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

                          E U R O P E

          Wednesday, August 18, 2021, Vol. 22, No. 159

                           Headlines



A U S T R I A

SIGNA DEVELOPMENT: Fitch Gives Final 'B+' Rating to EUR300MM Bond


C Z E C H   R E P U B L I C

CZECH AIRLINES: Cancels Orders for Seven Airbus Narrowbodies


F I N L A N D

PHM GROUP: S&P Assigns 'B' LT Issuer Credit Rating, Outlook Stable


G E R M A N Y

ADLER: To Implement Capital Measures Under Insolvency Plan
LUFTHANSA: Germany Plans to Sell Quarter of Stake in Airline


I R E L A N D

BARINGS EURO 2016-1: Moody's Ups EUR27.3MM E-R Notes Rating to Ba1
CARLYLE EURO 2019-2: S&P Affirms B- (sf) Rating on Class E Notes
CIFC EUROPEAN CLO I: Fitch Affirms Final B- Rating on Class F Notes
CIFC EUROPEAN I: Moody's Affirms B2 Rating on EUR12MM Cl. F Notes
CVC CORDATUS XXI: S&P Assigns Prelim B- (sf) Rating to Cl. F Notes

HAYFIN EMERALD IV: Moody's Assigns B3 Rating to EUR14.8MM F Notes
HAYFIN EMERALD IV: S&P Assigns B- (sf) Rating to Class F-R Notes
INVESCO EURO II: Moody's Assigns B2 Rating to EUR12MM Cl. F Notes
INVESCO EURO II: S&P Assigns B- (sf) Rating to Class F Notes


I T A L Y

MONTE DEI PASCHI: DBRS Lowers Subordinated Notes Rating to CCC


S P A I N

BANKINTER 11: Moody's Affirms Ba2 Rating on EUR9.8MM Class D Notes


U N I T E D   K I N G D O M

24HR TRADING: FCA Obtains Bankruptcy Order in Forex Case
CINEWORLD GROUP: S&P Rates $200MM Incremental Term B1 Loan 'B-'
DURHAM MORTGAGES B: S&P Assigns Prelim CCC (sf) Rating to X Notes
HAMMERSON PLC: Future of Fashion Outlets Business at Risk
SEADRILL LTD: SFL Enters Into Amended Charter Agreement


                           - - - - -


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A U S T R I A
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SIGNA DEVELOPMENT: Fitch Gives Final 'B+' Rating to EUR300MM Bond
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Fitch Ratings has assigned Signa Development Finance S.C.S.'s
EUR300 million bond a final senior unsecured rating of 'B+'/'RR2'.
The bond is guaranteed by Signa Development Selection AG (SDS;
Issuer Default Rating: B-/Stable), which also has a final senior
unsecured rating of 'B+'/'RR2'.

The assignment of the bond's final rating follows the completion of
the bond issue and receipt of documents which conform to previously
received information.

SDS is a property developer of office (34% of planned sqm),
residential (29%) and retail (26%) developments spread over
German-speaking Austria (primarily Vienna) and Germany (primarily
Berlin and Stuttgart). The D18 portfolio (Kaufhof department stores
across Germany), which was about 11% at end-December 2020 (FY20)
gross asset value (GAV) and the Austrian kika/Leiner retail stores
(15% of end FY20 GAV) yield some rental income, both with property
development angles.

At YE20 management estimated gross development value (GDV,
projected value of completed projects) at EUR8.3 billion compared
with a total investment cost of EUR6.0 billion, and GAV (reflecting
part-completed projects) totalling EUR2.9 billion, covering 51
development projects and a property optimisation portfolio
(primarily the kika/Leiner portfolio whose GAV is around EUR650
million).

KEY RATING DRIVERS

Forward Sales Beneficial: At end FY20, EUR1.2 billion of GDV (or
51% of the next three years' GDV completions) was already forward
sold with investment institutions or consortiums, providing profit
visibility. These third parties' payments are primarily paid upon
completion, rather than in stages. Sold or signed forward sold
completions include BEL & MAIN Vienna, UP! (both completed in
1H21), Stream, Donaumarina Apartments & Studios and likely forward
solds including Beam and NEO (in FY22) projects. Their equivalent
GAV is predominantly funded on SDS's balance sheet cash receipts
during FY21 to FY23.

SDS markets some residential apartments for sale to public
individuals, but its GAV also includes residential and offices that
are on-sold to institutions. Fitch views the latter asset class as
potentially more volatile than residential, given many
participants' self-interest in business districts' commercial
properties affecting supply and demand dynamics and rental values.
Locking-in minimum values under office forward sales is beneficial
to SDS's risk profile.

Potential Development of Retail Portfolios: The 2019-acquired D18
properties (Galeria Karstadt Kaufhof 18 department stores, end-FY20
GAV EUR0.4 billion) have potential redevelopment angles, but Fitch
has discounted management's projected capital values and timing of
these plans, given the underlying challenges in this retail segment
and likely complexity of asset-related lease negotiations. This
portfolio provides minimal rental income net of attached long-dated
lease obligations. Galeria Karstadt Kaufhof Group, Germany
(fully-owned within the SIGNA group) exited insolvency proceedings
in September 2020, and SDS took a EUR9.3 million writedown in its
FY20 rents.

The kika/Leiner retail portfolio of 66 properties (44 stores,
end-FY20 GAV EUR0.5 billion) may also present development
opportunities when existing store leases expire or are
renegotiated. This is reflected in the 'optimisation portfolio'
label by management. The properties are occupied and rental
income-producing. kika/Leiner is owned within the SIGNA group.

Office Development Portfolio Diversity: The office development
portfolios are focussed on Vienna (mainly adjacent to the
Hauptbahnhof and Vienna's Urban city centre), Berlin (including
Mediaspree in Berlin Friederichshain), Hamburg and in the future,
Wolfsburg. This provides some diversification to risk as these
commercial office markets' supply and demand dynamics are not
connected. Furthermore, residential projects are focussed on
Vienna, and smaller projects in St Polten, and Bolzano (Italy),
targeting the upper-end of these residential markets.

Visibility of Sale of Developments: Forward sales typically lock-in
profit, and funding from institutions or private consortia can be
at scheduled milestones or bullets upon project completion. SDS's
management views forward sales as a choice. Fitch believes that it
provides visibility and enables the group's next tranche of
development to be planned with greater financial certainty. If SDS
did not have a schedule of agreed sales and instead relied upon
future (volatile) commercial property yields for valuations and
residential apartment prices for its profits, its speculative
approach would be reflected in a lower rating.

Segregated Funding: SDS is primarily funded by project-level
secured debt (YE20: EUR1.3 billion) and across six projects'
entities, profit participation certificates (EUR0.09 billion), and
EUR0.2 billion secured funding for the kika/Leiner retail
portfolio. SDS's YE20 debt included an additional EUR0.1 billion
corporate loan (repaid in April 2021). SDS's debt is senior to its
own EUR0.31 billion of profit participation capital over various
pre-2026 scheduled maturities. The profit participation capital is
subordinated and documentation allows the notes to have traits of
perpetual capital, but given their coupons' cumulative nature,
Fitch has treated them as debt.

High Leverage: SDS's financial profile is highly leveraged and
reflects a mix of capital allocated to projects at various stages
of development and pre-payment. End FY20 net debt/percentage of
completion (POC)-adjusted EBITDA is affected by lower levels of
EBITDA and delayed POC, so leverage is over 10x. This is due to
reduce to below 5x upon FY21 completions (some of which occurred in
1H21) and forward sale receipts received. After receipts of FY22
forward sold cash proceeds, and two Berlin office sales, net
debt/POC-adjusted EBITDA normalises at around 5.5x-6.3x.
Development EBITDA margins (POC on cost) are above 20% (management
case: above 25%).

Wider SIGNA Group: As the SIGNA group is privately held, its
transparency is not comparable with listed groups. SDS uses and
remunerates SIGNA Real Estate Management GmbH for its project
development services. SDS's related party transactions are
disclosed and are subject to the oversight of its five-person
supervisory board, which has a fiduciary duty to SDS's
shareholders, both of whom are equipped to investigate the
investment rationale, arm's-length nature, and reporting of
transactions from other SIGNA group entities.

However, four of the five supervisory board members also serve on
the board of SIGNA Prime Selection AG, so in Fitch's view, and from
SDS's creditors' perspective, transactions with SIGNA Prime would
need to demonstrate a high degree of transparency.

DERIVATION SUMMARY

Across Fitch's Housebuilder Navigator peers there are different
risk profiles for different residential markets. In France, there
is little upfront capital outlay for land, and purchaser deposits
fund capex. In Russia, upfront land outlay and escrowed cash is
released to the developer upon completion only. In UK and Spain,
upfront land outlay and the bulk of the purchase price is paid upon
completion.

SDS's operations require upfront land outlay and final payment is
made upon completion (or scheduled payments, if this type of
financing is arranged). This is reflected in its higher leverage
compared with rated Russian residential developers PJSC LSR Group
(B+/Stable) and PJSC PIK Group (BB-/Stable) at around 2.0x and
1.5x, respectively. Residential-based CONSUS Real Estate AG (now
withdrawn, was 'B-') was higher forecast FFO net leverage (9x),
with some visibility from institutional pre-sold projects and
funding.

Fitch believes that SDS's development's office and residential
development portfolios across different geographies provides some
diversity, but office development is potentially more volatile
(demand, rental levels and values) than necessity-based housing (to
sell or rent), and requires perceptive and disciplined management
to read relevant markets. SDS's portfolio has a weighting in Vienna
and Berlin.

KEY ASSUMPTIONS

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

-- Use of management's schedule of agreed and near-term likely
    to-be-agreed forward sales, but increased post-FY21 spend by
    5% to 10% on major projects (effecting cost impairments and
    reducing EBITDA margin).

-- The D18 portfolio yields little net rental income after
    related head lease obligations. The kika/Leiner portfolio has
    EUR35 million annualised rental, which can be attributed to
    cover SDS's operating costs, so the main contribution to
    profits is the POC-adjusted EBITDA from developments.

-- Relative to the POC-adjusted EBITDA, the cash flow forecasts
    the timing of scheduled receipts (forward sales, completion of
    project dates).

-- Decreasing use of profit participation instruments at SDS and
    project level.

