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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

          Friday, November 19, 2021, Vol. 22, No. 226

                           Headlines



C Y P R U S

ATONLINE LIMITED: Moody's Assigns 'B1' Long Term Issuer Rating


G E R M A N Y

SC GERMANY 2021-1: Fitch Rates Class F Notes Final 'BB+'
SC GERMANY 2021-1: Moody's Assigns B2 Rating to EUR33MM F Notes


I R E L A N D

AURIUM CLO IV: Moody's Ups Rating on EUR11.8MM Class F Notes to B1
BLUEMOUNTAIN EUR 2021-2: Fitch Rates Class F Tranche 'B-'
BLUEMOUNTAIN EUR 2021-2: S&P Assigns B-(sf) Rating to Cl. F Notes
BNPP AM 2019: Fitch Affirms Final B- Rating on Class F Notes
BNPP AM 2019: Moody's Affirms B3 Rating to EUR10MM Class F Notes

CVC CORDATUS VI: Fitch Raises Class F-R Notes to 'B+'
HARVEST CLO IX: Fitch Raises Class F-R Notes Rating to 'B+'
NASSAU EURO I: Moody's Assigns (P)B3 Rating to EUR10.5MM F Notes
PALMERSTON PARK: Fitch Raises Class E Notes Rating to 'B+'
PORTMAN SQUARE 2021-NPL1: Moody's Gives Ba1 Rating to Cl. B Notes



I T A L Y

ALBA 12 SPV: Moody's Assigns Ba1 Rating to EUR238.4MM Cl. B Notes
ILLIMITY BANK: Fitch Raises LT IDR to 'BB-', Outlook Stable


S P A I N

AYT CAJA 1: Fitch Affirms C Rating on 2 Note Classes
TELEFONICA EUROPE: Moody's Rates New EUR750MM Hybrid Debt 'Ba2'


T U R K E Y

TURK TELEKOMUNIKASYON: Fitch Affirms 'BB-' LT IDRs, Outlook Stable
TURKCELL ILETISIM: Fitch Affirms 'BB-' LT IDR, Outlook Stable


U N I T E D   K I N G D O M

BLUE 02: Bought Out of Administration by Scuba Tours
CASTLEOAK: In Administration, More Than 100 Jobs Affected
DEBENHAMS PLC: Hedge Funds Receive Two-Thirds of GBP300MM Recovered
GABOTO LTD: 15-Year Disqualification Imposed Against Directors
HOTEL SEAGOE: Company Director Agrees to Disqualification

IRIS MIDCO: S&P Downgrades Rating to B- on Debt-Funded Acquisitions
RAC BOND: S&P Assigns B+ (sf) Rating to Class B2-Dfrd Notes
SMALL BUSINESS 2021-1: Moody's Assigns Ba3 Rating to Class D Notes


X X X X X X X X

[*] BOOK REVIEW: Hospitals, Health and People

                           - - - - -


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C Y P R U S
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ATONLINE LIMITED: Moody's Assigns 'B1' Long Term Issuer Rating
--------------------------------------------------------------
Moody's Investors Service has assigned B1 long-term and Not Prime
short-term local and foreign currency issuer ratings to the
following wholly-owned subsidiaries of Aton Financial Holding
(AFH): Atonline Limited, Starberry Limited, Solar LLC and Newbest
Limited. The outlooks on all entities have been assigned stable.

The ratings assigned to affiliates are fully based on the group's
credit profile and recognize the high level of these entities'
integration into the group operations as well as their full
dependence on services provided by the group. Therefore, the
assigned ratings are positioned at the same level as AFH's B1
issuer rating in accordance with Moody's approach to rate Highly
Integrated and Harmonized Entities under Securities Industry Market
Makers Methodology.

RATINGS RATIONALE

Atonline Limited (Cyprus)

The B1/Not Prime issuer ratings assigned to Atonline Limited
recognize its unique role within the group that secures access to a
wide spectrum of counterparties across international markets (i.e.
outside of Russia). Being a Cyprus-licensed securities firm, the
company plays an important infrastructure role within the group,
acting as a primary counterparty on behalf of the group on
international markets, so its activity is of a very high importance
for the group's successful operations and long-term business
continuity. AFH also periodically acts as a financial guarantor on
behalf of the group in favor of Atonline Limited's counterparties
on certain operations. Such role of Atonline Limited within the
group underpins Moody's view of very strong expectation of support
from its parent or affiliates, in case of need.

Starberry Limited (Cyprus)

The B1/Not Prime issuer ratings assigned to Starberry Limited, that
is incorporated in Cyprus, recognize its primary role as the main
provider of liquidity to the group (mainly in a form of REPOs).
Principally acting as an intermediary, the company sources
US-dollar liquidity across the globe and channels it to finance
clients' operations or/and the group's own activities. AFH also
periodically acts as a financial guarantor on behalf of the group
in favour of the company's counterparties on certain operations.
Therefore, its ability to service its debt obligations mainly
linked to the credit profile of the group, while its failure might
be associated by the group's clients with insolvency of the group
itself. Such a role of Starberry Limited within the group underpins
Moody's view of very strong expectation of support from its parent
or affiliates, in case of need.

Solar LLC (Russia)

The B1/Not Prime issuer ratings assigned to Solar LLC, that is
incorporated in Russia, recognizes its primary role as one the
major providers of liquidity to the group. Acting as an
intermediary, the company mainly attracts ruble funding (mainly in
a form of REPOs) on the Russian financial market and channels it to
finance the group's own activities or clients' needs. Therefore,
its ability to service its debt obligations fully depends on the
credit profile of the group, while its failure might be associated
by the group's clients and its Russian counterparties with
insolvency of the group itself. Such a role of Solar LLC within the
group underpins Moody's view of very strong strong expectation of
support from its parent or affiliates, in case of need.

Newbest Limited (Cyprus)

The B1/Not Prime issuer ratings assigned to Newbest Limited, that
is incorporated in Cyprus, recognize its status as AFH's
fully-controlled special purpose vehicle. The company is segregated
from AFH's other affiliates to act as a market-maker and was fully
funded by the group's affiliates as of year-end 2020. Such role and
its complete financial linkage with the group underpins Moody's
view of very strong expectation of support from its parent or
affiliates, in case of need

ENVIROMENTAL, SOCIAL AND GOVERNANCE (ESG)

In terms of ESG, each of the newly-rated entities key drivers are
highly similar to those of AFH. While facing low social risks,
market-makers do not produce tangible physical products that could
give rise to responsible production issues or employee health and
safety risks. Governance is highly relevant for AFH and its
subsidiaries, as it is to all players in the financial services
industry. Governance risks are largely internal rather than
externally driven, so that corporate governance weaknesses can lead
to a deterioration in a company's credit quality, while governance
strengths can benefit its credit profile. While the company is not
engaged in any significant related-party activities today and,
according to the company, shareholders have no significant need for
such financing, we believe there is no strict mechanism to prevent
such risks.

RATIONALE FOR STABLE OUTLOOK

The stable outlooks assigned to the rated AFH's subsidiaries is in
line with the outlook assigned to the parent' B1 issuer rating and
reflect these entities' strong credit linkages with the credit
profile of the group.

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

Moody's would consider a positive rating action on AFH and its
subsidiaries in case of the group's sustained and strong operating
performance, translating into capital build-up and a moderation of
leverage at a lower level.

Long-term ratings of AFH and its rated subsidiaries could be
downgraded in case of an increase in the group's risk appetite,
leverage or in case of its prolonged loss-making performance. The
evidence of a weaker financial and/or operational linkages with the
group could also trigger the downgrade of the rated subsidiaries'
long-term ratings.

LIST OF AFFECTED RATINGS

Issuer: Atonline Limited

Assignments:

Long-term Issuer Ratings, Assigned B1

Short-term Issuer Ratings, Assigned NP

Outlook Action:

Outlook, Assigned Stable

Issuer: Newbest Limited

Assignments:

Long-term Issuer Ratings, Assigned B1

Short-term Issuer Ratings, Assigned NP

Outlook Action:

Outlook, Assigned Stable

Issuer: Solar LLC

Assignments:

Long-term Issuer Ratings, Assigned B1

Short-term Issuer Ratings, Assigned NP

Outlook Action:

Outlook, Assigned Stable

Issuer: Starberry Limited

Assignments:

Long-term Issuer Ratings, Assigned B1

Short-term Issuer Ratings, Assigned NP

Outlook Action:

Outlook, Assigned Stable

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Securities
Industry Market Makers Methodology published in November 2019.



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G E R M A N Y
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SC GERMANY 2021-1: Fitch Rates Class F Notes Final 'BB+'
--------------------------------------------------------
Fitch Ratings has assigned SC Germany S.A., Compartment Consumer
2021-1's (SCGC 2021-1) notes final ratings.

       DEBT                    RATING              PRIOR
       ----                    ------              -----
SC Germany S.A., Compartment Consumer 2021-1

Class A XS2398387071    LT AAAsf    New Rating    AAA(EXP)sf
Class B XS2398387741    LT AAsf     New Rating    AA(EXP)sf
Class C XS2398388129    LT Asf      New Rating    A(EXP)sf
Class D XS2398388632    LT BBBsf    New Rating    BBB(EXP)sf
Class E XS2398388715    LT BBB-sf   New Rating    BBB-(EXP)sf
Class F XS2398389010    LT BB+sf    New Rating    BB+(EXP)sf
Class G XS2398389440    LT NRsf     New Rating    NR(EXP)sf

TRANSACTION SUMMARY

In SCGC 2021-1, Santander Consumer Bank AG (SCB, A-/Stable/F2)
securitises an unsecured consumer loan portfolio with a 12-month
revolving period. After the end of the revolving period, the class
A to E notes will pay down pro rata until a performance or other
trigger is breached. The class F notes are paid sequentially to the
class A to E notes in the principal priority of payments. They also
benefit from a target amortisation through excess spread via the
interest priority of payments.

This is SCB's seventh public unsecured consumer loan transaction
and the second that Fitch has rated.

