/raid1/www/Hosts/bankrupt/TCREUR_Public/211013.mbx        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, October 13, 2021, Vol. 22, No. 199

                           Headlines



I R E L A N D

CAIRN CLO III: Fitch Raises Class F Notes Rating to 'BB'
CIFC EUROPEAN: Fitch Assigns B-(EXP) Rating on Class F Debt
CONTEGO CLO II: Fitch Raises Class F-R Debt to 'B+'
DEER PARK: Fitch Assigns B-(EXP) Rating on Class F-R Notes
PALMER SQUARE 2020-1: Fitch Raises Rating on Class F Debt to 'BB+'



L U X E M B O U R G

BREEZE FINANCE: Fitch Withdraws D Rating on Class B Notes


N E T H E R L A N D S

E-MAC PROGRAM 2007-I: Fitch Affirms CCC Rating on 2 Tranches


P O R T U G A L

CAIXA GERAL: Fitch Alters Outlook on 'BB+' LT IDR to Positive


U N I T E D   K I N G D O M

BRITISH AMERICAN TOBACCO: Fitch Rates EUR2BB Hybrid Notes 'BB+'
DERBY COUNTY FOOTBALL: Says Mike Ashley Not Among Potential Buyers
ELLIOT GROUP: Agreement Reached for Sale of Four Stalled Schemes
GREENSILL: Credit Suisse to Delay Publication of Report Findings
MANSARD MORTGAGES 2007-2: Fitch Affirms B- Rating on Cl. B2a Notes

NMCN: Keltbray Buys Infrastructure Division, 117 Jobs Saved
OCADO GROUP: Fitch Gives Final 'BB-' on GBP500MM Unsec. Notes
[*] UK: FCA Criticized for Paying Out Bonuses Despite Scandals

                           - - - - -


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

CAIRN CLO III: Fitch Raises Class F Notes Rating to 'BB'
--------------------------------------------------------
Fitch Ratings has upgraded Cairn CLO III B.V.'s class B-R, D-R, E
and F notes and affirmed the others. The class B-R, C-R, D-R, E and
F notes were removed from Under Criteria Observation (UCO). The
Rating Outlooks for the class C-R, D-R, E and F notes were revised
to Positive from Stable.

     DEBT                RATING           PRIOR
     ----                ------           -----
Cairn CLO III B.V.

A-R XS1692485326    LT AAAsf  Affirmed    AAAsf
B-R XS1692485672    LT AAAsf  Upgrade     AA+sf
C-R XS1692486217    LT A+sf   Affirmed    A+sf
D-R XS1692486563    LT A+sf   Upgrade     BBB+sf
E XS1298616811      LT BB+sf  Upgrade     BBsf
F XS1298620417      LT BBsf   Upgrade     B-sf

TRANSACTION SUMMARY

The transaction is a cash-flow collateralized loan obligation
backed by a portfolio of mainly European leveraged loans. The
transaction is out of its reinvestment period.

KEY RATING DRIVERS

The analysis was based on the current portfolio and evaluated the
combined impact of deleveraging and performance since the last
review in January 2021 and the recently updated Fitch CLOs and
Corporate CDOs Rating Criteria (including, among others, a change
in the underlying default assumptions). In addition, Fitch
performed a scenario that assumes a one-notch downgrade on the
Fitch Issuer Default Rating (IDR) Equivalency Rating for assets
with a Negative Outlook on the driving rating of the obligor.

Transaction Amortization

The transaction continues to amortize, with the most senior note
having paid-down EUR33.2 million. The transaction's reinvestment
period ended in October of 2019. Credit enhancement has increased
for each note across the capital structure; increases range from
5.0% for the class A-R notes to 1.0% for the class F notes.

The upgrade and Positive Outlook on the notes also reflect
constraints on reinvestments from sale proceeds of credit risk
obligations, credit-improved obligations, and unscheduled principal
proceeds as the weighted average life (WAL) test is currently being
breached.

Portfolio Concentration: The portfolio has become more concentrated
as it continues to amortize. The Fitch Concentration (Largest
Industry) Test has also been breached at various points in 2021.
The largest issuer and largest 10 issuers represent 2.8% and 23.3%
of the portfolio, respectively. Increasing concentration risk is
offset by note amortization and increased credit enhancement.

Broadly Stable Asset Performance: The portfolio has modest net par
gains as of the latest available investor report. All coverage
tests are passing. Exposure to assets with a Fitch-derived rating
of 'CCC+' and below is 6.2% compared with the 7.5% limit.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the obligors to be in the 'B'/'B-' category. The trustee calculated
WARF was 34.65 as of the latest available investor report, below
the maximum covenant of 35. The Fitch calculated weighted average
rating factor (WARF) was 25.65 as of Sept. 25, 2021 after applying
the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria.

High Recovery Expectations: 99.4% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as more favorable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted average recovery rate (WARR)
of the current portfolio is reported by the trustee at 61.8% as of
Aug. 20, 2021 compared with a minimum of 58.0%.

RATING SENSITIVITIES

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

-- An increase of the RDR at all rating levels by 25% of the mean
    RDR and a decrease of the RRR by 25% at all rating levels will
    result in downgrades of up to four notches, depending on the
    notes.

-- Downgrades may occur if the buildup of the notes' CE following
    amortization does not compensate for a higher loss expectation
    than initially assumed due to unexpected high level of default
    and portfolio deterioration.

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

-- A reduction of the default rate (RDR) at all rating levels by
    25% of the mean RDR and an increase in the recovery rate (RRR)
    by 25% at all rating levels would result in an upgrade of up
    to three notches, depending on the notes.

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better than expected portfolio
    credit quality and deal performance, and continued
    amortization that leads to higher credit enhancement and
    excess spread available to cover for losses on the remaining
    portfolio.

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

Cairn CLO III B.V.

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

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk presenting entities.

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: Fitch Assigns B-(EXP) Rating on Class F Debt
-----------------------------------------------------------
Fitch Ratings has assigned CIFC European Funding CLO V DAC expected
ratings.

DEBT                           RATING
----                           ------
CIFC European Funding CLO V DAC

Class A              LT AAA(EXP)sf   Expected Rating
Class B-1            LT AA(EXP)sf    Expected Rating
Class B-2            LT AA(EXP)sf    Expected Rating
Class C              LT A(EXP)sf     Expected Rating
Class D              LT BBB-(EXP)sf  Expected Rating
Class E              LT BB-(EXP)sf   Expected Rating
Class F              LT B-(EXP)sf    Expected Rating
Class Y              LT NR(EXP)sf    Expected Rating
Subordinated Note    LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

CIFC European Funding CLO V DAC is a securitisation of mainly
senior secured loans (at least 90%) with a component of senior
unsecured, mezzanine, and second-lien loans. The note proceeds will
be used to fund the identified portfolio with a target par of
EUR400 million. The portfolio is managed by CIFC Asset Management
Europe Ltd. The CLO envisages a 4.75-year reinvestment period and a
nine-year weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) of the identified
portfolio is 25.7, below the indicative maximum Fitch WARF covenant
of 28.0.

Strong Recovery Expectation (Positive): At least 90% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the identified portfolio is 64.1%,
above the indicative minimum Fitch WARR covenant of 61.5%.

Diversified Portfolio (Positive): The indicative top 10 obligors
limit and fixed rate asset limit for the expected rating analysis
is 21% and 10%, respectively. 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 4.75-year
reinvestment period and includes reinvestment criteria similar to
those of other European transactions. Fitch's analysis is based on
a stressed-case portfolio with the aim of testing the robustness of
the transaction structure against its covenants and portfolio
guidelines.

Cash-flow Modelling (Neutral): The WAL used for the transaction
stress portfolio is 12 months less than the WAL covenant to account
for strict reinvestment conditions after the reinvestment period,
including the OC tests and Fitch 'CCC' limit passing together with
a linearly decreasing WAL covenant. This ultimately reduces the
maximum possible risk horizon of the portfolio when combined with
loan pre-payment expectations.

RATING SENSITIVITIES

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

-- A 25% increase of the mean default rate (RDR) across all
    ratings and a 25% decrease of the recovery rate (RRR) across
    all ratings would result in downgrades of up to five notches.

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

-- A 25% reduction of the mean RDR across all ratings and a 25%
    increase in the recovery rate RRR across all ratings would
    result in up to five-notch upgrades across the structure
    except for the class A notes, which are already at the highest
    rating on Fitch's scale and cannot be upgraded.

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

-- 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 for losses in the remaining
    portfolio.

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

CIFC European Funding CLO V DAC

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk presenting entities.

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

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

CONTEGO CLO II: Fitch Raises Class F-R Debt to 'B+'
---------------------------------------------------
Fitch Ratings has upgraded two and affirmed two tranches of Contego
CLO II B.V. that were previously placed Under Criteria Observation
(UCO). Fitch also affirmed the 'AAAsf' rated A-R and B-R tranches.
The Rating Outlook remains Stable for all tranches.

      DEBT               RATING            PRIOR
      ----               ------            -----
Contego CLO II B.V.

A-R XS1646967072    LT AAAsf   Affirmed    AAAsf
B-R XS1646963246    LT AAAsf   Affirmed    AAAsf
C-R XS1646963758    LT AAsf    Upgrade     A+sf
D-R XS1646964210    LT BBB+sf  Affirmed    BBB+sf
E-R XS1646964996    LT BB+sf   Affirmed    BB+sf
F-R XS1646965613    LT B+sf    Upgrade     Bsf

Contego CLO II B.V. is a cash flow collateralised loan obligation
(CLO). The underlying portfolio of assets mainly consists of
leveraged loans and is managed by Five Arrows Managers LLP. The
deal exited its reinvestment period in November 2018.