-- SDS external dividends at 6% net asset value.

Using POC EBITDA: Fitch has used a more meaningful
(auditor-overseen but not audited) IFRS 15-adjusted revenue and
adjusted EBITDA figures for FY18 to FY20 and in its forecasts,
based on the POC accounting method. This differs from the company's
audited accounts that include forms of "profits" through investment
properties residual valuations routed through the income statement.
Instead, under IAS 2 non-investment property (i.e. development
property as inventory) is valued at the lower of cost and net
realisable value.

If forward sold, these projects' revenue is recognised with the
POC, as are costs, to form EBITDA. If not forward sold, revenue and
costs are recognised at sale of the asset. There remains some lack
of synchronisation between the balance sheet (and resultant
debt/EBITDA ratios) as forward funding liquidity is mainly at
completion rather than periodic milestone payments. This makes
SDS's cash flow lumpy.

KEY RECOVERY RATING ASSUMPTIONS

The recovery analysis assumes that SDS would be liquidated in the
event of bankruptcy rather than reorganised as a going-concern.
Fitch has assumed a 10% administrative claim.

Fitch used the unaudited YE20 GAV of EUR3.5 billion, deducted "at
equity" projects, deducted EUR0.4 billion for the D18 portfolio
(subject to complex operating lease obligations, and whose
valuations are likely to be speculative), EUR0.53 billion for the
kika/Leiner portfolio (which has its own secured debt attached to
these assets) and EUR0.12 billion for the remaining Optimisation
portfolio (with secured debt attached).

After a standard 25% haircut to the YE20 GAV of around EUR2.4
billion, the liquidation estimate of EUR1.6 billion reflects
Fitch's view of the value of SDS's GAV that can be realised in a
reorganisation and distributed to creditors.

The total amount of relevant debt claims is EUR1.2 billion of
relevant ProjectCo secured debt, and EUR90 million of profit
participation notes at the projectCo (SPV) level, both of which are
senior to rated SDS debt. The rated SDS EUR300 million bond is
expected to finance new projects. The SDS level EUR310 million
profit participation notes are subordinate to SDS's unsecured
debt.

The allocation of value in the liability waterfall results in
recovery corresponding to a 'RR2' (after application of Fitch's
Recovery Ratings Criteria 'RR2' cap for unsecured debt) for the
EUR300 million unsecured bond guaranteed by SDS.

RATING SENSITIVITIES

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

-- Positive free cash flow (FCF) generation on a sustained basis;

-- Sustained improvement in the financial metrics leading to FFO
    adjusted gross leverage below 4.0x;

-- FFO interest coverage ratio over 2.5x on a sustained basis;

-- Improved corporate governance attributes;

-- No adverse asset pricing affecting GAV.

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

-- FFO-adjusted gross leverage above 6x on a sustained basis;

-- Negative FCF on a sustained basis;

-- FFO interest coverage ratio below 1.5x on a sustained basis;

-- Reduction in the visibility of forward sales, including
    increased speculative developments;

-- Adverse value transfers to SDS, from related party
    transactions.

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

Limited Liquidity: As end FY20, Fitch-defined readily available
cash totalled EUR86 million. This was insufficient to cover the
group's large short-term debt of about EUR1.2 billion located at
SPVs at the project level, but the intended repayment of these
loans is the sale proceeds, upon completion, of respective
projects.

SDS's cash flow profile will be lumpy as forward sold projects'
receipts mainly from institutions are paid on property completion.

ESG CONSIDERATIONS

The score of '4' for Governance Structure reflects the active
participation of the founder within SDS without being a supervisory
or management board member of SDS. This has a negative impact on
the credit profile, and is relevant to the ratings in conjunction
with other factors.

SDS also scores '4' for Group Structure reflecting its complexity,
transparency as an unlisted entity and levels of related-party
transactions. This has a negative impact on the credit profile, and
is relevant to the ratings in conjunction with other factors.

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



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C Z E C H   R E P U B L I C
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CZECH AIRLINES: Cancels Orders for Seven Airbus Narrowbodies
------------------------------------------------------------
Jake Hardiman at Simple Flying reports that struggling flag carrier
Czech Airlines has canceled its orders for seven next-generation
Airbus narrowbodies.

According to Simple Flying, the cancelations concern both the A220
and A321XLR models.

Czech Airlines' newly canceled orders represent the latest in a
series of setbacks that the carrier has had to face so far this
year, Simple Flying notes.  With the 98-year old airline struggling
amid the ongoing coronavirus pandemic, bankruptcy and a potential
collapse were threatening the airline.  As such, February 2021 saw
the Prague-based carrier file a reorganization proposal, relates
the report.

This news came just days after Czech Airlines had opted to lay off
its entire workforce, Simple Flying relays.  This amounted to some
430 redundant employees.  Despite this, and the reorganization
proposal, the carrier was unable to save itself, and declared
bankruptcy in March.  At the time, its debts to 266 creditors and
230,000 passengers totaled US$82 million, the report discloses.

The airline had also found itself in hot water over the very Airbus
order that has recently been canceled, Simple Flying relates.  As
Simple Flying reported in May, Airbus has been seeking almost CZK
17 billion ($815 million) in compensation from the Czech flag
carrier.  This is because Czech Airlines had not paid for the
aircraft, which were originally set to be delivered in late 2020,
says the report.



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PHM GROUP: S&P Assigns 'B' LT Issuer Credit Rating, Outlook Stable
------------------------------------------------------------------
S&P Global Ratings assigned its 'B' long-term issuer credit rating
to PHM Group Holding Oy (PHM) and its 'B' issue rating to the new
senior secured bond. The recovery rating on the bond is '3',
indicating its expectation of meaningful recovery prospects
(50%-70%; rounded estimate: 50%) in the event of a payment
default.

S&P said, "The stable outlook reflects our view that PHM will
continue to successfully integrate small tuck-in acquisitions in
the coming year, increasing its EBITDA base and solidifying its
market position. We also expect that the company will generate
positive free operating cash flow (FOCF) after 2021 and that it
will fund mergers and acquisitions(M&A) largely with cash."

The 'B' issuer credit rating on PHM reflects the company's
financial-sponsor ownership. Norvestor acquired a majority stake in
PHM in April 2020 and has since supported a total of 22
acquisitions, including that of Kotikatu, which effectively doubled
PHM in size. The company has now raised a EUR300 million senior
secured bond to refinance its capital structure and provide a EUR70
million dividend to shareholders. S&P said, "Due to the financial
sponsor ownership, we only incorporate gross debt in our leverage
calculation. When it acquired PHM in 2020, Norvestor provided
equity in the form of preference shares, and minority shareholder
Intera provided a shareholder loan, in addition to both sponsors
contributing common equity. We include this financing in our
financial analysis, as we do not believe that the common equity
financing and the noncommon equity financing are sufficiently
aligned. We expect PHM's credit metrics to remain in the highly
leveraged category as a result, but to improve year on year."

PHM has a strong local presence, supporting its leading market
position. The company has a leading share of around 18% of the
Finnish property maintenance market, where it generates around 68%
of its revenues. PHM has recently begun to diversify into Sweden,
Norway, and Denmark, largely through acquisitions, and has
established a strong position in 53 cities across the Nordic
countries. PHM's market position is supported by its relationships
with local housing managers and small commercial customers, and its
broad range of residential property services, including both hard
and soft property maintenance, as well as property management.

In S&P's view, PHM benefits from its recurring revenue base and
large client base. PHM has a relatively diversified customer base
and serves around 13,000 clients. These are largely the housing
associations representing the tenants of residential apartments or
row housing, as well as smaller commercial and public customers.
The company has strong customer retention rates of above 90%, and
no one customer generates more than 1% of revenues. Contracts are
largely auto-renewing and based on a fixed service fee. These
contracts represent almost 50% of PHM's revenues, with the residual
revenues coming from supplementary or add-on services such as
repairs or cleaning, as well as more technical services. The nature
of the work results in 92% of revenues deriving from customers with
contracts, with around 80% of these revenues recurring or
semi-recurring in nature.

PHM's relatively small size and service scope, its concentration on
Finland, and the highly fragmented and competitive nature of the
property maintenance market all constrain the rating. The business
risk profile is constrained by PHM's relatively small size,
particularly compared to peers in the facilities services industry,
with pro forma revenues of just EUR323 million in 2020. PHM also
lacks service differentiation, with its activities largely focused
on the provision of residential property maintenance or management.
S&P views the property maintenance market as highly fragmented and
competitive--PHM competes with around 700 regional and local
service providers. The company has, however, benefited from modest
price increases on an annual basis, given its comprehensive service
offering for residential properties compared to some of these
regional and local peers. The weak business risk profile also
reflects the company's limited geographical diversification, as
around 68% of PHM's run rate revenue emanates from Finland, making
it vulnerable to macroeconomic developments in the country. PHM has
a strong pipeline of acquisitions to support further
diversification across other Nordic countries in the coming years.

PHM's operating metrics were relatively resilient in 2020, with
some seasonal effects, and its profitability remains stronger than
that of other outsourced facilities services providers.PHM's 2020
revenues fell by around 4% in 2020, largely due to a reduction in
supplementary services owing to a lower level of snowfall during
the year, rather than any significant disruption from the COVID-19
pandemic. Some supplementary or ad hoc services within individual
apartments were postponed during peak lockdowns, but the essential
need for these services meant the postponements were only
temporary. Margins were supported by the relatively flexible cost
base, with only around 9% of costs permanently fixed in nature. The
largest element of the cost base is personnel expenses. S&P said,
"This helped PHM generate an S&P Global Ratings-adjusted margin of
around 16% on a pro forma basis in 2020, which sits comfortably
above the margins of industry peers, and which we expect the
company to sustain in the coming years. PHM has succeeded in
enhancing the revenues and margins of newly acquired companies,
largely thanks to its strong digital platform, operational best
practices, and procurement savings. However, we anticipate that the
company will continue its strong acquisition strategy and could
generate higher integration costs than we expect, which could limit
these gains and those from the improved business mix. Our base case
assumes that the margins will remain relatively stable."

