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

                          E U R O P E

          Tuesday, November 2, 2021, Vol. 22, No. 213

                           Headlines



C R O A T I A

FORTENOVA GRUPA: Two Key Shareholders Commence IPO Consultation


F R A N C E

VERALLIA SA: S&P Alters Outlook to Positive & Affirms 'BB+' ICR


G E R M A N Y

HENNIGES AUTOMOTIVE: Files for Insolvency in German Courts
PBD GERMANY 2021-1: Fitch Assigns Final B(EXP) Rating on Cl. F Debt
PBD GERMANY 2021-1: Moody's Assigns (P)B1 Rating to Class F Notes
RETAIL AUTOMOTIVE 2021: S&P Assigns BB- Rating on Class F Notes


H U N G A R Y

NITROGENMUVEK ZRT: S&P Alters Outlook to Negative & Affirms 'B' ICR


I R E L A N D

BARINGS EURO 2020-1: S&P Assigns Prelim. B- Rating on F-R Notes
CAIRN CLO XIV: Moody's Assigns B3 Rating to EUR11.6MM Cl. F Notes
CAIRN CLO XIV: S&P Assigns B- Rating on Class F Notes
FROST CMBS 2021-1: S&P Assigns Prelim. B Rating on GBP-F Notes
HARVEST CLO XXVII: Fitch Gives 'B-(EXP)' Rating Class F Debt

HENLEY CLO VI: Fitch Assigns Final B-(EXP) Rating on Class F Debt
JUBILEE CLO 2021-XXV: Moody's Assigns (P)B3 Rating to Cl. F Notes
PROVIDUS CLO VI: Moody's Assigns (P)B3 Rating to EUR11.6MM F Notes
RATHLIN RESIDENTIAL 2021-1: Moody's Gives B2 Rating to Cl. C Notes


I T A L Y

SIENA LEASE 2016-2: Moody's Hikes Rating on Class D Notes to Ba1


K A Z A K H S T A N

BANK FREEDOM: S&P Raises LongTerm ICR to 'B', Outlook Stable


L U X E M B O U R G

EP BCO: S&P Affirms 'BB-' ICR Amid Increased Demand for Commodities
INEOS GROUP: Moody's Hikes CFR to Ba2 & Alters Outlook to Stable


N E T H E R L A N D S

EDML BV 2021-1: Moody's Assigns Ba1 Rating to EUR4MM Class E Notes


N O R W A Y

AUTOMATE INTERMEDIATE II: Moody's Hikes CFR to B1 Amid Recent IPO
SEADRILL LTD: Bankruptcy Court Confirms Plan of Reorganization


R U S S I A

BANK AVANGARD: Moody's Affirms 'B2' LongTerm Deposit Ratings
BANK SPUTNIK: Bank of Russia Revokes Banking License
NIZHNEKAMSKNEFTEKHIM PJSC: Moody's Raises CFR to Ba3 on TAIF Deal


S P A I N

INSTITUTO VALENCIANO: S&P Withdraws 'BB/B' Issuer Credit Ratings


U K R A I N E

CITY OF KYIV: S&P Affirms 'B' Issuer Credit Rating, Outlook Stable


U N I T E D   K I N G D O M

ARROW GLOBAL: S&P Lowers LongTerm ICR to 'B+', Outlook Stable
CROWN AGENTS: Fitch Affirms 'BB' LongTerm IDR, Outlook Stable
DOWSON PLC 2020-1: Moody's Affirms B3 Rating on Class E Notes
DOWSON PLC 2021-2: S&P Assigns B- Rating on Class F Notes
ERM FUNDING 2021-1: Moody's Assigns (P)Ba2 Rating to Class E Notes

INEOS GROUP: S&P Lowers Senior Secured Debt Rating to 'BB'
INTERSERVE PLC: FRC Imposes Fine on Grant Thornton Over Audit
PAZHAR ZVEZDY: In Compulsory Liquidation, Receiver Seeks Victims

                           - - - - -


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C R O A T I A
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FORTENOVA GRUPA: Two Key Shareholders Commence IPO Consultation
---------------------------------------------------------------
Tatiana Voronova at Reuters reports that two key Russian
shareholders of Croatian food producer and retailer Fortenova
Grupa, formerly known as Agrokor, have started consulting
investment banks about taking the company public in the next 2-3
years, two sources said.

Fortenova, one of the biggest companies in southeastern Europe, was
saved from bankruptcy in a restructuring deal with local and
foreign creditors in mid-2018, which included a change of the name
and the ownership structure, Reuters recounts.

According to Reuters, the sources said Russian state bank Sberbank,
which now controls 44% of the company, and VTB, another Russian
state bank which owns 7.5%, both took part in the restructure of
Fortenova and see an IPO as one of the options to cash out, at
least partially.

A source close to Sberbank and another source close to VTB said
that JP Morgan and VTB Capital, the investment banking arm of VTB,
are evaluating Fortenova for the initial public offering, which
would not take place until 2023 or later.

"The exit from the asset is planned once the strategy of increasing
its value is implemented.  An IPO is one of the exit strategy
options," the bank said in emailed reply to a Reuters query.

JP Morgan sees Fortenova worth around US$3 billion, the sources
said.  According to one of the sources, VTB Capital puts
Fortenova's valuation at US$2.2 billion-US$2.5 billion.  Reuters'
sources said both estimates include Fortenova's debt.




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F R A N C E
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VERALLIA SA: S&P Alters Outlook to Positive & Affirms 'BB+' ICR
---------------------------------------------------------------
S&P Global Ratings revised its outlooks on France-based glass
packaging producer Verallia S.A. and Verallia Packaging S.A.S. to
positive from stable. At the same time, S&P has affirmed its 'BB+'
long-term issuer credit ratings on Verallia and Verallia Packaging
and its 'BB+' issue rating on the EUR500 million senior unsecured
sustainability-linked notes issued in May 2021 and due in 2028.

The positive outlook reflects the potential for an upgrade over the
next 12–18 months if it becomes more certain that Verallia's
operating performance and financial policy will result in it
sustaining adjusted debt to EBITDA below 3.0x and FFO to debt above
30%.

S&P said, "In our view, Verallia's credit metrics and debt leverage
target support the positive outlook. We believe that Verallia's
financial policy will help its reported leverage remain below 2x,
which translates into adjusted leverage of below 3x over the coming
years. Our main adjustments to debt are for the use of factoring
and pension or postretirement liabilities. In 2020, these
adjustments amounted to up to EUR428 million of additional debt. We
forecast debt leverage of 2.7x-2.9x in 2021-2022 and FFO to debt of
about 29% in 2021, improving toward 30% in 2022. Our ratings remain
constrained by the group's limited track record in maintaining such
credit metrics and financial policy.

"We expect a limited impact from energy price inflation on
Verallia's results in 2021-2022.Verallia's results so far in 2021
have been underpinned by the relaxation of social-distancing
measures; the recovery in on-site consumption at cafes,
restaurants, and bars; and the reduction in travel restrictions. An
improvement in the product mix and productivity gains support an
improvement in the EBITDA margins. We anticipate that higher energy
prices will have a minor impact on Verallia's 2021 results as the
group fixes its energy costs one year in advance. We expect that
Verallia will pass the spike in energy prices in 2021, which will
affect next year's energy costs, onto customers in 2022, supporting
Verallia's profitability. We anticipate EBITDA margins of about 25%
in 2021 and 25%-26% in 2022.

"We forecast that Verallia's investment plan will hamper free
operating cash flow (FOCF) generation over 2021-2023.Verallia's
investments mainly relate to capacity expansion, with three new
furnaces planned for the next three years, two in Brazil and one in
Italy. Verallia also plans to use capital expenditure (capex) to
improve the sustainability of its operations, especially in terms
of energy utilization. We therefore estimate that Verallia will
generate adjusted FOCF of about EUR160 million in 2021 and EUR230
million in 2022, with capex remaining over EUR270 million per year.
We expect that the group will gradually start reaping the bulk of
the benefits from 2023, with the start-up of one of the new
furnaces in Brazil toward the end of 2022.

"The positive outlook reflects the potential for an upgrade over
the next 12–18 months if we become more certain that Verallia's
operating performance and financial policy will result in it
sustaining adjusted debt to EBITDA below 3.0x and FFO to debt above
30%. The outlook also reflects our belief that the group will
follow a financial policy that supports these credit metrics on a
sustained basis.

"We could raise our ratings if Verallia's financial policy and
track record help adjusted debt to EBITDA remain below 3.0x and FFO
to debt above 30% on a sustained basis.

"We could revise our outlook to stable if weaker operating
performance than we expect or a more aggressive financial policy
result in adjusted net debt to EBITDA exceeding 3.0x and FFO to
debt remaining below 30%, both on a sustained basis."




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G E R M A N Y
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HENNIGES AUTOMOTIVE: Files for Insolvency in German Courts
----------------------------------------------------------
Henniges Automotive GmbH and Co. KG filed for insolvency in the
German courts on Oct. 22 for its manufacturing plant and technical
center.  The facilities are located in the greater area of Rehburg,
Germany.

The global pandemic and the semiconductor chip crisis have
significantly contributed to declining sales and the additional
escalation of raw material costs has contributed to the company's
inability to continue operations at these locations.

The German court appointed Dr. jur. Rainer Eckert of the law office
Eckert Rechtsanwalte as the preliminary insolvency administrator.

Henniges Automotive is a global supplier of sealing and
anti-vibration systems and maintains operations in the Americas,
Europe, and Asia.  The remaining Henniges Automotive operations are
not affected by the insolvency and will continue normal
operations.

                     About Henniges Automotive

Henniges -- http://www.hennigesautomotive.com/-- provides
automotive original equipment manufacturers (OEMs) with sealing
systems for doors, windows, trunks, lift gates, sunroofs and hoods.
The company also supplies the automotive market with
anti-vibration components and encapsulated glass systems.  Henniges
sells to all major Automotive OEM customers and operates facilities
in North America, South America, Europe and Asia.  The company has
8,700 employees worldwide.


PBD GERMANY 2021-1: Fitch Assigns Final B(EXP) Rating on Cl. F Debt
-------------------------------------------------------------------
Fitch Ratings has assigned PBD Germany Auto Lease Master S.A.,
Compartment 2021-1 expected ratings.

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

DEBT             RATING
----             ------
PBD Germany Auto Lease Master S.A., Compartment 2021-1

A     LT AAA(EXP)sf   Expected Rating
B     LT AA+(EXP)sf   Expected Rating
C     LT A(EXP)sf     Expected Rating
D     LT BBB-(EXP)sf  Expected Rating
E     LT BB(EXP)sf    Expected Rating
F     LT B(EXP)sf     Expected Rating
G     LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

PBD Germany Auto Lease Master S.A., Compartment 2021-1 is a
securitisation of auto lease receivables granted to German private
and commercial customers. The leases are originated and serviced by
PSA Bank Deutschland GmbH (PSAD), the German captive financing arm
of Stellantis for its Peugeot, Citroen and DS brands.

The securitised leases include the residual value (RV) component,
for which either the lessee takes the RV risk, or the car can be
sold to the dealer for the contractual RV via a put option. The
transaction will have a one-year revolving period. After the
replenishment period, principal on the bonds will be paid pro-rata
unless triggers are breached. The interest-rate mismatch between
assets and liabilities is addressed by an interest-rate cap with a
strike of one-month Euribor at 0%.

KEY RATING DRIVERS

RV Drives Risk: Under PSAD's Kilometer leasing (KML) contracts (57%
of the discounted portfolio balance), car dealers have to pay the
contractual RV. However, a dealer default will expose the issuer to
the risk of RV losses from declining used-car prices when vehicles
are sold at market prices. The RV portion can only increase up to
48.5% of the overall pool during the revolving period, from 45%
currently. Fitch assumes RV losses of 16.6% in a 'AAA' scenario,
compared with 6.3% losses from the instalment portion.

The remaining 43% of the portfolio are Restwert leasing (RWL)
contracts where the lessee carries the market value risk of the
cars, with the risk profile being comparable to balloon loans'.

Effective Pro-Rata Triggers: Performance triggers to force the
structure into sequential amortisation consider defaults and RV
losses and will not be diluted by the replenishment of new assets
during the revolving period. In Fitch's view, the design of the
triggers and their levels are adequate to avoid excessive pro-rata
allocations in an environment of adverse asset performance.

Consideration of Put Option: For KML contracts, PSAD can exercise a
put option at lease maturity to sell cars to the dealers for the
contractual RV. Fitch considered the loss-shrinking effect of the
option in the 'B' and 'BB' rating categories via reduced RV
haircuts and selling costs, constituting a variation to Fitch's
Consumer ABS Rating Criteria (see Criteria Variation below).

Moderate Lessee Credit Risk: Historical default rates in the
originator's book have been low. Fitch expects the performance of
commercial lessees to be worse than for private customers and
modelled a migrated pool according to the replenishment limits for
the lessee type. Fitch used a post-migration default base case of
1.8% for the analysis. Fitch's recovery base case is 62.5%.

Servicing Continuity Risk Reduced: PSAD will service the portfolio
from closing. A facilitator is appointed to find a replacement
servicer and replacement realisation agent should PSAD fail to
perform its duties or become insolvent. In addition, an amortising
liquidity reserve provides adequate protection against payment
interruption risk. Fitch deems commingling risk immaterial in the
transaction, due to collections being transferred to the issuer
within two days.

RATING SENSITIVITIES

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

-- Unanticipated increases in the frequency of defaults or
    widening RV losses or decreases in recovery rates could
    produce larger losses than the base case and could result in
    negative rating action on the notes. For example, an increase
    of the default base case by 50% would lead to a single-notch
    downgrade of the class A, C and D notes and a two-notch
    downgrade of the class B notes.

-- A decrease of 10% in RV sale proceeds would lead to downgrades
    by a single notch of the class A and D notes, three notches
    the class B notes, four notches the class C notes, and five
    notches the class E notes. The class F would be not rated.

-- Later defaults or RV losses leading to a longer period of pro-
    rata amortisation and longer RV time to sale could lead to
    negative rating action on the senior notes.

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

-- Contracts with RV exposure reach their maturities without
    associated RV losses.

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.

CRITERIA VARIATION

The issuer benefits from a dealer put option via a contractual
agreement it entered into with PSAD, under which it can demand
payment of the contractual RV from dealers through PSAD.

The available mechanisms and incentives for the insolvency
administrator suggest that the put option exercise will also be
effective after an insolvency of PSAD. Fitch believes that it is
unlikely that no dealer put options will be exercised during the
transaction's life and therefore that it is justified to
incorporate the beneficial effect of successfully exercised dealer
put options into scenarios close to Fitch's baseline, gradually
decreasing with every rating notch up to 'BB+sf'. No benefit is
assumed in investment-grade scenarios.

The criteria variation comprises reducing the market value haircuts
to below the low end of the criteria range and assuming no selling
costs for the calculation of RV loss in non-investment-grade
scenarios.

The criteria variation has an impact on the ratings of class E and
F notes. The model-implied rating for those classes without the
criteria variation is 'CCCsf', ie up to two rating categories
lower.

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

Fitch conducted a review of a small targeted sample of the
originator's origination files and found the information contained
in the reviewed files to be adequately consistent with the
originator's policies and practices and the other information
provided to the agency about the asset portfolio.

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

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.


PBD GERMANY 2021-1: Moody's Assigns (P)B1 Rating to Class F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to Notes to be issued by PBD Germany Auto Lease Master
S.A., Compartment 2021-1:

EUR [ ] Class A Floating Rate Notes due November 2030 , Assigned
(P)Aaa (sf)

EUR [ ] Class B Floating Rate Notes due November 2030, Assigned
(P)Aa2 (sf)

EUR [ ] Class C Floating Rate Notes due November 2030, Assigned
(P)A2 (sf)

EUR [ ] Class D Floating Rate Notes due November 2030, Assigned
(P)Baa2 (sf)

EUR [ ] Class E Floating Rate Notes due November 2030, Assigned
(P)Ba2 (sf)

EUR [ ] Class F Floating Rate Notes due November 2030, Assigned
(P)B1 (sf)

Moody's has not assigned ratings to the EUR [ ] Class G Fixed Rate
Notes due November 2030.

RATINGS RATIONALE

The Notes are backed by 12-month revolving pool of German auto
lease instalment receivables and related residual value (RV) cash
flows. The leases were originated by PSA Bank Deutschland GmbH
(NR). This represents the fourth auto lease transaction in Germany
for PSA Bank Deutschland GmbH.

The provisional portfolio of assets amounts to approximately 681
million as of September 6, 2021 pool cut-off date. The RVs cash
flows related to the lease agreements are securitized and are based
on car value estimates of the leasing contracts for the lease
contract maturity. The portfolio can include during the revolving
period up to 48.5% of RV cash flows with RV risk. The Liquidity
Reserve, for senior fees and Class A to F Notes coupon payments,
will be funded to 0.50% of Class A to G initial balance and the
total credit enhancement for the Class A Notes will be 22.7%.