KEY RATING DRIVERS

The analysis was based on the current portfolio and evaluated the
combined impact of deleveraging and performance since the last
review in May 2021 and the recently updated Fitch CLOs and
Corporate CDOs Rating Criteria (including, among others, a change
in the underlying default assumptions).

Fitch performed sensitivity analysis because around 26% of the
assets is maturing within 18 months of note's final maturity. In
addition, Fitch performed a scenario which assumes a one-notch
downgrade on the Fitch IDR Equivalency Rating for assets with a
Negative Outlook on the driving rating of the obligor.

Increase in CE:

The upgrades of the notes reflect increased credit enhancement due
to significant deleveraging of the transaction since its
reinvestment period ended in November 2018. The class A-R notes
have paid down EUR 141.1million over last five months, increasing
credit enhancement to 68.4% from 40.2%.

The upgrade also reflects constraints on reinvestments from sale
proceeds of credit risk obligations, credit-improved obligations
and from unscheduled principal proceeds as the current weighted
average life (WAL) test has been breached since March 2021. As of
the August 2021 investor report the WAL of the portfolio is 3.11
versus the maximum covenanted WAL of 2.87.

Assets Maturities Clustering Near Transaction Legal Maturity Date:

Around 26% of the assets are scheduled to mature within the 18
months of the note's final maturity date. This presents a risk to
the transaction as the issuer may become a forced seller of assets
if certain obligation's maturities are extended beyond the notes'
maturity or the recoveries due from defaulted assets are delayed
beyond the notes' maturity. As such, Fitch has modelled a
sensitivity scenario that assumes maturity extension post the
transaction legal final maturity date for the assets currently
scheduled to mature within the 18 months of the note's maturity
date.

The upgrades of the class C-R notes to 'AAsf' and F-R notes to
'B+sf' and the affirmations of classes D-R and E-R at 'BBB+sf' and
'BB+sf', respectively, are deviations from the model implied
ratings. The deviations by negative three notches for classes D-R,
E-R and F-R and by negative two notches for class C-R reflect that
the model-implied ratings would not be resilient based upon the
sensitivity scenario mentioned above.

Broadly Stable Asset Performance:

The transaction metrics are broadly similar to those at the last
review as of May 2021. The Fitch CCC was passing at 5.50% and,
while still passing, has increased to 6.32%. The Fitch WARR was
passing at 63.50% and is now failing at 61.40%. The WAL, which was
and is still failing, was at 3.33 years at the last review and is
currently at 3.11 years. The Fitch WARF was passing at 34.26 and is
now failing at 34.72.

'B'/'B-' Portfolio:

Fitch assesses the average credit quality of the obligors in the
'B'/'B-' category for the transaction. The WARF calculated by the
trustee was 34.72, above the maximum covenant of 34.50. The
Fitch-calculated WARF under the updated Fitch CLOs and Corporate
CDOs Rating Criteria was 25.98 as of Sept. 25, 2021.

High Recovery Expectations:

Senior secured obligations comprise 97.88% of the portfolio. Fitch
views the recovery prospects for these assets as more favorable
than for second-lien, unsecured and mezzanine assets.

Portfolio Becoming Less Diversified:

As the transaction amortizes, the portfolio continues to become
less diversified. Although the concentration risk is increasing,
this is offset by pay down of the assets and increased credit
enhancement. The portfolio currently has 51 obligors, the top 10
obligor concentration is 35.05%, and no obligor represents more
than 4.07% of the portfolio balance.

RATING SENSITIVITIES

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

-- An increase of the RDR (recovery default rate) at all rating
    levels by 25% of the mean RDR and a decrease of the recovery
    rate (RRR) by 25% at all rating levels to the maturity
    extension scenario would result in downgrades of up to at
    least one rating category depending on the notes.

-- Downgrades may occur if the build-up of the notes' CE
    following amortization does not compensate for a higher loss
    expectation than initially assumed due to unexpected high
    level of default and portfolio deterioration.

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels to
    the maturity extension scenario would result in an upgrade of
    up to three notches depending on the notes.

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better than expected portfolio
    credit quality and deal performance and continued amortization
    that leads to higher credit enhancement and excess spread
    available to cover for losses on the remaining portfolio.

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

Contego CLO II B.V.

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

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk presenting entities.

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.


DEER PARK: Fitch Assigns B-(EXP) Rating on Class F-R Notes
----------------------------------------------------------
Fitch Ratings has assigned Deer Park CLO DAC 's refinancing notes
expected ratings.

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

DEBT               RATING
----               ------
Deer Park CLO DAC

A-R      LT AAA(EXP)sf   Expected Rating
B-1-R    LT AA(EXP)sf    Expected Rating
B-2-R    LT AA(EXP)sf    Expected Rating
C-R      LT A(EXP)sf     Expected Rating
D-R      LT BBB-(EXP)sf  Expected Rating
E-R      LT BB(EXP)sf    Expected Rating
F-R      LT B-(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Deer Park CLO DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of corporate rescue
loans, senior unsecured, mezzanine, second-lien loans and
high-yield bonds. The transaction originally closed in September
2020 and the CLO's secured notes will be refinanced in whole on 27
October 2021 (the first refinancing date) from proceeds of new
secured notes.

The portfolio is managed by Blackstone Ireland Limited. The
collateralised loan obligation (CLO) envisages a 4.5-year
reinvestment period and an 8.5-year weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) of the identified
portfolio is 24.69.

High Recovery Expectations (Positive): At least 90% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the identified portfolio is
63.55%.

Diversified Portfolio (Positive): The indicative maximum exposure
of the 10 largest obligors for assigning the expected ratings is
18% of the portfolio balance and maximum fixed-rate obligations are
limited at 10% of the portfolio. The transaction also includes
various concentration limits, including the maximum exposure to the
three largest (Fitch-defined) industries in the portfolio at 40%.
These covenants ensure that the asset portfolio will not be exposed
to excessive concentration.

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

Cash Flow Modelling (Neutral): The WAL used for the transaction
stress portfolio and matrices analysis is 12 months less than the
WAL covenant, to account for structural and reinvestment conditions
post-reinvestment period, including the OC tests and Fitch 'CCC'
limitation passing post reinvestment, among others. Combined with
loan pre-payment expectations, this ultimately reduces the maximum
possible risk horizon of the portfolio.

RATING SENSITIVITIES

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

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

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

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

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

-- At closing, Fitch will use a standardised stressed-case
    portfolio that is customised to the portfolio limits as
    specified in the transaction documents. Even if the actual
    portfolio shows lower defaults and smaller losses at all
    rating levels than Fitch's stressed-case 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.

-- 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.

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

Deer Park CLO DAC

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

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk presenting entities.

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

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


PALMER SQUARE 2020-1: Fitch Raises Rating on Class F Debt to 'BB+'
------------------------------------------------------------------
Fitch Ratings has upgraded three and affirmed one tranche of Palmer
Square European Loan Funding 2020-1 DAC that were previously placed
Under Criteria Observation (UCO). Fitch also affirmed two other
'AAA' rated class A and B tranches not placed UCO. Fitch has
revised the Rating Outlooks on the class C, D, E and F notes to
Positive from Stable. The Rating Outlook remains Stable for all
other tranches.

     DEBT              RATING            PRIOR
     ----              ------            -----
Palmer Square European Loan Funding 2020-1 DAC

A XS2223791729    LT AAAsf   Affirmed    AAAsf
B XS2223792537    LT AAAsf   Affirmed    AAAsf
C XS2223793188    LT A+sf    Affirmed    A+sf
D XS2223793857    LT A-sf    Upgrade     BBB+sf
E XS2223794319    LT BBB-sf  Upgrade     BB+sf
F XS2223794582    LT BB+sf   Upgrade     BB-sf

TRANSACTION SUMMARY

Palmer Square European Loan Funding 2020-1 DAC is a static cash
flow CLO mostly comprising senior secured obligations, serviced by
Palmer Square Capital Management LLC.

KEY RATING DRIVERS

CLO Criteria Update: The upgrades reflect mainly the impact of the
recently updated Fitch CLOs and Corporate CDOs Rating Criteria
(including, among others, a change in the underlying default
assumptions). The upgrade analysis was based on a scenario which
assumes a one-notch downgrade on the Fitch IDR Equivalency Rating
for assets with a Negative Outlook on the driving rating of the
obligor. The Positive Outlooks on the notes also reflect the static
nature of the portfolio, as the transaction does not have a
reinvestment period and discretionary sales are not permitted.

Transaction Deleveraging: The class A note has amortized by
approximatively EUR35 million since closing in October 2020. Credit
enhancement for the classes A, B, C, D, E and F notes has increased
to 43.0%, 31.8%, 23.0%, 16.4%, 11.3% and 9.4%, respectively.

Stable Asset Performance: The transaction's metrics have remained
relatively stable since the last rating action. The transaction was
marginally below par by 0.08% as of the investor report in
September 2021. The transaction passed all coverage tests. As the
transaction is static it does not have collateral quality tests or
portfolio profile tests. Exposure to assets with a Fitch-derived
rating (FDR) of 'CCC+' and below was 0%.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors in the 'B'/'B-' category. The
WARF as calculated by Fitch was 22.12.

High Recovery Expectations: Senior secured obligations plus cash
comprise 100% of the portfolio. Fitch views the recovery prospects
for these assets as more favorable than for second-lien, unsecured
and mezzanine assets. The WARR as calculated by Fitch was 69.81%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 17.24%, and no obligor represents more than 1.91%
of the portfolio balance.

RATING SENSITIVITIES

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

-- An increase of the RDR (recovery default rate) at all rating
    levels by 25% of the mean RDR and a decrease of the recovery
    rate (RRR) by 25% at all rating levels to the Outlook Negative
    scenario would result in downgrades of up to two rating
    categories depending on the notes;

-- Downgrades may occur if the build-up of the notes' CE
    following amortization does not compensate for a higher loss
    expectation than initially assumed due to unexpected high
    level of default and portfolio deterioration.