Continued cash generation will support PHM's acquisitive strategy.
S&P takes a positive view of the company's improving profitability,
relatively low capital expenditure (capex) intensity at about 3% of
revenues, and moderate working capital requirements. These will
support FOCF generation in excess of EUR20 million in the coming
years and provide an adequate base to fund future acquisitions.
Management anticipates a high level of M&A activity, but the
company's M&A strategy incorporates an element of reinvestment by
the acquired entities. This further minimizes integration risk, in
our view, allowing for a smooth transition, an alignment of
economic interests, and economies of scale.

S&P said, "The stable outlook reflects our view that PHM will
continue to successfully integrate small tuck-in acquisitions in
the coming year, increasing its EBITDA base and solidifying its
market position. We also expect that the company will generate
positive FOCF to support these acquisitions and aid further
deleveraging."

S&P could lower its ratings if PHM experienced a material
deterioration in profitability due to unexpected operational issues
or high exceptional costs associated with integrating bolt-on
acquisitions, and resulting in:

-- Sustained negative FOCF;

-- Funds from operations (FFO) cash interest coverage declining
    below 2.0x on a sustained basis; and

-- Liquidity issues or tight covenant headroom.

Alternatively, a downgrade could result from certain financial
policy decisions, including large debt-funded acquisitions or
dividends, which would prevent PHM deleveraging toward adjusted
debt to EBITDA of 7.5x by 2022.

S&P said, "We consider an upgrade unlikely in the coming 12 months.
However, we could raise the ratings if PHM's revenue and EBITDA
base increase faster than we project and if shareholders commit to
a prudent financial policy, with adjusted debt to EBITDA of less
than 5x."




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G E R M A N Y
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ADLER: To Implement Capital Measures Under Insolvency Plan
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Following the unanimous approval of the insolvency plan by the
insolvency creditors of Adler Modemaerkte AG at the debate and
voting session in court on July 27, 2021, and the insolvency plan
having become legally binding in the meantime, the Company now
intends to implement the capital measures stipulated in the
insolvency plan in a timely manner. This has already been
communicated in ADLER's last press releases.  

First, the share capital of Adler Modemaerkte AG will be reduced to
zero through a capital cut.  This step will be carried out in
accordance with the provisions on the simplified capital reduction
pursuant to § 229 et seq. AktG, as it serves to compensate for
impairments and cover other losses.  The capital reduction to zero
will become effective upon entry in the commercial register of the
Company, which is expected to take place on August 17, 2021.  The
existing shareholders will exit the Company in the context of this
step.  The capital reduction to zero will result in an automatic
delisting of the Company's shares from all stock exchanges.

Immediately thereafter, i.e. presumably also on August 17, 2021,
the share capital of the Company will be increased from zero to
EUR3 million through the injection of new equity capital by means
of the issuance of three million new shares at a notional value of
EUR1 each to Zeitfracht Logistik Holding GmbH, Berlin.  

The subscription rights of existing shareholders are excluded.
Zeitfracht will thus be ADLER's sole shareholder in the future.


LUFTHANSA: Germany Plans to Sell Quarter of Stake in Airline
------------------------------------------------------------
Caroline Copley at Reuters reports that Germany plans to sell up to
a quarter of its 20% stake in Lufthansa over the coming weeks, the
German finance agency said on Aug. 16, citing positive developments
at the bailed-out airline.

According to Reuters, the state's 20% stake was acquired for EUR300
million (US$353.67 million) as part of a bailout for the German
carrier as the company and the entire aviation sector took a
battering from the coronavirus crisis.

Lufthansa had received a EUR6 billion package from Germany's
economic stabilisation fund (WSF), which was set up to help
companies to ride out the pandemic, Reuters relates.

The WSF has said it would sell the complete stake, which is
currently worth more than EUR1 billion, before the end of 2023,
Reuters notes.

Lufthansa plans to issue new shares, probably before the Sept. 26
parliamentary elections, to help it to return bailout money to
taxpayers, Reuters discloses.






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BARINGS EURO 2016-1: Moody's Ups EUR27.3MM E-R Notes Rating to Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Barings Euro CLO 2016-1 Designated Activity
Company:

EUR38,500,000 Class B-1-R Senior Secured Floating Rate Notes due
2030, Upgraded to Aaa (sf); previously on Feb 9, 2021 Upgraded to
Aa1 (sf)

EUR7,300,000 Class B-2-R Senior Secured Fixed Rate Notes due 2030,
Upgraded to Aaa (sf); previously on Feb 9, 2021 Upgraded to Aa1
(sf)

EUR22,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030, Upgraded to Aa1 (sf); previously on Feb 9, 2021
Upgraded to Aa3 (sf)

EUR20,500,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030, Upgraded to A2 (sf); previously on Feb 9, 2021
Upgraded to Baa1 (sf)

EUR27,300,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030, Upgraded to Ba1 (sf); previously on Feb 9, 2021
Affirmed Ba2 (sf)

Moody's has also affirmed the ratings on the following notes:

EUR228,000,000 (Current Outstanding Amount EUR114,656,910.49)
Class A-1-R Senior Secured Floating Rate Notes due 2030, Affirmed
Aaa (sf); previously on Feb 9, 2021 Affirmed Aaa (sf)

EUR12,000,000 (Current Outstanding Amount EUR6,034,574.24) Class
A-2-R Senior Secured Fixed Rate Notes due 2030, Affirmed Aaa (sf);
previously on Feb 9, 2021 Affirmed Aaa (sf)

EUR12,800,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed B1 (sf); previously on Feb 9, 2021
Upgraded to B1 (sf)

Barings Euro CLO 2016-1 Designated Activity Company, issued in July
2016 and reset in July 2018, is a collateralised loan obligation
(CLO) backed by a portfolio of mostly high-yield senior secured
European loans. The portfolio is managed by Barings (U.K.) Limited.
The transaction's reinvestment period ended in July 2020.

RATINGS RATIONALE

The rating upgrades on the Class B-1-R, B-2-R, C-R, D-R and E-R
notes are primarily a result of the significant deleveraging of the
Class A-1-R and A-2-R notes following amortisation of the
underlying portfolio since the last rating action in February
2021.

The Class A-1-R and A-2-R notes have paid down by approximately
EUR79.7 million (33%) since the last rating action in February 2021
and EUR119.3million (50%) since closing. As a result of the
deleveraging, over collateralisation (OC) has increased across the
capital structure. According to the trustee report dated July
2021[1] the Class A/B, Class C, Class D and Class E OC ratios are
reported at 150.6%, 135.5%, 123.9% and 111.3% compared to January
2021[2] levels of 137.3%, 127.1%, 118.8% and 109.4% respectively.
Moody's notes that the July 2021 principal payments are not
reflected in the reported OC ratios.

The rating affirmations on the Class A-1-R, A-2-R and F-R notes
reflects the expected losses of the notes continuing to remain
consistent with their current ratings after taking into account the
CLO's latest portfolio, its relevant structural features and its
actual over-collateralization levels as well as applying Moody's
revised CLO assumptions.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.

In its base case, Moody's used the following assumptions:

Performing par and principal proceeds balance: EUR260.0m

Defaulted Securities: EUR15.7m

Diversity Score: 46

Weighted Average Rating Factor (WARF): 3186

Weighted Average Life (WAL): 4.1 years

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

Weighted Average Recovery Rate (WARR): 45.0%

Par haircut in OC tests and interest diversion test: 1.0%

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

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank using the methodology
"Moody's Approach to Assessing Counterparty Risks in Structured
Finance" published in May 2021. Moody's concluded the ratings of
the notes are not constrained by these risks.

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

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

Additional uncertainty about performance is due to the following:

Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.

Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.

CARLYLE EURO 2019-2: S&P Affirms B- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Carlyle Euro CLO
2019-2 DAC's class A-1-R, A-2B-R, B-1-R, B-2-R, and C-R notes. At
the same time, S&P has affirmed its ratings on the class A-2A, D,
and E notes.

On Aug. 16, 2021, the issuer refinanced the original class A-1,
A-2B, B, and C notes by issuing replacement notes of the same
notional. The class A-1-R notes present the same notional as the
original class A-1A and A-1B notes combined and the class B-1-R and
B-2-R notes will sum up to the same notional as the original class
B notes.

The refinanced notes are largely subject to the same terms and
conditions as the original notes. However, they bear a lower spread
over Euro Interbank Offered Rate (EURIBOR) or a lower coupon.
Additionally, the weighted-average life test was extended by nine
months, from February to November 2028.

The ratings assigned to Carlyle Euro CLO 2019-2's refinanced notes
reflect S&P's assessment of:

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

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

-- 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.

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

-- The portfolio's reinvestment period will end in February 2024.

S&P said, "In our cash flow analysis, we used a EUR395.65 million
adjusted collateral principal amount and the actual
weighted-average spread, weighted-average coupon, and
weighted-average recovery rates for all rating levels. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

"Our credit and cash flow analysis indicates that the available
credit enhancement could withstand stresses commensurate with
higher ratings than those assigned to the class A-2B-R, B-1-R, and
B-2-R notes and affirmed on the class A-2A notes. However, as the
CLO is still in its reinvestment phase, during which the
transaction's credit risk profile could deteriorate, we have capped
our ratings on these notes at their target ratings.

"We note that there was a minimal cushion failure for the class C-R
notes at the assigned rating level. Taking a forward-looking view
of the credit quality of the portfolio, the ability of the
investment manager to actively manage and thus reduce the risks in
the portfolio, the low default rates since the transaction closed
resulting in no interest deferral, and the decrease in the cost of
debt, we have assigned a 'BBB (sf)' rating to this class of notes.

"Elavon Financial Services DAC is the bank account provider and
custodian. The documented downgrade remedies are be in line with
our counterparty criteria.

"Following the application of our structured finance sovereign risk
criteria, we consider the transaction's exposure to country risk to
be limited at the assigned rating, 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-1-R, A-2A, A-2B-R, B-1-R, B-2-R, C-R, D and E 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, no specific
adjustments have been made in our rating analysis to account for
any ESG-related risks or opportunities."

Carlyle Euro CLO 2019-2 is a broadly syndicated CLO managed by CELF
Advisors LLP.