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

According to Moody's, the transaction benefits from various credit
strengths such as a granular portfolio, an extensive set of
historical data provided by the seller and significant excess
spread considering the portfolio minimum average yield of at least
4.0% achieved by the discount mechanism. However, Moody's notes
that the transaction features some credit weaknesses such as a
complex structure with a deferral of interest mechanism, a pro rata
amortization waterfall and a 12-month revolving period. The
revolving period could lead to an asset quality drift, although
this is partially mitigated by the portfolio concentration limits
and the early amortization events. Various mitigants have been
included in the transaction structure such as reserve fund equal to
0.50% of the Class A to G notes balance amortising to a floor of
0.30% of the notes balance at closing, as well as performance
triggers which will switch the waterfall to sequential from pro
rata.

The provisional portfolio of underlying assets was distributed
through dealers and to private individuals 47.03% and commercial
borrowers 52.97% to finance the purchase of new 96.24% and demo
3.76% cars. As of September 6, 2021 the provisional portfolio
consists of 46,726 auto leases contracts with a weighted average
seasoning of 16.2 months.

Moody's determined the portfolio lifetime expected defaults of
2.5%, expected recoveries of 45% and Aaa portfolio credit
enhancement ("PCE") of 9.5% related to the lease installments. The
expected defaults and recoveries capture Moody's expectations of
performance considering the current economic outlook, while the PCE
captures the loss Moody's expect the portfolio to suffer in the
event of a severe recession scenario. Expected defaults and PCE are
parameters used by Moody's to calibrate its lognormal portfolio
loss distribution curve and to associate a probability with each
potential future loss scenario in the cash flow model to rate Auto
ABS.

Portfolio expected defaults of 2.5% are in line with the EMEA Auto
ABS average and are based on Moody's assessment of the lifetime
expectation for the pool taking into account (i) historical
performance of the book of the originator, (ii) benchmark
transactions, and (iii) other qualitative considerations.

Portfolio expected recoveries of 45% are in line with the EMEA Auto
ABS average and are based on Moody's assessment of the lifetime
expectation for the pool taking into account (i) historical
performance of the originator's book, (ii) benchmark transactions,
and (iii) other qualitative considerations.

PCE of 9.5% is in line with the EMEA Auto ABS average and is based
on Moody's assessment of the pool and the relative ranking to
originator peers in the EMEA market. The PCE level of 8.5% results
in an implied coefficient of variation ("CoV") of 56.4%.

The Aaa (sf) baseline haircut for RV exposure in this German auto
lease portfolio, after adjustment for its specific characteristics,
is 38.5%. These haircuts take into account (i) robustness of RV
setting, (ii) good track record of car sales, (iii) low
concentration in the RV maturity and (iv) the low exposure to
Alternative Fuel Vehicles (AFVs). The haircut is lower than the
EMEA Auto ABS average and is based on Moody's assessment of the
pool which is mainly driven by (i) the originator's ability to set
residual values, (ii) historical portfolio performance, and (iii)
portfolio composition. Moody's RV analysis results in a residual
value credit enhancement (RV CE) of 14.1% for the Aaa (sf) rated
notes.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
September 2021.

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

Factors that may cause an upgrade of the ratings of the notes
include significantly better than expected performance of the pool
together with an increase in credit enhancement of Notes.

Factors that would lead to a downgrade of the ratings include: (i)
a significant deterioration of the credit profile of the
originator; and (ii) a significant decline in the overall
performance of the pool.


RETAIL AUTOMOTIVE 2021: S&P Assigns BB- Rating on Class F Notes
---------------------------------------------------------------
S&P Global Ratings has assigned its credit ratings to Retail
Automotive CP Germany 2021 UG's asset-backed floating-rate class A
to F-Dfrd notes.

S&P's ratings address timely payment of interest and ultimate
payment of principal on the class A to C notes and the ultimate
payment of interest and principal on the class D-Dfrd to F-Dfrd
notes.

The pool of assets backing the transaction comprises consumer auto
loans granted to individual German residents by CreditPlus Bank
AG.

The originator (CreditPlus Bank) was founded in 1960 and is now
100% owned by CA Consumer Finance S.A. (A+/Stable/A-1), which in
turn is 100% owned by Credit Agricole S.A. (A+/Stable/A-1). The
Credit Agricole Group is one of the largest banking groups in
Europe.

The underlying collateral comprises auto loan receivables
originated by CreditPlus in its ordinary course of business to
residents of Germany. Nearly 70% of the securitized portfolio
comprises used cars with the remaining being new cars.
Historically, this has always been CreditPlus' product mix of auto
lending in Germany.

As of closing, the portfolio contains 28.46% of balloon contracts.
The purely balloon payment portion in the pool is 16.44%.

The transaction has a 21-month revolving phase, during which the
issuer may add new eligible receivables into the pool as long as
the portfolio conditions are satisfied. Once the revolving period
ends, the transaction amortizes pro rata according to a targeted
subordination percentage mechanism, provided that the sequential
redemption events--mainly driven by the cumulative gross loss
ratios and by the amounts debited on the principal deficiency
ledgers--do not take place.

The assets pay a monthly fixed interest rate, and the rated notes
pay one-month EURIBOR plus a margin, subject to a floor of zero. To
mitigate fixed-float interest rate risk, the rated notes benefit
from two interest rate swaps: one for the class A notes and another
for the class B to F-Dfrd notes.

The transaction benefits from an amortizing liquidity reserve fund
to cover any interest shortfalls on senior expenses and the class A
to C notes' interest. At closing, this liquidity reserve was funded
by CreditPlus at 0.7% of the class A to C notes' outstanding
balance.

Credit enhancement to the rated notes is provided by
subordination.

S&P's ratings in this transaction are not constrained by its
operational risk or structured finance sovereign risk criteria.

The counterparty risk of the issuer bank account provider and swap
provider is mitigated in line with S&P's criteria to support a
'AAA'.

The originator acts also as a swap counterparty for the
special-purpose entity (SPE). Additionally, the SPE entered into a
swap guarantee agreement with CA Consumer Finance. This guarantee
agreement is in line with S&P's guarantee criteria.

The issuer is a German SPE, which is bankruptcy-remote under the
German securitization law. The legal opinion at closing provides
assurance that the sale of the assets would survive the seller's
insolvency. The issuer can fully redeem the notes if the seller
exercises a clean-up call on the payment date on which the balance
of the collateral pool is lower than 10% of the balance at
closing.

  Ratings Assigned

  CLASS   RATING*   AMOUNT (MIL. EUR)
   
  A       AAA (sf)     900.0
  B       AA (sf)       37.0
  C       A+ (sf)       13.0
  D-Dfrd  BBB+ (sf)     10.0
  E-Dfrd  BBB (sf)      10.0
  F-Dfrd  BB- (sf)      10.0
  G       NR            20.0

*S&P's ratings address timely payment of interest and ultimate
payment of principal on the class A, B, and C notes and the
ultimate payment of interest and principal on the other rated
notes.
NR--Not rated.




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H U N G A R Y
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NITROGENMUVEK ZRT: S&P Alters Outlook to Negative & Affirms 'B' ICR
-------------------------------------------------------------------
S&P Global Ratings revised its outlook on fertilizer producer
Nitrogenmuvek Zrt. to negative from stable and affirmed its 'B'
long-term rating.

The negative outlook indicates that S&P could lower the rating if
Nitrogenmuvek's leverage remains elevated and FOCF generation
continues to be constrained in the next 12 months.

The negative outlook reflects Nitrogenmuvek's higher-than-expected
leverage, mainly driven by a material increase in natural gas
prices. Because the company's gas purchase pricing is predominantly
based on spot market prices, Nitrogenmuvek is suffering from the
very high natural gas price in Europe, which is more than 140%
higher so far this year on average versus last year. S&P said, "We
now anticipate a 30%-40% EBITDA decline in 2021 to Hungarian forint
(HUF)14.5 billion-HUF16 billion (EUR40 million-EUR45 million). We
estimate this will push S&P Global Ratings-adjusted gross debt to
EBITDA above 6x, from 4.1x last year. For 2022, we expect EBITDA
will recover to HUF18 billion-HUF20 billion and leverage will
improve to 4.5x-4.7x, assuming no large turnarounds at the
production site, a gradual normalization in gas price during 2022
(which is our base case), and nitrogen fertilizer pricing remaining
at a solid level. However, we note that recovery in credit metrics
largely depends on the evolution of natural gas and nitrogen
fertilizer prices in Europe, which is outside the company's
control."

S&P said, "We expect production volume to decline by more than 25%
in 2021, followed by swift recovery in 2022 due to market demand.
Following a scheduled maintenance for 37 days in June-July 2021 and
a 10-day shutdown due to a technical problem in September, the
company then significantly cut ammonia production for 21 days
because of the record high gas prices (43% cut for 15 days in
September and 29% cut for six days in October), which resulted in
negative EBITDA and a decline in the cash position by HUF8.5
billion to HUF18.0 billion at Sept. 30, 2021. We understand that
much higher prices for calcium ammonium nitrate (CAN) were realized
in October and the ammonia plant is now back to full utilization.
The company is now producing only fully prepaid orders, which is
crucial to control risks in an environment of high volatility in
gas prices. After a strong rebound in earnings in October, the
company expects no further cut in production and continuously
favorable fertilizer pricing in fourth-quarter 2021 amid high gas
prices. Although we view visibility as limited on order intake in
coming months, we expect a swift recovery in production volume in
2022, given fundamentally strong market demand, improved farm
economics and still low stock level. However, uncertainty remains
high about gas price evolution and the level of realizable selling
prices for fertilizers.

"We expect FOCF to be constrained, but still positive this year,
and it should increase in line with EBITDA from 2022. The company
generated negative FOCF of HUF17.5 billion in first-half 2021,
mainly due to low EBITDA and very high working capital consumption.
The high working capital outflow in the first half was not only
driven by normal seasonality, but also by the reversal of large
customer prepayments received in December last year and a HUF16
billion increase in other receivables. The high receivables were
mainly due to a delay in receiving free CO2 allowances, which have
now been received. We expect solidly positive FOCF in fourth
quarter, supported by higher EBITDA and working capital release,
which will compensate for negative cash flow in the first nine
months. From 2022, we expect FOCF to strengthen to about HUF10
billion, in line with expected EBITDA recovery and low capital
expenditure (capex) of HUF2 billion-HUF3 billion."

Nitrogenmuvek's credit ratios will remain volatile, reflecting its
high exposure to volatile natural gas prices and the fertilizer
industry's cyclicality. With nearly 55% of operating expenses for
the fertilizer segment stemming from natural gas purchases in the
first eight months of 2021, gas price is the most important driver
of Nitrogenmuvek's profitability. The price is outside the
company's control and can be highly volatile. In addition, although
nitrogen prices in general correlate to natural gas prices, they
are also subject to supply and demand in the fertilizer industry
and unexpected adverse weather conditions, resulting in a time lag
to pass on increasing raw material prices to customers. S&P said,
"In addition, we view the production concentration risks as high at
Nitrogenmuvek, given only one manufacturing site with a bottleneck
at the ammonia production capacity. Scheduled maintenance or
unplanned plant outages from time to time, especially at its
ammonia plant, could also have a negative impact on the company's
performance. We view Nitrogenmuvek's credit metrics as more
vulnerable to external changes than most of its larger European
peers (such as Yara and OCI), due to its relatively small size and
limited diversification in products, production assets, and
geographies." That said, given the company's strategic focus on CAN
in its portfolio, it is well-positioned to benefit from the
increasing demand in Europe, which partly stems from restrictive
environmental regulations.

The negative outlook indicates that S&P could lower the rating if
Nitrogenmuvek's leverage remains elevated and FOCF generation
continues to be constrained in the next 12 months.

S&P could lower the rating if Nitrogenmuvek's operating performance
does not recover in line with our base-case scenario in 2022, due
to a sustained high natural gas price combined with
lower-than-expected fertilizer prices and/or longer-than-expected
unplanned plant outages, leading to:

-- Five-year average adjusted debt to EBITDA climbing above 5x
without near-term prospects of improvement; or

-- FOCF remaining continuously below HUF10 billion, with weakening
liquidity.

S&P could revise the outlook to stable if:

-- S&P observes a recovery in Nitrogenmuvek's credit metrics with
five-year average adjusted debt to EBITDA comfortably below 5x,
supported by a gradual normalization of European gas prices,
continuously solid market demand, and supportive fertilizer prices,
as well as improved capacity utilization; and

-- Nitrogenmuvek swiftly recovers FOCF generation to about HUF10
billion and maintains at least adequate liquidity.




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

BARINGS EURO 2020-1: S&P Assigns Prelim. B- Rating on F-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to Barings
Euro CLO 2020-1 DAC's class A-R to F-R European cash flow CLO
notes. At closing, the issuer will issue unrated subordinated
notes.

The transaction is a reset of the existing Barings Euro CLO 2020-1
DAC transaction, which closed in November 2020.

The issuance proceeds of the refinancing notes will be used to
redeem the notes (class A, B-1, B-2, C-1, C-2, D, E, and F of the
original Blackrock European CLO III transaction), and pay fees and
expenses incurred in connection with the reset.

The reinvestment period, originally scheduled to last until
October, 2023, will be extended to April, 2026. The covenanted
maximum weighted-average life will be 8.5 years from closing.

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

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

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

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

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

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

  Portfolio Benchmarks
                                                    CURRENT
  S&P weighted-average rating factor               2,773.06
  Default rate dispersion                            667.63
  Weighted-average life (years)                        5.14
  Obligor diversity measure                          123.30
  Industry diversity measure                          20.19
  Regional diversity measure                           1.39

  Transaction Key Metrics
                                                    CURRENT
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                       B
  'CCC' category rated assets (%)                      4.52
  Covenanted 'AAA' weighted-average recovery (%)      36.50
  Covenanted weighted-average spread (%)               3.65
  Covenanted weighted-average coupon (%)               4.75

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

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

The purchase of loss mitigation loans is not subject to the
reinvestment criteria or the eligibility criteria. Other than
qualifying loss mitigation loans--which receive a defaulted
treatment-it receives no credit in either the principal balance or
par coverage test numerator definition, and is limited to 5% of the
target par amount. The cumulative exposure to loss mitigation loans
is limited to 10% of the target par amount.

The issuer may purchase loss mitigation loans using either interest
proceeds, principal proceeds, or amounts standing to the credit of
the supplemental reserve account. The use of interest proceeds to
purchase loss mitigation loans are subject to (1) all the interest
and par coverage tests passing following the purchase, and (2) the
manager determining there are sufficient interest proceeds to pay
interest on all the rated notes on the upcoming payment date. The
usage of principal proceeds is subject to (1) passing par coverage
tests, (2) the manager having built sufficient excess par in the
transaction so that the principal collateral amount is equal to or
exceeds the portfolio's reinvestment target par balance after the
reinvestment, and (3) the class F par value coverage ratio is equal
to or greater than 103.91%.

To protect the transaction from par erosion, any distributions
received from loss mitigation loans that are purchased with the use
of principal proceeds will form part of the issuer's principal
account proceeds and cannot be recharacterized as interest unless
(1) the principal collateral amount is equal to or exceeds the
portfolio's reinvestment target par balance, and (2) until the
amounts received from the loss mitigation loan, plus the recoveries
of the related defaulted obligation (or credit risk obligation),
equals the sum of the outstanding principal balance of the
defaulted obligation (or credit risk obligation) and the principal
proceeds used to purchase the loss mitigation loan.

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

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

"In our cash flow analysis, we used the EUR500 million target par
amount, the covenanted weighted-average spread (3.65%), the
reference weighted-average coupon (4.75%), and the covenanted 'AAA'
weighted-average recovery rate (36.50%) as indicated by the
collateral manager. We applied various cash flow stress scenarios,
using four different default patterns, in conjunction with
different interest rate stress scenarios for each liability rating
category.

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

"Until the end of the reinvestment period on April 21, 2026, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

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

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

"Taking the above factors into account and following our analysis
of the credit, cash flow, counterparty, operational, and legal
risks, we believe that our preliminary ratings are commensurate
with the available credit enhancement for all of the rated classes
of notes.

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

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

Environmental, social, and governance (ESG) credit factors

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

  Ratings List

  CLASS   PRELIM.    PRELIM.    INTEREST RATE     CREDIT
          RATING     AMOUNT         (%)        ENHANCEMENT (%)
                   (MIL. EUR)
  A-R     AAA (sf)    310.00     3mE + 0.98      38.00
  B-R     AA (sf)      50.00     3mE + 1.75      28.00
  C-R     A (sf)       31.25     3mE + 2.30      21.75
  D-R     BBB- (sf)    35.00     3mE + 3.40      14.75
  E-R     BB- (sf)     23.75     3mE + 6.17      10.00
  F-R     B- (sf)      15.50     3mE + 8.78       6.90
  Subordinated  NR     38.80      N/A              N/A

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


CAIRN CLO XIV: Moody's Assigns B3 Rating to EUR11.6MM Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to notes issued by Cairn CLO XIV
Designated Activity Company (the "Issuer"):

EUR244,000,000 Class A Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

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

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

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

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

EUR20,400,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Ba3 (sf)

EUR11,600,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 75% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the 5- month ramp-up period in compliance with the portfolio
guidelines.

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

In addition to the seven classes of notes rated by Moody's, the
Issuer has issued EUR22.5 million of M-1 Subordinated Notes and
EUR13.5 million of M-2 Subordinated Notes which are not rated.

