.6%, 16.8%, 12.2%, and 6.5%,
respectively, compared with 34.6%, 20.6%, 11.6%, 8.6%, and 4.8% at
closing. Available credit enhancement for the class F-Dfrd notes
remains largely unchanged. The uncollateralized class X1-Dfrd notes
have now redeemed.

Given the current pool factor and the pool's seasoning, the
observed gross losses from hostile terminations, currently at 1.7%
of the initial pool balance, were lower than our expectations in
July 2020. In addition, following the COVID-19 pandemic, borrower
defaults did not materially increase.

The percentage of customers reported as affected by COVID-19 has
improved significantly compared to the peak of the pandemic in
2020, decreasing from about 14.0% at closing to 1.1% of performing
receivables as of the latest servicer report. A high portion of
these customers have elected payment arrangements as opposed to
complete payment deferrals, with approximately 40.4% of affected
customers continuing to pay at least 50% of their scheduled
payments and 8.4% continuing to pay as normal.

S&P said, "Following our review, we revised our base-case hostile
termination assumption to 7.75% from 11.25% at closing. We have
maintained our base-case voluntary termination assumption unchanged
at 3.75%.

"We have sized the applicable multiple at the 'AAA' rating level at
4.25x for hostile terminations, which reflects the relatively lower
level of the base case. Our voluntary termination multiples remain
unchanged and in line with our assumptions at closing.

"We have also maintained the same recovery assumptions as at
closing. Lastly, as the collateral backing the notes comprises U.K.
fully amortizing fixed-rate auto loan receivables arising under
hire purchase agreements, the transaction is not exposed to
residual value risk.

"We have performed our cash flow analysis to test the effect of the
amended credit assumptions and deleveraging in the structure.

"Our cash flow analysis indicates that the available credit
enhancement for the class B, C, and D-Dfrd notes is sufficient to
withstand the credit and cash flow stresses that we apply at the
'AA+', 'A', and 'BBB' ratings, respectively. We have therefore
raised to 'AA+ (sf)', 'A (sf)', and 'BBB (sf)', from 'A+ (sf)',
'BBB+ (sf)', and 'BBB- (sf)' our ratings on the class B, C, and
D-Dfrd notes, respectively.

"Our cash flow analysis indicates that the available credit
enhancement for the class A and E-Dfrd notes is sufficient to
withstand the credit and cash flow stresses that we apply at 'AAA'
and 'B' ratings, respectively. We have therefore affirmed our
ratings on these classes of notes.

"The class F-Dfrd notes do not pass a 'B' level of credit and cash
flow stress. We believe this class of notes is vulnerable to
nonpayment, and depends on favorable business, financial, or
economic conditions to be repaid, according to our criteria for
assigning 'CCC+', CCC, 'CCC-', and 'CC' ratings. We have therefore
affirmed our 'CCC+ (sf)' rating on the class F-Dfrd notes, having
run a sensitivity analysis indicating that if the rating multiples
are lowered to 1.0x, recoveries are increased to 50%, and flat
interest rates are assumed for the life of the transaction, the
notes would be expected to repay.

"Our credit stability analysis indicates that the maximum projected
deterioration that we would expect at each rating level for
one-year horizons under moderate stress conditions is in line with
our criteria.

"There are no rating constraints under our operational risk
criteria. In addition, there are no rating constraints under our
counterparty or structured finance sovereign risk criteria, and
legal risks continue to be adequately mitigated, in our view."

Azure Finance No. 2 securitizes a portfolio of auto loan
receivables, which Blue Motor Finance granted to its U.K. clients.


ENQUEST PLC: Moody's Upgrades CFR to B3, Outlook Stable
-------------------------------------------------------
Moody's Investors Service has upgraded EnQuest plc's corporate
family rating to B3 from Caa1, the probability of default rating to
B3-PD from Caa1-PD and the rating assigned to the guaranteed senior
unsecured high yield notes due in 2023 to Caa1 from Caa2. The
outlook on all the ratings is stable.

RATINGS RATIONALE

The upgrade reflects the company's improved liquidity following the
refinancing of the bank debt with a new Reserve Based Lending
Senior Secured Facility (RBL) as well as an improved outlook for
free cash flow generation.

Last June, the company completed the refinancing of its bank debt
with a $600 million RBL and in July 2021 it finalized a $50 million
placing and open offer. The refinancing improves Enquest's
liquidity profile given that the maturity of the bank facilities
has been extended out to June 2023 from October 2021.

The significantly improved oil and gas prices, compared to last
year, and the sizeable hedging book required under the terms of the
RBL will support cash flow generation in 2021 and 2022. As a
result, Moody's expects that the drawings under the RBL will be
repaid early prior to its maturity in 2023, absent further
acquisitions.