KEY RATING DRIVERS

Pro Rata Length Key: In Fitch's cash flow modelling, the full
repayment of senior notes is heavily dependent on the length of the
pro-rata attribution of principal funds. The dynamic loss trigger
is the most effective of the performance triggers that stop the
pro-rata period. Its effectiveness and that of the other
performance triggers is sensitive to Fitch's input parameters such
as the default timing and the prepayment speed.

For example, late defaults and high prepayments are credit
negative. This is because excess spread flows out of the
transaction that would otherwise be applied to repay principal.

Performance Expectations Less Affected by Coronavirus: Fitch set
its base cases at 5.0% for the default rate and 17.5% for the
recovery rate. The default rate is lower than that determined for
the predecessor transaction in November 2020. Fitch believes the
uncertainty caused by the pandemic has largely been lifted compared
with when Fitch sets base cases.

Counterparty Risks Addressed: The transaction has a fully funded
liquidity reserve for payment interruption and reserves for
commingling and set-off risk, which will be funded if the seller or
Santander Consumer Finance, S.A. (A-/Stable/F2) is downgraded below
'BBB' or 'F2'. All reserves are adequate to cover their respective
exposures in line with Fitch's Structured Finance and Covered Bonds
Counterparty Rating Criteria. Replacement criteria for the
servicer, account bank and swap counterparty are adequately defined
and relevant ratings are above Fitch's criteria thresholds.

The Key Rating Drivers listed in the applicable sector criteria,
but not mentioned above, are not material to this rating action.

RATING SENSITIVITIES

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

Unanticipated increases in the frequency of defaults or decreases
in recovery rates could produce larger losses than the base case
and could result in negative rating action on the notes.

-- Class A: 'AAAsf';

-- Class B: 'AAsf';

-- Class C: 'Asf';

-- Class D: 'BBBsf';

-- Class E: 'BBB-sf';

-- Class F: 'BB+sf'.

10% increase in default rate:

-- Class A: 'AA+sf';

-- Class B: 'AA-sf';

-- Class C: 'A-sf';

-- Class D: 'BBB-sf';

-- Class E: 'BB+sf';

-- Class F: 'BB+sf'.

10% decrease in recovery rate:

-- Class A: 'AA+sf';

-- Class B: 'AAsf';

-- Class C: 'Asf';

-- Class D: 'BBBsf';

-- Class E: 'BBB-sf';

-- Class F: 'BB+sf'.

10% increase in default rate and 10% decrease in recovery rate:

-- Class A: 'AA+sf';

-- Class B: 'AA-sf';

-- Class C: 'A-sf';

-- Class D: 'BBB-sf';

-- Class E: 'BB+sf';

-- Class F: 'BBsf'.

Longer than expected periods for default recognition would lead to
excess spread not being trapped in the meantime. The sequential
payment triggers may also be hit later. This could result in
negative rating action on the notes. The sensitivities below are
given when applying a longer default definition of five months
instead of the four months assumed. All other inputs are
unchanged.

-- Class A: 'AA+sf';

-- Class B: 'AA-sf';

-- Class C: 'Asf';

-- Class D: 'BBBsf';

-- Class E: 'BBB-sf';

-- Class F: 'BB+sf'.

With a faster repayment of the assets, excess spread is lost that
would otherwise be applied to repay principal. The sensitivities
below are given by applying a base case prepayment rate of 28%
instead of the 22% assumed. Prepayment rates are then scaled
upwards and downwards in line with Fitch's Consumer ABS Rating
Criteria Report. All other inputs are unchanged.

-- Class A: 'AA+sf';

-- Class B: 'AA-sf';

-- Class C: 'A-sf';

-- Class D: 'BBB-sf';

-- Class E: 'BB+sf';

-- Class F: 'BBsf'.

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

Unanticipated decreases in the frequency of defaults or increases
in recovery rates could produce lower losses than the base case and
could result in positive rating action on the notes.

Original ratings:

-- Class A: 'AAAsf';

-- Class B: 'AAsf';

-- Class C: 'Asf';

-- Class D: 'BBBsf';

-- Class E: 'BBB-sf';

-- Class F: 'BB+sf'.

10% decrease in default rate:

-- Class A: 'AAAsf';

-- Class B: 'AA+sf';

-- Class C: 'A+sf';

-- Class D: 'BBB+sf';

-- Class E: 'BBB-sf';

-- Class F: 'BBB-sf'.

25% decrease in default rate:

-- Class A: 'AAAsf';

-- Class B: 'AAAsf';

-- Class C: 'AA-sf';

-- Class D: 'A-sf';

-- Class E: 'BBB+sf';

-- Class F: 'BBBsf'.

10% decrease in default rate and 10% increase in recovery rate:

-- Class A: 'AAAsf';

-- Class B: 'AA+sf';

-- Class C: 'A+sf';

-- Class D: 'BBB+sf';

-- Class E: 'BBBsf';

-- Class F: 'BBB-sf'.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

ESG CONSIDERATIONS

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.

SC GERMANY 2021-1: Moody's Assigns B2 Rating to EUR33MM F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned the following definitive
ratings to Notes issued by SC Germany S.A., Compartment Consumer
2021-1:

EUR1192.5M Class A Floating Rate Notes due 2035, Definitive Rating
Assigned Aaa (sf)

EUR60.0M Class B Floating Rate Notes due 2035, Definitive Rating
Assigned Aa1 (sf)

EUR97.5M Class C Floating Rate Notes due 2035, Definitive Rating
Assigned Aa3 (sf)

EUR75M Class D Floating Rate Notes due 2035, Definitive Rating
Assigned Baa3 (sf)

EUR37.5M Class E Floating Rate Notes due 2035, Definitive Rating
Assigned Ba3 (sf)

EUR33.0M Class F Floating Rate Notes due 2035, Definitive Rating
Assigned B2 (sf)

Moody's has not assigned a rating to the EUR4.5M Class G Fixed Rate
Notes due 2035 and the EUR7.5M Liquidity Reserve Loan due 2035.

RATINGS RATIONALE

The Notes are backed by a 12-month revolving pool of German
consumer loans originated by Santander Consumer Bank AG (A2/P-1
Deposits, A1(cr)/P-1(cr)) ("SCB Germany").

The definitive portfolio consists of 95,204 loans granted to
obligors in Germany, for a total of approximately EUR1.5 billion as
of the November 3, 2021 pool cut-off date. The average loan balance
is EUR15,756, the weighted average interest rate is 5.6%, and
weighted average seasoning is 7 months. The portfolio, as of the
pool cut-off date, does not include any loans in arrears. The
liquidity reserve is funded to 0.5% of the total rated Notes
balance at closing and the total credit enhancement for the Class A
Notes is 21.0%.

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 several credit
strengths such as the granularity of the portfolio, the
securitisation experience of SCB Germany and significant excess
spread. However, Moody's notes that the transaction features a
number of credit weaknesses, such as a complex structure including,
pro-rata payments on Class A to E Notes from the first payment
date. These characteristics, amongst others, were considered in
Moody's analysis and ratings.

Moody's determined the portfolio lifetime expected defaults of
4.0%, expected recoveries of 15% and Aaa portfolio credit
enhancement ("PCE") of 15% related to borrower receivables. 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 ABSROM cash flow model.

Portfolio expected defaults of 4.0% are lower than the EMEA
Consumer Loan ABS average and are based on Moody's assessment of
the lifetime expectation for the pool taking into account: (i)
historical performance data that the originator provided for a
portfolio that is representative of the securitised portfolio, (ii)
the fact that the transaction is revolving for 12 months and that
there are portfolio concentration limits during that period; (iii)
benchmark transactions in the German consumer ABS market and (iv)
other qualitative considerations.

Portfolio expected recoveries of 15% are in line with the EMEA
Consumer Loan ABS average and are based on Moody's assessment of
the lifetime expectation for the pool taking into account: (i)
historical performance of the loan book of the originator; (ii)
benchmark transactions; and (iii) other qualitative
considerations.

PCE of 15% is lower than the EMEA Consumer Loan ABS average and is
based on Moody's assessment of the pool which is mainly driven by:
(i) evaluation of the underlying portfolio, complemented by the
historical performance information as provided by the originator;
and (ii) the relative ranking to originator peers in the EMEA
Consumer loan market. The PCE level of 15% results in an implied
coefficient of variation ("CoV") of 41.1%.

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

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

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 or (b) the risk
of increased swap linkage due to a downgrade of the swap
counterparty ratings; and (ii) economic conditions being worse than
forecast resulting in higher arrears and losses.

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.



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

AURIUM CLO IV: Moody's Ups Rating on EUR11.8MM Class F Notes to B1
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive rating to refinancing notes issued by Aurium
CLO IV Designated Activity Company (the "Issuer"):

EUR229,000,000 Class A Senior Secured Floating Rate Notes due
2031, Definitive Rating Assigned Aaa (sf)

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

EUR54,000,000 Class B Senior Secured Floating Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Jun 5, 2020 Affirmed Aa2 (sf)

EUR32,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Jun 5, 2020
Affirmed A2 (sf)

EUR24,200,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed Baa2 (sf); previously on Jun 5, 2020
Confirmed at Baa2 (sf)

EUR20,300,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed Ba2 (sf); previously on Jun 5, 2020
Confirmed at Ba2 (sf)

And Moody's upgraded the Class F Notes which have not been
refinanced:

EUR11,800,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2031, Upgraded to B1 (sf); previously on Jun 5, 2020
Confirmed at B2 (sf)

RATINGS RATIONALE

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

Moody's rating affirmation of the Class B Notes, Class C Notes,
Class D Notes and Class E Notes are a result of the refinancing,
which has no impact on the ratings of the notes.

Moody's upgrade of the Class F Notes is a result of the
refinancing, which increases excess spread available as credit
enhancement to the rated notes.

As part of this refinancing, the Issuer has extended the weighted
average life by 12 months to October 26, 2027. It has also amended
certain definitions including the definition of "Adjusted Weighted
Average Moody's Rating Factor" and minor features. In addition, the
Issuer has amended the base matrix and modifiers that Moody's has
taken into account for the assignment of the definitive ratings.