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

Methodology underlying the rating action:

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

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

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

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

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

Par Amount: EUR400,000,000

Diversity Score(*): 43

Weighted Average Rating Factor (WARF): 2960

Weighted Average Spread (WAS): 3.65%

Weighted Average Coupon (WAC): 3.50%

Weighted Average Recovery Rate (WARR): 43.5%

Weighted Average Life (WAL): 8.5 years

(*) The covenanted base case diversity score is 44, however Moody's
have assumed a diversity score of 43 as according to the
transaction documentation the diversity score will be rounded up to
the nearest whole number whereas the methodology states that it is
rounded down to an integer.

Moody's has addressed the potential exposure to obligors domiciled
in countries with local currency ceiling (LCC) of A1 or below. As
per the portfolio constraints and eligibility criteria, exposures
to countries with LCC of A1 to A3 cannot exceed 10% and obligors
cannot be domiciled in countries with LCC below A3.


CAIRN CLO XIV: S&P Assigns B- Rating on Class F Notes
-----------------------------------------------------
S&P Global Ratings assigned its credit ratings to Cairn CLO XIV
DAC's class A, B-1, B-2, C, D, E, and F notes. The issuer also
issued unrated subordinated notes.

This is a European cash flow CLO transaction, securitizing a pool
of primarily syndicated senior secured loans or bonds. The
portfolio's reinvestment period ends approximately four and a half
years after closing. Under the transaction documents, the rated
notes pay quarterly interest (starting in April 2022) unless there
is a frequency switch event. Following this, the notes will switch
to semiannual payment.

As of the closing date, the issuer owns over 80% of the target
effective date portfolio. S&P said, "We consider that the portfolio
on the effective date will be well-diversified, primarily
comprising broadly syndicated speculative-grade senior secured term
loans and senior secured bonds. Therefore, we have conducted our
credit and cash flow analysis by applying our criteria for
corporate cash flow collateralized debt obligations."

  Portfolio Benchmarks
                                                          CURRENT
  S&P Global Ratings weighted-average rating factor      2,677.08
  Default rate dispersion                                  556.99
  Weighted-average life (years)                              5.51
  Obligor diversity measure                                 01.52
  Industry diversity measure                                15.16
  Regional diversity measure                                 1.24

  Transaction Key Metrics
                                                          CURRENT
  Total par amount (mil. EUR)                                 400
  Defaulted assets (mil. EUR)                                   0
  Number of performing obligors                               114
  Portfolio weighted-average rating
   derived from our CDO evaluator                               B
  'CCC' category rated assets (%)                            0.50
  Covenanted 'AAA' weighted-average recovery (%)            34,10
  Weighted-average spread net of floors (%)                  3.82

S&P said, "In our cash flow analysis, we modeled the EUR400 million
target par amount, a weighted-average spread of 3.65%, the
reference weighted-average coupon of 3.50%, and a covenanted
weighted-average recovery rates for the 'AAA' rated note of 34.10%.
We applied various cash flow stress scenarios, using four different
default patterns, in conjunction with different interest rate
stress scenarios for each liability rating category.

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

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1 to E notes is commensurate
with typically higher rating levels than those we have assigned.
However, as the CLO will have a reinvestment period, during which
the transaction's credit risk profile could deteriorate, we have
capped our assigned ratings on the notes.

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

"The issuer can purchase up to 20.0% of non-euro assets, subject to
entering into asset-specific swaps. J.P. Morgan AG is the swap
counterparty. Its downgrade provisions are in line with our
counterparty criteria for liabilities rated up to 'AAA'.

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

"The CLO is managed by Cairn Loan Investments II LLP. The manager
supports a maximum potential rating on the liabilities of 'AAA'
under our "Global Framework For Assessing Operational Risk In
Structured Finance Transactions," published on Oct. 9, 2014.

"Following our analysis of the credit, cash flow, counterparty, and
legal risks, we believe that our ratings are commensurate with the
available credit enhancement for the class A, B-1, B-2, C, D, E,
and F notes.

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

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

Cairn CLO XII is a European cash flow CLO securitization of a
revolving pool, comprising euro-denominated senior secured loans
and bonds issued mainly by sub-investment grade borrowers. Cairn
Loan Investments II manages the transaction.

Environmental, social, and governance (ESG) factors

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

  Ratings List

  CLASS    RATING     AMOUNT      INTEREST RATE*         SUB (%)
                    (MIL. EUR)
  A        AAA (sf)   244.00    Three/six-month EURIBOR   39.00
                                plus 1.00%

  B-1      AA (sf)     29.00    Three/six-month EURIBOR   28.00
                                plus 1.70%

  B-2      AA (sf)     15.00    2.00%                     28.00

  C        A (sf)      24.00    Three/six-month EURIBOR   22.00
                                plus 2.10%

  D        BBB (sf)    28.00    Three/six-month EURIBOR   15.00
                                plus 3.20%

  E        BB- (sf)    20.40    Three/six-month EURIBOR    9.90
                                plus 6.11%
  
  F        B- (sf)     11.60    Three/six-month EURIBOR    7.00
                                plus 8.64%

  Sub      NR          36.00    N/A                         N/A

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

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


FROST CMBS 2021-1: S&P Assigns Prelim. B Rating on GBP-F Notes
--------------------------------------------------------------
S&P Global Ratings has assigned preliminary credit ratings to Frost
CMBS 2021-1 DAC's class GBP-A, GBP-B, GBP-C, GBP-D, GBP-E, GBP-F,
EUR-A, EUR-B, EUR-C, EUR-D, and EUR-E notes. At closing, Frost CMBS
2021-1 will also issue unrated class GBP-X and EUR-X notes.

The issuer will use the note proceeds to purchase a loan secured by
three cold storage facilities in the U.K., Germany, and France from
Goldman Sachs Bank Europe SE.

The loan consists of two facilities—a British pound sterling and
a euro facility. The borrower has used the sterling facility to
refinance existing debt on the U.K. asset, which is in Wakefield,
near Leeds. Payments due under the sterling facility primarily fund
the issuer's interest and principal payments due under the sterling
notes.

The euro facility refinanced existing debt on the two other
properties in Rheine, Germany, and Argentan, France. Payments due
under the euro facility primarily fund the issuer's interest and
principal payments due under the euro notes. The borrowers are
ultimately owned by NewCold, which is a cold storage platform
managed by Westport Capital—the loan sponsor.

To satisfy U.S., EU, and U.K. risk retention requirements, an
additional amount corresponding to 5.0% of outstanding principal
balance of each class of notes at closing will be issued and will
be retained by Goldman Sachs Bank USA.

The loan provides for cash trap mechanisms set at 68.77% for the
loan-to-value (LTV) ratio of the combined facilities, or minimum
debt yield set at 8.74%. The loan would default if the LTV ratio
exceeds 76.27% or if the debt yield falls below 7.71% and if that
default is not cured.

The loan has an initial term of three years with two one-year
extension options available subject to the satisfaction of certain
conditions. The loan is interest-only in its first year, followed
by scheduled amortization of 1.0% of principal in year 2.
Thereafter, amortization may be payable provided certain
performance-related triggers are not met.

S&P's preliminary ratings address Frost CMBS 2021-1's ability to
meet timely interest payments and principal repayment no later than
the legal final maturity in November 2033. Should there be
insufficient funds on any note payment date to make timely interest
payments on the notes (except for the then most senior class of
notes), the interest will not be due but will be deferred to the
next interest payment date (IPD). The deferred interest amount will
accrue interest at the same rate as the respective class of notes.

  Preliminary Ratings

  CLASS    PRELIM. RATING   PRELIM. AMOUNT (GBP/EUR)

  Sterling notes

  GBP-A       AAA (sf)        45,000,000
  GBP-B       AA- (sf)        16,000,000
  GBP-C       A- (sf)         13,000,000
  GBP-D       BBB- (sf)       13,000,000
  GBP-E       BB- (sf)        15,500,000
  GBP-F       B (sf)           6,951,000
  GBP-X1      NR                 100,000
  GBP-X2      NR                 100,000
  GBP-X3      NR                 100,000

  Euro notes

  EUR-A       AAA (sf)        45,000,000
  EUR-B       AA- (sf)        15,500,000
  EUR-C       A- (sf)         12,200,000
  EUR-D       BBB- (sf)       12,100,000
  EUR-E       BB (sf)          6,596,000
  EUR-X1      NR                 100,000
  EUR-X2      NR                 100,000
  EUR-X3      NR                 100,000


HARVEST CLO XXVII: Fitch Gives 'B-(EXP)' Rating Class F Debt
------------------------------------------------------------
Fitch Ratings has assigned Harvest CLO XXVII DAC expected ratings.

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

DEBT                   RATING
----                   ------
Harvest CLO XXVII DAC

A            LT AAA(EXP)sf  Expected Rating
B1           LT AA(EXP)sf   Expected Rating
B2           LT AA(EXP)sf   Expected Rating
C            LT A(EXP)sf    Expected Rating
D            LT BBB(EXP)sf  Expected Rating
E            LT BB-(EXP)sf  Expected Rating
F            LT B-(EXP)sf   Expected Rating
Sub Notes    LT NR(EXP)sf   Expected Rating
Z            LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Harvest CLO XXVII DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of senior unsecured,
mezzanine, second-lien loans and high-yield bonds. Note proceeds
will be used to purchase a portfolio with a target par of EUR400
million. The portfolio is actively managed by Investcorp Credit
Management EU Limited. The collateralised loan obligation (CLO) has
a 4.6-year reinvestment period and a 8.5-year weighted average life
(WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors in the 'B'/'B-' category. The
Fitch weighted average rating factor (WARF) of the identified
portfolio is 26.24.

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
62.59%.

Diversified Portfolio (Positive): The indicative maximum exposure
of the 10 largest obligors for assigning the expected ratings is
21% of the portfolio balance. The transaction also includes various
concentration limits, including a 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 4.6-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's
stressed-case portfolio and matrices analysis is 12 months less
than the WAL covenant, to account for structural and reinvestment
conditions post-reinvestment period, including passing the
over-collateralisation and Fitch 'CCC' limitation tests, among
others. This, combined with loan pre-payment expectations,
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 five 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
    upgrades of no more than five notches across the structure,
    apart from the class A notes, which are already at the highest
    rating on Fitch's scale and cannot be upgraded.

-- 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

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

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


HENLEY CLO VI: Fitch Assigns Final B-(EXP) Rating on Class F Debt
-----------------------------------------------------------------
Fitch Ratings has assigned Henley CLO VI DAC expected ratings.

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

DEBT                             RATING
----                             ------
Henley CLO VI DAC

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

TRANSACTION SUMMARY

Henley CLO VI DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of senior unsecured,
mezzanine, second-lien loans, first-lien, last-out loans and
high-yield bonds. Net proceeds from the issuance of the notes have
been used to fund a portfolio with a target par of EUR400 million.
The portfolio is actively managed by Napier Park Global Capital Ltd
(NPGC). The transaction has 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 the obligors to be in the 'B'/'B-'
category. The Fitch weighted average rating factor of the
identified portfolio is 26.19.

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 of the identified portfolio is 61.56%.

Diversified Portfolio (Positive): The exposure to the ten largest
obligors is limited at 20% of the portfolio balance and unhedged
fixed rated collateral obligations are limited to a maximum 15% 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 (Neutral): 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 (Positive): The WAL used for the transaction's
stress portfolio analysis is 12 months less than the WAL covenant
at the issue date. This reduction to the risk horizon, accounts for
the strict reinvestment conditions envisaged by the transaction
after its reinvestment period. These, include, among others,
passing both the coverage tests and the Fitch 'CCC' bucket
limitation test post-reinvestment, as well a WAL covenant that
progressively steps down over time, both before and after the end
of the reinvestment period. This ultimately reduces the maximum
possible risk horizon of the portfolio when combined with loan
pre-payment expectations.

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 six notches
    across 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 five notches across the structure,
    apart from the class A notes, which are already at the highest
    rating on Fitch's scale and cannot be upgraded.

-- 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

Henley CLO VI 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.


JUBILEE CLO 2021-XXV: Moody's Assigns (P)B3 Rating to Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to the Notes to be issued by Jubilee
CLO 2021-XXV DAC (the "Issuer"):

EUR248,000,000 Class A Senior Secured Floating Rate Notes due
2035, Assigned (P)Aaa (sf)

EUR23,500,000 Class B-1 Senior Secured Floating Rate Notes due
2035, Assigned (P)Aa2 (sf)

EUR16,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2035,
Assigned (P)Aa2 (sf)

EUR18,000,000 Class C-1 Deferrable Mezzanine Floating Rate Notes
due 2035, Assigned (P)A3 (sf)

EUR10,000,000 Class C-2 Deferrable Mezzanine Fixed Rate Notes due
2035, Assigned (P)A3 (sf)

EUR25,000,000 Class D Deferrable Mezzanine Floating Rate Notes due
2035, Assigned (P)Baa3 (sf)

EUR20,000,000 Class E Deferrable Junior Floating Rate Notes due
2035, Assigned (P)Ba3 (sf)

EUR11,750,000 Class F Deferrable Junior Floating Rate Notes due
2035, Assigned (P)B3 (sf)

RATINGS RATIONALE

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

The Issuer is a managed cash flow CLO. At least 92.5% of the
portfolio must consist of senior secured obligations and up to 7.5%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be about 75% ramped as of the closing date
and to comprise of predominantly corporate loans to obligors
domiciled in Western Europe. The remainder of the portfolio will be
acquired during the six month ramp-up period in compliance with the
portfolio guidelines.

Alcentra Limited ("Alcentra") will manage the CLO. It will direct
the selection, acquisition and disposition of collateral on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four and half-year
reinvestment period. Thereafter, subject to certain restrictions,
purchases are permitted using principal proceeds from unscheduled
principal payments and proceeds from sales of credit risk
obligations or credit improved obligations. Additionally, the
issuer has the ability to purchase loss mitigation loans using
principal proceeds subject to a set of conditions including
satisfaction of the par coverage tests.

In addition to the eight classes of Notes rated by Moody's, the
Issuer will issue EUR34,500,000 Subordinated Notes due 2035 which
are not rated.

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

Methodology underlying the rating action:

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

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

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

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

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

Par Amount: EUR400,000,000.00

Diversity Score: 50

Weighted Average Rating Factor (WARF): 3000

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate (WARR): 43.50%

Weighted Average Life (WAL): 8.75 years


PROVIDUS CLO VI: Moody's Assigns (P)B3 Rating to EUR11.6MM F Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Providus CLO
VI Designated Activity Company (the "Issuer"):

EUR244,700,000 Class A Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

EUR26,000,000 Class B-1 Senior Secured Floating Rate Notes due
2034, Assigned (P)Aa2 (sf)

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

EUR27,800,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

EUR26,900,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

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

EUR11,600,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)B3 (sf)

RATINGS RATIONALE

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

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

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

In addition to the seven classes of notes rated by Moody's, the
Issuer will issue EUR33,600,000 of Subordinated Notes which are not
rated.

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

Methodology underlying the rating action:

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

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

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

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

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

Par Amount: EUR400,000,000

Diversity Score(*): 57

Weighted Average Rating Factor (WARF): 3020

Weighted Average Spread (WAS): 3.69%

Weighted Average Coupon (WAC): 4.50%

Weighted Average Recovery Rate (WARR): 43.00%

Weighted Average Life (WAL): 8.5 years


RATHLIN RESIDENTIAL 2021-1: Moody's Gives B2 Rating to Cl. C Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to Notes
issued by Rathlin Residential 2021-1 DAC:

Issuer: Rathlin Residential 2021-1 DAC

EUR318 million Class A Residential Mortgage Backed Floating Rate
Notes due September 2075, Definitive Rating Assigned A2 (sf)

EUR24.5 million Class B Residential Mortgage Backed Floating Rate
Notes due September 2075, Definitive Rating Assigned Ba3 (sf)

EUR14.5 million Class C Residential Mortgage Backed Floating Rate
Notes due September 2075, Definitive Rating Assigned B2 (sf)

Moody's has not assigned ratings to the EUR37.1M Class Z1
Residential Mortgage Backed Notes due September 2075 and EUR248.9M
Class Z2 Residential Mortgage Backed Floating Rate Notes due
September 2075.

The subject transaction is a static cash securitisation of
non-performing loans (NPLs) and re-performing loans (RPLs) extended
to borrowers in Ireland. This transaction represents the first
securitisation transaction from Dennett Property Finance DAC (NR)
(Dennet) backed by NPLs in Ireland. The portfolio is serviced by
Pepper Finance Corporation (Ireland) DAC ("Pepper", NR). Intertrust
Management Ireland Limited ("Intertrust") has been appointed as
back-up servicer facilitator in place to assist the issuer in
finding a substitute servicer in case the servicing agreement with
Pepper is terminated.

RATINGS RATIONALE

Moody's ratings reflect an analysis of the characteristics of the
underlying pool of NPLs and RPLs, sector-wide and servicer-specific
performance data, protection provided by credit enhancement, the
roles of external counterparties, and the structural integrity of
the transaction.

In order to estimate the cash flows generated by the pool Moody's
has split the pool into RPLs and NPLs. Moody's has classified as
re-performing certain assets that have shown a consistent payment
ratio and have an LTV low enough to incentivize borrowers to meet
their monthly payments.