In 2021, Moody's expects EnQuest's production to decline to around
49 kboepd (excluding the production from the Golden Eagle fields),
from 59 kboepd in 2020, as several mature assets ceased
production.

Taking into account the group's current hedge book and assuming an
average Brent price of $55/barrel and opex of $15/boe, Moody's
estimates that EnQuest will generate a Moody's Adjusted EBITDA of
$730 million and a Free Cash Flow of around $400 million in 2021
after (i) $130 million of capex and principal lease repayments and
(ii) approximately $40 million of deferred and contingent
consideration paid related to the Magnus acquisition. Moody's FCF
expectation excludes $73 million of interest payments on the bonds
that are paid-in-kind when the Brent price is below $65/bbl.

The cash flow generated will be primarily used to repay drawings
under the RBL and to fund the Golden Eagle acquisition, leading to
an estimated Moody's-adjusted gross leverage of around 3.0x at
year-end 2021.

Moody's expects the acquisition of Golden Eagle to close by the end
of the third quarter of this year leading to a full year pro-forma
production of 59kboepd. The acquired assets will contribute to the
moderate and ongoing shift of the business profile towards more
mid-life fields compared to late-life ones. Following the cessation
of production on several oil fields in the UK North Sea in 2020 and
2021, the company's production is concentrated on Magnus, Kraken,
the Malaysian assets as well as Golden Eagle (when the acquisition
closes).

The B3 rating continues to reflect a relatively low 2P reserves
life of approximately 9 years and thus Moody's highlights the need
to continue to invest in order to replenish the reserves. In
addition, the company will need to invest in order to convert its
2C resources into producing ones in order to sustain production in
the years to come.

LIQUIDITY

EnQuest's liquidity profile is adequate. As of end of June 2021,
Moody's estimates that the company had approximately $200 million
of cash and $70 million availability under the recently signed
RBL.

If the high yield notes are refinanced, the new RBL will be
automatically extended to the earliest date between seven years
from the day of signing or the point at which the remaining
economic reserves for all borrowing base assets are projected to
fall below 25% of the initial economic reserves forecast. If the
bonds are not refinanced, the RBL will mature in June 2023.

The RBL has an amortization schedule of approximately $100 million
per quarter starting from March 2022. The facility has a biannual
redetermination of the reserve base and it contains a net leverage
covenant set at 3.5x, under which the company has significant
capacity. The RBL also has a cash sweep provision for any cash
exceeding $75 million being applied towards debt repayment.

Despite the company's adequate liquidity over the next 12-18
months, Moody's notes that the company will face a maturity wall in
October 2023 when the existing bonds come due.

STRUCTURAL CONSIDERATIONS

The Caa1 rating on the senior notes is one notch below the B3 CFR
reflecting the substantial amount of secured liabilities ranking
ahead of the senior notes. The notes are senior unsecured
guaranteed obligations and are subordinated in right of payment to
all existing and future senior secured obligations of the
guarantors, including their obligations under the RBL.

EnQuest's main borrowings, which include the $600 million RBL, $797
million high-yield bond and $249 million retail bond, are
guaranteed by essentially all of its operating subsidiaries. The
RBL is secured by share pledges and floating charges of the
subsidiary guarantors. The guarantees and security pledges are
subject to a priority of claim in accordance with their terms,
ranking the facility most senior with the notes effectively
subordinated.

RATINGS OUTLOOK

The stable outlook reflects Moody's expectation that EnQuest will
continue to conservatively manage its balance sheet, securing a
substantial part of its production with commodity hedges and
keeping its leverage comfortably within the guidance for a B3
rating. Moody's also expects the company to continue to apply its
free cash flow generation primarily to debt reduction, while
maintaining a healthy liquidity profile.

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

While an upgrade is unlikely, EnQuest's ratings could be upgraded
should a continuous recovery in operating profitability boost FCF
generation, leading to a strong liquidity profile and
Moody's-adjusted gross leverage sustained below 3.0x. The
refinancing of the high yield notes maturing in 2023 is also a
required condition for a possible upgrade.

Conversely, the ratings could come under pressure if leverage
trended above 5.0x or liquidity deteriorated most likely as a
result of a decline in oil prices. Failure to address the 2023
maturities at least 12 months in advance could also lead to a
downgrade.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Independent
Exploration and Production Industry published in May 2017.

COMPANY PROFILE

EnQuest plc (EnQuest) is an independent oil and gas development &
production company with the majority of its asset base on the
United Kingdom Continental Shelf (UKCS) region of the North Sea. In
2020, it reported average daily production of 59.1 thousand barrels
of oil equivalent (boe). As of 2020 year-end, EnQuest had 2P
reserves of 189 million boe, of which approximately 90% were
located in the UKCS in the North Sea, where it has interests in 10
production licences. In addition, EnQuest holds interests in
Malaysia, which include the PM8/Seligi and PM409 Production Sharing
Contracts, both of which the group operates.