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels to
    the Outlook Negative scenario would result in an upgrade of up
    to three notches depending on the notes;

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better than expected portfolio
    credit quality and deal performance and continued amortization
    that leads to higher credit enhancement and excess spread
    available to cover for losses on the remaining portfolio.

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

Palmer Square European Loan Funding 2020-1 DAC

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

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk presenting entities.

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

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




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

BREEZE FINANCE: Fitch Withdraws D Rating on Class B Notes
----------------------------------------------------------
Fitch Ratings has downgraded Breeze Finance S.A. (Breeze III)'s
class B notes to 'D' from 'C'. The class A notes, rated 'CCC', have
been paid in full. Fitch has subsequently withdrawn the class B
notes' rating.

RATING RATIONALE

The rating actions follow the prepayment and cancellation of the
bonds on 5 October 2021 in line with the issuer's restructuring
proposals approved by bondholders on 11 August 2021. The proposal
included Breeze Three Energy GmbH & Co KG's intention to sell its
wind farm business combined with an early repayment of the bonds,
which entailed a partial repayment of the class B bonds with a
waiver of remaining claims. Fitch has downgraded the class B notes
to 'D' as the process has been successfully completed. The class A
notes were fully repaid.

Fitch Ratings has withdrawn Breeze III's class B bonds' rating as
the bonds have been partially repaid and cancelled.

KEY RATING DRIVERS

Breeze Three Energy GmbH & Co KG filed a plan for restructuring its
debt obligations, which included a partial repayment with a
material haircut to the principal outstanding to the class B notes
with a waiver on any remaining claim by investors. Upon completion
of the restructuring process the issuer has defaulted on its
original financial commitments to class B bondholders.

RATING SENSITIVITIES

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

-- Rating sensitivities do not apply as the ratings have been
    withdrawn.

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

-- Rating sensitivities do not apply as the ratings have been
    withdrawn.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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




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

E-MAC PROGRAM 2007-I: Fitch Affirms CCC Rating on 2 Tranches
------------------------------------------------------------
Fitch Ratings has upgraded E-MAC NL 2004-II B.V.'s class C and D
notes, E-MAC NL 2005-I B.V.'s class C and D notes and E-MAC Program
B.V. - Compartment NL 2007-III B.V.'s class D notes. Fitch has
affirmed the other classes of the transactions as well as all
tranches of E-MAC Program B.V. - Compartment NL 2007-I B.V. and
E-MAC Program II B.V. - Compartment NL 2007-IV B.V.

      DEBT                    RATING            PRIOR
      ----                    ------            -----
E-MAC NL 2005-I B.V.

Class A XS0216513118     LT Asf     Affirmed    Asf
Class B XS0216513548     LT Asf     Affirmed    Asf
Class C XS0216513977     LT Asf     Upgrade     A-sf
Class D XS0216514199     LT Asf     Upgrade     A-sf

E-MAC Program B.V. Compartment NL 2007-I

Class A2 XS0292255758    LT Asf     Affirmed    Asf
Class B XS0292256301     LT BBB+sf  Affirmed    BBB+sf
Class C XS0292258695     LT BB-sf   Affirmed    BB-sf
Class D XS0292260162     LT CCCsf   Affirmed    CCCsf
Class E XS0292260675     LT CCCsf   Affirmed    CCCsf

E-MAC Program B.V. - Compartment NL 2007-III

Class A2 XS0307677640    LT A+sf    Affirmed    A+sf
Class B XS0307682210     LT A-sf    Affirmed    A-sf
Class C XS0307682723     LT BB+sf   Affirmed    BB+sf
Class D XS0307683291     LT B+sf    Upgrade     CCCsf
Class E XS0307683531     LT CCCsf   Affirmed    CCCsf

E-MAC NL 2004-II B.V.

Class A XS0207208165 LT Asf  Affirmed Asf
Class B XS0207209569 LT Asf  Affirmed Asf
Class C XS0207210906 LT Asf  Upgrade BBB+sf
Class D XS0207211037 LT Asf  Upgrade BBBsf
Class E XS0207264077 LT CCCsf  Affirmed CCCsf

E-MAC Program II B.V. - Compartment NL 2007-IV

A XS0325178548 LT A-sf  Affirmed A-sf
B XS0325183464 LT BBB-sf  Affirmed BBB-sf
C XS0325183621 LT B+sf  Affirmed B+sf
D XS0325184355 LT CCCsf  Affirmed CCCsf

TRANSACTION SUMMARY

The E-MAC transactions are seasoned true-sale securitisations of
Dutch residential mortgage loans originated by GMAC-RFC Nederland
B.V. The successor company, CMIS Nederland B.V. is the servicer.

KEY RATING DRIVERS

Higher Recovery Rates Based on Updated Criteria: Fitch's updated
European RMBS Rating Criteria reduced house price decline
assumptions for the Netherlands. Its application has a positive
impact on the transactions, increasing the level of recoveries and
reducing the asset losses modelled in Fitch's analysis. This drives
the upgrades.

Additionally, the retirement of the Covid-19 stresses (see Fitch
Retires EMEA RMBS Coronavirus Additional Stress Scenario Analysis,
Except UK Non-Conforming dated 22 July 2021) reduces the
foreclosure frequency applied in the analysis of tranches rated
below 'AAAsf'.

Lack of Replacement Language Determines 'Asf' Cap: Fitch has capped
the 2004-II and 2005-I notes' ratings due to a lack of replacement
language for the collection account bank in these transactions. As
commingling losses in combination with pro-rata payments could lead
to losses for all notes, Fitch caps the rating of these notes at
the rating of ABN AMRO Bank N.V. (A/Negative/F1). The Negative
Outlook on these notes reflect that on ABN AMRO.

Pro-Rata Structures Limit CE Build-Up: As of the July 2021 payment
date, all transactions were amortising pro-rata, except 2005-I.
Some transactions paid paying sequentially during some periods, but
recently reverted to pro-rata, reversing the credit enhancement
(CE) build-up for the senior notes as per the amortisation
mechanism in the documentation. This feature has been factored into
the rating analysis to the extent that the relevant pro-rata
triggers are captured by Fitch's modelling assumptions.

Fitch notes that there are no conditions that would result in an
irreversible switch to sequential note amortisation after
amortisation has crossed a certain threshold, which is deemed to be
a non-standard structural feature. Where appropriate, Fitch has
assigned ratings that are different to those derived by its cash
flow model. This reflects the fact that ratings could be lower if
performance is better than assumed in the respective rating
scenarios and thereby principal payments continue to be pro-rata.

Performance Adjustment Floored: Fitch has floored the performance
adjustment applied to 2005-I. This was to mitigate the influence of
arrears movements on the performance adjustment as calculated by
ResiGlobal and reflects Fitch's expectations for the future
performance of the transaction's assets.

Excess Spread Notes at 'CCCsf': All outstanding excess spread notes
are rated 'CCCsf'. Principal redemption of these notes ranks
subordinate to the payment of subordinated swap payments and
extension margins on the collateralised notes in the revenue
waterfall. As the extension margin amounts have been accruing and
remain unpaid, full principal redemption of the excess spread notes
from interest receipts is considered unlikely. Fitch's ratings do
not address the payment of extension margins.

The reserve funds in these transactions may increase following
asset performance deterioration. Funds collected would be released
once arrears drop below the predefined three-months arrears
trigger, at which point the funds released will be used towards the
redemption of the excess spread notes. As the portfolios continue
to amortise, a small number of loans can lead to greater volatility
in arrears performance, leading to the possibility of continuous
replenishments and releases in the reserve funds, and subsequent
redemptions on the excess spread notes. Given this variability, the
credit risk of these notes is commensurate with the 'CCCsf' rating
definition, leading to the affirmation of the excess spread notes.

Interest-only Concentration: The interest-only (IO) concentrations
in these transactions range between 69% (2005-I) and 82% (2004-II)
of the outstanding portfolio and are high compared with other
Fitch-rated Dutch RMBS. According to Fitch's criteria, Fitch
assumes a 50% weighted average foreclosure frequency (WAFF) for the
peak concentration at the 'AAA' level (lower WAFF assumptions are
applied at lower rating stresses) and the 'B' WAFF to the remainder
of the pool.

In contrast to previous reviews, the application of the IO
concentration WAFF did not result in model-implied ratings that
were more than three notches below the rating derived by applying a
WAFF produced by the standard criteria assumptions. Therefore,
Fitch primarily considered the standard criteria WAFF in its rating
analysis.

However, Fitch notes that the transactions are sensitive to default
timing due to their highly concentrated maturity profile. Fitch
therefore considered various sensitivities, including more
back-loaded default timings, and incorporated the results into its
ratings.

RATING SENSITIVITIES

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

-- Adverse macroeconomic factors may affect asset performance. An
    increase in foreclosures and losses beyond Fitch's stresses
    may erode CE, leading to negative rating action.

-- Furthermore, a downgrade of the collection account bank could
    result in an downgrade of 2004-II's and 2005-I's notes.

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

-- Due to the lack of a hard switch-back to sequential
    amortisation, a slight increase in delinquencies and losses
    could be beneficial to the senior notes, as this could switch
    the transactions to sequential amortisation and lead to an
    increase in CE for those notes if amortisation remains
    sequential until the notes are repaid.

-- Furthermore, an upgrade of the collection account bank could
    result in an upgrade of 2004-II's and 2005-I's notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

E-MAC NL 2004-II B.V., E-MAC NL 2005-I B.V., E-MAC Program B.V. -
Compartment NL 2007-III, E-MAC Program B.V. Compartment NL 2007-I,
E-MAC Program II B.V. - Compartment NL 2007-IV

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

Fitch did not undertake a review of the information provided about
the underlying asset pool[s] ahead of the transaction's [E-MAC NL
2004-II B.V., E-MAC NL 2005-I B.V., E-MAC Program B.V. -
Compartment NL 2007-III, E-MAC Program B.V. Compartment NL 2007-I,
E-MAC Program II B.V. - Compartment NL 2007-IV] initial closing.
The subsequent performance of the transaction[s] over the years is
consistent with the agency's expectations given the operating
environment and Fitch is therefore satisfied that the asset pool
information relied upon for its initial rating analysis was
adequately reliable.