In analysing the loans classified as RPLs, Moody's determined a
MILAN Credit Enhancement (CE) of 50.0% and a portfolio Expected
Loss (EL) of 20.0%. The MILAN CE and portfolio EL are key input
parameters for Moody's cash flow model in assessing the cash flows
for the RPLs.

MILAN CE of 50.0%: this is above the average for other Irish RMBS
transactions and follows Moody's assessment of the loan-by-loan
information taking into account the historical performance and the
pool composition including: (i) the Moody's-calculated weighted
average indexed current loan-to-value (LTV) ratio of 80.36% of the
RPLs pool; and (ii) the inclusion of restructured loans.

Portfolio expected loss of 20%: This is above the average for other
Irish RMBS transactions and is based on Moody's assessment of the
lifetime loss expectation for the pool taking into account (i) the
historical collateral performance of the loans to date, as provided
by the seller; (ii) the current macroeconomic environment in
Ireland and (iii) benchmarking with similar Irish RMBS
transactions.

In order to estimate the cash flows generated by the NPLs, Moody's
used a Monte Carlo based simulation that generates for each
property backing a loan an estimate of the property value at the
sale date based on the timing of collections.

The key drivers for the estimates of the collections and their
timing are: (i) the historical data received from the servicer;
(ii) the timings of collections for the secured loans based on the
legal stage of each loan; (iii) the current and projected property
values at the time of default; and (iv) the servicer's strategies
and capabilities in foreclosing on properties and maximizing
recoveries.

Hedging: As the collections from the pool are not directly
connected to a floating interest rate, a higher index rate payable
on the Notes would not be offset by higher collections from the
NPLs. The transaction therefore benefits from an interest rate cap,
linked to one-month EURIBOR, with Morgan Stanley & Co.
International plc as cap counterparty. The notional of the interest
rate cap is equal to the closing balance of the Class A and B
Notes. The cap expires five years from closing.

Coupon cap: The transaction structure features coupon caps that
apply on the interest payment date falling in October 2026. The
coupon caps limit the interest payable on the Notes in the event
interest rates rise and only apply following the expiration of the
interest rate cap.

Transaction structure: Class A Notes size is 49.25% of the total
collateral balance with 50.75% of credit enhancement provided by
the subordinated Notes. The payment waterfall provides for full
cash trapping: as long as Class A Notes are outstanding, any cash
left after replenishing the Class A Reserve Fund will be used to
repay Class A Notes.

The transaction benefits from an amortising Class A Reserve Fund
equal to 4.0% of the Class A Notes outstanding balance. The Class A
Reserve Fund can be used to cover senior fees and interest payments
on Class A Notes. The amounts released from the Class A Reserve
Fund form part of the available funds in the subsequent interest
payment date and thus will be used to pay servicer fees and/or to
amortise Class A Notes. The Class A Reserve Fund would be enough to
cover around 24 months of interest on the Class A Notes and more
senior items, at the initial strike price of the cap.

Class B Notes benefit from a dedicated Class B interest Reserve
Fund equal to 7.5% of the Class B Notes balance at closing, which
can only be used to pay interest on Class B Notes while Class A
Notes are outstanding. The Class B Interest Reserve Fund is
sufficient to cover around 45 months of interest on Class B Notes,
assuming EURIBOR at the strike price of the cap. Unpaid interest on
Class B Notes is deferrable with interest accruing on the deferred
amounts at the rate of interest applicable to the respective Note.

Class C Notes benefit from a dedicated Class C interest Reserve
Fund equal to 11.0% of Class C Notes balance at closing, which can
only be used to pay interest on Class C Notes while Class A and B
Notes are outstanding. The Class C interest Reserve Fund is
sufficient to cover around 24 months of interest on Class C Notes,
assuming EURIBOR of 1.50% (in line with the 5.50% coupon cap).
Unpaid interest on Class C Notes is deferrable with interest
accruing on the deferred amounts at the rate of interest applicable
to the respective Note. Moody's notes that the liquidity provided
in this transaction for the respective Notes is lower than the
liquidity provided in comparable transactions within the market.

Servicing disruption risk: Intertrust is the back-up servicer
facilitator in the transaction and will help the issuer to find a
substitute servicer in case the servicing agreement with Pepper is
terminated. Moody's expects the Class A Reserve Fund to be used up
to pay interest on Class A Notes in absence of sufficient regular
cashflows generated by the portfolio early on in the life of the
transaction. It is therefore likely that there will not be
sufficient liquidity available to make payments on the Class A
Notes in the event of servicer disruption. The insufficiency of
liquidity in conjunction with the lack of a back-up servicer mean
that continuity of Note payments is not ensured in case of servicer
disruption. This risk is commensurate with the ratings rating
assigned to the Notes.

The principal methodology used in these ratings was "Non-Performing
and Re-Performing Loan Securitizations Methodology" published in
April 2020.

FACTORS THAT WOULD LEAD AN UPGRADE OR DOWNGRADE OF THE RATINGS:

Factors that may lead to an upgrade of the ratings include that the
recovery process of the NPLs produces significantly higher cash
flows realized in a shorter time frame than expected.

Factors that may cause a downgrade of the ratings include
significantly less or slower cash flows generated from the recovery
process on the NPLs compared with Moody's expectations at close due
to either a longer time for the courts to process the foreclosures
and bankruptcies, a change in economic conditions from Moody's
central scenario forecast or idiosyncratic performance factors.

For instance, should economic conditions be worse than forecasted,
falling property prices could result, upon the sale of the
properties, in less cash flows for the Issuer or it could take a
longer time to sell the properties. Therefore, the higher defaults
and loss severities resulting from a greater unemployment,
worsening household affordability and a weaker housing market could
result in downgrade of the ratings. Additionally, counterparty risk
could cause a downgrade of the ratings due to a weakening of the
credit profile of transaction counterparties. Finally, unforeseen
regulatory changes or significant changes in the legal environment
may also result in changes of the ratings.




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

SIENA LEASE 2016-2: Moody's Hikes Rating on Class D Notes to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Class D notes
in Siena Lease 2016-2 S.R.L. The rating action reflects the
increased level of credit enhancement for the affected notes.

EUR251.0 million Class D Notes, Upgraded to Ba1 (sf); previously
on Jun 21, 2019 Upgraded to Ba2 (sf)

Moody's also affirmed the rating of Class C notes in Siena Lease
2016-2 S.R.L. as it had sufficient credit enhancement to maintain
the current rating.

EUR202.5 million Class C Notes, Affirmed Aa3 (sf); previously on
Jun 21, 2019 Upgraded to Aa3 (sf)

Maximum achievable rating is Aa3 (sf) for structured finance
transactions in Italy, driven by the corresponding Local Currency
Country Ceiling of the country.

RATINGS RATIONALE

The rating action is prompted by an increase in credit enhancement
for the affected tranches.

Revision of Key Collateral Assumptions

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

The performance of the transaction has continued to be stable the
last year. Total delinquencies have decreased, with 90 days plus
arrears currently standing at 0.02% of current pool balance.
Cumulative defaults currently stand at 5.96% of original pool
balance up from 4.75% a year earlier.

Moody's notes that a significant portion of the pool was in
moratorium according to the Law Decree "Cura Italia". This portion
has decreased since the beginning of this year but Moody's notes
that a spike in defaults may still be expected.

Moody's has kept unchanged the default probability assumption at
26% of the current portfolio balance, the fixed recovery rate
assumption at 30% and the PCE at 35%. In April 2020, Moody's had
increased the default probability assumption to 26% of the current
portfolio balance from 23.6% due to uncertainty in the recovery of
Italy's economic activity.

Increase in Available Credit Enhancement

Sequential amortization led to the increase in the credit
enhancement available in this transaction.

Currently, the credit enhancement of the Class D notes is 30.4%.

The analysis takes into account the likelihood of interest deferral
for Class D notes due to the cumulative default trigger and the
position of this tranche in the capital structure.

Counterparty Exposure

The rating actions took into consideration the notes' exposure to
relevant counterparties, such as servicer or account banks, using
the methodology "Moody's Approach to Assessing Counterparty Risks
in Structured Finance" published in May 2021. None of the ratings
outstanding are constrained by the exposure to relevant
counterparties.

The principal methodology used in these ratings was "Equipment
Lease and Loan Securitizations Methodology" published in August
2021.

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

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

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




===================
K A Z A K H S T A N
===================

BANK FREEDOM: S&P Raises LongTerm ICR to 'B', Outlook Stable
------------------------------------------------------------
S&P Global Ratings raised its long-term issuer credit rating on
Bank Freedom Finance Kazakhstan to 'B' from 'B-'. The outlook is
stable. S&P also raised its national scale ratings to 'kzBB+' from
'kzBB' and affirmed our 'B' short-term issuer credit rating on the
bank.

Bank Freedom will stay an integral component of the group's
operations in Kazakhstan. In particular, it serves around 90% of
the group's brokerage customer cash flows and provides direct
access to cash on brokerage accounts for payment transactions
through the Investor Card and current accounts. Moreover, following
the recent capital injection of Kazakh tenge (KZT) 23 billion
(around $54 million), S&P expects its share in Freedom Holding
Corp.'s total capital to stay over 25% in the near term.

The capital injection can be positive for capital adequacy, but
uncertainty exists. S&P believes that Bank Freedom's risk-adjusted
capital will improve but stay below 7% over the next 12-18 months
as the bank intends to leverage new capital at 4x or more,
investing the money in bonds of government-related entities (GREs)
in Kazakhstan.

An increased reliance on repurchase agreement (REPO) funding will
differentiate the bank from peers. S&P expects REPO facilities to
constitute around 60% of the bank's balance sheet by year-end 2021.
However, the central counterparty in Kazakhstan treats the bonds of
Kazakh GREs, and the Financial Stability Fund in particular, as
sovereign bonds from the money market perspective, somewhat
offsetting this funding risk.

S&P said, "The stable outlook on Bank Freedom reflect our
expectation that the ratings will move in line with our view of the
creditworthiness of the broader Freedom group. Of note, we expect
that, over the next 12-18 months, the group will retain its strong
earnings capacity and at least moderate capitalization while
continuing to onboard clients in onshore jurisdictions.

"A positive rating action would arise only from us taking a more
positive view of the group's creditworthiness, which is unlikely in
the near term. Beyond then, the transfer of clients under the
umbrella of Freedom Holding and at least adequate capitalization
would be prerequisites for an upgrade. We would also need to assess
the group's performance and financial standing relative to peers'.

"We could lower the ratings if we believe the group might not
maintain at least moderate capitalization. This could be due to
further acquisitions, buildup of a proprietary position in bonds or
equities, or faster-than-expected expansion of clients' operations
on the group's balance sheet. A negative rating action could also
follow if the transfer of customers to domestic jurisdictions stops
or is reversed, or we see rising compliance risks from
related-party transactions. As well, we could lower the ratings on
the bank if it becomes materially less important to the group
strategy, or we were less confident that it would receive group
support."




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

EP BCO: S&P Affirms 'BB-' ICR Amid Increased Demand for Commodities
-------------------------------------------------------------------
S&P Global Ratings affirmed its 'BB-' long-term issuer credit
rating on EP Bco S.A. (Euroports) and its 'BB-' issue ratings on
the company's first-lien term loan and revolving credit facility
(RCF) and its 'B' issue rating on the second-lien term loan.

The negative outlook indicates the risk that a failure to achieve
EBITDA growth could delay EP Bco's deleveraging, preventing it from
reducing S&P Global Ratings-adjusted debt to EBITDA toward 6.5x on
a sustainable basis.

Reducing adjusted debt to EBITDA toward 6.5x remains key for the
sustainability of the ratings. Because of the nonamortizing nature
of EP Bco's term loans due in 2026 and 2027, the company's
deleveraging relies on its ability to deliver EBITDA growth through
its operations. This includes improving the performance of its less
profitable terminals, increasing efficiencies, and capturing new
business opportunities as it continues scaling down its exposure to
coal (5% of revenue in 2020). EBITDA growth also depends on
sustained strong trading prospects. S&P said, "We expect strong
growth in 2021, with adjusted EBITDA of around EUR100
million-EUR110 million, including about EUR27 million for a lease
adjustment under International Financial Reporting Standard 16.
However, we continue to see a risk that the company will not
achieve such a level of EBITDA on a sustainable basis, considering
its exposure to swings in commodity volumes and its increasing use
of both leases and a factoring facility, which we treat as debt. Of
the EUR70 million available in this factoring facility, EUR34
million was drawn as of June 30, 2021, up from EUR25.5 million at
end-2020."

EP Bco's operating results are improving on the back of supportive
industry conditions and recent investments. With its operations
focused on traditional dry-bulk and break-bulk commodities and
limited container throughput, EP Bco's activities are
interconnected with the industrial production of its key clients in
Europe and China. S&P said, "Under our base case, we expect
revenues to increase toward EUR650 million-EUR675 million in 2021,
10% higher than in 2020. Revenues will benefit from additional
capacity in Belgium and strong volumes in all terminals, especially
of fertilizers, minerals, metals, and agribulk, which together
accounted for 38% of revenue in 2020. Forest products, the
commodity to which the company has greatest exposure at 44% of 2020
revenue, is also seeing an increase in volumes after two years of
decline. Nevertheless, we believe that the current boom in demand
will be temporary and will normalize from the second half of
2022."

S&P said, "While the surge in freight rates benefits EP Bco's
logistics business, Manuport Logistics (MPL), we believe that the
overall impact is not material. Shipping freight rates have risen
to 13-year highs on the back of increased business and consumer
spending, port congestion, and container shortages. This is having
a positive effect on MPL's global freight forwarding and truck
transportation activity. However, MPL's contribution to EP Bco's
EBITDA remains limited to about 10%, since the EBITDA margin on
logistics operations is low, at about 4%, although these activities
are value-added for terminal clients. Overall, we expect freight
pricing to remain elevated going into 2022, but to begin to
moderate later that year as supply headwinds ease."

Logistics frictions could put pressure on corporate margins. EP
Bco's terminals operate at maximum capacity, with constrained
storage and freight capacity causing some cost inefficiencies. S&P
said, "We expect EP Bco's adjusted EBITDA margin to remain about
16% in 2021-2023, as we believe the improvements it has made at
unprofitable terminals and ongoing cost-saving initiatives will
mitigate the cost inefficiencies. However, we see a risk that
overcapacity could delay the profitability improvements needed to
achieve deleveraging."

S&P said, "We exclude from our leverage ratios the EUR47 million
shareholder loan that investment vehicle Thaumas N.V. provided to
EP PaCo S.A., EP Bco's parent. This reflects our view of the
sovereign wealth fund owners and majority shareholder, Monaco
Resources Group S.A. (MRG), as strategic investors, rather than
financial sponsors, with a relatively long-term approach to
investing. Our treatment of the shareholder loan also reflects the
lender protection in place against any voluntary repayment thanks
to covenant limits or lender approval, as per the senior facilities
agreement (SFA). This gives us comfort that any repayments are
likely to be the result of business outperformance and
deleveraging. The shareholder loan also matures one month later
than the second-lien term loan and is contractually subordinated to
any other debt. Furthermore, the shareholder loan cannot trigger
debt acceleration or an event of default for the senior creditors,
which supports our treatment of it as equity.

"The negative outlook reflects our view of the possibility that EP
Bco may not be able to reduce its adjusted financial leverage
toward 6.5x on a sustainable basis, considering its exposure to
volatile industries and some risks to profitability that could
arise from overcapacity."

S&P could lower its ratings on EP Bco if:

-- A failure to achieve planned growth and improve operating
performance prevent the company from deleveraging such that
weighted average funds from operations (FFO) to debt falls below 7%
and debt to EBITDA fails to recover to 6.5x on average over
2021-2023. These outcomes could also result from a shortfall in
revenues from key customers, or a material increase in lease or
factoring obligations, which S&P treats as debt in its adjusted
leverage metrics;

-- S&P's view of the company's business position weakens, for
example, as a result of the underperformance of key sectors, or of
a failure to continue mitigating its exposure to trade volumes and
commodity prices through diversification and contractual
agreements;

-- MRG's credit quality deteriorates as a result of additional
leverage or more severe operational underperformance than S&P
expects at MRG's trading business, MetalCorp Group S.A.
(B/Positive/--), which it sees as risker than that of EP Bco, and
it believes that this will affect our ratings on EP Bco; and

-- S&P sees a risk of a breach of the springing leverage-based
financial covenant, which is tested if RCF drawings exceed 40% of
the available commitment.

S&P could revise the outlook on EP Bco to stable if it feels
comfortable that the company can maintain adjusted FFO to debt
above 7%, coupled with debt to EBITDA at or below 6.5x on a
sustainable basis. This would likely require the company to
demonstrate its ability to deliver organic growth in EBITDA and
sustain its profitability despite volatility in the underlying
commodities markets.


INEOS GROUP: Moody's Hikes CFR to Ba2 & Alters Outlook to Stable
----------------------------------------------------------------
Moody's Investors Service upgraded the corporate family rating of
Ineos Group Holdings S.A. (INEOS) to Ba2 from Ba3 and probability
of default rating to Ba2-PD from Ba3-PD. Concurrently, Moody's
affirmed the Ba2 ratings of guaranteed senior secured notes due
November 2025, March 2026 and May 2026, also affirmed the Ba2
ratings of guaranteed senior secured term loans due March 2024 and
October 2027 issued by Ineos Finance plc and the guaranteed senior
secured term loan due March 2024 issued by Ineos US Finance LLC.
Further, Moody's assigned Ba2 ratings to the proposed guaranteed
senior secured term loan add-on to be issued by Ineos Finance plc
and Ineos US Finance LLC. The rating outlook on all three entities
was changed to stable from positive.