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

Spire Management Limited ("Spire") will continue to manage the CLO.
It will direct the selection, acquisition and disposition of
collateral on behalf of the Issuer and may engage in trading
activity, including discretionary trading, during the transaction's
less than one year remaining reinvestment period. Thereafter,
subject to certain restrictions, purchases are permitted using
principal proceeds from unscheduled principal payments and proceeds
from sales of credit risk obligations and credit improved
obligations.

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

Methodology Underlying the Rating Action:

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

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

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

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

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

Performing par and principal proceeds balance: EUR399.2 millions

Defaulted Par: none

Diversity Score(*): 51

Weighted Average Rating Factor (WARF): 2900

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 4.14%

Weighted Average Recovery Rate (WARR): 42.50%

Weighted Average Life Test Date: October 26, 2027

BLUEMOUNTAIN EUR 2021-2: Fitch Rates Class F Tranche 'B-'
---------------------------------------------------------
Fitch Ratings has assigned BlueMountain EUR 2021-2 CLO DAC final
ratings.

     DEBT                      RATING                PRIOR
     ----                      ------                -----
BlueMountain EUR 2021-2 CLO DAC

A XS2395961779           LT AAAsf    New Rating    AAA(EXP)sf
B-1 XS2395962074         LT AAsf     New Rating    AA(EXP)sf
B-2 XS2395962157         LT AAsf     New Rating    AA(EXP)sf
C XS2395962231           LT Asf      New Rating    A(EXP)sf
D XS2395962314           LT BBB-sf   New Rating    BBB-(EXP)sf
E XS2395962405           LT BB-sf    New Rating    BB-(EXP)sf
F XS2395962587           LT B-sf     New Rating    B-(EXP)sf
Sub Notes XS2395962660   LT NRsf     New Rating    NR(EXP)sf

TRANSACTION SUMMARY

BlueMountain EUR 2021-2 CLO 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 have been used to fund a portfolio with a
target par of EUR350 million. The portfolio is actively managed by
Assured Investment Management LLC. The collateralised loan
obligation (CLO) has a 4.7-year reinvestment period and an 8.5-year
weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality: Fitch places the average credit
quality of obligors in the 'B'/'B-' category. The Fitch weighted
average rating factor (WARF) of the identified portfolio is 25.07.

High Recovery Expectations: At least 90% of the portfolio will
comprise senior secured obligations. Fitch views the recovery
prospects for these assets as more favourable than for second-lien,
unsecured and mezzanine assets. The Fitch weighted average recovery
rate (WARR) of the identified portfolio is 64.79%.

Diversified Asset Portfolio: The top-10 obligor and fixed-rate
asset limits for the transaction are 20% and 10%, respectively. The
transaction also has 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: The transaction has a 4.7-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. The
transaction includes a one-year Fitch test matrix, which the
manager may adopt if the aggregate collateral balance is above
reinvestment target par after one year has passed.

Reduced Risk Horizon: Fitch's analysis of the matrices is based on
a stressed-case portfolio with a 7.5-year WAL. Under the agency's
CLOs and Corporate CDOs Rating Criteria, the WAL used for the
transaction's stressed case portfolio was 12 months less than the
WAL covenant to account for structural and reinvestment conditions
after the reinvestment period, including passing the
over-collateralisation and Fitch 'CCC' limitation tests. This
ultimately reduces the maximum possible risk horizon of the
portfolio when combined with loan pre-payment expectations.

RATING SENSITIVITIES

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

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

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

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

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

SUMMARY OF FINANCIAL ADJUSTMENTS

Financial statements not used in analysis.

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.

BLUEMOUNTAIN EUR 2021-2: S&P Assigns B-(sf) Rating to Cl. F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Blue Mountain EUR
2021-2 CLO DAC's class A, B-1, B-2, C, D, E, and F notes. At
closing, the issuer issued subordinated notes.

The ratings reflect our assessment of:

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

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

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

-- The transaction's legal structure, which is bankruptcy remote.

-- The transaction's counterparty risks, which is in line with
S&P's counterparty rating framework.

  Portfolio Benchmarks
                                                       CURRENT
  S&P weighted-average rating factor                  2,888.55
  Default rate dispersion                               477.99
  Weighted-average life (years)                           5.60
  Obligor diversity measure                             115.10
  Industry diversity measure                             19.63
  Regional diversity measure                              1.34

  Transaction Key Metrics
                                                       CURRENT
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                          B
  'CCC' category rated assets (%)                         1.14
  Covenanted 'AAA' weighted-average recovery (%)         35.56
  Covenanted weighted-average spread (%)                  3.60
  Covenanted weighted-average coupon (%)                  5.00

Workout obligations

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

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

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

-- The manager determining that there are sufficient interest
proceeds to pay interest on all the rated notes on the upcoming
payment date; and

-- Following the purchase of a workout obligation, all coverage
tests must be satisfied.

The use of principal proceeds is subject to:

-- Passing par coverage tests;

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

-- The workout obligation has a par value greater than or equal to
its purchase price

-- Workout obligations that have limited deviation from the
eligibility criteria will receive collateral value credit in the
principal balance definition and for overcollateralization carrying
value purposes. To protect the transaction from par erosion, the
carrying value from any workout distributions will form part of the
issuer's principal account proceeds. The amounts above the carrying
value can be recharacterized as interest at the manager's
discretion. Workout obligations that do not meet this version of
the eligibility criteria will receive zero credit.

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

Rating rationale

Under the transaction documents, the rated notes pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately 4.7 years after
closing.

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

S&P said, "In our cash flow analysis, we used the EUR350 million
target par amount, the covenanted weighted-average spread (3.60%),
the reference weighted-average coupon (5.00%), and identified
portfolio's weighted-average recovery rates at each rating level.
We applied various cash flow stress scenarios, using four different
default patterns, in conjunction with different interest rate
stress scenarios for each liability rating category.

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

Until the end of the reinvestment period on July 15, 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.

S&P said, "The transaction's documented counterparty replacement
and remedy mechanisms adequately mitigates its exposure to
counterparty risk under our current counterparty criteria.

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

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

"For the class F notes, our credit and cash flow analysis indicates
that the available credit enhancement could withstand stresses that
are commensurate with a 'CCC' rating. However, we have applied our
'CCC' rating criteria resulting in a 'B-' rating to this class of
notes."

The one notch of ratings uplift (to 'B-') from the model generated
results (of 'CCC'), reflects several key factors, including:

-- Credit enhancement comparison: We noted that the available
credit enhancement for this class of notes is in the same range as
other CLOs that we rate, and that have recently been issued in
Europe.

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

-- S&P's model generated break-even default rate at the 'B-'
rating level of 26.97% (for a portfolio with a weighted-average
life of 5.60 years), versus if we were to consider a long-term
sustainable default rate of 3.1% for 5.60 years, which would result
in a target default rate of 17.36%.

-- S&P also noted that the actual portfolio is generating higher
spreads and recoveries versus the covenanted thresholds that it has
modelled in its cash flow analysis.

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

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

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

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

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

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it is managed by Assured Investment
Management LLC.

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 certain activities,
including, but not limited to, the following: extraction of thermal
coal, trade in hazardous chemicals, pesticides and wastes, ozone
depleting substances, endangered or protected wildlife of which the
production or trade is banned by applicable global conventions and
agreements, pornography or prostitution, tobacco or tobacco-related
products, predatory or payday lending activities, and weapons or
firearms, opioid manufacturers and distributors, revenue from the
development, maintenance production of or trade in controversial
weapons and production or trade of illegal drugs or narcotics.
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 (%)       CREDIT
                   (MIL. EUR)                      ENHANCEMENT (%)

  A       AAA (sf)    210.00      3mE + 1.00        40.00
  B-1     AA (sf)      27.00      3mE + 1.75        28.00
  B-2     AA (sf)      15.00            2.05        28.00
  C       A (sf)       24.00      3mE + 2.20        21.14
  D       BBB- (sf)    23.00      3mE + 3.10        14.57
  E       BB- (sf)     16.75      3mE + 6.21         9.79
  F       B- (sf)      10.50      3mE + 8.84         6.79
  Sub     NR           33.00             N/A          N/A

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


BNPP AM 2019: Fitch Affirms Final B- Rating on Class F Notes
------------------------------------------------------------
Fitch Ratings has assigned BNPP AM Euro CLO 2019 DAC refinancing
notes final ratings. It has also affirmed the non-refinanced notes
and removed the class E and F notes from Under Criteria Observation
(UCO).

    DEBT                    RATING               PRIOR
    ----                    ------               -----
BNPP AM Euro CLO 2019 DAC

A XS2014456045        LT PIFsf   Paid In Full    AAAsf
A-R XS2404665114      LT AAAsf   New Rating      AAA(EXP)sf
B-1 XS2014456631      LT PIFsf   Paid In Full    AAsf
B-1-R XS2404665890    LT AAsf    New Rating      AA(EXP)sf
B-2 XS2014457365      LT PIFsf   Paid In Full    AAsf
B-2-R XS2404665973    LT AAsf    New Rating      AA(EXP)sf
C XS2014458090        LT PIFsf   Paid In Full    A+sf
C-R XS2404666435      LT Asf     New Rating      A(EXP)sf
D XS2014458686        LT PIFsf   Paid In Full    BB
D-R XS2404666518      LT BBBsf   New Rating      BBB(EXP)sf
E XS2014459148        LT BB-sf   Affirmed        BB-sf
F XS2014459494        LT B-sf    Affirmed        B-sf
X XS2014455740        LT AAAsf   Affirmed        AAAsf

TRANSACTION SUMMARY

BNPP AM Euro CLO 2019 DAC is a cash flow collateralised loan
obligation (CLO) actively managed by the manager, BNP Paribas Asset
Management. The reinvestment period is scheduled to end in January
2024. At closing of the refinance, the class A-R, B-1-R, B-2-R, C-R
and D-R notes were issued and the proceeds used to refinance the
existing class A, B-1, B-2, C and D notes.