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

ESG CONSIDERATIONS

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




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

CAIXA GERAL: Fitch Alters Outlook on 'BB+' LT IDR to Positive
-------------------------------------------------------------
Fitch Ratings has revised the Outlook on Caixa Geral de Depositos
S.A.'s (CGD) Long-Term Issuer Default Rating (IDR) to Positive from
Negative and affirmed the IDR at 'BB+' and Viability Rating (VR) at
'bb+'.

The revision of the Outlook to Positive reflects the resilience and
improvement of CGD's asset quality and relatively stable
profitability since the pandemic crisis, supported by its leading
franchise in Portugal and stable business model. Fitch believes
this should enable the bank to generate sufficient pre-impairment
profit to absorb future additional loan impairment charges (LICs)
from downside asset quality pressure. The Outlook revision also
reflects improved capitalisation levels, which Fitch expects will
continue to materially exceed those of other Portuguese and
mid-sized Southern European banks.

The Outlook revision also considers that short-term risks to
Portugal's improved economic prospects have receded but not yet
subsided sufficiently to stabilise the outlook on the 'bbb-'
operating environment score for domestic banks and could pose
moderate risks to CGD's asset quality and earnings, albeit lower
than previously anticipated.

KEY RATING DRIVERS

IDRs and VR

CGD's ratings continue to reflect above European average problem
assets, although the gap has been consistently narrowing. The
ratings also incorporate moderate but resilient operating
profitability and capital metrics maintained with ample buffers
above requirements. CGD's financial profile has improved
significantly since 2016, owing to strong delivery on the 2017-2020
restructuring plan, helped by the recovery in the Portuguese
operating environment and good strategic execution in recent years.
The ratings also consider CGD's leading retail franchise in
Portugal and generally stable funding.

CGD is a leading retail and commercial bank in Portugal. Fitch
views positively CGD's management's execution capabilities on
stated targets. It successfully improved asset quality and has
built up capital to levels above the targets outlined in the
restructuring plan agreed with the European authorities in 2017.
The bank has also tightened underwriting standards and improved
risk controls to levels closer to global industry practices.

CGD's asset quality remains weaker than global industry averages
but has improved significantly and now compares well with mid-sized
southern European banks. CGD has further reduced its stock of
impaired loans since end-2019, despite the difficult operating
environment, and brought the impaired loans ratio (IFRS9 stage 3)
down to a moderate 4.4% at end-June 2021, better than the
Portuguese banks' average. Large legacy assets are less material
for CGD than in the past, and its net problem assets ratio is now
close to its Stage 3 loans ratio (about 70bp difference). Loan loss
allowance coverage has increased and covered virtually all impaired
loans at end-June 2021, which is higher than most European banks.

Given the nature and size of the Portuguese economy, CGD is exposed
to potentially vulnerable borrowers, such as small businesses, SMEs
(a fifth of gross loans at end-2020) and the tourism industry.
Fitch expects that the bank's Stage 3 loans ratio will nonetheless
stay below 5% by end-2022, as Fitch views the quality of
residential mortgage loans (half of the loan book) and loans to the
Portuguese public sector as resilient and supportive of CGD's loan
quality.

The relatively large stock of loans previously under moratorium
(around 12% of Portuguese gross loans at end-June 2021, below
domestic peers) also leaves room for some asset quality
deterioration by end-2021 and into 2022. This prevents us from
increasing the asset quality score to 'bb+', as long as there are
uncertainties about the repayment behaviour of loans previously
under moratorium.

CGD's profitability is adequate with an operating
profit/risk-weighted assets (RWAs) of 1.6%, thanks to good cost
control, despite higher LICs and margin pressure. Similar to
Portuguese peers, CGD's profitability is highly dependent on
interest rate levels. Fitch sees limited revenue growth prospects
in the medium term, given net interest margin pressure and moderate
credit growth in the competitive Portuguese banking landscape.

CGD continued to increase its capital buffers in 2020, and the
fully loaded common equity Tier 1 (CET1) and total capital ratios
improved further in 1H21, reaching a high 18.9% and 21.5%,
respectively at end-June 2021. Fitch expects the bank's capital
ratios will remain resilient thanks to good internal capital
generation and a marked reduction in problem assets. Capital
encumbrance from unreserved problem assets (net stage 3 loans,
holdings of foreclosed real estate, investment properties and
restructuring funds) continued to improve materially and reached
around 10% of fully-loaded CET1 capital at end-June 2021. This
level compares well with most domestic and southern European peers,
reducing the bank's vulnerability to severe asset quality shocks.

CGD's funding is supported by retail deposits, thanks to its
leading deposit franchise in Portugal. The loans/deposits ratio
decreased below 70%, due to deposit growth following lower
consumption during lockdowns. Fitch views the bank's liquidity
position at end-June 2021 as comfortable, supported by a recent
drawing of ECB funding (EUR5.8 billion at end-June 2021). This
reflects a large liquidity buffer compared with low wholesale
maturities in coming years, despite some sensitivity to confidence
shocks in Portugal, like domestic peers.

SENIOR PREFERRED AND SENIOR NON-PREFERRED DEBT

CGD's senior preferred debt is rated in line with the bank's IDRs
because Fitch expects that the bank will meet its minimum
requirement for own funds and eligible liabilities (MREL) with a
combination of senior preferred and more junior instruments. In
addition, Fitch does not expect the buffer of hybrid, subordinated
and senior non-preferred instruments to exceed 10% of RWAs of the
resolution group headed by the Portuguese parent company.

For the same reasons, CGD's senior non-preferred notes are rated
one notch below the bank's Long-Term IDR as Fitch sees a heightened
risk of below-average recoveries for this debt class in
resolution.

DEPOSIT RATINGS

CGD's deposit rating of 'BBB-' is one notch above the bank's
Long-Term IDR, reflecting Fitch's view that depositors would be
protected by buffers of senior preferred and junior debt and equity
buffers in case of a resolution scenario, as full depositor
preference is in force in Portugal and because Fitch expects that
CGD will meet its MREL requirement. The long-term deposit rating
maps to a short-term deposit rating of 'F3' under Fitch's Bank
Rating Criteria.

SUBORDINATED AND HYBRID INSTRUMENTS

Fitch rates CGD's Tier 2 debt two notches below the VR in line with
the baseline notching for subordinated Tier 2 debt as per its Bank
Rating Criteria. The notching reflects the expected loss severity
and poor recovery prospects for those instruments.

Fitch rates CGD's additional Tier 1 (AT1) instruments four notches
below the bank's VR. The notes have fully discretionary interest
payments and are subject to partial or full write-down if CGD's
consolidated or unconsolidated CET1 ratio falls below 5.125%. The
notching reflects Fitch's expectations that CGD will continue to
operate with capital ratios comfortably above coupon-omission
points (equivalent to EUR3.4 billion at end-June 2021 relative to
CET1 capital requirement including the Tier 1 and Tier 2 gaps). It
also reflects satisfactory distributable reserves (about EUR2.9
billion at end-June 2021).

SUPPORT RATING AND SUPPORT RATING FLOOR

CGD's '4' Support Rating (SR) and 'B' Support Rating Floor (SRF)
reflect Fitch's view that there is a limited probability of
extraordinary support being provided to CGD by the Portuguese
state, under the provisions and limitation of the Bank Recovery and
Resolution Directive and the Single Resolution Mechanism, without
the bail-in of senior creditors. Fitch's view of potential support
available to the bank is based on full and willing state ownership
and CGD's market leading position in the Portuguese market.

SUBSIDIARY

Caixa-BI's IDRs are equalised with those of its parent. The IDRs
and '3' SR are driven by full ownership, integration within its
parent and its role in the group as the specialised arm offering
investment banking products to CGD's customer base. Caixa -BI's
Outlook has also been revised to Positive, reflecting the rating
action on the parent bank. Fitch does not assign a VR to this
subsidiary as the agency does not view it as an independent entity
that can be analysed meaningfully in its own right.

RATING SENSITIVITIES

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

-- An upgrade would be contingent on the stabilisation of the
    Portuguese operating environment and subject to CGD further
    improving its financial profile, in particular asset quality
    and profitability prospects while keeping its risk appetite in
    Portugal and abroad unchanged. This could be evidenced by a
    stabilised impaired loans ratio at levels around 4%.
    Improvement in CGD's cost efficiency and increased business
    model diversification towards activities generating recurring
    non-interest income would also be positive for the bank's
    ratings, but not necessary to upgrade the Long-Term IDR.

-- CGD's senior preferred and senior non-preferred debt ratings
    could be upgraded by one notch, if Fitch expects CGD to comply
    with its total MREL requirement solely through the use of non
    preferred instruments, or if the group explicitly targets a
    capital and funding structure, where the buffer of senior non-
    preferred and subordinated instruments would sustainably
    exceed 10% of RWAs of the resolution group headed by the
    Portuguese parent.

-- CGD's deposit ratings could be upgraded if CGD's IDRs were
    upgraded. CGD's AT1 and Tier 2 ratings could be upgraded if
    the bank's VR was upgraded.

- An upgrade of the bank's SR and upward revision of the SRF
    would be contingent on a positive change in the sovereign's
    propensity to support the bank. While not impossible, this is
    highly unlikely, in Fitch's view.

-- Caixa-BI's ratings could be upgraded if CGD's IDRs were
    upgraded.