RATINGS RATIONALE

The rating action reflects INEOS' continuing robust performance
across its portfolio in the first nine months of 2021 leading to
very strong credit metrics. The company posted record revenues and
EBITDA in the third quarter of 2021, for the second quarter in a
row. On a last twelve months basis, INEOS' revenues increased by
64% for the twelve months ended September 30, 2021 as compared to
the same period in the prior year and EBITDA more than doubled.
Also positively, INEOS' leverage reduced to approximately 2.9x for
the twelve months ended September 30, 2021 from 5.1x for the twelve
months ended September 30, 2020. These positives are
counterbalanced by the volatile nature of the commodity chemicals
industry and INEOS' history of large shareholder distributions.

Also positively, INEOS Group has met Moody's criteria for a
positive rating movement: retained cash flow to debt at 22% for the
twelve months ending June 30, 2021 and expected to remain above 20%
in the next 12-18 months and Moody's-adjusted total debt to EBITDA
expected to be at around 3.0x over the same time frame.

The Ba2 corporate family rating of INEOS reflects (1) its robust
business profile including its leading market position as one of
the world's largest chemical groups across a number of key
commodity chemicals; (2) vertically integrated business model,
which helps the group capture margins across the whole value chain
and economies of scale advantages, (3) well-invested production
facilities, most of them ranking in the first or second quartile of
their respective regional industry cost curve; and (4) improved
credit profile on the back of market recovery. These positives are
counterbalanced by (1) the cyclical nature of the commodity
chemical industry; (2) broad-based increases in raw material,
transportation and energy costs in recent months; (3) history of
large shareholder distributions.

ESG CONSIDERATIONS

The chemical industry is among the eleven sectors identified by
Moody's as having an elevated credit exposure to environmental
risk. Soil water and air pollution regulations continue to
represent the key environmental risk to the chemical sector, with
petrochemical companies such as INEOS particularly exposed to
carbon emission regulations. As such, INEOS's rating takes into
consideration the increasing environmental regulations for the
chemicals business in Europe and the US, which are partly mitigated
by the group's good safety, health and environment (SHE) track
record.

INEOS is a private company that is part of the INEOS family of
companies ultimately 100% owned by James Ratcliffe (61.8%), Andrew
Currie (19.2%) and John Reece (19.0%), 95% of which is held through
INEOS Limited. INEOS's stated financial policy is to keep
unadjusted net leverage under 3.0x through the cycle.

LIQUIDITY

At September 30, 2021, INEOS had EUR2,195 million of cash and over
EUR780 million available on its working capital facility which
matures on December 31, 2022. The company does not have other bank
facilities such as an RCF in place; however, the business is
expected to be cash generative in the next 12-24 months. INEOS
further indicated on its third quarter earnings call that it
expected to make an approximately EUR700 million dividend
distribution over the fourth quarter of 2021 and the first quarter
of 2022.

STRUCTURAL CONSIDERATIONS

Pro forma for the proposed transaction, all of INEOS' debt will be
secured and will consist of a term loan and senior secured notes
which are rated at Ba2, in line with the CFR.

RATING OUTLOOK

The stable rating outlook reflects Moody's expectation that INEOS
will balance the interests of its shareholders and debtholders
prudently and maintain leverage not exceeding 4.0x calculated as
gross debt/EBITDA including Moody's standard adjustments.

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

Further positive pressure on the rating may arise if (i) retained
cash flow to debt is consistently above 25%; (ii) Moody's-adjusted
total debt to EBITDA is sustained below 3x; and (iii) INEOS
maintains good liquidity. Furthermore, a moderate approach to
shareholder distributions would be important for an upgrade.

Conversely, the ratings could come under downward pressure if (i)
Moody's-adjusted total debt to EBITDA is over 4x and retained cash
flow to debt is below 20% for a prolonged period of time; (ii) the
group's liquidity profile weakens; or (iv) INEOS chooses to make
material dividend distributions such that its leverage levels
become elevated.




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

EDML BV 2021-1: Moody's Assigns Ba1 Rating to EUR4MM Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to Notes
to be issued by EDML 2021-1 B.V.:

EUR492M Class A Mortgage-Backed Notes 2021 due January 2060,
Definitive Rating Assigned Aaa (sf)

EUR6.5M Class B Mortgage-Backed Notes 2021 due January 2060,
Definitive Rating Assigned Aa3 (sf)

EUR9M Class C Mortgage-Backed Notes 2021 due January 2060,
Definitive Rating Assigned A2 (sf)

EUR4M Class D Mortgage-Backed Notes 2021 due January 2060,
Definitive Rating Assigned Baa2 (sf)

EUR4M Class E Mortgage-Backed Notes 2021 due January 2060,
Definitive Rating Assigned Ba1 (sf)

Moody's has not assigned any ratings to the EUR2.5 million Class F
Mortgage-Backed Notes 2021 due January 2060 and to the EUR40
million Class RS Notes 2021 due January 2060. The Classes A to F
are mortgage backed Notes. The proceeds of the Class RS Notes will
be partially used to fund the reserve account.

RATINGS RATIONALE

The Notes are backed by a static pool of Dutch prime residential
mortgage loans originated by Elan Woninghypotheken B.V. ("Elan",
NR). This represents the sixth issuance out of the EDML/DCDML
label.

The portfolio of assets amounts to approximately EUR518.7 million
as of August 2021 pool cut-off date. The reserve account will be
funded to 0.35% of the total portfolio balance at closing and the
total credit enhancement for the Class A Notes will be 5.50%.
The ratings are based on the credit quality of the portfolio, the
structural features of the transaction and its legal integrity.

According to Moody's, the transaction benefits from various credit
strengths such as a granular portfolio, a non-amortising cash
advance facility sized at 0.50% of Class A and B Notes balance and
a non-amortising reserve account sized at 0.35% of the securitised
portfolio balance. However, Moody's notes that the transaction
features some credit weaknesses such as an unrated servicer.
Various mitigants have been included in the transaction structure
such as a back-up servicer facilitator which is obliged to appoint
a back-up servicer in the event the servicing agreement is
terminated in respect of the servicer.

Moody's determined the portfolio lifetime expected loss of 0.9% and
an Aaa MILAN credit enhancement ("MILAN CE") of 6.5% related to
borrower receivables. The expected loss captures Moody's
expectations of performance considering the current economic
outlook, while the MILAN CE captures the loss Moody's expect the
portfolio to suffer in the event of a severe recession scenario.
Expected defaults and MILAN CE are parameters used by Moody's to
calibrate its lognormal portfolio loss distribution curve and to
associate a probability with each potential future loss scenario in
the ABSROM cash flow model to rate RMBS.

Portfolio expected loss of 0.9%: This is in line with the Dutch
Prime RMBS sector and is based on Moody's assessment of the
lifetime loss expectation for the pool taking into account: (i) the
collateral performance of Elan originated loans to date, as
provided by the originator and observed in previously securitised
portfolios; and (ii) the current macroeconomic environment in the
Netherlands.

MILAN CE of 6.5%: This is in line with the Dutch Prime RMBS sector
average and follows Moody's assessment of the loan-by-loan
information taking into account the following key drivers: (i) the
collateral performance of Elan originated loans to date as
described above; (ii) the weighted average current loan-to-value of
85.95% which is better than the sector average; and (iii) the
potential drift in asset quality through further advances.

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

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

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

Factors that may cause an upgrade of the ratings of the notes
include significantly better than expected performance of the pool
together with an increase in credit enhancement of Notes.

Factors that would lead to a downgrade of the ratings include: (i)
increased counterparty risk leading to (a) potential operational
risk of servicing or cash management interruptions and/or (b) the
risk of increased swap linkage due to a downgrade of a swap
counterparty rating; and (ii) economic conditions being worse than
forecast resulting in higher arrears and losses.




===========
N O R W A Y
===========

AUTOMATE INTERMEDIATE II: Moody's Hikes CFR to B1 Amid Recent IPO
-----------------------------------------------------------------
Moody's Investors Service has upgraded Automate Intermediate
Holdings II S.a.r.l.'s ("AutoStore", or "the company") corporate
family rating to B1 from B2 and probability of default rating to
B1-PD from B2-PD. Concurrently, Moody's has affirmed the B1
instrument ratings of AutoStore's EUR440 million senior secured
first-lien term loan B due 2026 and the EUR70 million senior
secured first-lien revolving credit facility (RCF) due 2026. The
outlook on all ratings has been changed to positive from stable.

On October 20, 2021, AutoStore successfully completed its initial
public offering (IPO) and listed its shares on the Euronext Oslo
stock exchange. Based on the pricing of NOK31 per share, the
company is valued at NOK103.5 billion or around $12.4 billion. As
part of the IPO, AutoStore has issued new shares worth NOK2.7
billion ($315 million), and around $237 million of the proceeds
will be used to repay part of its outstanding debt.

RATINGS RATIONALE

The upgrade of AutoStore's CFR to B1 from B2 with positive outlook
reflects the company's changed financial policy and significantly
reduced leverage following its successful IPO. The Moody's-adjusted
Debt/EBITDA is expected to decrease to 4.2x from 6.3x pre-IPO,
based on the last twelve months period to June 30, 2021, and pro
forma for the intended $237 million debt repayment which is
expected to be completed by the end of October 2021.

The rating action further reflects AutoStore's exceptionally strong
operating performance achieved during the first half of 2021, with
a 87% surge in net sales and 92% in company-adjusted EBITDA
compared to the prior year period, increasing to $150 million and
$75 million, respectively. The company targets to grow its revenue
to around $300 million in 2021 and over $500 million by 2022,
whilst maintaining an adjusted EBITDA margin of around 50%. Moody's
forecasts AutoStore to reduce leverage further through the expected
substantial organic revenue growth, with Moody's-adjusted leverage
decreasing to around 3.0x by the end of 2022.

AutoStore's B1 CFR further reflects (1) the company's unique and
leading position in a rapidly growing segment of the warehousing
market, underpinned by strong partner relationships; (2) its high
degree of diversification by geography and end-user; (3) the
scalability of the business backed by proven ability to grow
quickly at low cost; and (4) its future sales growth potential
supported by favorable secular trends.

Conversely, the CFR is constrained by (1) the still small albeit
fast-growing size in terms of revenue which leaves the company more
vulnerable to economic downturns and potential shifts in the
distribution/ supply chain or technology than larger players; (2)
the one-off nature of its systems sales; (3) the very rapid planned
growth, which could be challenging for management as operational
complexity and governance compliance requirements increase; and (4)
the dependence on its intellectual property (IP) and ongoing
litigation processes.

ESG CONSIDERATIONS

AutoStore's ratings factor in certain governance considerations
such as its ownership structure with SoftBank Group and Thomas H.
Lee Partners, L.P. as the largest shareholders, holding
approximately 40% and 38% of shares post the IPO, respectively.
Following the IPO, AutoStore's financial policy includes a leverage
target of below 2.0x Net Debt/EBITDA over the medium-term,
representing a significant change in financial policy compared to
its tolerance for elevated leverage levels seen previously.

RATING OUTLOOK

The positive outlook reflects Moody's expectation that AutoStore
will achieve substantial organic revenue growth in 2021 and 2022,
increasing its revenue towards $500 million by the end of 2022
whilst maintaining a Moody's-adjusted EBITA margins at current high
levels of above 40%, and thereby leading to a reduction of
Moody's-adjusted Debt/EBITDA to around 3.0x over the next 12-18
months.

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

Upward pressure on the rating could occur if the company continues
to demonstrate strong revenue growth whilst maintaining
profitability at current levels, Moody's-adjusted Debt/EBITDA
decreases sustainably below 3.0x, with Moody's-adjusted Free Cash
Flow/Debt of more than 10% and liquidity remains good. An upgrade
would further require the company to establish a track record of
good performance at a greater scale, preserve its competitive
strength and follow a more conservative financial policy under its
new ownership structure.

Downward pressure on the rating could develop if AutoStore's
Moody's-adjusted Debt/EBITDA increases above 4.5x, EBITA margins
significantly decrease from current high levels or Free cash
Flow/Debt reduces to the mid-single digit in percentage terms for a
sustained period of time.

LIQUIDITY PROFILE

Moody's considers AutoStore's liquidity profile to be good. It is
supported by $51 million cash balance as of June 2021 and a fully
undrawn EUR70 million RCF due in January 2026, which will be
increased to $150 million post the IPO. The liquidity is further
supported by Moody's expectation of meaningful free cash flow
generation from 2022 onwards, supported by a lower interest burden
and lower one-off cash cost.

STRUCTURAL CONSIDERATIONS

AutoStore's debt capital structure consists of a EUR440 million
senior secured first-lien term loan B due 2026, a EUR70 million RCF
due 2026 and a EUR165 million second-lien term loan due 2027.
Following the full repayment of the second-lien term loan with
proceeds raised as part of the IPO, AutoStore's capital structure
will consist of a single layer of debt and therefore the instrument
ratings of the senior secured first-lien term loan B and RCF are
aligned with the B1 CFR, compared to the one notch uplift
previously.

PRINCIPAL METHODOLOGY

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

CORPORATE PROFILE

Founded in 1996 and headquartered in Nedre Vats, Norway, AutoStore
is a market-leading software and robotics company that provides
automation technology to warehouse and distribution facilities.
With 667 installations in 35 countries, AutoStore is the world's
fastest-growing warehouse system. The company's largest
shareholders post the IPO are investment firm SoftBank Group and
private equity firm Thomas H. Lee Partners, L.P.


SEADRILL LTD: Bankruptcy Court Confirms Plan of Reorganization
--------------------------------------------------------------
Seadrill Limited ("Seadrill" or "the Company") on Oct. 26 disclosed
that its Plan of Reorganization (the "Plan") has been confirmed by
the U.S. Bankruptcy Court for the Southern District of Texas.
Earlier this month, the Plan received overwhelming support from the
Company's stakeholders.

Following the Court's approval of the Plan, Seadrill is targeting
an exit of Chapter 11 proceedings in approximately 60 days.  This
is subject to certain customary conditions, including certain
antitrust approvals.

The Plan raises $350 million in new financing and reduces the
Company's existing liabilities by $4.9 billion, while leaving
employee, customer, and trade claims unaffected.  Existing
shareholders will see their holding in the post emergence entity
decrease to 0.25%.

Commenting on Oct. 26, Stuart Jackson, Seadrill Chief Executive
Officer, said: "Confirmation of the Plan by the Court is a
watershed moment for Seadrill and one we should celebrate as we
move into the final stages to emerge from Chapter 11.  Achieving
this milestone would not be possible without the collective efforts
of our employees, customers, partners, suppliers, creditors and
shareholders.  The continued support from this broad Seadrill
community is one of our greatest assets and will be critical to the
success of our next chapter as we reinforce our position as a
market leader.

"With emergence around the end of the year, we stand alongside our
offshore drilling peers focused on safe and efficient delivery to
our customers in an industry that continues to need to evolve.
Seadrill's strong brand will ensure we maintain a leadership
position in future developments."

Copies of the Plan and Disclosure Statement, as well as other
information regarding the Company's chapter 11 cases, are available
at the following website:
https://cases.primeclerk.com/SeadrillLimited/.

                       About Seadrill Ltd.

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

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

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

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

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

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

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

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

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

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




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BANK AVANGARD: Moody's Affirms 'B2' LongTerm Deposit Ratings
------------------------------------------------------------
Moody's Investors Service has affirmed long-term local and foreign
currency bank deposit ratings of Joint Stock Commercial Bank
Avangard (Bank Avangard) at B2, the outlook on these ratings
remains stable. Concurrently, Moody's affirmed Bank Avangard's
Baseline Credit Assessment (BCA) and Adjusted BCA of b2, the bank's
long-term local and foreign currency Counterparty Risk Ratings
(CRR) of B1 and its long-term Counterparty Risk Assessment (CR
Assessment) of B1(cr). The bank's Not Prime short-term local and
foreign currency bank deposit ratings, Not Prime short-term local
and foreign currency CRRs and Not Prime(cr) short-term CR
Assessment were also affirmed.

RATINGS RATIONALE

AFFIRMATION OF THE BCA AND DEPOSIT RATINGS

The affirmation of Bank Avangard's BCA and deposit ratings reflects
the bank's strong capital and liquidity buffers, as well as solid
profitability, that are counterbalanced by its high level of
problem loans and weak corporate governance reflected in the
substantial exposures to related parties.

As of June 30, 2021, Bank Avangard's tangible common
equity/risk-weighted assets (TCE/RWA) was 21.3%. Moody's forecasts
the bank will sustain its strong reported capital adequacy ratios
over the next 12-18 months, despite the expected large dividend
payouts, which in 2021 amounted to 48% of 2020 IFRS net profit. At
the same time, Moody's assessment of Bank Avangard's capital
adequacy is weighed down by the bank's historically high exposures
to related parties, which has been close to 50% of the bank's TCE
over 2018-21.