  Ratings List

  RATINGS ASSIGNED

  CLASS   RATING   AMOUNT   REPLACEMENT     ORIGINAL       SUB (%)
                 (MIL. EUR) NOTES           NOTES
                            INTEREST RATE*  INTEREST RATE
  A-1-R   AAA (sf)  246.00  3-month EURIBOR 3-month EURIBOR  37.82
                            plus 0.89%      plus 1.11%/1.40%
  A-2B-R  AA (sf)    20.00  2.20%           2.40%            27.21
  B-1-R   A (sf)     13.50  3-month EURIBOR 3-month EURIBOR  19.63

                            plus 2.20%      plus 2.50%
  B-2-R   A (sf)     16.50  2.40%           N/A              19.63
  C-R     BBB (sf)   26.00  3-month EURIBOR 3-month EURIBOR  13.05
                            plus 3.50%      plus 3.92%
  
  RATINGS AFFIRMED

  Class   Rating    Amount    Notes interest rate*    Sub (%)
                   (mil. EUR)
  A-2A    AA (sf)    22.00    Three-month EURIBOR     27.21
                              plus 1.80%
  D       BB- (sf)   20.00    Three-month EURIBOR      8.00
                              plus 6.44%
  E       B- (sf)    10.00    Three-month EURIBOR      5.47
                              plus 8.59%

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

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


CIFC EUROPEAN CLO I: Fitch Affirms Final B- Rating on Class F Notes
-------------------------------------------------------------------
Fitch Ratings has assigned CIFC European Funding CLO I DAC's
refinancing notes final ratings based on the agency's exposure
draft and affirmed the CLO's non-refinanced class E & F notes based
on its existing criteria.

     DEBT                     RATING             PRIOR
     ----                     ------             -----
CIFC European Funding CLO I DAC

A XS2020690371        LT PIFsf   Paid In Full    AAAsf
A-R XS2354686979      LT AAAsf   New Rating      AAA(EXP)sf
B-1 XS2020691007      LT PIFsf   Paid In Full    AAsf
B-1-R XS2354687605    LT AAsf    New Rating      AA(EXP)sf
B-2 XS2020691858      LT PIFsf   Paid In Full    AAsf
B-2-R XS2354688322    LT AAsf    New Rating      AA(EXP)sf
C XS2020692310        LT PIFsf   Paid In Full    Asf
C-R XS2354689056      LT Asf     New Rating      A(EXP)sf
D XS2020693128        LT PIFsf   Paid In Full    BBB-sf
D-R XS2354689643      LT BBB-sf  New Rating      BBB-(EXP)sf
E XS2020693987        LT BB-sf   Affirmed        BB-sf
F XS2020694100        LT B-sf    Affirmed        B-sf
X XS2020690454        LT PIFsf   Paid In Full    AAAsf

TRANSACTION SUMMARY

This transaction is a cash flow collateralised loan obligation
(CLO) actively managed by the manager, CIFC CLO Management II LLC.
The reinvestment period is scheduled to end in January 2024. At
closing of the refinance, classes A-R to D-R notes proceeds have
been used to refinance the existing notes. The class E, F, Y and
the subordinated notes are not refinanced. The weighted average
life (WAL) covenant has been extended by 15 months to 7.7 years and
the matrix has been updated based on Fitch's exposure draft
published on 9 August 2021.

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors in the 'B' category. The Fitch
weighted average rating factor (WARF) of the current portfolio is
24.1 as per the exposure draft published on 9 August 2021 and 32.6
as per the current criteria.

High Recovery Expectations (Positive): Over 95% of the portfolio
comprises senior secured obligations. Fitch views the recovery
prospects for these assets as more favourable than for second-lien,
unsecured and mezzanine assets. The Fitch weighted average recovery
rate (WARR) of the portfolio is 63.4% as per the exposure draft,
which is the same under the current criteria.

Diversified Portfolio (Positive): The transaction has four matrices
that correspond to two maximum fixed-rate asset limits at 0% and
7.5%, and two top-10 obligor limits at 15% and 20%. The portfolio
is more diversified with 151 issuers than the transaction's
stressed modelled portfolio of 110 issuers. 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 (Neutral): The transaction has a 2.5-year
reinvestment period and includes reinvestment criteria similar to
those of other European transactions. Fitch's analysis of the
matrices is based on a stressed-case portfolio with a weighted
average life (WAL) of 6.7 years as per the exposure draft. The
stressed-case portfolio analysis is aimed at testing the robustness
of the transaction structure against its covenants and portfolio
guidelines. The modelled WAL is one year shorter than the 7.7 years
at closing of the refinance. Fitch deems the reinvestment
conditions post the reinvestment period, such as the satisfaction
of 'CCC' limit post reinvestment and a linear step-down of the WAL
test, effective in locking the transaction out of reinvestment
should the transaction deteriorate. This justifies a one-year WAL
reduction in Fitch's analysis.

Stable Portfolio Performance (Positive): The transaction shows
stable performance by passing all tests and has a low 'CCC'
exposure. The transaction is about 75bp below par. The portfolio is
diversified with the largest obligor and top-10 obligors at around
1.5% and 14%, respectively. All notes display comfortable cushion
against a rating downgrade based on the current portfolio analysis,
which is used for surveillance. The affirmation of the class E & F
notes is based on the analysis of both the current and stressed
portfolios using Fitch's existing criteria.

RATING SENSITIVITIES

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

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

-- A 25% reduction of the mean default rate (RDR) across all
    ratings and a 25% increase in the recovery rate (RRR) across
    all ratings will result in an upgrade of no more than five
    notches across the structure, apart from the class A notes,
    which are already at the highest rating on Fitch's scale and
    cannot be upgraded.

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

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

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

-- A 25% increase of the mean RDR across all ratings and a 25%
    decrease of the RRR across all ratings would result in
    downgrades of up to four notches across the structure.

-- Downgrades may occur if the built 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

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.

CIFC EUROPEAN I: Moody's Affirms B2 Rating on EUR12MM Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by CIFC
European Funding CLO I Designated Activity Company (the "Issuer"):

EUR248,000,000 Class A-R Senior Secured Floating Rate Notes due
2032, Definitive Rating Assigned Aaa (sf)

EUR28,500,000 Class B-1-R Senior Secured Floating Rate Notes due
2032, Definitive Rating Assigned Aa2 (sf)

EUR11,500,000 Class B-2-R Senior Secured Fixed Rate Notes due
2032, Definitive Rating Assigned Aa2 (sf)

EUR28,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2032, Definitive Rating Assigned A2 (sf)

EUR24,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2032, Definitive Rating Assigned Baa3 (sf)

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

EUR20,000,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2032, Affirmed Ba2 (sf); previously on Aug 6, 2019
Definitive Rating Assigned Ba2 (sf)

EUR12,000,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2032, Affirmed B2 (sf); previously on Aug 6, 2019
Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

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

Moody's rating affirmations of the Class E Notes and Class F Notes
are a result of the refinancing, which has no impact on the ratings
of the notes.

As part of this refinancing, the Issuer has extended the weighted
average life by 15 months to May 5, 2029. It has also amended
certain concentration limits, definitions and minor features. In
addition, the Issuer has amended the base matrix that Moody's has
taken into account for the assignment of the definitive ratings.

The Issuer is a managed cash flow CLO. At least 95% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 5% of the portfolio may consist of unsecured senior
loans, second-lien loans, high yield bonds and mezzanine loans.

CIFC CLO Management II LLC ("CIFCM II") will continue to manage the
CLO. It will direct the selection, acquisition and disposition of
collateral on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
two and a half year reinvestment period. Thereafter, subject to
certain restrictions, purchases are permitted using principal
proceeds from unscheduled principal payments and proceeds from
sales of credit improved obligations.

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

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

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

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

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

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

Performing par and principal proceeds balance: EUR397,001,048

Defaulted Par: none

Diversity Score: 50

Weighted Average Rating Factor (WARF): 3047

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 3.99%

Weighted Average Recovery Rate (WARR): 44.50%

Weighted Average Life Test Date: May 5,  2029

CVC CORDATUS XXI: S&P Assigns Prelim B- (sf) Rating to Cl. F Notes
------------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to CVC
Cordatus Loan Fund XXI DAC's class X, A-1, A-2, B-1, B-2, C, D, E,
and F notes. At closing, the issuer will also issue unrated
subordinated notes.

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

-- The diversified collateral pool, which will primarily comprise
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 expect to comply
with our legal criteria at closing.

-- The transaction's counterparty risks, which we expect to be in
line with our counterparty rating framework.

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

-- The portfolio's reinvestment period will end approximately 4.5
years after closing, and the portfolio's maximum average maturity
date will be eight and a half years after closing.

-- This transaction has a EUR1.5 million liquidity facility
provided by The Bank of New York Mellon for a maximum of four
years, with the drawn margin of 2.50%. For S&P's cash flows, it has
added this amount to the class A notes' balance, since the
liquidity facility payment amounts rank senior to the interest
payments on the rated notes.

  Expected Effective Date Portfolio Benchmarks
                                                          CURRENT
  S&P Global Ratings weighted-average rating factor       3017.87
  Default rate dispersion                                  503.10
  Weighted-average life (years)                              5.48
  Obligor diversity measure                                106.29
  Industry diversity measure                                19.52
  Regional diversity measure                                 1.23

  Expected Effective Date Portfolio Key Metrics
                                                          CURRENT
  Total par amount (mil. EUR)                               400.0
  Defaulted assets (mil. EUR)                                   0
  Number of performing obligors                               118
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                            B
  'CCC' category rated assets (%)                            5.01
  'AAA' weighted-average recovery (%)                       34.92
  Weighted-average spread (net of floors) (%)                3.76
  Weighted-average coupon (%)                                4.50

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

S&P said, "In our cash flow analysis, we used the EUR400 million
target par amount, a weighted-average spread of 3.76%, a
weighted-average coupon of 4.50%, and the identified portfolio's
weighted-average recovery rates. 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."

Principal transfer test

This transaction features a principal transfer test. Following the
expiry of the non-call period, and following the payment of
deferred interest on the class F notes, interest proceeds above
101% of the class F interest coverage amount can be paid into the
principal account. As this is at the discretion of the collateral
manager, S&P did not give any credit to this test.

S&P said, "Under our structured finance sovereign risk criteria, we
expect that the transaction's exposure to country risk will be
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 is expected 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 X, A-1, A-2, 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 to D notes could withstand stresses commensurate with
higher rating levels than those we have assigned. However, as the
CLO will be in its reinvestment phase starting from closing, during
which the transaction's credit risk profile could deteriorate, we
have capped our preliminary ratings assigned to the notes.