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

-- CGD ratings could be downgraded if there was an unexpected
    severe setback to the economic recovery implying negative
    financial repercussions on the bank's credit profile. Fitch
    would likely downgrade CGD's Long-Term IDR and VR if there was
    a substantial and prolonged deterioration in asset quality and
    profitability, which would lead to an increase of CGD's stage
    3 impaired loans ratio to levels above 8% and an operating
    profit/RWAs that would fall to levels below 0.5% with no
    credible plan to restore these ratios to pre-coronavirus
    crisis levels.

-- An unexpected and material drop in CGD's capitalisation to
    levels that would no longer be above domestic peers could also
    lead to negative rating action if the bank's capitalization
    become less commensurate with the risks its faces.

-- CGD's senior preferred and senior non-preferred debt ratings
    could be downgraded if the bank's Long-Term IDR was
    downgraded. CGD's subordinated Tier 2 ratings are sensitive to
    changes in the bank's VR. The rating of CGD's AT1 instruments
    could be downgraded if the bank's VR was downgraded or if
    Fitch no longer expects CGD will maintain moderate buffers
    above its capital requirements (typically at least 100bp)
    leading to higher non-performance risk.

-- CGD's deposit ratings are sensitive to changes in CGD's IDRs
    and could be downgraded if the latter were downgraded. Fitch
    could also downgrade CGD's deposit ratings if it expects that
    the bank will have difficulties to comply with its MREL
    requirement without using eligible deposits.

-- CGD's SR would be downgraded and the SRF revised downwards if
    Fitch concludes that the sovereign's propensity to support CGD
    has reduced, or if there are plans to privatise the bank,
    which the agency does not expect.

-- Caixa-BI's ratings could be downgraded if CGD's IDRs were
    downgraded. The ratings are also sensitive to a change in
    CGD's propensity to support its subsidiary, which is currently
    not expected.

BEST/WORST CASE RATING SCENARIO

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

Caixa -BI's IDRs are equalised with those of its parent, driven by
the full ownership, its integration within its parent and the
offering of investment banking products to CGD's customer base.

ESG CONSIDERATIONS

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




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

BRITISH AMERICAN TOBACCO: Fitch Rates EUR2BB Hybrid Notes 'BB+'
---------------------------------------------------------------
Fitch Ratings has assigned British American Tobacco PLC's (BAT;
BBB/Stable) EUR2 billion perpetual subordinated fixed-to-reset rate
notes (hybrids, with the nominal amount equally split into a
non-call 5.25- and eight-year period) a 'BB+' final instrument
rating.

The hybrids are deeply subordinated, ranking senior only to BAT's
share capital and pari passu with preference shares, while coupon
payments can be deferred at the discretion of the issuer and
deferrals of coupon payments are cumulative. The securities
therefore qualify for 50% equity credit as they meet Fitch's
criteria with regard to subordination, remaining effective maturity
of more than five years, full discretion to defer coupons for at
least five years and limited events of default.

As a result, the 'BB+' subordinated instrument rating assigned to
the securities is two notches below BAT's 'BBB' Issuer Default
Rating (IDR), reflecting the notes' higher loss severity and risk
of non-performance relative to senior obligations.

The hybrids are issued for general corporate purposes and debt
refinancing. BAT's 'BBB' IDR and its Stable Outlook remain
unaffected by the hybrids.

The ratings are underpinned by BAT's strong business risk profile
as the second-largest global tobacco industry manufacturer in a
fairly consolidated sector, the group's regional and brand
diversification, including scope to grow next-generation products
(NGP), and exposure to a wide range of mature, cash-generating
markets and emerging markets offering growth potential.

The ratings remain constrained by a heightened financial risk
profile, following the full integration of BAT's Reynolds American
Inc (RAI) leveraged acquisition. The Stable Outlook assumes a
steady but modest deleveraging path to 2024, which should be aided
by the introduction of hybrid capital into its capital structure,
all assumptions being equal. The Outlook also assumes a continued
careful focus on capital allocation that supports a gradual
deleveraging path.

KEY RATING DRIVERS

Rebuilding Rating Headroom: BAT's rating currently has limited
financial headroom following the RAI acquisition, with funds from
operations (FFO) net leverage at 4.6x at end-2020, which is high
for the rating. The rating and Stable Outlook are predicated on
gradual deleveraging towards 4.0x by 2024, which should be aided by
the introduction of hybrid capital into its capital structure. The
Outlook also assumes a continued focus on capital allocation that
supports a gradual deleveraging path.

Solid Cash Generation Underpins Deleveraging: Fitch's rating case
projects free cash flow (FCF) margins of around 6% for the next two
years, based on modest organic revenue growth, stable EBITDA
margins of 43% (aided by an ongoing restructuring programme),
disciplined capex at just under 3% of sales, prudent
working-capital management, and no material acquisitions or
extraordinary shareholder returns. However, Fitch sees risks of
adverse foreign-exchange (FX) movements, which have previously
slowed revenue growth and, as recently as in 2020, deleveraging.

NGP Franchise Growth, Profitability Focus: Fitch assesses BAT's
NGPs portfolio as industry-leading, spanning from vaping, tobacco
heating to oral products under a newly established global brand
architecture. The franchise, particularly vaping, has performed
satisfactorily during the pandemic, by continuing to add to BAT's
target of 50 million users by 2030. While the capex cycle in
support of the NGP franchise has broadly been completed, BAT
continues to support growth with price investments, leading to
continued, albeit declining, pressure on profitability.

Pandemic Neutral-Positive for Tobacco: The tobacco sector's
performance during the pandemic has been resilient, with consumer
demand stable or even increasing in some markets. Consumption
patterns have remained strong across categories despite some demand
behavior shifts during the pandemic, such as reduction of duty-free
and illicit trade. However, the medium-term economic impact of the
pandemic presents a risk to volumes and market share as consumers
may curtail consumption and/or trade down to cheaper brands.

US Regulatory Risks Increasing: The FDA's proposed ban on
menthol-flavoured cigarettes and cigars increases regulatory risk
for global tobacco companies but Fitch believes it will not affect
ratings in the near-to-medium term. A ban could accelerate the
secular decline in cigarette volumes, but would face a long
timeframe to implementation given potential litigation by the
tobacco industry. Fitch would also expect the industry to continue
its focus on migrating consumers mainly to NGPs to mitigate the
long-term decline in traditional cigarettes, as was evident
following the menthol bans in the EU and Turkey.

However, Fitch sees other regulatory risks, including changes to
excise duties, marketing practices, and greater regulatory
involvement and scrutiny around the emerging NGP segment, which
Fitch treats as event risk.

Canadian Operations Deconsolidated: Fitch deconsolidates BAT's
Canadian operations (ITCAN) to reflect the potential negative
impact of ongoing litigation they are facing and to isolate the
risk of financial payout solely within the Canadian entity
(including bankruptcy risks). The deconsolidation removes its
EBITDA contribution (estimated 4% of BAT's consolidated operating
profit) and restricts GBP878 million of estimated cash held in
Canada. Hence Fitch's rating case models a 'worst-case' approach,
ie no value remains in the Canadian operations for BAT as result of
the litigation. However, in return Fitch has also removed all cash
uncertainties associated with the legal proceeding from Fitch's
rating case. This deconsolidation results in an increase in FFO net
leverage of approximately 0.2x.

ESG Social, Risk Factors: As with other main tobacco companies, BAT
has an ESG Relevance Score of '4' for Customer Welfare - Fair
Messaging, Privacy & Data Security due to its exposure to customer
accountability/ethical marketing risk, and '4' for Exposure to
Social Impacts due to its exposure to public health regulatory
risks.

DERIVATION SUMMARY

BAT is a leading tobacco company globally but holds number two
positions both in the US, where the leader is Altria Group, Inc.
(BBB/Stable) and internationally, where the leader is Philip Morris
International, Inc. (PMI; A/Stable). Following the RAI merger,
BAT's FFO net leverage is around 4.5x, which, although projected to
drop to 4.0x by 2024, is currently high for a 'BBB' rated tobacco
company (versus BBB median of 3.5x; BB: 4.5x) and limits its rating
headroom.

Financial leverage is the key differentiator between BAT and PMI,
its closest international peer in of size, market position and
brand portfolio, but which does not operate in the US.

BAT's IDR is at the same level as Imperial Brands PLC's (IB;
BBB/Stable). Compared with BAT, IB displays weaker competitive
positioning and more limited geographic diversification with a
stronger focus on developed markets and on lower-priced and
mid-range products, together with a slower foray into NGPs. IB is
considerably reducing its leverage (FFO net leverage 3.2x in 2021
from 4.2x at end-2020) following debt repayment with disposal
proceeds and an announced dividend reset. In addition, IB's
creditors benefit from more conservative shareholder distributions
and a strong focus on cost management.

BAT's IDR is also at the same level as Altria's 'BBB'. Altria is
the industry leader in the US cigarette market with its Marlboro
franchise. Fitch expects Altria's leverage (total debt/operating
EBITDA) to remain in the mid-2x range, with no planned debt
reduction as the company remains committed to shareholder-based
initiatives through additional dividend increases and share
repurchases.

KEY ASSUMPTIONS

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

-- Organic annual revenue and profit growth on average of 3.5% a
    year to 2024;

-- EBITDA margin trending towards 42% by 2023;

-- Capex at GBP700 million (2.8% of sales) in 2021, and stable at
    2.8% to 2024;

-- Deconsolidation of Canadian operations, reducing operating
    profits by around 4% and restricting cash of GBP878 million a
    year, including trapped and cash tied in operations;

-- M&A spending for bolt-on acquisitions and partnerships at
    GBP50 million to GBP100 million a year over 2021-2024;

-- Increasing rating headroom for resumption of share buybacks
    from 2023; and

-- Dividend payout at 65% with low single-digit annual growth for
    the next four years.