In 2020, EnQuest reported business performance revenue of $866
million and EBITDA of $551 million.

JD CLASSICS: Administrators Sue PwC for Failing to Spot Fraud
-------------------------------------------------------------
Michael O'Dwyer at The Financial Times reports that PwC has been
sued by administrators of racing car dealership JD Classics over
allegations the Big Four firm negligently failed to spot fraud,
causing losses of more than GBP41 million.

According to the FT, administrators from Alvarez & Marsal accused
the UK's biggest accounting firm of failing to audit JD Classics'
2016 and 2017 accounts competently, resulting in material
misstatements of the dealership's finances that allowed it to build
up costly liabilities.

Before filing for administration in September 2018, JD Classics
restored and sold classic cars and was associated with high-profile
races such as the Le Mans Classic.  Its operating company reported
a pre-tax profit of GBP20.7 million on sales of more than GBP138
million in the year to April 2017, the final year for which it
filed accounts, the FT discloses.

The collapse of the dealership, which had showrooms in Mayfair in
London, Maldon in Essex, and Newport Beach in California, has also
led to a claim of civil fraud by the administrators against its
founder Derek Hood, who denies wrongdoing, the FT states.

The administrators alleged that despite identifying a "real risk of
fraud", PwC failed to detect that the true state of the business
was being concealed, resulting in it negligently issuing
unqualified audit opinions of the 2016 and 2017 accounts, the FT
notes.

The lawsuit alleged that revenue and profit were overstated because
JD Classics had recognized sales that had not occurred in the same
financial year and the company's stock was inflated because it
included assets that it did not own, the FT relays.

According to the FT, the lawsuit alleged that the inclusion of
"fictitious" transactions in the 2016 accounts resulted in JD
reporting revenues of GBP121.8 million, an overstatement of GBP63.1
million, and pre-tax profits of GBP21.1 million instead of the true
figure of just over GBP702,000.  They added the company's assets
were overstated by GBP43.6 million, the FT notes.

The lawyers claimed that PwC, which audited the car dealership from
2015 to 2018, had designed an audit strategy that failed to address
key risks and had not shown enough professional skepticism in its
work, the FT relates.

The administrators claimed PwC's audits for the year to April 2016
had resulted in loss and damage of GBP26.1 million while its
scrutiny of the 2017 financial statements resulted in losses of
GBP15.2 million, the FT recounts.

The claim includes a demand for damages plus interest as well as
the administrators' legal costs, the FT states.


STRATTON MORTGAGE 2020-1: Fitch Ups Rating on Class F Notes to B+
------------------------------------------------------------------
Fitch Ratings has upgraded Stratton Mortgage Funding 2020-1 Plc's
class B, D, E and F notes and affirmed the class A and C notes. The
class B to F notes have been removed from Rating Watch Positive
(RWP). The Outlooks are Stable.

     DEBT              RATING           PRIOR
     ----              ------           -----
Stratton Mortgage Funding 2020-1 PLC

A XS2215921748   LT AAAsf   Affirmed    AAAsf
B XS2215922043   LT AAsf    Upgrade     AA-sf
C XS2215922126   LT Asf     Affirmed    Asf
D XS2215922399   LT BBB+sf  Upgrade     BBBsf
E XS2215922472   LT BB+sf   Upgrade     BBsf
F XS2215922639   LT B+sf    Upgrade     Bsf

TRANSACTION SUMMARY

Stratton Mortgage Funding 2020-1 plc is a securitisation of
non-prime owner-occupied (OO) and buy-to-let (BTL) mortgages backed
by properties in the UK. The mortgages were originated primarily by
GMAC-RFC LTD, Edeus Mortgage Creators Limited, and Kensington
Mortgage Company Limited.

The assets were previously securitised in the Alba 2006-1 and Alba
2015-1 transactions. These were purchased by Ertow Holdings VI
Designated Activity Company (the seller) and sold to the issuer.
Fitch only rated Alba 2006-1.

KEY RATING DRIVERS

Off RWP: The upgrades of the class B, D, E and F notes are
supported by the retirement of coronavirus-related additional
stress scenario analysis for UK BTL portfolios (see 'Fitch Retires
UK and European RMBS Coronavirus Additional Stress Scenario
Analysis, except for UK Non-Conforming'). However, additional
stress scenario analysis remains applicable for non-conforming
(UKN) OO pools as Fitch still expects a generalised weakening in
borrowers' ability to keep up with mortgage payments due to the
economic impact of the coronavirus pandemic and the related
containment measures.