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

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

-- S&P's BDR at the 'B-' rating level is 25.6% versus a portfolio
default rate of 17.1% if S&P was to consider a long-term
sustainable default rate of 3.1% for a portfolio with a
weighted-average life of 5.50 years.

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

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

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

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

-- The transaction securitizes a portfolio of primarily senior
secured leveraged loans and bonds, and is managed by CVC Credit
Partners European CLO Management LLP.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class X
to E notes to five of the 10 hypothetical scenarios we looked at in
our publication, "How Credit Distress Due To COVID-19 Could Affect
European CLO Ratings," published on April 2, 2020. The results
shown in the chart below are based on the actual weighted-average
spread, coupon, and recoveries.

"For the class F notes, 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."

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 or limit assets from being related to the following
industries: marijuana, tobacco, the manufacturing or marketing of
weapons, thermal coal production, predatory payday lending
activities, pornography, prostitution, and endangered or protected
wildlife trades. 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    INTEREST RATE            CREDIT
          RATING    AMOUNT                      ENHANCEMENT(%)
                    (MIL. EUR)
  X       AAA (sf)    1.800   Three/six-month EURIBOR     N/A
                              plus 0.65%   
  A-1     AAA (sf)  174.000   Three/six-month EURIBOR   41.50
                              plus 0.96%
  A-2     AAA (sf)   60.000   Three/six-month EURIBOR   41.50
                              plus 1.37% (capped at 2.1%)
  B-1     AA (sf)    38.000   Three/six-month EURIBOR   29.50
                              plus 1.70%
  B-2     AA (sf)    10.000   2.05%                     29.50
  C       A (sf)     26.000   Three/six-month EURIBOR   23.00
                              plus 2.15%
  D       BBB- (sf)  30.000   Three/six-month EURIBOR   15.50
                              plus 3.05%
  E       BB- (sf)   21.000   Three/six-month EURIBOR   10.25
                              plus 5.93%
  F       B- (sf)    14.000   Three/six-month EURIBOR    6.75
                              plus 8.70%
  Sub Notes   NR     31.425   N/A                         N/A

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


HAYFIN EMERALD IV: Moody's Assigns B3 Rating to EUR14.8MM F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by Hayfin
Emerald CLO IV DAC (the "Issuer"):

EUR318,000,000 Class A Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

EUR25,300,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR17,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

EUR20,000,000 Class B-3 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR33,100,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

EUR37,100,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

EUR28,100,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Ba3 (sf)

EUR14,800,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

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

As part of this reset, the Issuer has increased the target par
amount by EUR180 million to EUR530 million. In addition, the Issuer
has amended the base matrix and modifiers that Moody's has taken
into account for the assignment of the definitive ratings.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of 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 66% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the five month ramp-up period in compliance with the
portfolio guidelines. Based on the timeline incorporated into the
transaction documents, the effective date report may only be
received after the first payment date which would trigger an
effective date rating event if not remedied. In case of an
effective date rating event, the transaction would have to divert
interest to redeem the rated notes.

Hayfin Emerald Management LLP ("Hayfin") 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
4.7 years reinvestment period. Thereafter, subject to certain
restrictions, purchases are permitted using principal proceeds from
unscheduled principal payments and proceeds from sales of credit
risk obligations.

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

On the Original Closing Date, the Issuer also issued EUR1,000,000
Class M Notes due 2034 and EUR31,300,000 Subordinated Notes due
2034 which will remain outstanding. The terms and conditions of the
subordinated notes have been amended in accordance with the
refinancing notes' conditions. The Issuer has also issue additional
EUR16,600,000 Subordinated Notes due 2034, which will form a single
class of subordinated notes with the existing Subordinated Notes,
with an aggregate principal amount outstanding of EUR47,900,000.
The Class M Notes accrue interest in an amount equivalent to the
senior and subordinated management fees and its notes payments rank
senior to payment of interest and principal on the rated notes with
regards to the senior management fee component and junior to the
payment of interest and principal on the rated notes with regards
to the junior management fee component.

Methodology underlying the rating action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

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

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

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

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

Par Amount: EUR530,000,000

Diversity Score(*): 48

Weighted Average Rating Factor (WARF): 2951

Weighted Average Spread (WAS): 3.65%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 42.5%

Weighted Average Life (WAL): 8.66 years

HAYFIN EMERALD IV: S&P Assigns B- (sf) Rating to Class F-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Hayfin Emerald
CLO IV DAC's class A-R, B-1-R, B-2-R, B-3-R, C-R, D-R, E-R, and F-R
notes. At closing, the issuer also issued unrated subordinated
notes. The transaction is a reset of an existing transaction, which
closed in August 2020.

The proceeds from the issuance of the rated and additional unrated
notes were used to redeem the existing rated notes. In addition to
redeeming the existing notes, the issuer used the remaining funds
to cover fees and expenses incurred in connection with the reset.
The portfolio's reinvestment period is scheduled to end in April
2026.

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

The portfolio's reinvestment period will end approximately 4.67
years after closing, and the portfolio's weighted-average life test
will be approximately 8.67 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.

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor     2,813.13
  Default rate dispersion                                 616.85
  Weighted-average life (years)                             5.17
  Obligor diversity measure                               113.57
  Industry diversity measure                               26.36
  Regional diversity measure                                1.27

  Transaction Key Metrics
                                                         CURRENT
  Total par amount (mil. EUR)                              530.0
  Defaulted assets (mil. EUR)                                  0
  Number of performing obligors                              146
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                           B
  'CCC' category rated assets (%)                           1.98
  'AAA' weighted-average recovery (%)                      35.15
  Covenanted weighted-average spread (%)                    3.66
  Reference weighted-average coupon (%)                     4.00

Loss mitigation loan mechanics

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

The purchase of loss mitigation loans is not subject to the
reinvestment criteria or the eligibility criteria. It receives no
credit in the principal balance definition.

The issuer may purchase loss mitigation loans using either interest
proceeds, principal proceeds, or amounts in the collateral
enhancement account. The use of interest proceeds to purchase loss
mitigation loans are subject to (i) all the interest and par
coverage tests passing following the purchase, and (ii) the manager
determining there are sufficient interest proceeds to pay interest
on all the rated notes on the upcoming payment date. The use of
principal proceeds is subject to the transaction passing par
coverage tests and the manager having built sufficient excess par
in the transaction so that the principal collateral amount is equal
to or exceeds the portfolio's target par balance after the
reinvestment.

Rating rationale

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

"In our cash flow analysis, we used the EUR530 million target par
amount, the covenanted weighted-average spread of 3.66%, the
reference weighted-average coupon of 4.00%, and actual
weighted-average recovery rates at each rating level. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

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

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

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

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1-R to D-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 the notes.

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

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

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

-- Our model generated BDR at the 'B-' rating level of 26.42% (for
a portfolio with a weighted-average life of 5.17 years) versus if
we were to consider a long-term sustainable default rate of 3.1%
for 5.17 years, which would result in a portfolio default rate of
16.04%.

-- We also noted that the actual portfolio is generating higher
spreads versus the covenanted thresholds that we have modeled in
our cash flow analysis.

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

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

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

-- 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, B-1-R, B-2-R, B-3-R, C-R, D-R, E-R, and F-R notes.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class
A-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 actual
weighted-average spread, coupon, and recoveries.

"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have not included the above scenario analysis results
for the class E-R and 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 for which the obligor's primary business activity
is related to the following industries: controversial weapons,
nuclear weapons, thermal coal production, speculative extraction of
oil and gas, pornography or prostitution, tobacco or
tobacco-related products, and opioid manufacturers or distributors.
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."

Hayfin Emerald CLO IV is a European cash flow CLO securitization of
a revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by speculative-grade borrowers. Hayfin
Emerald Management LLP will manage the transaction.

  Ratings List

  CLASS   RATING     AMOUNT    SUB (%) INTEREST RATE*
                   (MIL. EUR)   
  A-R     AAA (sf)   318.00    40.00   Three/six-month EURIBOR
                                       plus 1.04%
  B-1-R   AA (sf)     25.30    28.25   Three/six-month EURIBOR
                                       plus 1.75%
  B-2-R   AA (sf)     17.00    28.25   2.10%
  B-3-R   AA (sf)     20.00    28.25   Three/six-month EURIBOR  
                                       plus 2.35%
                                       §Three/six-month EURIBOR
                                       plus 1.75%†
  C-R     A (sf)      33.10    22.00   Three/six-month EURIBOR
                                       plus 2.30%
  D-R     BBB (sf)    37.10    15.00   Three/six-month EURIBOR
                                       plus 3.45%
  E-R     BB- (sf)    28.10     9.70   Three/six-month EURIBOR
                                       plus 6.06%
  F-R     B- (sf)     14.80     6.91   Three/six-month EURIBOR
                                       plus 8.68%
  M       NR           1.00      N/A   N/A
  Sub. Notes  NR      47.90      N/A   N/A

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

§Margin applicable during the non-call period with an unfloored
three-month EURIBOR.
†Margin applicable after the non-call period with a three-month
EURIBOR floored at 0.00%.
EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A—-Not applicable.


INVESCO EURO II: Moody's Assigns B2 Rating to EUR12MM Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by Invesco
Euro CLO II Designated Activity Company (the "Issuer"):

EUR1,500,000 Class X Senior Secured Floating Rate Notes due 2034,
Definitive Rating Assigned Aaa (sf)

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

EUR28,500,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR11,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Definitive Rating Assigned Aa2 (sf)

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

EUR24,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

EUR20,000,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Ba2 (sf)

EUR12,000,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned B2 (sf)

RATINGS RATIONALE

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

Interest and principal amortisation amounts due to the Class X
Notes are paid pro rata with payments to the Class A Notes. The
Class X Notes amortise by EUR187,500 over eight payment dates,
starting on the second payment date.

As part of this refinancing, the Issuer will extend the
reinvestment period by 2 years to 4.5 years and the weighted
average life to 8.5 years. It will also amend certain concentration
limits, definitions including the definition of "Adjusted Weighted
Average Rating Factor" and minor features. The issuer will include
the ability to hold loss mitigation obligations. In addition, the
Issuer will amend the base matrix and modifiers that Moody's will
take into account for the assignment of the definitive ratings.