Bank Avangard's earning generation is strong, thanks to the robust
fee-and-commission income which contributes around half of the
bank's revenue and, in the first six months of 2021, covered more
than 70% of its operating costs. Some pressure to profitability may
stem from the potentially elevated credit losses, as the bank's
problem loans surged to 26.3% of total gross loans from the already
high level of 18.8% as of year-end 2020 and 8.8% as of year-end
2019. The mitigating factors, however, are the low share of loans
in the bank's total assets (20% as of June 30, 2021) and the good
coverage of problem loans by loan loss reserves which consistently
exceeds 100%.

Bank Avangard's customer funding base accounts for 95% of its
liabilities as of June 30, 2021. As of the same date, 82% of the
bank's customer deposits had a maturity of less than one month, and
another 10% had a maturity of one to three months. However, Bank
Avangard's buffer of highly liquid assets, which, as of June 30,
2021, accounted for around 70% of its total assets and 100% of
total customer funding, offsets the risks associated with the
potential volatility in the bank's funding base.

ENVIRONMENTAL, SOCIAL AND GOVERNANCE (ESG) CONSIDERATIONS

Governance is highly relevant for Bank Avangard, as it is to all
entities in the banking industry. Mr. Kirill Minovalov owns close
to 100% of the bank's shares and acts as the bank's president and
ultimate decision-maker. Bank Avangard's highly concentrated
private ownership and its overlap with top management functions
create conditions for conflicts of interest. The concerns related
to corporate governance are amplified by Bank Avangard's
historically high related-party exposures to Mr. Kirill Minovalov's
other businesses. As of June 30, 2021, the bank's total
related-party balance-sheet exposures reported under IFRS equaled
45% of its TCE.

RATINGS OUTLOOK

The stable outlook on Bank Avangard's long-term deposit ratings
reflects Moody's view that the bank's solid capital and liquidity
buffers partially offset the risks stemming from its vulnerable
asset quality and weak corporate governance profile.

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

Bank Avangard's ratings could be upgraded if the bank significantly
reduces its historically high exposure to related parties,
diversifies its loan book and improves its loan-book quality while
maintaining good profitability, capital adequacy and liquidity on a
sustained basis. Bank Avangard's ratings could be downgraded as a
result of a significant deterioration in its solvency metrics or a
deposit outflow and shortage of liquidity. In a long-term
perspective, Bank Avangard's inability to defend its market
franchise and retain its customer base amidst fierce competition
from larger and more technologically advanced peers, might also
lead to an erosion of the bank's profits generation which, in turn,
will exert a downward pressure on the bank's deposit ratings.

LIST OF AFFECTED RATINGS

Issuer: Joint Stock Commercial Bank Avangard

Affirmations:

Adjusted Baseline Credit Assessment, Affirmed b2

Baseline Credit Assessment, Affirmed b2

Long-term Counterparty Risk Assessment, Affirmed B1(cr)

Short-term Counterparty Risk Assessment, Affirmed NP(cr)

Long-term Counterparty Risk Ratings, Affirmed B1

Short-term Counterparty Risk Ratings, Affirmed NP

Long-term Bank Deposit Ratings, Affirmed B2, Outlook Remains
Stable

Short-term Bank Deposit Ratings, Affirmed NP

Outlook Action:

Outlook, Remains Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Banks
Methodology published in July 2021.


BANK SPUTNIK: Bank of Russia Revokes Banking License
----------------------------------------------------
The Bank of Russia, by virtue of its Order No. OD-2198, dated
November 1, 2021, revoked the banking license of Samara-based
Commercial Bank Sputnik (public joint-stock company), or CB Sputnik
(PJSC) (Registration No. 1071; hereinafter, CB Sputnik).  The
credit institution ranked 295th by assets in the Russian banking
system.

By its Order No. OD-1894, dated September 9, 2021, the Bank of
Russia appointed the State Corporation Deposit Insurance Agency as
the provisional administration to manage CB Sputnik.

The provisional administration ensured accurate recording of the
credit institution's assets and liabilities in its statements.

Moreover, as a result of cash revision at the credit institution's
offices, the provisional administration detected a large cash
shortage. Having considered the application on this shortage
submitted by the provisional administration, the law enforcement
agencies initiated criminal cases.

As a result of the said measures, the authorities established that
CB Sputnik had lost all its equity.

Given these facts, the Bank of Russia performed its duty to revoke
CB Sputnik's banking license pursuant to Article 20 of the Federal
Law "On Banks and Banking Activities".  The Bank of Russia made
this decision in accordance with Clause 6 of Part 1 and Clauses 1
and 2 of Part 2 of Article 20 of the Federal Law "On Banks and
Banking Activities", based on the facts that CB Sputnik:

   -- had lost all its equity;

   -- had been understating the value of required provisions for
possible losses on loan and similar debts and overstating the value
of its assets in accounting and statements;

   -- had been violating federal banking laws and Bank of Russia
regulations and orders, due to which the regulator had repeatedly
applied measures against it over the past 12 months, which included
restrictions on household deposit-taking; and

   -- had been involved in dubious foreign exchange transactions.

Following the revocation of the banking license, the provisional
administration's activity to manage CB Sputnik carried out by the
State Corporation Deposit Insurance Agency pursuant to Bank of
Russia Order No. OD-1894, dated September 9, 2021, was terminated
by Bank of Russia Order No. OD-2199, dated November 1, 2021.

By its Order No. OD-2022, dated November 1, 2021, the Bank of
Russia appointed the provisional administration to CB Sputnik for a
period until the appointment of a receiver pursuant to the Federal
Law "On Insolvency (Bankruptcy)" or the appointment of a liquidator
based on Article 23.1 of the Federal Law "On Banks and Banking
Activities".  In accordance with federal laws, the powers of the
credit institution's executive bodies were suspended.

CB Sputnik is a member of the deposit insurance system.  An insured
event is deemed to have occurred since the first day of the
moratorium imposed on the claims of the bank's creditors (September
10, 2021), which is also the date as of which insurance payments
are calculated in relation to the bank's foreign currency
liabilities.

The revocation of the banking license before the end of the
moratorium on the creditors' claims does not cancel the legal
consequences of its imposition, including the State Corporation
Deposit Insurance Agency's obligation to make deposit insurance
payments.

The State Corporation Deposit Insurance Agency continues to make
insurance payments to CB Sputnik's depositors on the grounds
stipulated by Clause 2 of Part 1 of Article 8 of the Federal Law
"On the Insurance of Deposits with Russian Banks", that is, the
moratorium on the claims of the bank's creditors imposed by the
Bank of Russia before the termination of the bankruptcy
proceedings.  Depositors may obtain detailed information regarding
the repayment procedure 24/7 at the Agency's hotline (8 800
200-08-05) and on its website (https://www.asv.org.ru/) in the
Deposit Insurance / Insured Events section.


NIZHNEKAMSKNEFTEKHIM PJSC: Moody's Raises CFR to Ba3 on TAIF Deal
-----------------------------------------------------------------
Moody's Investors Service has affirmed the Baa3 issuer rating of
Sibur Holding, PJSC (Sibur) and the Baa3 backed senior unsecured
ratings of Sibur Securities DAC. Concurrently, the agency upgraded
Nizhnekamskneftekhim PJSC (NKNK, Ba3 stable)'s corporate family
rating to Ba3 from B1 and probability of default rating to Ba3-PD
from B1-PD. The outlook on Sibur Holding, PJSC and Sibur Securities
DAC remains stable. Nizhnekamskneftekhim PJSC's outlook has changed
to stable from positive.

The action follows completion of acquisition by Sibur of certain
assets of JSC TAIF[1], including NKNK. Non-cash settlement of the
deal involved funding of the acquisition of 50% plus one share of
JSC TAIF with new issuance of Sibur's shares (17.625% of existing
charter capital) that were transferred to JSC TAIF's existing
shareholders, granting them a 15% stake in the combined entity. The
remaining 50% stake in JSC TAIF involves cash consideration of
around $3 billion to be paid over 2022-32. The cash part of the
transaction has been funded via issuance of $3 billion of bonds
maturing in 2022-32 that was privately placed with JSC TAIF
shareholders. As a result of this transaction Sibur, via JSC TAIF,
now holds 83% NKNK's ordinary shares (or 73% of the company's total
equity).

RATINGS RATIONALE

RATIONALE FOR AFFIRMATION OF SIBUR'S RATINGS

Sibur will consolidate JSC TAIF assets starting from the fourth
quarter of 2021. The group's 2022 revenue will increase by nearly
90% compared with 2020 driven by consolidation of petrochemical
companies NKNK and PJSC Kazanorgsintez (KOS), as well as increased
sales volumes and somewhat stronger prices than in 2020. Sibur
expects its profitability to remain one of the highest in the
sector, with EBITDA margin of around 40%, supported by low
feedstock cost base. Feedstock synergies and product mix
diversification, as well as the increased scale of operations, will
support the joint company's business profile and market
positioning. Moody's expects that the combined company's leverage
measured by Moody's adjusted debt/EBITDA will remain below 2.5x in
2022-23 and liquidity will remain strong across the group, despite
the newly consolidated entities being at peak investment phase.
This includes the agency's estimate for proportionate consolidation
(60%) of debt to be raised by the joint venture of Sibur and
Sinopec Group Overseas Development (2018) Ltd (A1 stable),
established to build Amur Gas Chemicals Complex (AGCC) in Russia's
Far East by the end of 2024.

AGCC project will comprise ethane & LPG cracker with ethylene
capacity of 2.2-2.3 mt per annum and polyolefins capacity of 2.7 mt
per annum (2.3 mt of PE and 0.4 mt of PP) and will use feedstock
from Amur gas processing plant (AGPP) of Gazprom, PJSC (Gazprom,
Baa2 stable). The project is estimated at just below $10 billion
and will be 85% funded with new debt. The company expects to
account for AGCC by equity method, given the contractual absence of
control, and will only provide a debt service undertaking that will
likely be classified as non-financial by the auditors. Moody's will
however assess the rationale for adding a proportion of JV debt to
Sibur's balance sheet, taking into account the JV ownership and
control structure, the project's importance for the overall Far
East infrastructure development programme sponsored by the Russian
government, the risk of Sibur's having to step in as support
provider to AGCC, and peer transactions. Completion risks will be
mitigated by the company's proven track record of successful
implementation and timely launch of its Tobolsk and Zapsib
projects.

RATIONALE FOR UPGRADE OF NKNK'S RATING TO Ba3

The action primarily reflects Moody's view that the merger with
Sibur will enhance NKNK's credit profile via the integration
between the two businesses and credit support from a stronger
parent. An upgrade is also supported by the improvement in NKNK's
performance in 2021 compared with the agency's expectations; the
company's revenue for the full year will increase around 50%
compared with 2020, and EBITDA margin will rise to around 24% from
around 19% in 2019-20. On a standalone basis, NKNK's credit profile
will however remain vulnerable to the volatility in the
petrochemical market because of high leverage during the active
construction stage of its USD2.5 billion ethylene and polymer
project to be completed in 2024. The facility will double NKNK's
basic polymer production capacity, it should increase its revenue
by a third and support profitability as the company will capture a
larger share of the value chain by producing its own ethylene. The
debt-funded project will push NKNK's leverage, measured as net
debt/EBITDA, to 3.5x in 2022 and well above 5x in 2023, with
deleveraging only starting around 2024 when the project comes on
stream.

Moody's notes, that ethylene plant and power generation unit are
funded with EUR1 billion Deutsche Bank AG (A2 positive)-led
syndicated facility under the Hermes export credit agency cover and
with a EUR150 million Alfa-bank (Baa3 stable) loan. However, no
funding has yet been arranged for the polymer plant and
construction works, with the company being at final negotiation
phase with a number of financial institutions. NKNK expects to
secure debt funding in early 2022, as per project implementation
schedule.

The agency expects that being part of a larger Sibur group will
support timely funding at NKNK and efficient project implementation
without major delays and cost overruns. Moody's also notes that
Sibur publicly announced that it will support completion of
projects that have already started at NKNK.

Moody's understands, that over time NKNK will become fully
integrated in Sibur group, with key investment and financing
decisions taken at the holding level. During a certain period the
entities will continue to operate on a quasi ring-fenced basis and
will remain separate legal entities until they complete their
pre-funded investment projects. However, Sibur's policies on
consolidated leverage of net debt/EBITDA below 2.0x, and a
requirement to maintain committed backup credit facilities will
likely be applied across the group, improving the company's
financial discipline and liquidity management.

Moody's expects NKNK to potentially benefit from qualifying as one
of Sibur's material subsidiaries under the 10% asset and revenue
test for cross-acceleration provisions in Sibur's debt
documentation, and some other forms of implicit and explicit parent
support that will improve their cost of funding and overall
financial and liquidity profiles.

LIQUIDITY

Sibur group (on a consolidated basis) has excellent liquidity for
the next 12-18 months. Moody's expect the company to generate
around RUB490 billion of funds from operations in Q4 2021-Q1 2023.
Along with the cash balance of more than RUB70 billion and
available committed revolving credit facilities of RUB35 billion as
of the end of September 2021, it will be sufficient to cover
capital expenditures of RUB264 billion, debt repayments of RUB77
billion (including the new bond funding cash consideration to TAIF
shareholders), as well as envisaged dividend payments in the same
period.

NKNK has a benign debt maturity profile with substantial repayments
only starting beyond 2024, following the launch of its large-scale
olefin project. According to Moody's estimates, NKNK's liquidity is
supported by around RUB19 billion cash balances as of the end of
September 2021. Moody's notes, that the company is currently in
compliance with its tightest net debt/EBITDA covenant, which is
embedded in its debt documentation and is set at 3.5x for 2020-22,
however, a rise in project-related leverage in 2023 would call for
covenant renegotiation/waiver for that year, a development that
Moody's will monitor. The agency expects NKNK to manage its
liquidity, including the pace of investments and cash balances, in
a prudent way to avoid breach of the covenant that would constrain
project-related disbursements and, in the worst case, trigger the
acceleration of outstanding debt, in part or in full. In Moody's
view, NKNK as part of the larger Sibur group will be more
favourably positioned to negotiate bank funding for the second
phase of its investment project, as well as access capital
markets.

RATIONALE FOR THE STABLE OUTLOOK

The stable outlook on Sibur's ratings reflects Moody's view that
the rating remains adequately positioned in its current category.

The stable outlook on NKNK's ratings reflects Moody's view, that
following the transaction, the company's business profile has
improved, however, further positive rating migration would be
subject to the pace of integration and standalone performance
improvements.

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

The rating of Sibur could be upgraded, if the company demonstrated
1) deleveraging towards debt/EBITDA of 2.0x on a sustained basis;
and 2) retained cash flow/debt improving to 30%, while maintaining
healthy liquidity profile on a sustained basis. Conversely, an
increase in leverage towards debt/EBITDA of 3.0x or retained cash
flow/debt weakening to 15% on a sustained basis, and deterioration
in liquidity could lead to a downgrade of the ratings. Downgrade of
Russia's sovereign rating would also have a negative effect on
Sibur's ratings.

NKNK's rating could be upgraded if the company demonstrated
conversion of investment in the large olefin project into cash
flow, and improvement in key financial metrics including leverage
and coverage consistent with a mid-Ba category. Evidence of
integration in Sibur's business and financial model could, over
time, lead to ratings conversion. Negative pressure on NKNK's
rating would develop if it continued to operate on a standalone
basis, and its credit quality deteriorated beyond Moody's
expectations for the current rating category, with debt/EBITDA
remaining above 5.5x and RCF/debt below 10% beyond 2024; and
deteriorating liquidity profile (including covenants management).

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Chemical
Industry published in March 2019.

COMPANY PROFILES

Sibur Holding, PJSC (Sibur) is a vertically integrated
petrochemical company operating in Russia. Leonid Mikhelson is the
major shareholder with of shares (30.6%), followed by Gennady
Timchenko with 14.5%. China Petroleum and Chemical Corporation (A1
stable) and China's (Government of China, A1 stable) Silk Road Fund
hold 8.5% each in Sibur. SOGAZ JSC holds 10.6%, TAIF shareholders
15%, and the company's current and former management hold the
remaining 12.3%. In the 12 months ended September 30, 2021, Sibur
generated revenue and reported EBITDA of RUB752 billion and RUB334
billion, respectively .

Nizhnekamskneftekhim PJSC (NKNK) is a major Russian petrochemical
company located in the Republic of Tatarstan. NKNK's eight core
production units produce rubber, plastics, monomers and other
petrochemicals, and they are located on two adjacent production
sites that have centralised transportation, energy and
telecommunication infrastructure. In the 12 months that ended June
30, 2021, the company reported sales of RUB205 billion and adjusted
EBITDA of RUB49 billion. Of NKNK's ordinary shares, 83% (or 73% of
the company's total equity) are held by Sibur via JSC TAIF, the
rest of the equity is in free float. The Tatarstan government
retains the golden share of NKNK, which gives the government veto
power over certain major corporate decisions.




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S P A I N
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INSTITUTO VALENCIANO: S&P Withdraws 'BB/B' Issuer Credit Ratings
----------------------------------------------------------------
S&P Global Ratings withdrew its 'BB/B' long- and short-term issuer
credit ratings on the Autonomous Community of Valencia's financial
arm, Instituto Valenciano de Finanzas (IVF). The withdrawal is
pursuant to its policies, after its rating engagement with IVF
expired and was not renewed.