This transaction comprises about 70% OO and about 30% BTL loans.
The application of additional stress analysis for UKN resulted in a
'Bsf' multiple of 1.15x to the current total pool foreclosure
frequency (FF) assumptions and of 1.00x at 'AAAsf'.

The class C notes have been affirmed and removed from RWP as the
retirement of additional stresses was not sufficiently positive to
result in an upgrade.

Stable Performance; Limited Payment Holiday Impact: Asset
performance has been stable since the transaction closed in August
2020. Late-stage arrears were 4.8% in June 2021 compared with 6.7%
at their peak in November 2020. Total arrears are currently 9.5% vs
11.4% in August 2020.

Payment holidays have decreased significantly from the 2020 peaks.
This has not resulted in asset performance deterioration. Fitch
does not expect payment holidays to increase further as the
deadline for applying to the scheme has now passed, and coronavirus
containment restrictions have been mostly removed. The reduction in
the level of payment holidays also benefits the transactions
through increased available revenue.

Increased Credit Enhancement: The notes are amortising
sequentially. Amounts released from the amortisation of the
liquidity reserve fund are applied through the principal waterfall.
This has led to a gradual increase in credit enhancement, which
supports the affirmations and upgrades.

Unhedged Basis Risk: The pool contains 70.3% loans linked to the
Bank of England base rate (BBR), 28.7% are linked to Libor and the
remainder is linked to the standard variable rate of Pepper (UK)
Limited, the legal title holder. As the notes pay daily compounded
SONIA, the transaction is exposed to basis risk between the BBR and
SONIA. Fitch stressed the transaction's cash flows for basis risk,
in line with its criteria.

RATING SENSITIVITIES

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

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

-- In addition, unanticipated declines in recoveries could result
    in lower net proceeds, which may make certain notes
    susceptible to negative rating action depending on the extent
    of the decline in recoveries. Fitch conducts sensitivity
    analyses by stressing both a transaction's base-case FF and RR
    assumptions by 15%. As a result, the rated notes would deviate
    from the current ratings by one category.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing credit
    enhancement and potentially upgrades. Fitch tested an
    additional rating sensitivity scenario by applying a decrease
    in the FF of 15% and an increase in the RR of 15%, implying
    upgrades of the mezzanine notes by up to four notches.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Stratton Mortgage Funding 2020-1 PLC

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

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

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

Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.

ESG CONSIDERATIONS

Stratton Mortgage Funding 2020-1 PLC has an ESG Relevance Score of
'4' for Customer Welfare - Fair Messaging, Privacy & Data Security
due to the pool exhibiting an interest-only maturity concentration
amongst the legacy non-conforming OO loans of greater than 40%,
which has a negative impact on the credit profile, and is relevant
to the rating[s] in conjunction with other factors.

Stratton Mortgage Funding 2020-1 PLC has an ESG Relevance Score of
'4' for Human Rights, Community Relations, Access & Affordability
due to a significant proportion of the pool containing OO loans
advanced with limited affordability checks, which has a negative
impact on the credit profile, and is relevant to the rating[s] in
conjunction with other factors.

Stratton Mortgage Funding 2020-1 PLC has an ESG Relevance Score of
'4' for Data Transparency & Privacy due to exposure to transaction
data and periodic recording, which has a negative impact on the
credit profile, and is relevant to the rating[s] 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.

VICTORIA'S SECRET UK: Put Into Liquidation Following Court Ruling
-----------------------------------------------------------------
Business Sale reports that lingerie retailer Victoria's Secret UK
has moved from administration into liquidation.

According to Business Sale, the announcement was made by a
spokesperson for the firm's administrators, Teneo, who said that
the liquidation would enable Victoria's Secret UK's creditor to
receive dividends.

Judge Sally Barber made the ruling during an Insolvency and
Companies Court hearing last week, Business Sale recounts.  

The retailer, which had 25 UK stores, fell into administration in
June 2020 due to the impact of the Covid-19 pandemic, which
exacerbated long-standing difficulties at the company, Business
Sale discloses.

The firm's results for the year ending February 2019 show an
operating loss of GBP170 million, with the company having long been
troubled by a combination of changing consumer tastes and declining
high street footfall, as well as accusations of sexism and a lack
of diversity in its fashion shows and ad campaigns, Business Sale
relates.

In September 2020, parent company L Brands announced a joint
venture deal for the UK business with fashion retailer Next,
Business Sale recounts.  The partnership would see Next take a
majority stake in the business, acquire the majority of its assets
and operate all of its UK and Ireland stores, Business Sale notes.

The liquidation spells the end of what remains of the UK business,
according to Business Sale.  The brand's online business, which is
not owned by Victoria's Secret UK, will continue as usual,
according to Business Sale.



                           *********


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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