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

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

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

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2020.

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

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

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

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

Target Par Amount: EUR400,000,000

Diversity Score: 50

Weighted Average Rating Factor (WARF): 3045

Weighted Average Spread (WAS): 3.80%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate (WARR): 44.0%

Weighted Average Life (WAL): 8.5 years

INVESCO EURO II: S&P Assigns B- (sf) Rating to Class F Notes
------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Invesco Euro CLO
II DAC's class X, A, B-1, B-2, C, D, E, and F reset notes. At
closing, the issuer had unrated subordinated notes outstanding from
the existing transaction.

The transaction is a reset of the existing Invesco Euro CLO II,
which closed in July 2019. The issuance proceeds of the refinancing
notes will be used to redeem the refinanced notes and pay fees and
expenses incurred in connection with the reset.

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

The portfolio's reinvestment period will end 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.

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor     2,934.93
  Default rate dispersion                                 678.68
  Weighted-average life (years)                             5.07
  Obligor diversity measure                               101.88
  Industry diversity measure                               23.18
  Regional diversity measure                                1.32

  Transaction Key Metrics
                                                         CURRENT
  Total par amount (mil. EUR)                             400.00
  Defaulted assets (mil. EUR)                               7.17
  Number of obligors                                         148
  Portfolio weighted-average rating
    derived from S&P's CDO evaluator                           B
  'CCC' category rated assets (%)                           7.77
  'CCC' category unrated assets defaulted to 'CCC-' (%)     1.47
  'AAA' covenanted portfolio weighted-average recovery (%) 35.50
  Reference weighted-average spread (net floor) (%)         3.94
   Reference weighted-average coupon (%)                    4.66

Rating rationale

S&P said, "Our ratings reflect our assessment of the collateral
portfolio's credit quality, which has a weighted-average rating of
'B'. We consider that the portfolio at the effective date will
primarily comprise 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 performing
amount, the covenanted weighted-average spread of 3.80%, the
covenanted weighted-average coupon of 4.50%, and the reference
pool's weighted-average recovery rates of 35.47% for all rated
notes. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

"Our cash flow analysis also considers scenarios where the
underlying pool comprises 100% of floating-rate assets (i.e., the
fixed-rate bucket is 0%) and where the fixed-rate bucket is fully
utilized (in this case, 10%)."

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

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

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

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1 to D 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 the notes. The
class X, A, and E notes can withstand stresses commensurate with
the assigned ratings.

"For the class F notes, our credit and cash flow analysis indicates
a negative cushion at the assigned rating. Nevertheless, based on
the portfolio's actual characteristics and additional overlaying
factors, including our long-term corporate default rates and recent
economic outlook, we believe this class is able to sustain a
steady-state scenario, in accordance with our criteria." S&P's
analysis reflects several key factors, including:

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

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

-- S&P also compared its model generated break-even default rate
at the 'B-' rating level of 28.04% versus if it was to consider a
long-term sustainable default rate of 3.10% for 5.07 years (current
weighted-average life of the CLO portfolio), which would result in
a target default rate of 15.71%.

-- The actual portfolio is generating higher spreads versus the
covenanted threshold that S&P has modelled in S&P's cash flow
analysis.

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

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

-- Following S&P's analysis of the credit, cash flow,
counterparty, operational, and legal risks, S&P believes that its
ratings are commensurate with the available credit enhancement for
the class X, A, B-1, B-2, C, D, E, and F notes.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class X
to E notes to five of the 10 hypothetical scenarios we looked at in
our publication "How Credit Distress Due To COVID-19 Could Affect
European CLO Ratings," published on April 2, 2020.

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

Environmental, social, and governance (ESG) credit factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. 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:
anti-personnel mines, cluster weapons, depleted uranium, nuclear
weapons, white phosphorus, biological and chemical weapons;
civilian firearms; tobacco production; thermal coal; oil sands
extraction; oil exploration; payday lending; pornography or
prostitution, opioid, hazardous chemicals, fossil fuels; and trades
in endangered or protected wildlife. 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    SUB (%)      INTEREST RATE*
                     (MIL. EUR)
  X        AAA (sf)      1.50      N/A     Three/six-month EURIBOR

                                           plus 0.45%
  A        AAA (sf)    248.00     38.00    Three/six-month EURIBOR

                                           plus 0.97%
  B-1      AA (sf)      28.50     28.00    Three/six-month EURIBOR

                                           plus 1.70%
  B-2      AA (sf)      11.50     28.00    2.10%
  C        A (sf)       28.00     21.00    Three/six-month EURIBOR

                                           plus 2.25%
  D        BBB (sf)     24.00     15.00    Three/six-month EURIBOR

                                           plus 3.40%
  E        BB- (sf)     20.00     10.00    Three/six-month EURIBOR

                                           plus 6.06%
  F        B- (sf)      12.00      7.00    Three/six-month EURIBOR

                                           plus 8.68%
  Sub      NR           39.50       N/A    N/A

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

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




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

MONTE DEI PASCHI: DBRS Lowers Subordinated Notes Rating to CCC
--------------------------------------------------------------
DBRS Ratings GmbH downgraded the Subordinated Notes rating of Banca
Monte dei Paschi di Siena SpA (BMPS or the Bank) to CCC from B
(low). The Trend remains Stable. In addition, DBRS Morningstar
discontinued the Senior Non-Preferred rating for business reasons.
A full list of rating actions is included at the end of this press
release.

KEY RATING CONSIDERATIONS

The downgrade of BMPS's Subordinated Notes reflects the increased
risk of burden-sharing on these instruments as the Italian
government gets closer to finding an exit strategy for its
ownership of BMPS. It also follows the announcement on July 29,
2021 that UniCredit SpA (UniCredit) will begin exclusive
discussions with the Italian Ministry of Economy and Finance (MEF)
for the potential acquisition of BMPS. This acquisition could lead
to the exit of BMPS from Italian government ownership which MEF,
BMPS's majority shareholder, needs to complete by the end of the
Bank's restructuring plan (which is expected by end-2021), as
agreed with the European authorities.

UniCredit announced that they had already set out with the MEF a
potential perimeter of acquisition, which encompasses around 3.9
million clients, EUR 80 billion customer loans, EUR 87 billion
customer deposits, EUR 62 billion assets under management and EUR
42 billion assets under custody. In addition, pre-requisites have
also been agreed upon in order for the transaction to take place,
including the exclusion of non-performing loans and extraordinary
disputes not relating to ordinary banking activities and all
related legal risks.

Whilst this is early stages as the due diligence is still to be
conducted, we note that such an outcome could be credit positive
for BMPS' senior debt holders and depositors. However, we consider
there is an increased risk to liabilities that are not at this
stage included in the acquisition perimeter, namely BMPS'
outstanding Tier 2 notes. The two-notch downgrade reflects that an
acquisition of BMPS by a financial institution would likely require
participation by the State in a further capital increase, which
could lead to Subordinated instruments being subject to
burden-sharing and a potential default.

BMPS has not issued Senior Non-Preferred Debt and consequently the
ratings on BMPS's Senior Non-Preferred Debt have been
Discontinued-Withdrawn.

RATING DRIVERS

An upgrade of the Bank's Issuer Rating would require the Bank to
materially increase its capital buffers, resolve the pending
litigation issues, and demonstrate recurrent profitability. An
upgrade of the Bank's Subordinated Notes would require them to be
part of the perimeter acquired by UniCredit in the event of the
transaction taking place.

A downgrade of the Bank's Issuer Rating would likely be driven by a
significant deterioration in the Bank's profitability or
materialization of a higher than expected shortfall in capital. A
further downgrade of the Bank's Subordinated Notes would occur in
the case of burden-sharing.

ESG CONSIDERATIONS

The Governance factor does affect the ratings or trend assigned to
BMPS. In particular, we view the Business Ethics and the
Corporate/Transaction Governance ESG subfactors as significant to
the credit rating. These are included in the Governance category.
The Bank has suffered a reputational impact from legacy conduct
issues, in particular litigation risk linked to former capital
increases. Nevertheless, we also note that the Bank is working to
reduce the latter as demonstrated by the settlement of a EUR 3.8
billion claim with the Monte dei Paschi di Siena Foundation, which
represented around 40% of the total legal risks. In addition, BMPS
is 64% owned by the Italian State because of a precautionary
recapitalization which is subject to an EU restructuring plan. As a
result, these risks are incorporated in the Bank's Franchise and
Risk Profile grid grades.

Notes: All figures are in EUR unless otherwise noted.




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

BANKINTER 11: Moody's Affirms Ba2 Rating on EUR9.8MM Class D Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four notes
and affirmed the ratings of six notes in three Spanish RMBS deals.
The rating action reflects the increased levels of credit
enhancement for the affected notes of all three deals and, for AyT
Goya Hipotecario IV, FTA and IM PASTOR 2, FTH, also better than
expected collateral performance.

Moody's affirmed the ratings of the notes that had sufficient
credit enhancement to maintain the current ratings on the affected
notes.

Issuer: AyT Goya Hipotecario IV, FTA

EUR1066M Class A Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR234M Class B Notes, Upgraded to Aa2 (sf); previously on Jun 29,
2018 Upgraded to Aa3 (sf)

Issuer: BANKINTER 11, FTH

EUR816.8M Class A2 Notes, Affirmed Aa1 (sf); previously on Jun 29,
2018 Affirmed Aa1 (sf)

EUR15.6M Class B Notes, Upgraded to Aa1 (sf); previously on Jun
29, 2018 Upgraded to Aa3 (sf)

EUR15.3M Class C Notes, Upgraded to A2 (sf); previously on Jun 29,
2018 Upgraded to A3 (sf)

EUR9.8M Class D Notes, Affirmed Ba2 (sf); previously on Jun 29,
2018 Affirmed Ba2 (sf)

Issuer: IM PASTOR 2, FTH

EUR962M Class A Notes, Affirmed Aa1 (sf); previously on Mar 3,
2020 Affirmed Aa1 (sf)

EUR17.3M Class B Notes, Affirmed Aa1 (sf); previously on Mar 3,
2020 Affirmed Aa1 (sf)

EUR14.2M Class C Notes, Affirmed Aa1 (sf); previously on Mar 3,
2020 Affirmed Aa1 (sf)

EUR6.5M Class D Notes, Upgraded to Aa1 (sf); previously on Mar 3,
2020 Upgraded to A1 (sf)

Maximum achievable rating is Aa1 (sf) for structured finance
transactions in Spain, driven by the corresponding local currency
country ceiling of the country.