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors at the 'B'/'B-' levels. The
Fitch-calculated weighted average rating factor (WARF) of the
current portfolio is 25.7.

High Recovery Expectations (Positive): The portfolio comprises only
senior secured obligations. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch-calculated weighted average recovery
rate (WARR) of the portfolio is 63.2%.

Diversified Portfolio (Positive): The indicative top 10 obligors
and maximum fixed-rate asset limits for this analysis are 18% and
5%, respectively. The transaction also includes various
concentration limits, including the maximum exposure to the
three-largest Fitch-defined industries in the portfolio at 40%.
These covenants ensure that the asset portfolio will not be exposed
to excessive concentration.

Portfolio Management (Neutral): The transaction's reinvestment
period is scheduled to end in January 2024. The weighted average
life (WAL) covenant has been extended to 7.3 years and the Fitch
test matrix has been updated. Fitch's analysis is based on a
stressed-case portfolio with the aim of testing the robustness of
the transaction's structure against its covenants and portfolio
guidelines.

Cash Flow Analysis (Neutral): The WAL used for the transaction's
stressed portfolio and matrix 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 ultimately reduces the maximum possible risk horizon
of the portfolio when combined with loan pre-payment expectations.

Affirmation of Existing Notes: The class X, E, and F notes have
been affirmed based on the existing criteria. The tranches show a
sizeable cushion in the current-portfolio analysis.

RATING SENSITIVITIES

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

-- An increase of the default rate (RDR) at all rating levels by
    25% of the mean RDR and a decrease of the recovery rate (RRR)
    by 25% at all rating levels will result in downgrades of no
    more than three notches, depending on the notes.

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels
    would result in upgrades of up to five notches depending on
    the notes, except for 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-initially 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

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

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

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

BNPP AM 2019: Moody's Affirms B3 Rating to EUR10MM Class F Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by BNPP AM
EURO CLO 2019 DAC (the "Issuer"):

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

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

EUR10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032,
Definitive Rating Assigned Aa2 (sf)

EUR25,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2032, Definitive Rating Assigned A2 (sf)

EUR27,400,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2032, Definitive Rating Assigned Baa3 (sf)

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

EUR2,000,000 (current outstanding amount EUR 500,000) Class X
Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf);
previously on Aug 28, 2019 Definitive Rating Assigned Aaa (sf)

EUR21,600,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2032, Affirmed Ba3 (sf); previously on Aug 28, 2019
Definitive Rating Assigned Ba3 (sf)

EUR10,000,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2032, Affirmed B3 (sf); previously on Aug 28, 2019
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.

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

As part of this refinancing, the Issuer has extended the weighted
average life by one year to February 28, 2029. It has also amended
certain definitions, including the definition of "Adjusted Weighted
Average Rating Factor", and minor features. In addition, the Issuer
has amended the base matrix and modifiers that Moody's will take
into account for the assignment of the definitive ratings.

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

BNP PARIBAS ASSET MANAGEMENT France SAS ("BNPP Asset Management")
will continue to manage the CLO. It will direct the selection,
acquisition and disposition of collateral on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's remaining reinvestment period
which will end in January 2024. Thereafter, subject to certain
restrictions, purchases are permitted using principal proceeds from
unscheduled principal payments and proceeds from sales of credit
risk obligations and credit improved obligations.

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

Methodology underlying the rating action:

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

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

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

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

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

Target Par Amount: EUR400,000,000

Defaulted Par: EUR0 as of October 12, 2021

Diversity Score(*): 50

Weighted Average Rating Factor (WARF): 3230

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 44.0%

Weighted Average Life (WAL): 7.28 years

CVC CORDATUS VI: Fitch Raises Class F-R Notes to 'B+'
-----------------------------------------------------
Fitch Ratings has upgraded CVC Cordatus Loan Fund VI DAC's notes
except for the class A-R notes and removed them from Under Criteria
Observation (UCO) with Stable Outlook. The class A-R notes have
been affirmed with Stable Outlook.

     DEBT                  RATING            PRIOR
     ----                  ------            -----
CVC Cordatus Loan Fund VI DAC

A-R XS1803164935     LT AAAsf    Affirmed    AAAsf
B1-R XS1803165239    LT AA+sf    Upgrade     AAsf
B2-R XS1803165585    LT AA+sf    Upgrade     AAsf
C-R XS1803165825     LT A+sf     Upgrade     Asf
D-R XS1803166559     LT BBB+sf   Upgrade     BBBsf
E-R XS1803164182     LT BB+sf    Upgrade     BBsf
F-R XS1803164265     LT B+sf     Upgrade     B-sf

TRANSACTION SUMMARY

CVC Cordatus Loan Fund VI DAC is a cash flow CLO mostly comprising
senior secured obligations. The transaction is in its reinvestment
period and the portfolio actively managed by the asset manager.

KEY RATING DRIVERS

CLO Criteria Update: The rating action mainly reflects the impact
of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria and a shorter risk horizon incorporated into Fitch's
stressed portfolio analysis. The analysis was based on both current
and stressed portfolios. The stressed portfolio is based on Fitch's
collateral quality matrix specified in the transaction
documentation, which underpins model- implied ratings (MIR) in this
review. The class B-1 to F notes have been upgraded and class A
notes have been affirmed in line with the MIRs, reflecting the
criteria update, a shorter risk horizon in Fitch's stressed
portfolio and stable performance of the transaction.

Stable Asset Performance: The transaction metrics indicate stable
asset performance. The transaction is currently 1.19% under par. It
is passing all weighted average rating factor (WARF), weighted
average life (WAL), weighted average recovery rating (WARR),
portfolio profile tests and coverage tests. Exposure to assets with
a Fitch-derived rating (FDR) of 'CCC+' and below (including unrated
assets) is 4.6%.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at the 'B'/'B-' levels. The
WARF as calculated by the trustee is 33.41, which is below the
maximum covenant of 34. The WARF as calculated by Fitch under its
current criteria is 24.69.

High Recovery Expectations: Senior secured obligations comprise
98.8% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. As the recovery rate provision does not reflect
the latest rating criteria, assets without recovery estimate or
recovery rate by Fitch can map to a higher recovery rate than
indicated in Fitch's current criteria. To factor in this difference
when analysing the matrix, Fitch has applied a stress on the WARR
of 1.5%, which is in line with the average impact on the WARR of
EMEA CLOs.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 17.37%, and no obligor represents more than 2.09%
of the portfolio balance.

Cash Flow Modelling: Fitch used a customised proprietary cash flow
model to replicate the principal and interest waterfalls and the
various structural features of the transaction, and to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests.

RATING SENSITIVITIES

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

-- An increase of the default rate (RDR) across all ratings by
    25% of the mean RDR and a 25% decrease of the recovery rate
    (RRR) by 25% across all ratings will result in downgrades of
    no more than four notches, depending on the notes.

-- Downgrades may occur if 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 reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels
    would result in upgrades of no more than five notches across
    the structures, except for 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
    in the event of 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

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

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

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

HARVEST CLO IX: Fitch Raises Class F-R Notes Rating to 'B+'
-----------------------------------------------------------
Fitch Ratings has upgraded the class B-1-R, B-2-RR, C-R, D-R, E-R,
and F-R notes of Harvest CLO IX DAC and removed them from Under
Criteria Observation (UCO). Fitch also revised the Rating Outlook
to Positive from Stable on these classes of notes and affirmed the
class A-RR notes.

     DEBT                   RATING            PRIOR
     ----                   ------            -----
Harvest CLO IX DAC

A-RR XS2339366184      LT AAAsf   Affirmed    AAAsf
B-1-R XS1653044039     LT AA+sf   Upgrade     AAsf
B-2-RR XS2339366424    LT AA+sf   Upgrade     AAsf
C-R XS1653044385       LT A+sf    Upgrade     Asf
D-R XS1653044625       LT A-sf    Upgrade     BBBsf
E-R XS1653045192       LT BB+sf   Upgrade     BBsf
F-R XS1653045432       LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY

The transaction is a cash-flow collateralized loan obligation (CLO)
backed by a portfolio of mainly European leveraged loans and bonds.
The portfolio is managed by Investcorp Credit Management EU Limited
and the transaction exited its reinvestment period in August 2021.

KEY RATING DRIVERS

CLO Criteria Update

The upgrades mainly reflect the impact of the recently updated
Fitch CLOs and Corporate CDOs Rating Criteria (including, among
others, a change in the underlying default assumptions). The
upgrade analysis was based on a scenario which assumes a one-notch
downgrade on the Fitch Issuer Default Rating (IDR) Equivalency
Rating for assets with a Negative Outlook on the driving rating of
the obligor.

Expected Transaction Deleveraging

The CLO recently exited its reinvestment period and may have
reduced ability to reinvest given its investment criteria. In
particular, the CCC tests and Moody's WARF test must be satisfied
upon any reinvestment after the reinvestment period, while the
other collateral quality tests must be maintained or improved. As
of the August 2021 investor report, the portfolio Fitch and Moody's
CCC tests were 5.3% and 5.7%, respectively, in compliance with the
maximum test limit of 7.5%.

Moody's WARF test was 2,930, in compliance with the maximum test
limit of 3,170. There was also limited flexibility in the Fitch
Test Matrix. While the most recent report showed a negative cash
balance of EUR234 thousand, Fitch expects deleveraging of the A-RR
notes in the near term.

The Positive Outlook on the class B-1-R, B-2-RR, C-R, D-R, E-R, and
F-R notes reflects sufficient breakeven default rate cushions at
the assigned ratings and Fitch's expectation of deleveraging and
improvement in credit enhancement across all rated notes.

Deviation from Model-implied Rating

The assigned ratings for the class B-1-R, B-2-RR, D-R, and F-R
notes are one notch lower than the model-implied ratings. The
rating deviation reflects the small breakeven default rate cushion
at the model-implied ratings, which could erode if the portfolio
performance deteriorated.