RATING SENSITIVITIES

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

-- FFO net leverage trending towards 3.5x (corresponding to net
    debt / EBITDA of between 2.5x and 3.1x);

-- FCF margin remaining at least in the mid-single digits; and

-- FFO interest cover coverage returning above 6.0x.

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

-- Annual FCF falling below the GBP1 billion mark (or under 3% of
    sales) and insufficient to generate steady de-leveraging;

-- No evidence of FFO net leverage trending below 4.3x by 2022;
    and

-- FFO interest cover dropping below 4.5x.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Strong Liquidity: Fitch assesses BAT's liquidity as strong with a
balanced maturity profile, with cash averaging GBP1.7 billion, as
estimated by Fitch, and a renewed GBP5.85 billion committed
revolving bank facility comprising two tranches, maturing in 2022
and 2026, following extensions effective from March 2021. As of
end-2020, the revolving credit facility was undrawn and no
commercial paper was outstanding.

The introduction of a new subordinated debt class provides BAT with
greater financial flexibility by refinancing upcoming maturities
and therefore improving its debt maturity profile.

ISSUER PROFILE

BAT is a leading international tobacco company by sales with market
leadership in over 55 countries. Its portfolio is made up of its
global cigarette brands and a growing range of potentially
reduced-risk products, including vapour, tobacco heating products
and modern oral products as well as traditional oral products such
as snus and moist snuff.

SUMMARY OF FINANCIAL ADJUSTMENTS

Fitch allocates 50% to equity credit to BAT's EUR2 billion hybrid
notes.

ESG CONSIDERATIONS

BAT has an ESG Relevance Score of '4' for Customer Welfare - Fair
Messaging, Privacy & Data Security due to its exposure to customer
accountability/ethical marketing risk, and for Exposure to Social
Impacts due to its exposure to public health regulatory risks,
which both have a negative impact on the credit profile and are
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.


DERBY COUNTY FOOTBALL: Says Mike Ashley Not Among Potential Buyers
------------------------------------------------------------------
Independent reports that administrators of Derby County Football
Club have confirmed "several" interested parties have submitted
"serious" bids for the club -- but Mike Ashley is not one of them.

The Rams went into administration last month and there has been
speculation Ashley is among those interested in buying the Sky Bet
Championship club, Independent relays.

Retail billionaire Ashley sold Newcastle to a consortium led by
Saudi-based Public Investment Fund last week, but Derby's
administrators said he had not contacted the club, Independent
notes.

According to Independent, Andrew Hosking, managing director at
Quantuma and Derby's joint administrator, said: "We have been
contacted by a number of interested parties in relation to the sale
of Derby County and have subsequently issued a series of
non-disclosure agreements (NDAs) for signature in order to
proceed.

"Of those who have returned a signed NDA, several have been able to
provide the necessary proof of funds we have requested to be
considered as a serious bidder.

"As this is an ongoing process, we are unable to comment on the
names of the individuals and organizations that have met this
criteria at this time.

"We can however confirm that we have neither been approached by,
nor have we entered into dialogue with Mike Ashley."

               About Derby County Football Club

Founded in 1884, Derby County Football Club is a professional
association football club based in Derby, Derbyshire, England.  The
club competes in the English Football League Championship (EFL, the
'Championship'), the second tier of English football.  The team
gets its nickname, The Rams, to show tribute to its links with the
First Regiment of Derby Militia, which took a ram as its mascot.
Mel Morris is the owner while Wayne Rooney is the manager of the
club.  

On Sept. 22, 2021, the club went into administration.  The EFL
sanctioned a 12-point deduction on the club, putting the team at
the bottom of the Championship.  Andrew Hosking, Carl Jackson and
Andrew Andronikou, managing directors at business advisory firm
Quantuma, had been appointed joint administrators to the club.


ELLIOT GROUP: Agreement Reached for Sale of Four Stalled Schemes
----------------------------------------------------------------
Grant Prior at Construction Enquirer reports that agreement has
been reached for the sale of the last of four stalled Elliot Group
schemes after the developer collapsed into administration following
the arrest of founder Elliot Lawless.

According to Construction Enquirer, administrators for the
company's GBP70 million hotel scheme on Norfolk Street in
Liverpool's Baltic tech district have exchanged contracts with the
scheme's original investors.

HBG Insolvency Ltd will now put the sale proposal before the High
Court for final ratification, Construction Enquirer discloses.

The 306-bedroom property had secured planning permission and
construction had commenced, before ceasing when investors decided
not to continue funding the project following Mr. Lawless's arrest
in December 2019, Construction Enquirer relates.


GREENSILL: Credit Suisse to Delay Publication of Report Findings
----------------------------------------------------------------
Marion Halftermeyer at Bloomberg News reports that Credit Suisse
Group AG is delaying the publication of findings from a report into
the collapse of a US$10 billion group of investment funds that it
ran together with Greensill Capital.

The bank had initially hoped to present key findings along with its
third-quarter results, but will now take longer as executives focus
on the implications for their ability to claim back money for fund
investors, Bloomberg relays, citing according to a person familiar
with the matter who asked for anonymity.

The stakes for the bank have been rising after its offices were
raided by police over the matter, according to the Financial Times,
which reported on the delay earlier on Oct. 11, Bloomberg notes.
While neither the bank nor current or former employees are persons
of interest in the investigation, prosecutors could name more
people or corporate entities as they progress, Bloomberg states.

Investors in the supply chain finance funds are still waiting for
over US$3 billion to be repaid, more than half a year after the
money pools were frozen, Bloomberg discloses.

According to Bloomberg, the person familiar with the matter said
the board of directors recently discussed a draft of the Greensill
report that showed many findings were similar to those from a
separate report on Credit Suisse's handling of the Archegos Capital
collapse.

The supply chain finance funds invested in notes issued by
Greensill Capital, a specialty lender that went into administration
in March, Bloomberg recounts.  The bank marketed them as among the
safest investments it offered, because the loans they held were
backed by invoices usually paid in a matter of weeks, according to
Bloomberg.  But as the strategy grew, they strayed from that pitch
and much of the money was lent through Greensill against expected
future invoices, for sales that were merely pitched, Bloomberg
notes.

Credit Suisse, Bloomberg says, is still trying to recover US$2.7
billion in overdue loan payments.  The majority lies with problem
borrowers Katerra Inc., Sanjeev Gupta's GFG Alliance Ltd., and
Bluestone Resources Inc.  All three are undergoing restructuring
processes and the bank has said it needs more time to assess how
much of investors' money it will get back, Bloomberg notes.


MANSARD MORTGAGES 2007-2: Fitch Affirms B- Rating on Cl. B2a Notes
------------------------------------------------------------------
Fitch Ratings has affirmed Mansard Mortgages 2006-1 Plc (MM06-1)
and Mansard Mortgages 2007-2 Plc (MM07-2) and removed the class B2a
notes in both transactions from Rating Watch Positive (RWP), as
follows:

        DEBT                   RATING            PRIOR
        ----                   ------            -----
Mansard Mortgages 2007-2 PLC

Class A1a XS0333305299    LT AAAsf   Affirmed    AAAsf
Class A2a XS0333306933    LT AAAsf   Affirmed    AAAsf
Class B1a XS0333313988    LT BBB+sf  Affirmed    BBB+sf
Class B2a XS0333340361    LT B-sf    Affirmed    B-sf
Class M1a XS0333308475    LT AAAsf   Affirmed    AAAsf
Class M2a XS0333311693    LT AA-sf   Affirmed    AA-sf

Mansard Mortgages 2006-1 PLC

A2a 56418MAB5             LT AAAsf   Affirmed    AAAsf
B1a 56418MAE9             LT AAsf    Affirmed    AAsf
B2a 56418MAF6             LT BB+sf   Affirmed    BB+sf
M1a 56418MAC3             LT AAAsf   Affirmed    AAAsf
M2a 56418MAD1             LT AA+sf   Affirmed    AA+sf

TRANSACTION SUMMARY

The transactions are backed by residential mortgages originated by
Rooftop Mortgages, a non-conforming mortgage lender.

KEY RATING DRIVERS

Off RWP: The class B2a notes in both transactions have been removed
from RWP. They were placed on it in in July 2021 following the
retirement of Fitch's coronavirus-related additional stress
scenario analysis for buy to let (BTL) assets (see 'Fitch Retires
UK and European RMBS Coronavirus Additional Stress Scenario
Analysis, except for UK Non-Conforming').

The retirement of the additional stress analysis is the result of
improved macroeconomic forecasts, the limited to no performance
deterioration observed so far, and Fitch's expectation that the
stress included in Fitch's representative pool foreclosure
frequency and house price decline assumptions is sufficient to
account for the remaining uncertainty related to the Covid-19
pandemic.

Foreclosure Frequency Macroeconomic Adjustments: Fitch applied
foreclosure frequency (FF) macroeconomic adjustments to the
owner-occupied non-conforming sub-pool because of the expectation
of a temporary mortgage underperformance (see Fitch Ratings to
Apply Macroeconomic Adjustments for UK Non-Conforming RMBS to
Replace Additional Stress). With the government's repossession ban
ended, there is still uncertainty about borrowers' performance in
the UK non-conforming sector, where many borrowers have already
rolled into late arrears over recent months. Borrowers' payment
ability may also be challenged with the end of the Coronavirus Job
Retention Scheme and Self-employed Income Support Scheme. The
adjustment is 1.58x at 'Bsf' while no adjustment is applied at
'AAAsf' as Fitch deems assumptions sufficiently remote at this
level.

Elevated Senior Fees: Both transactions have incurred increased
senior fees since 2019. The increase in senior fees in MM06-1 has
led to drawings on the reserve fund, which has been below target on
the most recent interest payment dates (IPD). Fitch has reflected
this increase in its senior fee assumptions for the transactions by
assuming the average costs incurred in the last two years are
incurred on an ongoing basis. Fitch has constrained the rating on
MM06-1's class M2a and B1a notes at one notch below the
model-implied ratings due to the high volatility in these payments
and the drawing on the reserve fund.