The rating on IVF reflected S&P's opinion that there is an almost
certain likelihood that IVF's owner, the Autonomous Community of
Valencia (BB/Stable/B), would provide timely and sufficient
extraordinary support to IVF in the event of financial distress.

At the time of the withdrawal the outlook on IVF was stable,
reflecting that on Valencia.




=============
U K R A I N E
=============

CITY OF KYIV: S&P Affirms 'B' Issuer Credit Rating, Outlook Stable
------------------------------------------------------------------
S&P Global Ratings, on Oct. 29, 2021, affirmed its 'B' long-term
issuer credit rating on the Ukrainian capital City of Kyiv. The
outlook is stable.

Outlook

S&P said, "The stable outlook reflects our view that Kyiv will
maintain its financial strength through 2021-2023. We expect that
the economic recovery will support revenue growth, making elevated
expenditure growth manageable."

Downside scenario

S&P said, "We would lower the rating if we were to lower our
sovereign ratings on Ukraine (B/Stable/B). We might also consider a
negative rating action if Kyiv's financial management team found it
difficult to balance its budget, leading to a structurally wider
deficit, and material and fast debt accumulation."

Upside scenario

S&P could raise its rating on Kyiv if debt and liquidity practices
improved. Furthermore, an upgrade would be contingent on a similar
rating action on Ukraine.

Rationale

S&P said, "The impact of COVID-19 will continue to weigh on the
city's finances in 2021. However, we believe that the national
economic rebound will help the city to sustain a strong budgetary
performance in 2021-2023. We believe that Kyiv will resort to
moderate borrowing, although debt will remain low. At the same
time, our assessment remains constrained by the very volatile and
centralized Ukrainian institutional setting for local and regional
governments (LRGs). Kyiv's weak payment culture, with a track
record of defaults, also continues to weigh on the rating."

Economic recovery and continuing decentralization will mitigate the
volatile institutional setting

S&P expects Kyiv's growth to follow that of the national economy,
with 3.3% real GDP growth in 2021 compared with a 4% drop last
year. The city's budget was only moderately harmed by the difficult
economic conditions in 2020, driven by the pandemic. Further
recovery will support Kyiv's economic growth trend since 2015.

As the capital, Kyiv remains Ukraine's most prosperous and
diversified region. The city contributes more than 20% of national
GDP and benefits from a strong labor market, with the lowest
unemployment in Ukraine. Moreover, its GDP per capita was 3x above
the national figure in 2020.

S&P said, "We regard the legal framework for Ukrainian
municipalities as very volatile and underfunded. We believe that
Kyiv's budgetary performance remains significantly affected by the
central government's decisions regarding key taxes, transfers, and
expenditure responsibilities." The central government provided
business-supporting measures during the pandemic, but it did not
compensate municipalities for the consecutive revenue shortfalls.

At the same time, S&P expects the decentralization reform started
in 2014 to restructure relations between local governments and
central authorities by providing more financial and decision-making
autonomy. As a part of the reform, the central government took over
a sizable share of medical expenses from municipal budgets, which
supported local budgets during the pandemic.

Furthermore, local governments have taken additional
responsibilities for capital projects and will continue to invest
in infrastructure.

S&P said, "Kyiv's debt and liquidity management has improved in the
past few years, in our view, thanks to a reduced debt stock and
restructuring of the remaining unsettled market liabilities. At the
same time, unreliable medium-term financial planning, short-term
borrowing, and a track record of a weak payment culture weigh
negatively on our view of the city's management."

Budgetary performance will remain strong and debt low

S&P said, "We expect Kyiv will keep demonstrating relatively solid
financial performance in 2021-2023. We project the city's deficit
after capital accounts will equal 1.2% of total revenue this year,
compared with a 0.5% surplus in 2020, due to spending pressure. We
incorporate in spending Kyiv's compensation to the city-owned
transportation company and metro, because these have limited
functionality during lockdowns and the city provides transfers to
cover employees' wages.

"The city remains committed to a number of large infrastructure
projects, such as the construction of bridges, tram and metro
lines, and roads. The city enjoys a large self-financed investment
program and could redirect some funds from the projects toward debt
service in case of need. We also expect that the city will continue
its infrastructure development by providing guarantees to its
transportation and utility government-related entities (GREs) for
loans from the European Bank for Reconstruction and Development and
the European Investment Bank. The projects are planned over a 15-
to 20-year horizon and include upgrades to transportation
facilities and repairs of the city's heating supply. In 2021, Kyiv
provided a EUR140 million new guarantee to its heating company.

"We expect that Kyiv's direct debt will remain low through 2023.
The city's direct debt consists of a $115.1 million Eurobond placed
in 2018, reflecting the restructuring of the 2015 Eurobond. The
liability is due in 2021-2022. We expect that Kyiv will prioritize
the market debt repayment. We believe that Kyiv could place
additional municipal bonds and/or rely on accumulated reserves in
order to cover upcoming market maturities.

"In addition to direct debt, our assessment of the city's total
debt burden (tax-supported debt) includes liabilities of municipal
GREs, which require assistance from the city's budget. In
particular, we factor in all debt of GREs explicitly guaranteed by
Kyiv (Kyivpastrans, Kyivmetro, GVP Energy Saving Company, and
Kyivteploenergo), as well as the commercial debt of the water
utility, given the ongoing support from the city's budget or strong
links with the municipality. We also include in the tax-supported
debt the liabilities arising from the lawsuit against Kyiv's subway
company Kyivmetro, because the city might be required to
financially support the entity.

"We assume that Kyiv's contingent liabilities are low and include
mostly accumulated payables at the city's utility and
transportation companies. We include all municipal companies' debt
in Kyiv's tax-supported debt. We also include in the city's
contingent liabilities the Ukrainian hryvna (UAH)3.7 billion
(US$140 million as of Oct. 27, 2021) of central government loans
received before 2014 to finance mandates set by the central
government."

Although Kyiv is repaying its Eurobonds in 2021 and 2022 (the first
part of $28.7 million was repaid in June 2021), the liquidity
coverage ratio will stay strong owing to availability of new credit
totaling UAH1.5 billion, which the city contracted in 2021. At the
same time, we believe that the city's access to external funding
remains limited, due to the still-weak Ukrainian capital markets
and banking sector.


In accordance with S&P's relevant policies and procedures, the
Rating Committee was composed of analysts that are qualified to
vote in the committee, with sufficient experience to convey the
appropriate level of knowledge and understanding of the methodology
applicable. At the onset of the committee, the chair confirmed that
the information provided to the Rating Committee by the primary
analyst had been distributed in a timely manner and was sufficient
for Committee members to make an informed decision.

After the primary analyst gave opening remarks and explained the
recommendation, the Committee discussed key rating factors and
critical issues in accordance with the relevant criteria.
Qualitative and quantitative risk factors were considered and
discussed, looking at track-record and forecasts.

The committee's assessment of the key rating factors is reflected
in the Ratings Score Snapshot above.

The chair ensured every voting member was given the opportunity to
articulate his/her opinion. The chair or designee reviewed the
draft report to ensure consistency with the Committee decision. The
views and the decision of the rating committee are summarized in
the above rationale and outlook. The weighting of all rating
factors is described in the methodology used in this rating
action.

  Ratings List

  RATINGS AFFIRMED

  KYIV (CITY OF)

  Issuer Credit Rating     B/Stable/--




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

ARROW GLOBAL: S&P Lowers LongTerm ICR to 'B+', Outlook Stable
-------------------------------------------------------------
S&P Global Ratings lowered its long-term issuer credit rating on
Arrow Global Group PLC to 'B+'. The outlook is stable.

S&P also lowered its issue rating on the senior secured notes to
'B+' with a recovery rating of '3', reflecting its expectation of
meaningful recovery (50%-70%; rounded estimate: 50%) in the event
of payment default.

Sherwood Parentco Ltd. (Sherwood) has acquired distressed debt
purchaser, distressed asset servicer, and fund manager Arrow Global
Group PLC (Arrow). Sherwood funded the deal with about GBP1.2
billion equivalent of new senior secured notes.

Sherwood is now the owner of Arrow Global Group's operations, and
Sherwood's ownership by a private equity sponsor is a rating
constraint. Sherwood is a bidco, fully owned by TDR Capital (not
rated), and it purchased Arrow for a total consideration of £563
million. Arrow's operations will continue under the same branding,
and Arrow's management is largely unchanged following the deal's
closure.

S&P said, "The stable outlook reflects our expectation that
Sherwood, through its Arrow operating subsidiaries, will operate
with gradually reducing, though elevated, financial leverage over
the next 12 months. Notably, we expect average adjusted debt to
EBITDA to hover at about 5x over the next 24 months. We expect this
trend to be supported by the group's continued pivot toward fund
management and asset servicing in the European distressed debt
market, with a continued stable, profitable performance in the
group's balance sheet business.

"We could lower the ratings by one notch following a period of
sustained underperformance or significantly accelerated capital
deployment that undermined our broad view of the group's financial
stability. This would include adjusted debt to EBITDA persistently
above 5x beyond 2022. This could stem from rapid, material drawing
under the group's revolving credit facility, likely to fund mergers
and acquisitions or significant portfolio purchases, which would
increase leverage and worsen the group's liquidity position.

"An upgrade of Arrow or its debt instruments is unlikely over the
next 12 months. In the medium term, we could consider an upgrade if
the group reduced its leverage effectively, with cash-adjusted debt
to EBITDA at about 3.5x on a sustained basis, while demonstrating
stable financial discipline. Under our base case, we do not expect
this to occur before 2023."


CROWN AGENTS: Fitch Affirms 'BB' LongTerm IDR, Outlook Stable
-------------------------------------------------------------
Fitch Ratings has affirmed Crown Agents Bank Limited's (CABK)
Long-Term Issuer Default Rating (IDR) at 'BB'. The Rating Outlook
is Stable. Fitch has also affirmed CABK's Viability Rating (VR) at
'bb'.

KEY RATING DRIVERS

CABK's ratings are driven by the bank's small, concentrated but
established franchise in its niche businesses and are supported by
its liquid and conservatively managed balance sheet and healthy
asset quality. The ratings also reflect material exposure to
operational, reputation and other non-financial risks given the
bank's business model that is focused on providing payment services
between developed and emerging and frontier markets. While the bank
is enhancing risk management through additional investments in
systems, processes and specialist staff, these improvements remain
untested.

The bank's profitability has improved, but operating profit remains
small in absolute terms. CABK's capitalization is a relative
weakness as its capital base is small in absolute terms and is
vulnerable to the financial consequences inherent in non-financial
and operational risks.

CABK's niche franchise is supported by its long-standing network of
correspondent banking relationships and brand recognition in
targeted regions (Africa, the Caribbean and certain Asia Pacific
and Latin American countries). Its expansion strategy is along the
lines of CABK's historical areas of expertise and forms part of the
bank's aim to become a major digital transactional bank between
developed (OECD) and emerging and frontier market counterparties,
specializing in payments and foreign exchange for digital payment
specialists, official development agencies, non-governmental
organisations, commercial and central banks, as well as non-bank
financial institutions.

The implementation of this strategy is continuing but has been
gradual so far, given the required investment in systems and
process for onboarding new clients and geographies. The bank's
strategy was developed in 2016 following CABK's acquisition by
Helios Partners LLP (Helios), an Africa-focused private investment
firm but has picked up pace following the acquisition of Segovia in
2019.

The bank has been investing in its risk management to accommodate
its evolving business model and growth, although its ability to
mitigate non-financial risk remains untested as the bank's track
record is relatively short. Fitch believes that the bank's business
model exposes it to high compliance and regulatory risks given the
wide range of countries in which it operates as payment volumes are
growing quickly. The bank has strengthened its internal controls
and capabilities to meet its targeted growth and plans further
investments in automation. However, the limited track record of
these, under a significantly higher-volume business model remains a
constraint on the ratings.

On-balance sheet credit risk is low. CABK's asset quality consists
largely of cash held at the Bank of England (over half of total
assets), investments in securities and placements with mostly
highly rated commercial banks, including trade finance related. It
has not experienced any deterioration as a result of the pandemic
and Fitch expects it to be resilient going forward. There are no
impaired loans and the bank has not reported any credit losses
since its acquisition by Helios.

The key credit risk for the bank is settlement risk arising from FX
transactions with counterparties in emerging and frontier markets,
but Fitch believes the risk is manageable due to fairly
conservative exposure limits that will curb potential losses. The
market risk exposure arising from these FX transactions are
moderate given conservative open position limits. The bank's
balance sheet is deposit-driven and short-term.

Trade finance activities have been reduced by management as they
are no longer part of its growth strategy and Fitch believes that
while some exposure will remain, it will not increase materially
from current levels. The bank continues to ensure that exposure is
short term, largely backed by cash and collateral, and small (less
than 5%) when taken as a proportion of total assets.

CABK's profitability is improving in line with its changing focus
to payments and FX transactions but it remains modest in absolute
terms, which affects Fitch's assessment of profitability. Earnings
are generated increasingly from transactions in emerging and
frontier markets, which has resulted in a change in the bank's
operating environment factor score to 'bbb' from 'a-'. The bank was
successful in replacing the fall in income caused by the reduction
in global interest rates, lower than planned balance sheet size and
the reduction in trade finance exposure, with higher levels of
transaction volumes. At the same time, the bank has continued to
invest in its expansion plan. If successfully implemented, the
expansion should improve structural profitability in the medium
term.

Internal capital generation has allowed CABK to build its equity
base without needing external capital injections from Helios, but
overall capital remains small in absolute terms and is vulnerable
to even moderate losses.

CABK's Short-Term IDR of 'B' is based on the bank's Long-Term IDR
of 'BB'.

SUPPORT RATING (SR) and SUPPORT RATING FLOOR (SRF)

Fitch believes that while CABK may receive support from its
shareholders, this cannot be relied on. As Fitch does not rate
Helios, Fitch cannot ascertain its ability to provide such support
in a timely manner if required. Fitch believes that UK legislation
and regulations and CABK's low systemic importance mean that senior
creditors cannot rely on extraordinary support to be provided by
the UK authorities in the event the bank becomes non-viable. Fitch
has therefore affirmed the bank's '5' Support Rating and its
Support Rating Floor of "No Floor".

RATING SENSITIVITIES

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

-- CABK's ratings would be downgraded if there are signs of
    inadequate controls of compliance or operational risks. The
    ratings would also come under pressure if the bank falls
    significantly behind its medium-term targets, such as below
    target profitability growth resulting in sustained weak
    internal capital generation that is insufficient to offset the
    cost base, or if material credit impairment or operational
    charges occur.

-- A downgrade would also be likely if the bank adopts a more
    aggressive risk appetite than Fitch's current expectations, if
    there are signs of inadequate controls of compliance or
    operational risks, or if it sees a material tightening of
    liquidity.

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

-- An upgrade in CABK's ratings is unlikely while the bank's
    equity base remains at its current size, and its business
    model profile and risk profile develop as planned. An upgrade
    would require the successful execution of its expansion and
    transformation strategy, sustaining significant improvements
    in its risk-adjusted returns and the absolute size of the
    capital base, which Fitch does not expect over the rating
    horizon.
    
-- For an upgrade, Fitch would expect the bank to be able to
    demonstrate that the strengthened risk controls are sufficient
    to cope with the greater planned business volumes and maintain
    sound asset quality and liquidity.

-- Fitch does not expect changes to the SR and the SRF given the
    low systemic importance of the bank and because of the current
    legislation in place that is likely to require senior
    creditors to participate in losses for resolving CABK.

BEST/WORST CASE RATING SCENARIO

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

ESG CONSIDERATIONS

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


DOWSON PLC 2020-1: Moody's Affirms B3 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two notes in
Dowson 2020-1 Plc. The rating action reflects the increased levels
of credit enhancement for the affected notes.

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

GBP147.4M Class A Notes, Affirmed Aaa (sf); previously on Aug 28,
2020 Affirmed Aaa (sf)

GBP41.8M Class B Notes, Upgraded to Aa1 (sf); previously on Aug
28, 2020 Affirmed A1 (sf)

GBP12.1M Class C Notes, Upgraded to Baa1 (sf); previously on Aug
28, 2020 Confirmed at Baa3 (sf)

GBP9.9M Class D Notes, Affirmed Ba2 (sf); previously on Aug 28,
2020 Confirmed at Ba2 (sf)

GBP8.8M Class E Notes, Affirmed B3 (sf); previously on Aug 28,
2020 Affirmed B3 (sf)

RATINGS RATIONALE

The rating action is prompted by an increase in credit enhancement
for the affected tranches.

Key Collateral Assumptions:

As part of the rating action, Moody's reviewed its default
probability and recovery rate assumptions for the portfolio
reflecting the collateral performance to date. Total delinquencies
with 90 days plus arrears currently stand at 1.3% of current pool
balance. Cumulative defaults currently stand at 7.5% of original
pool balance.

Moody's maintained its assumptions for the default probability at
17% of the current portfolio balance, fixed recovery rate at 30%
and the portfolio credit enhancement at 40%.

Increase in Available Credit Enhancement:

Sequential amortization led to the increase in the credit
enhancement available in this transaction.