Portfolio Performance

Asset performance has been stable since last review in June 2021.
As per the issuer's report dated Aug. 31, 2021, the transaction is
passing all coverage tests, collateral quality tests, and portfolio
profile tests. Exposure to assets with a Fitch-derived rating (FDR)
of 'CCC+' and below was 5.3% if excluding unrated assets, below the
7.5% test limit. One defaulted obligation is currently reported,
equal to approximately 0.9% of the portfolio.

Asset Credit Quality

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the obligors in the 'B'/'B-' category for the transaction. The
Fitch WARF reported by the trustee was 33.9 in the Aug. 31, 2021
monthly report, below the maximum covenant of 34.0. The
Fitch-calculated WARF under the updated Fitch CLOs and Corporate
CDOs Rating Criteria was 25.1.

Asset Security

Senior secured obligations make up 99.5% of the portfolio. Fitch
views the recovery prospects for these assets as more favorable
than for second-lien, unsecured and mezzanine assets. The Fitch
WARR of the current portfolio is 64.0% as per the most recent
report, above the minimum test limit of 63.0%.

Portfolio Concentration

The portfolio is well-diversified across obligors, countries and
industries. The trustee reports that the top 10 obligors represent
13.6% of the portfolio balance with no obligor accounting for more
than 1.7%. The top-Fitch industry and top three Fitch industry
concentrations are also within the defined limits of 15% and 35%
respectively.

RATING SENSITIVITIES

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

-- An increase of the default rate (RDR) at all rating levels by
    25% of the mean RDR and a decrease of the recovery rating
    (RRR) by 25% at all rating levels will result in downgrades of
    no more than three notches depending on the notes. Downgrades
    may occur if the build-up of credit enhancement following
    amortization does not compensate for a larger loss expectation
    than initially assumed due to unexpectedly high level of
    default and portfolio deterioration.

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase of the RRR by 25% at all rating levels
    would result in an upgrade of up to three notches depending on
    the notes. Except for the A-RR notes that are already at the
    highest 'AAAsf' rating, upgrades may occur in case of better
    than expected portfolio credit quality and deal performance,
    leading to higher credit enhancement available to cover for
    losses on the remaining portfolio. If asset prepayment is
    faster than expected and outweighs the negative pressure of
    the portfolio migration, this could increase credit
    enhancement and put upgrade pressure on the non-'AAAsf' rated
    notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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

NASSAU EURO I: Moody's Assigns (P)B3 Rating to EUR10.5MM F Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Nassau Euro
CLO I DAC (the "Issuer"):

EUR217,000,000 Class A Senior Secured Floating Rate Notes due
2034, Assigned (P)Aaa (sf)

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

EUR10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034,
Assigned (P)Aa2 (sf)

EUR23,600,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)A2 (sf)

EUR21,900,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Baa3 (sf)

EUR17,500,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned (P)Ba3 (sf)

EUR10,500,000 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 50% 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.

Nassau Corporate Credit (UK) LLP ("Nassau") 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 a half year reinvestment period. Thereafter, subject to
certain restrictions, purchases are permitted using principal
proceeds from unscheduled principal payments and proceeds from
sales of credit risk obligations or credit improved obligations.

In addition to the seven classes of notes rated by Moody's, the
Issuer will issue EUR29,550,000 Subordinated Notes due 2034 which
are not rated.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the 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: EUR350m

Diversity Score: 45

Weighted Average Rating Factor (WARF): 2900

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 44.25%

Weighted Average Life (WAL): 8.50 years

PALMERSTON PARK: Fitch Raises Class E Notes Rating to 'B+'
----------------------------------------------------------
Fitch Ratings has affirmed the class A-1AR and A-1BR notes and
upgraded the A-2A, A-2B, B-1R, B-2R, C, D and E notes of Palmerston
Park CLO DAC. Fitch also removed the class A-2A, A-2B, B-1R, B-2R,
C, D, and E notes from Under Criteria Observation (UCO).

      DEBT                 RATING            PRIOR
      ----                 ------            -----
Palmerston Park CLO DAC

A-1AR XS2068992630    LT AAAsf   Affirmed    AAAsf
A-1BR XS2068993281    LT AAAsf   Affirmed    AAAsf
A-2A XS1566961618     LT AA+sf   Upgrade     AAsf
A-2B XS1566962269     LT AA+sf   Upgrade     AAsf
B-1R XS2068993950     LT A+sf    Upgrade     Asf
B-2R XS2068994503     LT A+sf    Upgrade     Asf
C XS1566964125        LT A-sf    Upgrade     BBBsf
D XS1566965106        LT BB+sf   Upgrade     BBsf
E XS1566965015        LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY

The transaction is a cash-flow collateralized loan obligation (CLO)
backed by a portfolio of mainly European leveraged loans. The
portfolio is managed by Blackstone Ireland Limited, and the
transaction exited its reinvestment period in April 2021.

KEY RATING DRIVERS

CLO Criteria Update

The upgrades mainly reflect the impact of the recently updated
Fitch CLOs and Corporate CDOs Rating Criteria (including, among
others, a change in the underlying default assumptions). The
upgrade analysis was based on a scenario which assumes a one-notch
downgrade on the Fitch Issuer Default Rating (IDR) Equivalency
Rating for assets with a Negative Outlook on the driving rating of
the obligor.

Deviation from Model-implied Rating

The assigned ratings for the class A-2A, A-2B, C and E notes are
one notch lower than the model-implied ratings. The rating
deviation reflects the small breakeven default rate cushion at the
model-implied ratings, which could erode if the portfolio
performance deteriorated.

Limited Amortization

The class A notes have amortized EUR15.5 million since the
reinvestment period ended in April 2021, including EUR9.0 million
on the recent October payment date. The transaction can only
reinvest during the post-reinvestment period if, among other
things, the Fitch 'CCC' Obligation test is passing. As of the Oct.
5, 2021 report, the Fitch 'CCC' Obligation test is failing at 7.7%
versus the 7.5% limit. In the event that this is cured and
reinvestment is permitted, the portfolio's quality may slightly
deteriorate towards the covenant maximum weighted-average rating
factor (WARF) and the covenant minimum weighted-average recovery
rate (WARR). In Fitch's view, the breakeven default rate cushion at
the upgraded ratings is sufficient to mitigate the risk of
portfolio deterioration due to trading activity.

Portfolio Performance

Asset performance has been stable since last review in January
2021. As per the report dated Oct. 5, 2021, the transaction is
passing all coverage tests and collateral quality tests except
Fitch's CCC Test. Exposure to assets with a Fitch-derived rating
(FDR) of 'CCC+' and below was 7.7% compared to the 7.5% test limit.
There are no defaulted obligations reported in the portfolio.

Asset Credit Quality

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the obligors in the 'B'/'B-' category for the transaction. The
Fitch WARF reported by the trustee was 34.4 in the Oct. 5, 2021
monthly report, below the maximum covenant of 34.8. The
Fitch-calculated WARF under the updated Fitch CLOs and Corporate
CDOs Rating Criteria was 25.7.

Asset Security

Senior secured obligations make up 99.3% of the portfolio. Fitch
views the recovery prospects for these assets as more favorable
than for second-lien, unsecured and mezzanine assets. The Fitch
WARR of the current portfolio is 64.7% as per the most recent
report, greater than the minimum test limit of 63.6%.

Portfolio Concentration

The portfolio is well-diversified across obligors, countries and
industries. The trustee reports that the top 10 obligors represent
15% of the portfolio balance with no obligor accounting for more
than 3%. The top-Fitch industry and top three Fitch industry
concentrations are also within the defined limits of 17.5% and
40.0% respectively.

RATING SENSITIVITIES

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

-- An increase of the RDR at all rating levels by 25% of the mean
    RDR and a decrease of the RRR by 25% at all rating levels will
    result in downgrades of no more than five notches depending on
    the notes. Downgrades may occur if the build-up of credit
    enhancement following amortization does not compensate for a
    larger loss expectation than initially assumed due to
    unexpectedly high level of default and portfolio
    deterioration.

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

-- A reduction of the default rate (RDR) at all rating levels by
    25% of the mean RDR and an increase in the recovery rate (RRR)
    by 25% at all rating levels would result in an upgrade of up
    to three notches depending on the notes. Except for the class
    A notes, which are already at the highest 'AAAsf' rating,
    upgrades may occur in case of better than expected portfolio
    credit quality and deal performance, leading to higher credit
    enhancement and excess spread available to cover for losses on
    the remaining portfolio. If asset prepayment is faster than
    expected and outweighs the negative pressure of the portfolio
    migration, this could increase credit enhancement and put
    upgrade pressure on the non-'AAAsf' rated notes.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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

PORTMAN SQUARE 2021-NPL1: Moody's Gives Ba1 Rating to Cl. B Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to Notes
issued by Portman Square 2021-NPL1 Designated Activity Company:

EUR365.4M Class A Mortgage Backed Floating Rate notes due October
2061, Definitive Rating Assigned A1 (sf)

EUR32.5M Class B Mortgage Backed Floating Rate notes due October
2061, Definitive Rating Assigned Ba1 (sf)

Moody's has not assigned a rating to the subordinate EUR684.8 M
Class Z Mortgage Backed notes due October 2061.

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 Panelview Designated Activity
Company (Panelview) backed by NPLs in Ireland. The portfolio is
serviced by Mars Capital Finance Ireland DAC ("Mars", NR). CSC
Capital Markets (Ireland) Limited ("CSC") 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
Mars 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 55.0% and a portfolio Expected
Loss (EL) of 24.0%. 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 55.0%: 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 69% of the
RPLs pool; and (ii) the inclusion of restructured loans.

Portfolio expected loss of 24.0%: 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 three-month EURIBOR. The notional of the interest rate
cap is equal to the closing balance of the Class A and B Notes. The
cap expires in October 2024.

Coupon cap: The transaction structure features coupon caps that
apply on the interest payment dates falling after the interest rate
cap expiration. 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 33.75% of the total
collateral balance with 66.25% 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 8.25% 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 40 months of interest on the Class A Notes
and more senior items, assuming EURIBOR of 0.5%.