Increasing CE: The transactions contain cash reserves that are
non-amortising due to irreversible trigger breaches. On the last
two IPDs, MM06-1's cash reserve has been drawn to cover losses and
now stands at 96.4% of the target. Credit enhancement (CE) for all
notes continues to increase, to 90.2% from 83.1% and 48.7% from
48.0% since October 2020 for the senior notes of MM06-1 and MM07-2,
respectively.

Performance Within Expectations: Loans that are three month or more
in arrears increased in the last collection period for MM06-1 and
slightly decreased for MM07-2. For MM06-1 they increased to 6.6% in
July 2021 from 5.7% in July 2020. For MM07-2 they slightly
decreased to 4.8% in September 2021 from 5.1% in September 2020.
Early stage arrears remain stable as the formation of new
delinquencies has remained limited.

In Fitch's analysis, the increase in expected loss from additional
loans moving into late stage arrears has been offset by increased
CE available to the classes of notes that have been affirmed.

IO Concentration: There is a material concentration of
interest-only (IO) loans maturing within a three-year period during
the lifetime of the transactions. For MM06-1, 57.8% mature between
2029 and 2031 and for MM07-2, 50.6% mature between 2030 and 2032.
For the two owner-occupied sub-portfolios, the IO concentration
weighted-average (WA) FF is lower than the standard portfolio WAFF.
As a result, the IO concentrations do not constrain the notes'
ratings.

RATING SENSITIVITIES

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

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

-- Unanticipated declines in recoveries could also result in
    lower net proceeds, which may make certain notes susceptible
    to negative rating action depending on the extent of the
    decline in recoveries. Fitch conducts sensitivity analyses by
    stressing both a transaction's base-case FF and recovery rate
    (RR) assumptions, and examining the rating implications on all
    classes of issued notes. Under this scenario, Fitch assumed a
    15% increase in the WAFF and a 15% decrease in the WARR. The
    results indicate a six-notch downgrade of the junior tranche
    in MM06-1 and a three-notch downgrade of the junior notes in
    MM07-2.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing CE levels
    and potential upgrades. Fitch tested an additional rating
    sensitivity scenario by applying a decrease in the FF of 15%
    and an increase in the RR of 15%. The results indicate
    upgrades of four notches for the junior notes in MM06-1 and
    MM07-2.

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
pools and the transactions. Fitch has not reviewed the results of
any third party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

Fitch did not undertake a review of the information provided about
the underlying asset pools ahead of the transaction's initial
closing. The subsequent performance of the transactions over the
years is consistent with the agency's expectations given the
operating environment and Fitch is therefore satisfied that the
asset pool information relied upon for its initial rating analysis
was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.

ESG CONSIDERATIONS

MM06-1 and MM07-2 have an ESG Relevance Score of 4 for "Human
Rights, Community Relations, Access & Affordability" due to a
significant proportion of the pools containing owner-occupied loans
advanced with limited affordability checks, which has a negative
impact on the credit profile, and is relevant to the ratings in
conjunction with other factors.

MM06-1 and MM07-2 have an ESG Relevance Score of 4 for Social
Impact due to accessibility to affordable housing and compliance
risks including fair lending practices, mis-selling,
repossession/foreclosure practices and consumer data protection
(data security), which has a negative impact on the credit profile,
and is relevant to the ratings in conjunction with other factors.

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


NMCN: Keltbray Buys Infrastructure Division, 117 Jobs Saved
-----------------------------------------------------------
Joshua Stein at Construction News reports that Keltbray Highways
has bought some of NMCN's infrastructure assets and contracts,
saving 117 jobs in the process.

Keltbray bought the contracts and all the associated assets after
NMCN went into administration last week, Construction News relates.


According to Construction News, Keltbray said it will manage the
contracts it has acquired within its own infrastructure division.

Administrators from Grant Thornton said 19 redundancies from the
infrastructure division had been made after it failed to transfer
the operation's remaining contracts, Construction News notes.

Administrator Grant Thornton UK LLP said on Oct. 8 that it was
unable to sell NMCN's building division, leading to the loss of 80
jobs, Construction News relays.

NMCN had been pursuing a GBP24 million re-financing plan, but said
earlier this month that it would not be able to approve its audited
accounts to meet the timeframe, Construction News recounts.  The
delays led to the collapse of the re-financing plan and created
"significant liquidity issues" for the firm, forcing it into
administration, Construction News states.

The contractor had unveiled a string of profit warnings over the
last year and, in August, said it expected to report a pre-tax loss
of around GBP43 million for 2020, Construction News recounts.  It
also expected to report a loss for 2021, according to Construction
News.


OCADO GROUP: Fitch Gives Final 'BB-' on GBP500MM Unsec. Notes
-------------------------------------------------------------
Fitch Ratings has assigned Ocado Group PLC's (Ocado) new GBP500
million notes a final senior unsecured instrument rating of 'BB-'
with a Recovery Rating of 'RR3'. Fitch has also affirmed its
Long-Term Issuer Default Rating (IDR) at 'B+' with a Stable
Outlook.

The GBP500 million notes rank pari passu and share guarantors with
Ocado's GBP950 million convertible bonds. Proceeds of the notes are
being used to prepay GBP225 million existing 2024 senior secured
notes - the rating of which Fitch will withdraw upon their
repayment - transaction costs and capex.

The IDR reflects Fitch's view of largely unchanged execution risks
for Ocado's international solutions segment, including risks
associated with the timely delivery of technology requiring
significant upfront capex. The rating is premised on the assumption
that Ocado will be able to demonstrate by financial year to
November 2023 that it can replicate internationally the operational
and economic success of its UK retail operations. This expansion
will add scale and diversification in support of the rating, but
Fitch maintains Fitch's expectations that its solutions business
will only generate positive EBITDA in FY23.

The Stable Outlook reflects the group's solid financial
flexibility, which Fitch believes should enable management to
execute Ocado's strategy over the next few years. However, Fitch
expects the group to require funding by FY23 and assess refinancing
risk as being contingent on Ocado successfully executing its growth
strategy.

Our rating references Ocado's solutions business, whereas Fitch
deconsolidates Ocado Retail Ltd (its joint venture (JV) with Marks
and Spencer Group plc (M&S); BB+/Stable).

KEY RATING DRIVERS

Transformation Accelerates: Ocado continues to accelerate its rapid
transformation from a UK online food retailer to an international
technology and business service provider with a significant portion
of long-term contracted earnings. Fitch's rating reflects the
growing scale, upfront investments and execution risks associated
with the progress on 40 of its international customer fulfilment
centres (CFCs) over the next four years. Fitch expects a further 16
international CFCs to go live by FYE23, most of which are under
construction already. Ocado delivered two more international CFCs
in 2021 on time and on budget for its US partner Kroger. Ocado
reports that all four open CFCs, two of which launched in 2020, are
ramping up according to plan and contributed GBP19 million to fee
revenue in 1H21.

Capacity Growth in UK: The addition of 40% capacity in 2021 will
drive an increase in fees for Ocado's UK solutions & logistics
segment. The unit added 175,000 orders a week (OPW) to its peak
capacity by opening CFCs in Bristol, Purfleet and Andover, the
latter following fire damage, taking the overall maximum for the JV
to about 600,000 OPW. Two more announced CFCs at Bicester and Luton
will take the peak capacity to 700,000 OPW by FYE23. These capacity
figures compare with average OPW of 334,000 in FY20 and 356,000 in
1H21.

Fitch expects 2021 UK solutions revenue from supermarket chain
Morrisons to beat 2019 levels, as it continues rebuilding its
capacity at the Erith CFC since February 2021. Store-picking fees
have also increased, having temporarily halved, with participating
store numbers having increased materially during the pandemic.

Negative FFO and EBITDA: Fitch continues to forecast negative
consolidated funds from operations (FFO) and EBITDA until FY23
given the 'start-up' phase of Ocado's international solutions
division. Ocado will incur operating costs not covered by any
revenue until the international CFCs start operating, in line with
IFRS15. Fitch's current rating is underpinned by Ocado's financial
flexibility to fund those planned investments.

Funding Requirement in FY23: Despite the latest notes issue, Fitch
still expects Ocado to have a funding requirement in FY23.
Available liquidity (including cash deposits) at FYE20 was strong
at GBP1.9 billion, but this will be consumed by significant planned
capex. Higher development costs or a commitment to deliver more
CFCs over the next four years may bring forward funding
requirement. This is mitigated by Ocado's strong business valuation
and business proposition, which support sound access to equity and
debt markets to address funding needs.

Profitable by FY23: Fitch anticipates Ocado to become profitable in
FY23 with a Fitch-forecast EBITDA of about GBP120 million for the
solutions business. This assumes continued progress with CFCs under
existing contracts and three additional CFCs a year. Positive cash
flow contributions from early projects coming on stream in 2020 and
2021 are outweighed by further investment needs in projects under
development. Adding more than the three CFCs a year modelled under
Fitch's rating case would delay the path to profitability. Fitch's
updated rating case includes deferred revenue from international
CFCs as they become operational, which adds GBP40 million in FY23.

JV Deconsolidated: Fitch deconsolidates the JV as it sits outside
the restricted group, but include the fees paid by the JV when
assessing Ocado's rating profile. The JV also allows UK solutions
segment to continue testing its new technologies and drive
efficiencies in the UK. The creation of the JV freed up capital,
with M&S having initially paid about GBP563 million for its 50%
stake, which ring-fenced Ocado's UK retail operations. Fitch
expects the JV's contribution to Ocado's consolidated financial
performance to structurally decline based on Fitch's projected
growth for the solutions business.