The credit enhancement for the Class B and C Notes affected by
today's rating action increased to 26.0% and 15.8% from 15.2% and
9.2% respectively since the last rating action.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
September 2021.

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

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

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


DOWSON PLC 2021-2: S&P Assigns B- Rating on Class F Notes
---------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Dowson 2021-2
PLC's asset-backed floating-rate class A, B, C, D, E, F-Dfrd, and
X-Dfrd notes.

The class X-Dfrd notes are excess spread notes. The proceeds from
the class X-Dfrd notes were used to fund the initial required cash
reserves and the premium portion of the purchase price, and to pay
certain issuer expenses and fees (including the cap premium).

Dowson 2021-2 is the fourth public securitization of U.K. auto
loans originated by Oodle Financial Services Ltd. S&P also rated
the first three securitizations, Dowson 2019-1 PLC, Dowson 2020-1,
and Dowson 2021-1 PLC, which closed in September 2019, March 2020,
and April 2021, respectively.

Oodle is an independent auto lender in the U.K., with a focus on
used car financing for prime and near-prime customers.

Oodle exercised the optional redemption on Dowson 2019-1 on the
first optional redemption date. Eligible receivables from Dowson
2019-1 have been securitized into Dowson 2021-2. Currently, they
form about 29.3% of the pool.

The underlying collateral comprises U.K. fully amortizing
fixed-rate auto loan receivables arising under hire purchase (HP)
agreements granted to private borrowers resident in the U.K. for
the purchase of used and new vehicles. There are no personal
contract purchase (PCP) agreements in the pool. Therefore, the
transaction is not exposed to residual value risk.

About 5.9% of the pool are multi-part agreements that include
certain add-on components, which covers for insurance, warranties,
and refinancing of amounts owed by the obligor under any
pre-existing hire-purchase, lease, or other auto finance agreement,
which is terminated by the obligor in connection with its entry
into a new agreement. Currently, the add-on components form about
0.62% of the pool.

Collections are distributed monthly with separate waterfalls for
interest and principal collections, and the notes amortize fully
sequentially from day one.

A dedicated reserve ledger for each class A, B, C, D, E, and F-Dfrd
notes is in place to pay interest shortfalls for the respective
class over the transaction's life, any senior expense shortfalls,
and once the collateral balance is zero or at legal final maturity,
to cure any principal deficiencies. The required reserve amount for
each class amortizes in line with the outstanding note balance.

A combination of note subordination, the class-specific cash
reserves, and any available excess spread provides credit
enhancement for the rated notes.

Commingling risk is partially mitigated by sweeping collections to
the issuer account within two business days, and a declaration of
trust is in place over funds within the collection account.
However, due to the lack of minimum required ratings and remedies
for the collection account bank, we have assumed one week of
commingling loss in the event of the account provider's
insolvency.

Although the originator is not a deposit-taking institution, there
are eligibility criteria preventing loans to Oodle employees from
being in the securitization, and Oodle has not underwritten any
insurance policies for the borrowers. The new add-on product may
give rise to potential setoff risk between the borrower and the
seller, which may be subject to claims under section 75 CCA for any
breach of contract or misrepresentation, although Oodle would
normally have a claim against the dealer in such scenario. As a
conservative assumption, in the absence of a satisfactory legal
comfort, S&P has considered a setoff loss for the total add-on
portion of the pool, which comprises 0.62% of the pool.

Oodle is the initial servicer of the portfolio. A moderate severity
and portability risk along with a moderate disruption risk
initially caps the maximum potential ratings on the notes at 'AA'
in the absence of a back-up servicer. However, following a servicer
termination event, including insolvency of the servicer, the
back-up servicer, Equiniti Gateway Ltd., will assume servicing
responsibility for the portfolio. S&P has therefore incorporated a
three-notch uplift, which enables the transaction to achieve a
maximum potential rating of 'AAA' under its operational risk
criteria. Therefore, its operational risk criteria does not
constrain its ratings on the notes.

The assets pay a monthly fixed interest rate, and all notes pay
compounded daily sterling overnight index average (SONIA) plus a
margin subject to a floor of zero. Consequently, these classes of
notes benefit from an interest rate cap.

Interest due on all classes of notes, other than the most senior
class of notes outstanding, is deferrable under the transaction
documents. Once a class becomes the most senior, interest is due on
a timely basis. However, although interest can be deferred, our
ratings on the class A, B, C, D, and E notes address timely payment
of interest and ultimate payment of principal. S&P's ratings on the
class F-Dfrd and X-Dfrd notes address the ultimate payment of
interest and ultimate payment of principal.

The transaction also features a clean-up call option, whereby on
any interest payment date when the outstanding principal balance of
the assets is less than 10% of the initial principal balance, the
seller may repurchase all receivables, provided the issuer has
sufficient funds to meet all the outstanding obligations.
Furthermore, the issuer may also redeem all classes of notes at
their outstanding balance together with accrued interest on any
interest payment date on or after the optional redemption call date
in October 2024.

S&P said, "Our ratings on the transaction are not constrained by
our structured finance sovereign risk criteria. The remedy
provisions adequately mitigate counterparty risk in line with our
counterparty criteria. The legal opinions adequately address any
legal risk in line with our criteria."

  Ratings

  CLASS    RATING*    AMOUNT (MIL. GBP)

  A        AAA (sf)     281.2
  B        AA (sf)       41.4
  C        A (sf)        33.1
  D        A- (sf)       22.7
  E        BBB- (sf)     18.6
  F-Dfrd   B- (sf)       16.5
  X-Dfrd   CCC (sf)      41.4

*S&P's ratings on the class A, B, C, D, and E notes address the
timely payment of interest and ultimate payment of principal, while
its ratings on the class F-Dfrd and X-Dfrd notes address the
ultimate payment of both interest and principal no later than the
legal final maturity date.


ERM FUNDING 2021-1: Moody's Assigns (P)Ba2 Rating to Class E Notes
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to Notes
to be issued by ERM Funding plc Series 2021-1:

GBP170.2 million Class A1 Fixed Rate Asset Backed Notes due June
2090, Assigned (P)Aa3 (sf)

GBP110.6 million Class A2 Fixed Rate Asset Backed Notes due June
2090, Assigned (P)Aa3 (sf)

GBP61.4 million Class B Fixed Rate Asset Backed Notes due June
2090, Assigned (P)A3 (sf)

GBP3.5 million Class C Fixed Rate Asset Backed Notes due June
2090, Assigned (P)Baa3 (sf)

GBP2.6 million Class D Fixed Rate Asset Backed Notes due June
2090, Assigned (P)Ba1 (sf)

GBP1.8 million Class E Fixed Rate Asset Backed Notes due June
2090, Assigned (P)Ba2 (sf)

Moody's has not assigned a rating to the subordinated GBP2.2M Class
Z1 Fixed Rate Asset Backed Notes due June 2090 or to the
subordinated GBP2.2M Class Z2 Fixed Rate Asset Backed Notes due
June 2090.

RATINGS RATIONALE

The Notes are backed by a static pool of UK residential reverse
mortgage loans originated and serviced by More2Life Limited(NR),
while the seller is RGA Americas Reinsurance Company, Ltd.(NR, part
of Reinsurance Group of America, Inc. (Baa1)). This represents the
first issuance out of the ERM Funding program.

The portfolio of loan assets amount to approximately GBP323.0m as
of June 30, 2021 pool cutoff date. No interest or principal
payments are required during the lifetime of each loan. Instead,
interest accrues on the loan until it is redeemed in a single
payment, typically from the sale proceeds of the property.
Borrowers may elect to prepay at any time, but the loan is not
required to be repaid until the earlier of the death of the
borrower or the borrower enters into long-term care. The
transaction benefits from a cash account that will be funded at
GBP28m at closing and a liquidity facility with a limit of GBP34m.

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

According to Moody's, the transaction benefits from various credit
strengths. The asset balance at closing is below the issued note
balance, however the portfolio balance will increase over time
through the capitalization of accrued interest. All of the
securitised assets as well as the issued notes bear a fixed rate of
interest, therefore the transaction is not exposed to interest rate
risk. The granular portfolio with a low indexed loan-to-value (LTV)
ratio of 35.4% and a weighted average borrower age of 69 years
partially mitigate longevity risk.

However, Moody's notes that the transaction features some credit
weaknesses such as an unrated servicer and a structure which allows
for interest deferral on the notes. In addition, Classes A1 and A2
are repaid based on an amortization schedule. The scheduled
amortization is exposed to the risk of the uncertain repayment
profile of the loan portfolio. Various mitigants have been included
in the transaction structure such as the cash account and liquidity
facility which are available for the seniors fees, funding
additional drawdowns and principal and interest payments on Classes
A1 and A2. Classes B to E do not benefit from sources of liquidity
other than cashflows from the securitized portfolio. Class C will
only start receiving interest payments once Class B principal has
been fully repaid and as such is not expected to receive any
interest payments for several years from closing. Classes D and E
are exposed to similar structural weaknesses.

SOCIAL RISK

This reverse mortgage transaction is exposed to social risks
related to demographic and social trends. In particular, mortality
rates are a key rating driver of this asset class, as are trends
related to the timing of when borrowers move to long-term care
facilities (morbidity events).

The principal methodology used in these ratings was "Reverse
Mortgage Securitizations Methodology" published in April 2020.

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

FACTORS THAT WOULD LEAD AN UPGRADE OR DOWNGRADE OF THE RATINGS:

Factors that may cause an upgrade of the ratings of the notes
include significantly better than expected performance of the pool
together with an increase in credit enhancement of the notes.

Factors that would lead to a downgrade of the ratings include: (i)
increased counterparty risk; (ii) materially higher prepayment or
materially lower mortality rates (iii) economic conditions being
worse than forecast resulting in lower property values; and (iv)
unforeseen legal challenges or regulatory changes.

INEOS GROUP: S&P Lowers Senior Secured Debt Rating to 'BB'
----------------------------------------------------------
S&P Global Ratings lowered its issue-level rating on the senior
secured debt of Ineos Group Holdings S.A. (IGH; BB/Stable) to 'BB'
from 'BB+'. This reflects the increased amount of senior secured
debt in the capital structure following the announced refinancing.
The company plans to refinance about EUR1.1 billion senior
unsecured notes due 2024 with the add-on to its existing senior
secured term loans.

Following the issuance, IGH's capital structure will primarily
consist of senior secured debt (about EUR6.5 billion) and other
loans (EUR0.8 billion, excluding the EUR0.5 billion Gemini project
finance facility).

S&P said, "We see the transaction as debt-neutral and therefore it
does not affect our issuer credit rating on IGH of 'BB'. The
company continues to enjoy supportive market conditions and we
expect record EBITDA in 2021. This will help IGH to keep its net
debt-to-EBITDA ratio (as defined by the management) well below its
financial policy target of 3x through the cycle. We believe the
company may direct the healthy operating cash flow to its EUR3
billion Antwerp cracker (Project One), the final investment
decision on which is expected in early 2022. IGH also announced it
will upstream EUR0.7 billion to the group parent during Q4 2021 and
Q1 2022. Overall, this will limit net debt reduction, while gross
debt will remain broadly stable. Ultimately, our rating on IGH
continues to reflect the creditworthiness of the wider Ineos
group.

Key analytical factors

-- The downgrade of senior secured debt to 'BB' from 'BB+'
reflects higher amount of senior secured debt in the capital
structure following the announced refinancing.

-- 'BB' issue rating on the senior secured term loans, EUR550
million senior secured notes due 2025, EUR770 million senior
secured notes due 2026, and EUR325 million senior secured notes due
2026 reflects S&P's recovery rating of '3' (meaningful recovery).

-- The recovery rating reflects S&P's view of the group's
substantial asset base and a fairly comprehensive security and
guarantee package.

-- However, this is balanced by the absence of maintenance
financial covenants, substantial proportion of the group's working
capital assets pledged in favor of a receivables securitization
facility, and significant amount of first-lien debt.

-- The security package for the senior secured facilities
comprises pledges over all assets, shares, and guarantors that
represent at least 85% of the EBITDA and assets.

-- S&P values IGH as a going concern, given the group's solid
market position, large-scale integrated petrochemicals sites across
the U.S. and Europe, and diversified end markets.

IGH provides a guarantee of the tolling agreement to Gemini HDPE
LLC. A default of IGH is an event of default under Gemini's term
loan. We believe that in a hypothetical default of IGH, Gemini's
lenders will have a claim on that asset. Our recovery analysis
therefore excludes the value of Gemini and the secured term loan
issued at that level. Senior secured lenders of IGH do not have a
claim over Gemini.

Simulated default assumptions

-- Year of default: 2026
-- Jurisdiction: U.K.

Simplified waterfall

-- Emergence EBITDA: EUR0.9 billion

-- Capex represents 3.5% of three-year annual average sales
(2018-2020)

-- Cyclicality adjustment is 10%, in line with the specific
industry subsegment

-- Multiple: 5.5x

-- Gross recovery value: EUR4.9 billion

-- Net recovery value for waterfall after administrative expenses
(5%): EUR4.6 billion

-- Estimated priority claims (securitization program, inventory
financing): EUR0.6 billion

-- Remaining recovery value: EUR4.0 billion

-- Estimated first-lien debt claim: EUR6.6 billion

    --Recovery range: 50%-70% (rounded estimate: 60%)

    --Recovery rating: 3

All debt amounts include six months of prepetition interest.


INTERSERVE PLC: FRC Imposes Fine on Grant Thornton Over Audit
-------------------------------------------------------------
Michael O'Dwyer at The Financial Times reports that Grant Thornton
has been fined more than GBP700,000 by the UK accounting regulator
for audit failures at Interserve, the former FTSE 250 outsourcer
which fell into administration in 2019.

The sanction, reduced from GBP1.3 million for "exceptional
co-operation", is the second in just over a month to be levied
against Grant Thornton by the Financial Reporting Council, the FT
notes.

Simon Lowe, the Grant Thornton partner who led the audits, was
fined more than GBP38,000 -- reduced from GBP70,000 -- and
reprimanded by the regulator, the FT relates.  Mr. Lowe ceased to
be a partner in June 2018 after 43 years in the profession but
remains a consultant at Grant Thornton, the UK's sixth-largest
accounting firm, the FT states.

The FRC also ordered Grant Thornton to pay investigation costs of
GBP467,000 and to report to it for two years on its monitoring of
the quality of its audit work on lossmaking contracts, the FT
discloses.

Interserve had annual revenues of GBP3.2 billion and employed about
55,000 people when its lenders took control through a prepack
administration in March 2019, just 14 months after fellow
outsourcer Carillion entered liquidation, the FT relays.

Most of its income was from UK government contracts including for
the provision of probation services and building schools, hospitals
and offices, the FT states.

The FRC, as cited by the FT, said the size and nature of its
business meant there "was a significant public interest" in the
audit of Interserve's financial statements.

Interserve's accounts for the financial years ended in 2015 and
2016 included substantial loss provisions arising from contracts
relating to waste treatment facilities in Glasgow, the FT
discloses.

The FRC found that the auditors failed to obtain sufficient
evidence around the company's calculation of the provisions and its
assumptions that losses would be recoverable under a "pain share
clause" in its contract or from a subcontractor or its insurers,
the FT recounts.

It concluded they also failed to show enough scepticism as to how
the company arrived at its figures, the FT notes.

Grant Thornton's assessment of the company as a going concern and
the impairment of goodwill in the accounts for the 2017 financial
year, which had been identified as areas of significant risk, were
also criticised by the regulator, the FT discloses.

The FRC did not claim that Interserve's financial statements were
materially misstated because of the audit breaches, the FT notes.

Interserve's administrators at EY took the unusual step of allowing
the FRC to use Interserve's legally privileged files in its
investigation, the FT relays. The watchdog published only a summary
of its findings so the contents of the documents would remain
confidential, according to the FT.


PAZHAR ZVEZDY: In Compulsory Liquidation, Receiver Seeks Victims
----------------------------------------------------------------
The Construction Index reports that the official receiver is
seeking victims of a Russian-owned UK-registered construction
company that ran a scam to cheat recruitment companies.

According to The Construction Index, the Insolvency Service says
that creditors of Pazhar Zvezdy Ltd, previously known as ASA UK
Development Limited, may not be aware that the company is now in
compulsory liquidation.

Pazhar Zvezdy Ltd (Company number 11573761) traded as a residential
and commercial construction company.  Following complaints it was
investigated by the Insolvency Service, The Construction Index
recounts.

It was finally wound up in the public interest in the High Court on
September 7, 2021 and the official receiver, Catherine Hudson, was
appointed as the liquidator, The Construction Index relates.

Enquiries revealed that Pazhar Zvezdy would submit duplicate
timesheets on behalf of its workers to multiple construction
recruitment agencies contracted for their payroll services, The
Construction Index discloses.  But once the workers received
payments, Pazhar Zvezdy failed to pay the recruitment agencies for
their payroll services, The Construction Index notes.

The official receiver is aware of multiple creditors who may be
owed money in the liquidation and may not know about the company's
insolvency as Pazhar Zvezdy recently changed its name from ASA UK
Development, The Construction Index relays.

Companies House filings show that Pazhar Zvezdy Ltd is owned by
Albion Ventor LLC, whose address is in Moscow.



                           *********


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

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

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

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