Class B Notes benefit from a dedicated Class B interest Reserve
Fund equal to 6% of the Class B Notes balance at closing, which can
only be used to pay interest on Class B Notes. The Class B Interest
Reserve Fund is sufficient to cover around 24 months of interest on
Class B Notes, assuming EURIBOR of 0.5%. 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.

Servicing disruption risk: CSC 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 Mars 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 means
that continuity of Note payments is not ensured in case of servicer
disruption. This risk is commensurate with the ratings 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 TO 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.



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

ALBA 12 SPV: Moody's Assigns Ba1 Rating to EUR238.4MM Cl. B Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned the following definitive
ratings to the debts issued by Alba 12 SPV S.r.l. (the Issuer):

EUR474.7M Class A1 Asset-Backed Floating Rate Notes due October
2041, Definitive Rating Assigned Aa3 (sf)

EUR225.2M Class A2 Asset-Backed Floating Rate Notes due October
2041, Definitive Rating Assigned Aa3 (sf)

EUR238.4M Class B Asset-Backed Floating Rate Notes due October
2041, Definitive Rating Assigned Ba1 (sf)

Moody's has not assigned a rating to the EUR 175.1M Class J
Asset-Backed Floating Rate Notes due October 2041.

The transaction is a static cash securitisation of lease
receivables granted by Alba Leasing S.p.A. (NR) to small and
medium-sized enterprises (SMEs) located in Italy mainly in the
region of Lombardia.

RATINGS RATIONALE

The ratings of the notes are primarily based on the analysis of the
credit quality of the underlying portfolio, the structural
integrity of the transaction, the roles of external counterparties
and the protection provided by credit enhancement.

In Moody's view, the strong credit positive features of this deal
include, among others: (i) its static nature as well as the
structure's efficiency, which provides for the application of all
cash collections to repay the senior Notes should the portfolio
performance deteriorate beyond certain limits (i.e. Class B
interest subordination events); (ii) the granular portfolio
composition as reflected by low single lessee concentration (with
the top lessee and top 5 lessees group exposure being 0.71% and
3.11% respectively); (iii) limited industry sector concentration
(i.e. lessees from top 2 sectors represent not more than 36.25% of
the pool); and (iv) no potential losses resulting from set-off risk
as obligors do not have deposits and did not enter into a
derivative contract with Alba Leasing S.p.A.; (v) compared to Alba
11 SPV S.r.l. transaction, no lease contract in the closing pool is
subject to moratorium.

However, the transaction has several challenging features, such as:
(i) the impact on recoveries upon originator's default (in Italian
leasing securitisations future receivables not yet arisen, such as
recoveries, might not be enforceable against the insolvency of the
originator); and (ii) the potential losses resulting from
commingling risk that are not structurally mitigated but are
reflected in the credit enhancement levels of the transaction.
Moody's valued positively the appointment of Banca Finanziaria
Internazionale S.p.A. (NR) as back up servicer on the closing date.
Finally, Moody's considered a limited exposure to fixed-floating
interest rate risk (6.18% of the pool reference a fixed interest
rate) as well as basis risk given the discrepancy between the
interest rates paid on the leasing contracts compared to the rate
payable on the Notes and no hedging arrangement being in place for
the structure.

Key collateral assumptions

Mean default rate: Moody's assumed a mean default rate of 11% over
a weighted average life of 2.87 years (equivalent to a B1 proxy
rating as per Moody's Idealized Default Rates). This assumption is
based on: (1) the available historical vintage data, (2) the
performance of the previous transactions originated by Alba Leasing
S.p.A. and (3) the characteristics of the loan-by-loan portfolio
information. Moody's took also into account the current economic
environment and its potential impact on the portfolio's future
performance, as well as industry outlooks or past observed
cyclicality of sector-specific delinquency and default rates.

Default rate volatility: Moody's assumed a coefficient of variation
(i.e. the ratio of standard deviation over the mean default rate
explained above) of 49.31%, as a result of the analysis of the
portfolio concentrations in terms of single obligors and industry
sectors.

Recovery rate: Moody's assumed a 35% stochastic mean recovery rate,
primarily based on the characteristics of the collateral-specific
loan-by-loan portfolio information, complemented by the available
historical vintage data.

Portfolio credit enhancement: the aforementioned assumptions
correspond to a portfolio credit enhancement of 22%, that takes
into account the Italian current local currency country risk
ceiling (LCC) of Aa3.

As of September 25, 2021, the audited asset pool of underlying
assets was composed of a portfolio of 12,568 contracts amounting to
EUR1,103 million. The top industry sector in the pool, in terms of
Moody's industry classification, is Construction and building
(24.07%). The top borrower represents 0.71% of the portfolio and
the effective number of obligors is 1350.The assets were originated
between 2010 and 2021 and have a weighted average seasoning of 1.8
years and a weighted average remaining term of 5.9 years. The
interest rate is floating for 93.82% of the pool while the
remaining part of the pool bears a fixed interest rate. The
weighted average spread on the floating portion is 2.60%, while the
weighted average interest on the fixed portion is 2.17%.
Geographically, the pool is concentrated mostly in Lombardia
(30.86%) and Emilia Romagna (12.10%). At closing, any loan in
arrears for more than 30 days will be excluded from the final
pool.

Assets are represented by receivables belonging to different
sub-pools real estate (28%), equipment (50%) and auto transport
assets (21%). A small portion (1%) of the pools is represented by
lease receivables whose underlying asset is an aircraft, a ship or
a train. The securitized portfolio does not include the so-called
"residual value instalment", i.e. the final instalment amount to be
paid by the lessee (if option is chosen) to acquire full ownership
of the leased asset. The residual value instalments are not
financed - i.e. it is not accounted for in the portfolio purchase
price - and is returned back to the originator when and if paid by
the borrowers.

Key transaction structure features

Reserve fund: The transaction benefits from EUR9,383,000 reserve
fund, equivalent to 1.00% of the original balance of the rated
Notes. The reserve will amortise to a floor of 0.5% in line with
the rated Notes.

Counterparty risk analysis

Alba Leasing S.p.A. acts as servicer of the receivables on behalf
of the Issuer, while Banca Finanziaria Internazionale S.p.A. (NR)
is the back-up servicer and the calculation agent of the
transaction.

All of the payments under the assets in the securitised pool are
paid into the servicer account and then transferred on a daily
basis into the collection account in the name of the Issuer. The
collection account is held at BNP PARIBAS Securities Services (Aa3
long term bank deposits rating), acting through its Milan Branch,
with a transfer requirement if the rating of the account bank falls
below Baa2. Moody's has taken into account the commingling risk
within its cash flow modelling.

Principal Methodology

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:

The notes' ratings are sensitive to the performance of the
underlying portfolio, which in turn depends on economic and credit
conditions that may change. The evolution of the associated
counterparties risk, the level of credit enhancement and the
Italy's country risk could also impact the notes' ratings.

ILLIMITY BANK: Fitch Raises LT IDR to 'BB-', Outlook Stable
-----------------------------------------------------------
Fitch Ratings has upgraded illimity Bank S.p.A.'s Long-Term Issuer
Default Rating (IDR) to 'BB-' from 'B+' and Viability Rating (VR)
to 'bb-' from 'b+'. The Outlook on the Long-Term IDR is Stable.

The upgrade primarily reflects illimity's success in scaling up its
operations and achieving consistently positive profitability since
4Q19, despite the challenges posed by the pandemic. The upgrade
also reflects improved funding diversification.

The Stable Outlook reflects Fitch's expectation that illimity will
continue to expand the scale and breadth of its activities,
maintaining a disciplined risk profile and underwriting standards,
and adequate financial metrics. However, it will likely take some
time for continued business expansion to translate into a
materially stronger business profile and greater revenue
diversification.

Fitch has withdrawn illimity's Support Rating of '5' and Support
Rating Floor of 'No Floor' as they are no longer relevant to the
agency's coverage following the publication of its updated Bank
Rating Criteria on 12 November 2021. In line with the updated
criteria, Fitch has assigned illimity a Government Support Rating
(GSR) of 'no support' (ns).

KEY RATING DRIVERS

IDRs and VR

illimity's IDRs are driven by its standalone credit profile, as
reflected in the VR. The ratings are underpinned by illimity's
adequate capitalisation, improving market position in its chosen
business niches, adequate funding and sound liquidity. The ratings
still reflect illimity's small size, limited but positive
profitability trends and above-average risk profile, given its
specialised business model that is skewed towards investing in
non-performing loans (NPLs) and lending to SMEs.

Capitalisation is a relative rating strength. illimity's common
equity Tier 1 (CET1) ratio of 20.1% and total capital ratio of
26.5% at end-September 2021 had ample buffers over regulatory
requirements, and Fitch views positively the bank's commitment to
operate with a CET1 ratio of above 15% throughout its 2021-2025
business plan. This helps mitigate the bank's significant exposure
to higher-risk lending segments. Fitch's assessment of capital is
also constrained by the small size of the equity base, which leaves
the bank vulnerable to shocks.

illimity's profitability has accelerated in recent quarters as
revenues grew in line with planned balance sheet expansion and
economies of scale started to materialise. illimity also continued
to extract value from purchased distressed credit assets and has
benefited from low organic loan impairment charges to date, which
Fitch views as evidence of its overall tight underwriting
oversight. Revenues and operating profitability are still mostly
derived from the investment and servicing of NPLs.

Fitch expects profitability and revenue diversification to improve,
in line with the bank's strategy to expand across all business
lines, with a preference for capital-light revenue streams, launch
a direct bank for SMEs (B-ILTY) and develop its joint-venture in
retail fintech, Hype.

illimity's funding is mostly reliant on deposits collected online
by offering above-average interest rates, which Fitch views as
potentially less stable than deposits at more established
commercial banks. However, most deposits have long-term fixed
maturities, which should increase funding stability and ensure
close matching of assets and liabilities.