FY23 JV Fees; 3Q Trading Hit: Fitch expects the UK solutions
segment to benefit from about GBP140 million fees received from the
JV for providing the IT platform, CFCs and logistics in FY23.
Trading in 3Q21 was affected by a contained fire at the Erith CFC,
which management expects to have a net (post insurance) GBP10
million impact on EBITDA along with sector-wide pressures stemming
from driver shortages and increasing labour costs. Management
expects a GBP5 million impact on EBITDA via measures to address the
sector-wide pressures.

JV Trading to Normalise: The pandemic has had a positive impact on
the JV by boosting online shopping. Revenue and reported EBITDA
rose materially in FY20 despite a limited increase in orders amid
capacity constraints. However, consumer behaviour started to
normalise in 2Q21 with the average basket size in value and unit
terms reducing towards pre-pandemic levels.

Accelerated Online Growth: Fitch expects the accelerated growth and
continued shift to online grocery shopping to have a positive
impact on Ocado's solutions business as demand for automated
warehouses and online platforms grows and the profitability of
online channels becomes more critical to retailers. Testifying the
soundness of Ocado's business proposition and its competitive
advantage as supplier of online grocery management services, Ocado
Retail, the company's main operation, which is currently live and
has an established record, reported a 1H21 EBITDA margin of 8.5%,
ahead of other grocers', although this could have been boosted by
pandemic.

DERIVATION SUMMARY

Fitch applies its Business Service Navigator framework in its
analysis of Ocado. This reflects that the UK retail operations are
ring-fenced with no direct recourse to Ocado's group lenders and
Fitch's view that the business risk profile of the solutions
business will drive Ocado's credit quality in the long term, given
the accelerating growth of and investment into these operations.

Fitch assumes that Ocado's solutions business, which includes UK
solutions & logistics and international solutions, once it reaches
maturity, should exhibit an FFO margin above 15%, which would be
solid for the rating. However, even by FY23, the ability to
deleverage organically with free cash flow (FCF), and hence the
rating, could come under pressure from continuing capex
requirements.

Not only would Ocado's credit profile benefit from a contractual
revenue base, the business-risk profile would also benefit from low
customer churn and high switching costs (a function of its bespoke
technology) and a diversified geographic presence. This helps
counterbalance some reliance on Kroger as its key customer and
partner.

KEY ASSUMPTIONS

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

-- Revenues under Ocado's international solutions business
    ramping up towards GBP300 million by FY23;

-- Ocado's solutions EBITDA (UK solutions and international
    solutions) to remain negative until FY22, before turning
    positive at about GBP120 million in FY23;

-- UK retail sales (the JV) rising towards GBP2.8 billion by
    FY23;

-- Gross capex ranging between GBP750 million and GBP900 million
    a year in FY21 to FY23;

-- No upstream dividends from the JV, nor investment by Ocado
    into the JV over the next four years.

Fitch's Key Recovery Rating Assumptions:

The recovery analysis assumes that Ocado would be reorganised as a
going concern (GC) in bankruptcy rather than liquidated. Fitch has
assumed a 10% administrative claim and the value available to
creditors consisting of the sum of the Ocado restricted group's
enterprise value (EV) and 50% of the JV.

Ocado's GC EBITDA is based on the first year of projected positive
EBITDA for the solutions division (FY23) at GBP118 million. This is
at the point when first few international CFCs are assumed to have
ramped up, and Ocado continues its expansion. Fitch considers that
about GBP70 million of this would be available to creditors
post-restructuring, given the execution risk on the international
solutions segment while also recognising a more established UK
solutions business. This is an increase from a previously estimated
GC EBITDA of GBP40 million, due to slightly higher planned capacity
for UK solutions, and recognition of deferred revenue from
international CFCs that is partially offset by higher costs.

Fitch has used a 6.0x EV/EBITDA multiple, which is in line with
business services companies' distressed multiple, but reflects the
strong growth of Ocado's business and its market position.

Following more material EBITDA generation by the JV, Fitch now
attributes half of its estimated GBP1 billion value for this
business in Fitch's GC valuation for Ocado. Fitch views that
default would not be simultaneous and base the JV valuation on
estimated sustainable GBP110 million EBITDA and a 9x multiple. The
multiple is conservatively at the low end of trading multiples for
grocers such as Tesco PLC (BBB-/Stable), Sainsbury's, Morrisons,
Kroger and M&S. Any increase in debt at the JV (Fitch deducts its
GBP30 million revolving credit facility) will affect the value
attributed to it.

Ocado's new senior unsecured notes rank pari passu with convertible
bonds, and debt quantum also includes GBP42.6 million guarantee
facilities, which are assumed to be used.

The outcome of the recovery analysis is in line with a 'BB-'/'RR3',
one notch above Ocado's Long-Term IDR. The waterfall analysis
output percentage is 55% for the capital structure with the new
GBP500 million unsecured notes replacing GBP225 million secured
notes.

RATING SENSITIVITIES

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

Fitch does not envisage a positive rating action in the near term,
reflecting the inherent execution risks associated with the rapid
transformation into a solution and business service provider.
However, over the longer term, evidence of greater maturity in the
solutions business, with increasing scale and diversification,
positive EBITDA contributions and lower upfront capex would
indicate successful execution of Ocado's growth strategy and be
positive for the rating:

-- FFO margin at low- to mid-single digits;

-- Break-even performance of the business leading to some
    visibility towards an FFO adjusted gross leverage sustainably
    below 5.0x.

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

-- Execution risks associated with Ocado's business
    transformation, such as a material under-performance in the JV
    due to disruption of supply arrangements, product offerings,
    customer loyalty, or a delay to or cost overruns in the roll
    out of the investment plan, leading to a significantly faster
    cash burn than anticipated in Fitch's rating case;

-- Evidence of an increase in the number of new CFCs or new
    capex-intensive initiatives without sufficient funding in
    place;

-- Higher cash burn in relation to higher costs and capex than
    Fitch's rating case, leading to further funding needs over our
    four-year rating horizon, with readily available cash below
    GBP1 billion in FY21 or at a level insufficient to fund
    operation and investments until at least December 2022;

-- UK solutions segment not moving towards break-even EBITDA by
    FY22 and unable to generate positive EBITDA by FY23.

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

High Cash Reserves Support Investments: Ocado's available liquidity
(including cash deposits) for FYE20 at GBP1.9 billion was strong
and sufficient to cover incremental capex to support building and
putting into operation the planned number of international and UK
CFCs until FY23. Fitch expects Ocado to retain about GBP1.3 billion
of cash on its balance sheet at end-FY21.

Although its cash balance is not enough to cover the next three
years of capex and Fitch expects the company to require funding in
FY23, Fitch expects FFO to turn positive by FY23, due to the
maturing profile of its international CFCs. Successful execution of
its strategy will determine Ocado's ability to refinance. Closest
maturity is in 2025 for GBP600 million convertible bonds if
redeemed.

Ocado has demonstrated strong access to financial markets with the
new GBP500 million senior unsecured notes, following a GBP350
million convertible bond issue along with a GBP657 million new
share placement in 2020.

ISSUER PROFILE

Ocado is a technology company that develops end-to-end operating
solutions for online grocery retail. It also has its own grocery
retail operations, which are ring-fenced in a JV with M&S.

ESG CONSIDERATIONS

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


[*] UK: FCA Criticized for Paying Out Bonuses Despite Scandals
--------------------------------------------------------------
Jon Ungoed-Thomas at the Observer reports that Britain's financial
regulator, accused of failing from "top to bottom" after a string
of scandals, has paid out bonuses of more than GBP125 million to
its staff since 2016.

According to The Observer, campaigners said the payouts at the
Financial Conduct Authority (FCA) were an "absolute insult" to
savers who had lost their life savings because of the regulator's
systemic failings.

The FCA boss Nikhil Rathi is now proposing to scrap the bonuses
after two independent reviews found the regulator had acted too
slowly to protect consumers, The Observer discloses.  He said the
payouts had "not been effective at driving individual or collective
performance".

Details of the bonus payouts obtained by The Observer reveal
GBP125,529,590 has been paid out in bonuses at the watchdog since
2016, including bonuses worth up to GBP45,000 each for executive
directors, The Observer states.

In the year to March 31, 2021, GBP19.8 million in bonuses was paid
out, with average payouts of about GBP5,300 for those receiving
awards, according to The Observer.

These are among the biggest bonus pots ever handed out in a
government department or quango, The Observer notes.

The watchdog was criticized in a damning report by the former court
of appeal judge Dame Elizabeth Gloster last December over its
failure to effectively supervise and regulate the mini-bond issuer
London Capital & Finance (LCF), The Observer relays.  About 11,600
investors lost savings of up to GBP237 million when LCF went into
administration in 2019, The Observer states.

Two of the FCA's most senior executives, Megan Butler and Jonathan
Davidson, faced calls from MPs to repay bonuses of GBP45,000 each
paid in the 2018-19 financial year after they were named in the
Gloster report, The Observer discloses.

The watchdog was criticized in another independent review published
in December for ineffective regulation over the collapse of the
Connaught Income Fund in 2012, The Observer recounts.  The FCA said
at the time it was "profoundly sorry" for the mistakes that had
been made, The Observer notes.

The watchdog has also faced criticism for failing to intervene
before the collapse of Neil Woodford's GBP3.1 billion Woodford
Equity Income Fund, The Observer relates.  It was shut down in
October 2019 with heavy losses for tens of thousands of investors,
The Observer recounts.

According to The Observer, in an FCA consultation document that has
been circulated to staff, Mr. Rathi said it was "increasingly
difficult" to justify the bonus payouts after the LCF and Connaught
fund reviews found the regulator had acted too slowly to protect
consumers.



                           *********


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

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

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

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

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

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


                * * * End of Transmission * * *