RATINGS RATIONALE

The rating action is prompted by:

decreased key collateral assumptions, namely the portfolio
Expected Loss (EL) assumptions, for AyT Goya Hipotecario IV, FTA
and IM PASTOR 2, FTH, due to better than expected collateral
performance

an increase in credit enhancement for the affected tranches

Revision of Key Collateral Assumptions

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

The collateral performance of AyT Goya Hipotecario IV, FTA and IM
PASTOR 2, FTH has continued to improve since the respective last
rating actions. Despite total delinquencies having increased in the
past year, 90 days plus arrears currently stand at, respectively,
0.35% and 0.28% of the current pool balances. Cumulative defaults
currently stand at, respectively, 1.71% and 1.10% of the original
pool balances, only marginally up from, respectively, 1.65% and
1.07% a year ago.

Moody's decreased the expected loss assumption for AyT Goya
Hipotecario IV, FTA and IM PASTOR 2, FTH to, respectively, 1.97%
and 0.47% as a percentage of original pool balance from 2.08% and
0.72% due to the improving performance.

Moody's has also assessed loan-by-loan information as a part of its
detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future
losses. As a result, Moody's has maintained the MILAN CE
assumptions at their current levels of, respectively, 7.30%, 6.00%
and 7.00% for AyT Goya Hipotecario IV, FTA, BANKINTER 11, FTH and
IM PASTOR 2, FTH.

Increase in Available Credit Enhancement

Sequential amortization and non-amortizing reserve fund on
BANKINTER 11, FTH and IM PASTOR 2, FTH led to the increase in the
credit enhancement available in these transactions. For AyT Goya
Hipotecario IV, FTA the reserve fund when measured as a percentage
of the asset pool balance increased since the last rating action,
which contributed to the increase in the credit enhancement
available in this transaction.

For instance, the credit enhancement for Class B notes in AyT Goya
Hipotecario IV, FTA increased to 10.00% from 8.56% since the last
rating action in June 2018. The credit enhancement for Class B
notes in BANKINTER 11, FTH increased to 10.68% from 8.46% since the
last rating action in June 2018. Finally, the credit enhancement
for Class D notes in IM PASTOR 2, FTH increased to 8.24% from 5.70%
since the last rating action in March 2020.

Moody's affirmation of Class D notes in BANKINTER 11, FTH took into
account the impact of the persistently low interest rate
environment in terms of negative carry for the deal and the related
draws on the reserve fund.

Counterparty Exposure

The rating actions took into consideration the notes' exposure to
relevant counterparties, such as servicer, account banks or swap
providers.

Moody's assessed the default probability of AyT Goya Hipotecario
IV, FTA's account bank provider by referencing the bank's deposit
rating. The ratings of the Class B notes are constrained by the
issuer account bank exposure.

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

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

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

Factors or circumstances that could lead to an upgrade of the
ratings include: (1) performance of the underlying collateral that
is better than Moody's expected; (2) an increase in available
credit enhancement; (3) improvements in the credit quality of the
transaction counterparties; and (4) a decrease in sovereign risk.

Factors or circumstances that could lead to a downgrade of the
ratings include: (1) an increase in sovereign risk; (2) performance
of the underlying collateral that is worse than Moody's expected;
(3) deterioration in the notes' available credit enhancement; and
(4) deterioration in the credit quality of the transaction
counterparties.



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

24HR TRADING: FCA Obtains Bankruptcy Order in Forex Case
--------------------------------------------------------
Felipe Erazo at Retail FX reports that the UK Financial Conduct
Authority (FCA) obtained a bankruptcy order against Mohammed Fuaath
Haja Maideen Maricar on Aug. 9, who is accused of unlawful forex
trading promotion.

According to the announcement, the UK High Court issued an order
against the individual to pay GBP530,000 to the FCA, Retail FX
discloses.  This amount will be distributed among the victims of
24HR Trading Academy Ltd., Retail FX states.

Moreover, the FCA says that Mr. Maricar has failed to make any
payment concerning the court's restitution order, Retail FX
relates.  In fact, the individual submitted an application for
permission to appeal, which was refused by the Court of Appeal on
June 30, Retail FX recounts.

"Mr. Maricar was involved with 24HR Trading Academy Ltd in
unlawfully promoting and arranging forex trading using contracts
for difference (CFDs)," Retail FX quotes the UK financial watchdog
as saying.

Mr. Maricar did not oppose in a first instance to the FCA's
bankruptcy petition filed on June 14, Retail FX relays.

"The Official Receiver/bankruptcy trustee will now assess Mr.
Maricar's financial affairs, with the aim of any recovered funds
being distributed to his creditors.  Consumers and other persons
who consider they may have claims against Mr. Maricar should
contact the Official Receiver/bankruptcy trustee and may wish to
obtain their own legal advice.  They should note all applicable
time limits," the FCA's announcement added.

That said, the watchdog expects to distribute the money received
from the bankruptcy order among eligible consumers, Retail FX
notes.  However, it did not specify the details of the consumers
that would be entitled to compensation, according to Retail FX.


CINEWORLD GROUP: S&P Rates $200MM Incremental Term B1 Loan 'B-'
---------------------------------------------------------------
S&P Global Ratings assigned its 'B-' issue-level rating and '1'
recovery rating to Cineworld's $200 million incremental term loan
B1 due 2024. The '1' recovery rating indicates its expectation of
very high recovery prospects (90%-100%; rounded estimate 95%). The
company plans to use the net proceeds from this loan for general
corporate uses, including to make a cash pay-out for any
settlement, judgement, or agreement covering the Regal litigation,
if claimed. S&P's 'CCC' issuer credit rating and negative outlook
on Cineworld Group PLC is unaffected by the transaction.

Coupled with the $213 million convertible bond issued earlier in
2021, the $200 million incremental loan provides Cineworld with
more liquidity and flexibility if its theater attendance recovers
slower than expected. However, the company will exit the pandemic
with a heavier debt burden and a much higher cost of debt because
it raised expensive debt during the pandemic. It will also have
significant deferred lease payments, which will continue to stress
its cash flows for up to three years after the pandemic ends.
Therefore, S&P considers that Cineworld still needs to considerably
reduce debt and interest burden or its capital structure will
remain unsustainable. Additionally, S&P believes the risk of a
subpar debt exchange or other form of debt restructuring, which it
would view as a default, remains likely over the near term.

ISSUE RATINGS--RECOVERY ANALYSIS

Key analytical factors

S&P rates at 'B-' the following debt instruments due May 23, 2024,
issued by Cineworld's fully owned financing subsidiary, Crown
Finance U.S. Inc., two notches above its rating on Cineworld:

--$450 million senior secured term loan B1;
--$111 million senior secured term loan B2; and
--$200 million incremental term loan B1.

S&P's recovery rating on these instruments is '1', reflecting its
expectation of very high recovery prospects (90%-100%; rounded
estimate 95%).

These facilities benefit from priority ranking to the rest of
senior secured debt in terms of certain collateral in the U.S., and
otherwise rank pari passu with the senior secured term loans.

S&P rates the following debt instruments at 'CCC', in line with our
rating on Cineworld:

  --$462.5 million senior secured RCF due in 2023;

  --$3.325 billion ($2,658 million outstanding) seven-year senior
secured term loan facility due in 2025;

  --EUR607.6 million (EUR231 million outstanding) seven-year senior
secured term loan facility due in 2025; and

  --$650 million senior secured term loan facility due in 2026.

S&P said, "Our recovery rating on these instruments is '4',
reflecting our expectation of average recovery prospects (30%-50%;
rounded estimate 40%). The recovery is constrained by the presence
of instruments that are prior-ranking in terms of certain
collateral in the U.S.

"We include the unrated $250 million secured debt facility and $213
million convertible bond in the waterfall.

"We value the company as a going concern given its strong brand and
well-invested theater portfolio.

"In our hypothetical default scenario, we assume a
slower-than-expected recovery in theater attendance and a sudden
and sharp shift toward alternative film delivery methods.

"We assume that in the event of a default or insolvency proceeding
the company would reorganize, close underperforming theaters, and
unwind leases."

Simulated default assumptions

-- Simulated year of default: 2022
-- Jurisdiction: U.S.

Simplified waterfall

-- EBITDA at emergence: $503 million (minimum capex at 2% of
annual revenue due to discretionary timing of the large part of the
investments in the theater circuit)

-- Implied enterprise value multiple: 6.0x, below average for the
media industry due to the volatile and highly competitive nature of
the cinema exhibition industry.

-- Gross enterprise value at default: $3.0 billion

-- Net enterprise value after administrative costs available to
senior secured claims* (5%): $2.6 billion

-- Estimated prior ranking senior secured debt: $829 million

-- Recovery rating: 1 (rounded estimate 95%)

-- Value available to senior secured debt: $1.7 billion

-- Estimated senior secured debt: $4.0 billion

-- Recovery rating: 4 (30%-50%; rounded estimate 40%)

*Excluding the value of assets pledged to the $250 million secured
debt facility.

Note: All debt amounts include six months' prepetition interest.

RCF assumed 100% drawn at the time of default.


DURHAM MORTGAGES B: S&P Assigns Prelim CCC (sf) Rating to X Notes
-----------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Durham
Mortgages B PLC's class A, B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, F-Dfrd,
and X-Dfrd U.K. RMBS notes. At closing, Durham Mortgages B will
also issue unrated class Z and R notes.

The transaction is a refinancing of the Durham Mortgages B PLC
transaction, which closed in May 2018 (the original transaction).

S&P has based its credit analysis on the preliminary pool, which
totals GBP1.75 billion. The pool comprises first-lien U.K.
residential mortgage loans that Bradford & Bingley PLC (B&B), Close
Brothers Ltd., GMAC-RFC Ltd., Kensington Mortgage Company Ltd.
(KMC), and Mortgage Express PLC (MX) originated. The loans are
secured on properties in England, Wales, Scotland, and Northern
Ireland and were originated between 1998 and 2008. The underlying
loans in the securitized portfolio are and will continue to be
serviced by Topaz Finance Ltd. Topaz Finance is a subsidiary of
Computershare Mortgage Services Ltd. (CMS). S&P reviewed CMS's
servicing and default management processes and are satisfied that
it is capable of performing its functions in the transaction.