In the past 12 months, illimity also improved the granularity of
its deposit base, and diversified funding sources by issuing senior
preferred and subordinated notes in the wholesale market. These
attracted strong demand from investors, but Fitch still believes
that market access would be less certain than at higher rated
peers, especially at times of market volatility. Liquidity buffers
are sound and conservatively managed.

illimity's business model features a structurally high exposure to
non-performing loans, largely due to purchased or originated credit
impaired (POCI) loans. Excluding these, the organic impaired loan
ratio drops to a low 2.5% at end-September 2021. The ratio was
largely unaffected by the pandemic, but Fitch expects it to
gradually increase towards 6% in the medium term as the loan book
ages. Fitch believes that illimity's asset quality could prove more
sensitive to economic downturns than at traditional commercial
banks, even though the extensive use of government guarantees on
SME loans over the past 18 months and of credit insurance on
factoring exposures should mitigate downside risks.

The heavy discount at which the bank underwrites POCI exposures
provides some buffer to withstand potential deterioration.
Collection performance remained comfortably and consistently
positive since 2019, including throughout the pandemic.

illimity's Short-Term IDR of 'B' is in line with the 'BB-'
Long-Term IDR under Fitch's rating correspondence table.

RATING SENSITIVITIES

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

-- illimity's ratings could be downgraded if the bank fails to
    achieve stated growth and profitability targets, for example
    because it is unable to sufficiently grow businesses other
    than NPL investing and servicing or opportunities in the NPL
    segment dried up for the bank, leading to an operating profit
    to risk-weighted assets (RWA) ratio below 0.25% on a sustained
    basis.

-- The ratings could also be downgraded if pressures on asset
    quality materialise, resulting in an organic impaired loan
    ratio structurally above 10% or a material deterioration of
    NPL collection performance.

-- Pressure could also arise if Fitch believes that business
    growth is compromising underwriting discipline or pressurizing
    solvency and liquidity more than currently envisaged. This
    could translate in a CET1 ratio dropping below 13% without
    being accompanied by sufficient internal capital generation.

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

-- The Outlook on the Long-Term IDR could be revised to Positive
    if illimity continues to meet its growth targets and increases
    the share of revenue and earnings generated by businesses
    other than NPL investing and servicing, ultimately leading to
    stronger and more diversified earnings profile and internal
    capital generation in the medium term.

-- An upgrade would be conditional on total operating income
    approaching and being expected to consistently exceed USD500
    million, signalling structural improvements in illimity's
    business profile.

-- An upgrade would also require a longer record of sustained
    profitability and internal capital generation without a
    significant increase in its risk profile, maintenance of the
    CET1 ratio above 13% and good control over organic impaired
    loans inflows and NPL collections. Evidence of the bank's
    ability to retain retail term deposits at an acceptable cost
    once they expire, and continued access to the institutional
    debt markets, could also benefit the ratings.

OTHER DEBT AND ISSUER RATINGS: KEY RATING DRIVERS

SENIOR PREFERRED DEBT

illimity's senior preferred debt is rated in line with the bank's
Long-Term IDR as total debt buffers exceed the 10% of RWA required
by Fitch's criteria to align the ratings for banks not subject to
resolution buffer requirements in jurisdictions with full depositor
preference. Fitch expects buffers to be maintained despite the
strong expected growth in RWA, as illimity plans to issue
cumulative EUR1.3 billion of senior preferred debt by end-2025.

DEPOSIT RATINGS

The 'BB' long-term deposit rating is one notch above the Long-Term
IDR to reflect the protection provided by the larger buffer of more
junior debt, and the expectation that this buffer will be
maintained as per the bank's funding plan.

The short-term deposit rating of 'B' is in line with the bank's
'BB' long-term deposit rating under Fitch's rating correspondence
table.

SUBORDINATED DEBT

illimity's subordinated debt is rated two notches below the VR for
loss severity to reflect poor recovery prospects. No notching is
applied for incremental non-performance risk because write-down of
the notes will only occur once the point of non-viability is
reached and there is no coupon flexibility before non-viability.

GSR

Fitch has assigned illimity a GSR of 'ns', which reflects Fitch's
view that senior creditors cannot rely on receiving full
extraordinary support from the sovereign in the event that the bank
becomes nonviable. The EU's Bank Recovery and Resolution Directive
(BRRD) and the Single Resolution Mechanism (SRM) for eurozone banks
provide a framework for resolving banks that requires senior
creditors participating in losses, if necessary, instead of, or
ahead of, a bank receiving sovereign support. In addition, Fitch's
assessment of support reflects the bank's still very limited
domestic retail deposit market share and specialised lending
franchises.

OTHER DEBT AND ISSUER RATINGS: RATING SENSITIVITIES

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

-- The senior preferred, long-term deposit and subordinated debt
    ratings could be downgraded if the bank's Long-Term IDR and VR
    are downgraded.

-- The senior preferred and long-term deposit ratings could also
    be downgraded by one notch if the bank is unable to complete
    planned debt issuances and the buffer of unsecured debt falls
    below 10% of RWA without prospects of recovering in the medium
    term.

-- The subordinated debt is also sensitive to a change in the
    notes' notching, which could arise if Fitch changes its
    assessment of their non-performance relative to the risk
    captured in the VR.

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

-- The senior preferred, long-term deposit and subordinated debt
    ratings could be upgraded if the bank's Long-Term IDR and VR
    are upgraded.

-- An upward revision of the GSR would be contingent on a
    positive change in the sovereign's propensity to support the
    bank. In Fitch's view, this is highly unlikely, although not
    impossible.

VR ADJUSTMENTS

The Operating Environment score of 'bbb-' is in line with the 'bbb'
category implied score but Fitch applies the following adjustment
reason to signal the Operating Environment score is currently
constrained by Italy's sovereign rating: Sovereign Rating
(negative).

The Business Profile score of 'bb-' has been assigned above the 'b
& below' category implied score due to the following adjustment
reason: Historical and Future Developments (positive).

The Capitalisation & Leverage score of 'bb-' has been assigned
below the 'bbb' category implied score due to the following
adjustment reasons: Size of Capital Base (negative), Risk Profile
and Business Model (negative).

The Funding & Liquidity score of 'bb-' has been assigned below the
'bbb' category implied score due to the following adjustment
reason: Deposit Structure (negative)

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



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

AYT CAJA 1: Fitch Affirms C Rating on 2 Note Classes
----------------------------------------------------
Fitch Ratings has upgraded AyT Caja Granada Hipotecario 1, FTA's
(Granada 1) class B notes to 'BBsf' from 'B+sf' and removed them
from Rating Watch Positive. Fitch has also affirmed AyT Goya
Hipotecario III, FTA (Goya 3) and AyT Goya Hipotecario V, FTA (Goya
5). All Outlooks are Stable.

       DEBT                 RATING            PRIOR
       ----                 ------            -----
AyT Caja Granada Hipotecario 1, FTA

Class A ES0312212006    LT A+sf   Affirmed    A+sf
Class B ES0312212014    LT BBsf   Upgrade     B+sf
Class C ES0312212022    LT Csf    Affirmed    Csf
Class D ES0312212030    LT Csf    Affirmed    Csf

AyT Goya Hipotecario V, FTA

Class A ES0312276001    LT A+sf   Affirmed    A+sf

AyT Goya Hipotecario III, FTA

Class A ES0312274006    LT A+sf   Affirmed    A+sf
Class B ES0312274014    LT A-sf   Affirmed    A-sf

TRANSACTION SUMMARY

The transactions comprise Spanish residential mortgages serviced by
Caixabank S.A. (BBB+/F2/Stable).

KEY RATING DRIVERS

Stable Performance; Additional Stresses Removed

The rating actions reflect the transactions' broadly stable asset
performance outlook. This is driven by the moderate share of loans
in payment moratoria schemes over the past months at 14.7%, 9.3%
and 8.9% of the current portfolio balances (CPB) for Granada 1,
Goya 3 and Goya 5, respectively, as of April 2021. The stable asset
outlook also reflects a low share of loans in arrears over 90 days
at below 1% of CPB in all transactions and an improved
macro-economic outlook for Spain, as described in Fitch's latest
Global Economic Outlook dated September 2021.

The rating analysis reflects the removal of the additional stresses
in relation to the coronavirus outbreak and legal developments in
Catalonia as announced on 22 July 2021.

Sufficient Credit Enhancement (CE)

The upgrade and affirmations reflect Fitch's view that the notes
are sufficiently protected by credit enhancement (CE) able to
absorb the projected losses commensurate with the applicable rating
scenarios. Fitch expects structural CE to continue to increase in
the short-to-medium term for Granada 1, given its prevailing
sequential amortisation and partial reduction of its principal
deficiency ledger over the past year. CE levels are expected to
remain fairly stable for the Goya transactions, given the notes'
pro-rata amortisation.

Counterparty Risks Cap Ratings

For all three transactions, a 'A+sf' maximum achievable rating
applies, reflecting the transaction account bank's (TAB)
contractually defined minimum eligibility ratings of 'BBB' and
'F2', which are not compatible with the 'AAsf' or 'AAAsf' category
ratings as per Fitch's criteria. Moreover, Granada 1 is exposed to
an additional rating cap at the same 'A+sf' level, due to
unmitigated payment interruption risk in the event of a servicer
disruption, as its available liquidity sources are insufficient to
cover senior fees, net swap payments and stressed senior notes'
interest during a minimum of three month-period needed to implement
alternative servicing arrangements.

The rating affirmation of Goya 3 class B notes reflects Fitch's
view of excessive counterparty risk in relation to the TAB
(Caixabank S.A., IDRs: BBB+/Stable/F2, deposit rating: A-), where
the transaction's cash reserves are held and represent more than
50% of the tranche's total CE protection. Fitch deems the
counterparty risk excessive because when simulating the sudden loss
of the cash reserves held at the bank account, the notes would be
downgraded by 10 or more notches, in accordance with Fitch's
Structured Finance and Covered Bonds Counterparty Rating Criteria.
Consequently, the notes rating is capped at the SPV account bank
provider's deposit rating. The Outlook revision to Stable from
Negative on this tranche mirrors a recent similar rating action on
CaixaBank.