The pool comprises buy-to-let (BTL) properties. The collateral
performance has historically been better than S&P's legacy BTL
index.

S&P said, "Our preliminary rating on the class A notes addresses
the timely payment of interest and the ultimate payment of
principal. Our preliminary ratings on the class B-Dfrd to F-Dfrd
notes and X-Dfrd notes reflect the ultimate payment of interest and
principal. Our rating definitions are in line with the notes' terms
and conditions."

The timely payment of interest on the class A notes is supported by
the principal borrowing mechanism, the general reserve, and the
liquidity reserve. These reserve funds will be funded at closing.

S&P said, "Our preliminary ratings reflect our assessment of the
transaction's payment structure, cash flow mechanics, and the
results of our cash flow analysis to assess whether the notes would
be repaid under stress test scenarios. Subordination, excess
spread, the general reserve fund and the liquidity reserve fund
will provide credit enhancement to the rated notes.

"Our cash flow analysis indicates that the available credit
enhancement for the class B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, and
F-Dfrd notes is commensurate with higher ratings than those
currently assigned. The ratings on these notes reflect their
ability to withstand the potential repercussions of the COVID-19
outbreak, including extended recovery timings and higher default
sensitivities. We have also considered their relative positions in
the capital structure, and potential increased exposure to tail-end
risk. In our analysis, the class X-Dfrd notes are unable to
withstand the stresses we apply at our 'B' rating level. We
consider that meeting the obligations of this class of notes is
reliant on favorable business, financial, and economic conditions.
Consequently, we have assigned a preliminary 'CCC (sf)' rating to
the notes in line with our criteria.

"There are no rating constraints in the transaction under our
counterparty, legal, operational risk, or structured finance
sovereign risk criteria. We consider the issuer to be bankruptcy
remote.

"Our credit and cash flow analysis and related assumptions consider
the ability of the transaction to withstand the potential
repercussions of the coronavirus outbreak, namely, higher defaults,
liquidity stresses, and longer recovery timing stresses.
Considering these factors, we believe that the available credit
enhancement is commensurate with the preliminary ratings
assigned."

  Ratings List

  CLASS        PRELIM. RATING*    AMOUNT (GBP)
  A              AAA (sf)         TBD
  B-Dfrd         AA+ (sf)         TBD
  C-Dfrd         AA (sf)          TBD
  D-Dfrd         A (sf)           TBD
  E-Dfrd         BBB (sf)         TBD
  F-Dfrd         BB- (sf)         TBD
  Z              NR               TBD
  R              NR               TBD
  X-Dfrd         CCC (sf)         TBD

  X certificates  NR              N/A
  Y certificates  NR              N/A

  NR--Not rated.
  TBD--To be determined.
  N/A--Not applicable.


HAMMERSON PLC: Future of Fashion Outlets Business at Risk
---------------------------------------------------------
Jack Sidders at Bloomberg News reports that the future of Hammerson
Plc's fashion outlets business will be in peril if it is unable to
refinance its debts next year.

According to Bloomberg, Value Retail, which accounts for about 35%
of Hammerson's GBP5.5 billion (US$7.7 billion) portfolio, has a
series of loans due next year including a GBP750 million facility
maturing in December.  The business, part-owned by Hammerson,
doesn't currently have enough money to repay that loan, Bloomberg
relays, citing a statement on Aug. 5.

If the landlord and Value Retail's other owners can't refinance the
obligation in the next 17 months "the directors have concluded that
this refinancing risk represents a material uncertainty that may
cast doubt over the group's ability to continue as a going
concern," Hammerson's auditors warned in the statement, Bloomberg
notes.

Hammerson's outlets businesses had been a rare bright spot for the
company in recent years, as floods of tourists seeking discounted
end-of-season luxury brands helped buoy earnings even as its
traditional U.K. malls and stores suffered, Bloomberg discloses.
But the pandemic has upended that model, turning off the taps of
foreign visitors and piling pressure on outlet malls where
retailers usually pay rent that is calculated on what they earn
from sales, Bloomberg states.

The GBP750 million loan is secured against the Bicester Village
outlet mall, in which Hammerson owns a 50% stake, Bloomberg
discloses.  A spokesman, as cited by Bloomberg, said the company
owns about 40% of Value Retail overall.

Still, the rate of decline for Hammerson's portfolio slowed in the
first half of the year, Bloomberg relays.  The value of its
holdings dropped 6.4% in the first half of 2021, compared with
20.9% for the whole of last year, according to Bloomberg.

The pandemic has accelerated the collapse in mall and store values
that was already underway in the U.K. as brick and mortar retailers
struggle against high costs and competition from online, Bloomberg
notes.

SEADRILL LTD: SFL Enters Into Amended Charter Agreement
--------------------------------------------------------
SFL Corporation Ltd. (NYSE: SFL) ("SFL" or the "Company") on Aug. 2
disclosed that the Company has entered into an amendment to its
existing charter agreement (the "amendment agreement") with
subsidiaries of Seadrill Limited ("Seadrill") for the harsh
environment semi-submersible rig West Hercules.

Under the amendment agreement with Seadrill, the West Hercules is
contracted to be employed with an oil major into the second half of
2022 (the "charter period"), prior to being redelivered to SFL in
Norway.

Pursuant to the amendment agreement, SFL has agreed to receive
bareboat hire of (i) approximately $64,700 per day until Seadrill
emerges from Chapter 11 and its plan is confirmed by the court (the
"Emergence Date"), and (ii) following the Emergence Date,
approximately $60,000 per day while the rig is employed under a
contract and generating revenues for Seadrill and approximately
$40,000 in all other scenarios, including when the rig is idle or
undergoing mobilization or demobilization.  Pursuant to the
amendment agreement, Seadrill has agreed to fund the mobilization
and demobilization of the rig, which is expected to occur during
the charter period. Seadrill is expected to seek bankruptcy court
approval of the amendment agreement on or before September 2, 2021,
which is a condition precedent to the effectiveness to the
amendment agreement.

Each of SFL's financing banks has agreed to consent to the
amendment agreement, and SFL's limited corporate guarantee of the
outstanding debt of the rig owning subsidiary remains unchanged at
$83 million.

Separately, on July 24, 2021, Seadrill announced that it had
entered into a plan support agreement (the "PSA") with certain of
its senior secured lenders holding approximately 57.8% of its
senior secured loans.  The PSA includes a milestone for bankruptcy
court approval of the plan by November 5, 2021.

While no assurances can be provided with regards to the outcome of
Seadrill's Chapter 11 process, the amendment agreement, or the PSA,
SFL continues to have constructive dialogue with Seadrill,
including in respect of the West Linus, which is on a sub-charter
to an oil major in the North Sea until the end of 2028.

Please see the Company's public filings with the U.S. Securities
and Exchange Commission for a discussion of certain risks relating
to the Company, including risks related to Seadrill's
restructuring.  Seadrill's largest shareholder, Hemen Holdings
Ltd., is also SFL's largest shareholder.

                        About Seadrill Ltd.

Seadrill Limited (OSE:SDRL, OTCQX:SDRLF) --
http://www.seapdrill.com/-- is a deepwater drilling contractor
providing drilling services to the oil and gas industry. As of
March 31, 2018, it had a fleet of over 35 offshore drilling units
that include 12 semi-submersible rigs, 7 drillships, and 16 jack-up
rigs.

On Sept. 12, 2017, Seadrill Limited sought Chapter 11 protection
after reaching terms of a reorganization plan that would
restructure $8 billion of funded debt. It emerged from bankruptcy
in July 2018.

Demand for exploration and drilling has fallen further during the
COVID-19 pandemic as oil firms seek to preserve cash, idling more
rigs and leading to additional overcapacity among companies serving
the industry.

In June 2020, Seadrill wrote down the value of its rigs by $1.2
billion and said it planned to scrap 10 rigs. Seadrill said it is
in talks with lenders on a restructuring of its $5.7 billion bank
debt.

Seadrill Partners LLC, a limited liability company formed by
deep-water drilling contractor Seadrill Ltd. to own, operate and
acquire offshore drilling rigs, along with its affiliates, sought
Chapter 11 protection (Bankr. S.D. Tex. Lead Case No. 20-35740) on
Dec. 1, 2020, after its parent company swept one of its bank
accounts to pay disputed management fees. Mohsin Y. Meghji,
authorized signatory, signed the petitions.

On Feb. 7, 2021, Seadrill GCC Operations Ltd., Asia Offshore
Drilling Limited, Asia Offshore Rig 1 Limited, Asia Offshore
Rig 2 Limited, and Asia Offshore Rig 3 Limited sought Chapter 11
protection. Seadrill GCC estimated $100 million to $500 million in
assets and liabilities as of the bankruptcy filing.

Additionally, on Feb. 10, 2021, Seadrill Limited and 114 affiliated
debtors each filed a voluntary petition for relief under Chapter 11
of the United States Bankruptcy Code with the Court. The lead case
is In re Seadrill Limited (Bankr. S.D. Tex. Case No. 21-30427).

Seadrill Limited disclosed $7.291 billion in assets against $7.193
billion in liabilities as of the bankruptcy filing.

In the new Chapter 11 cases, the Debtors tapped Kirkland & Ellis
LLP as counsel; Houlihan Lokey, Inc. as financial advisor; Alvarez
& Marsal North America, LLC as restructuring advisor; Jackson
Walker LLP as co-bankruptcy counsel; Slaughter and May 2021 as
co-corporate counsel; Advokatfirmaet Thommessen AS as Norwegian
counsel; and Conyers Dill & Pearman as Bermuda counsel.  Prime
Clerk LLC is the claims agent.

On April 9, 2021, the board of directors of Debtor Seadrill North
Atlantic Holdings Limited unanimously adopted resolutions
appointing Steven G. Panagos and Jeffrey S. Stein as independent
directors to the board. Seadrill North Atlantic Holdings Limited
tapped Katten Muchin Rosenman LLP as counsel and AMA Capital
Partners, LLC as financial advisor at the sole direction of
independent directors.


                           *********


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

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

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

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