Granada 1 has an ESG Relevance Score of 5 for 'Transaction &
Collateral Structure', due to unmitigated payment interruption
risk, which has resulted in a lower rating by at least one notch.

It also has an ESG Relevance Score of 5 for 'Transaction Parties &
Operational Risk', due to modification of account bank replacement
triggers after the transaction's closing, which has resulted in a
lower rating by at least one notch.

Goya 3 and 5 have an ESG Relevance Score of '5' for 'Transaction
Parties & Operational Risk', due to modification of the account
bank eligibility thresholds after the transaction's closing, which
has resulted in a lower rating by at least one notch.

RATING SENSITIVITIES

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

-- Long-term asset performance deterioration such as increased
    delinquencies or larger defaults, which could be driven by
    changes to macroeconomic conditions, interest-rate increases
    or borrower behaviour.

-- For Goya 3 class B notes, a downgrade of the TAB's long-term
    deposit rating. This is because the notes' rating is capped at
    the bank's rating given the excessive counterparty risk
    exposure.

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

-- For Goya 3 and 5 class A notes, TAB's minimum eligibility
    ratings that are compatible with 'AAsf' and 'AAAsf' ratings.

-- For Granada 1 senior notes, TAB's minimum eligibility ratings
    that are compatible with 'AAsf' and 'AAAsf' ratings,
    complemented with an improved liquidity position that fully
    mitigates the payment interruption risk.

-- For Granada 1 mezzanine and junior notes, CE ratios increase
    as the transaction deleverages to fully compensate the credit
    losses and cash flow stresses commensurate with higher rating
    scenarios, all else being equal.

-- For Goya 3 class B notes, an upgrade of the TAB bank's long
    term deposit rating. This is because the notes' rating is
    capped at the bank's rating given the excessive counterparty
    risk exposure.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset
pools and the transactions. There were no findings that affected
the rating analysis. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

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

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

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

Goya 3 class B notes' rating is capped at CaixaBank S.A's.
long-term deposit rating of 'A-', due to excessive counterparty
exposure, in accordance with Fitch's Structured Finance and Covered
Bonds Counterparty Rating Criteria.

ESG CONSIDERATIONS

Granada 1 has an ESG Relevance Score of '5' for 'Transaction &
Collateral Structure', due to unmitigated payment interruption
risk, which has a negative impact on the credit profile, and is
highly relevant to the rating, resulting in a lower rating by at
least one notch.

It has an ESG Relevance Score of '5' for 'Transaction Parties &
Operational Risk', due to modification of account bank replacement
triggers, which has a negative impact on the credit profile, and is
highly relevant to the rating, resulting in a lower rating by at
least one notch.

Goya 3 and Goya 5 have an ESG Relevance Score of '5' for
'Transaction Parties & Operational Risk', due to modification of
account bank replacement triggers after transaction closing, which
has a negative impact on the credit profile, and is highly relevant
to the rating, resulting in a lower rating by at least one notch.

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.

TELEFONICA EUROPE: Moody's Rates New EUR750MM Hybrid Debt 'Ba2'
---------------------------------------------------------------
Moody's Investors Service has assigned a Ba2 rating to Telefonica
Europe B.V.'s EUR750 million backed issuance of undated, deeply
subordinated, guaranteed fixed rate reset securities (the "hybrid
debt"), which are fully and unconditionally guaranteed by
Telefonica S.A. (Telefonica) on a subordinated basis. The outlook
is stable.

"The Ba2 rating assigned to the hybrid debt is two notches below
Telefonica's senior unsecured rating of Baa3 primarily because the
instrument is deeply subordinated to other debt in the company's
capital structure," says Carlos Winzer, a Moody's Senior Vice
President and lead analyst for Telefonica.

Telefonica plans to use the net proceeds from the offering
predominantly towards eligible green investments, mainly energy
efficiency in the network transformation from copper to fiber
optic, and also accelerating deployment of broadband in unconnected
or underserved areas.

RATINGS RATIONALE

The Ba2 rating assigned to the hybrid debt is two notches below the
group's senior unsecured rating of Baa3.

The two-notch rating differential reflects the deeply subordinated
nature of the hybrid debt. The instrument: (1) is perpetual; (2)
senior only to common equity; (3) provides Telefonica with the
option to defer coupons on a cumulative basis; (4) steps up the
coupon by 25 basis points (bps) at least 10 years after the
issuance date and a further 75 bps occurring 20 years after the
first reset date; and (5) the issuer must come current on any
deferred interest if there are any payments on parity or junior
instruments. The issuer does not have any preferred shares
outstanding that would rank junior to the hybrid debt, and the
issuer's articles of association do not allow the issuance of such
shares by the issuer.

In Moody's view, the notes have equity-like features that allow
them to receive basket "C" treatment, i.e., 50% equity and 50% debt
for financial leverage purposes (please refer to Moody's Hybrid
Equity Credit methodology published in September 2018).

Telefonica's Baa3 rating reflects (1) the company's large scale;
(2) the diversification benefits associated with its strong
position in its key markets; (3) the company's strengthened
position as an integrated mobile fixed operator in the UK, after
the creation of the joint venture (JV) VMED O2 UK Limited (VMED O2
UK, Ba3 stable); (4) the ample fibre roll-out of its high-quality
network in Spain; (5) management's track record, and (6) the
company's good liquidity risk management.

However, Telefonica's rating also reflects (1) fierce competition
in the low-end residential mobile market in Spain; (2) the negative
impact of the coronavirus pandemic and the subsequent economic
recession, which will continue to hurt its performance 2021; (3)
the company's exposure to emerging market risk, including
significant foreign-currency volatility, and (4) the group's
increased complexity as the company fully consolidates some
subsidiaries that it does not fully own.

RATIONALE FOR STABLE OUTLOOK

The stable outlook reflects Moody's expectation that Telefonica's
management continues to prioritise debt reduction and that the
company's Moody's adjusted net leverage will be only slightly
above, but very close to, the maximum level of tolerance of 3.75x
for the current rating over the next two to three years. Negative
pressure on the rating will arise if leverage exceeds the current
trigger with no improvement expectation over the next two to three
years.

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

As the hybrid debt rating is positioned relative to another rating
of Telefonica, either: (1) a change in Telefonica's senior
unsecured rating; or (2) a re-evaluation of its relative notching
could affect the hybrid debt rating.

A rating downgrade could result if (1) Telefonica were to deviate
from its financial strengthening plan, as a result of weaker cash
flow generation; and/or (2) the company's operating performance in
Spain and other key markets were to deteriorate, with no likelihood
of an improvement in a twelve months period, in the underlying
trends. Resulting metrics would include the ratio of retained cash
flow to net adjusted debt of less than 15% and/or the ratio of net
adjusted debt to EBITDA of 3.75x or higher with no expectation of
improvement.

Conversely, Moody's could consider an upgrade of Telefonica's
rating to Baa2 if the company's credit metrics were to strengthen
significantly as a result of improved operational cash flow and
debt reduction. More specifically, the rating could benefit from
positive pressure if it became clear that the company were able to
achieve sustainable improvements in its debt ratios, such as a
ratio of adjusted retained cash flow to net debt above 22% and a
ratio of adjusted net debt to EBITDA comfortably and sustainably
below 3.0x.

LIST OF AFFECTED RATINGS

Assignments:

Issuer: Telefonica Europe B.V.

BACKED Preference Stock, Assigned Ba2

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was
Telecommunications Service Providers published in January 2017.

COMPANY PROFILE

Telefonica S.A. (Telefonica), domiciled in Madrid, Spain, is a
leading global integrated telecommunications provider, with
significant presence in Spain, Germany, the UK and Latin America.
In 2020, Telefonica generated revenue and EBITDA of EUR43.1 billion
and EUR14.2 billion, respectively.



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T U R K E Y
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TURK TELEKOMUNIKASYON: Fitch Affirms 'BB-' LT IDRs, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has affirmed Turk Telekomunikasyon A.S.'s (TT)
Long-Term Foreign- (FC) and Local-Currency (LC) Issuer Default
Ratings (IDR) at 'BB-' with a Stable Outlook. Fitch has also
affirmed the telecoms company's National Long-Term Rating at
'AAA(tur)' with a Stable Outlook.

The ratings reflect TT's strong market position as the country's
incumbent integrated telecoms operator with a leading converged
offering across mobile and TV. Its business model has proven to be
resilient during the pandemic, with the company outperforming
Fitch's previous expectations. Its financial policy continues to be
prudently managed with an effective hedging strategy that has kept
net leverage low during a time of continued lira depreciation
against hard currencies.

Its business profile and financial policy are consistent with
investment-grade rated EMEA telecom peers' but its FC ratings are
constrained by Turkey's Country Ceiling of 'BB-'.

KEY RATING DRIVERS

Fixed Line Outperforms in Pandemic: Broadband revenues have been
the biggest driver of TT's overall growth with revenues in the last
12 months (LTM) to September 2021 up 29.2% YoY. During the pandemic
the average household in Turkey increased their fixed-data usage
significantly. At end-June 2021 average monthly data usage
increased to 211 Gb per subscription, from 119 Gb in 4Q19. Fitch
estimates that TT has increased its revenue market share in fixed
line by around 5% to 72% by 2Q21 versus 4Q19, driven by its
accelerated roll-out of fibre homes passed, adding 3.9 million
homes in LTM to 3Q21.

Strong Mobile Performance: TT has continued to add to its mobile
subscriber base during the pandemic with subscribers up 4.8% at
end-3Q21 compared with 3Q19. This has been supported by good growth
in customer data and growth in average revenue per user (ARPU) for
each of the last six consecutive quarters to 3Q21. YoY growth in
ARPUs at end-3Q21 was high at 13.6% versus an average ARPU growth
in the high single digits in 2020.

Effective Hedging Strategy: The lira has depreciated against the
dollar by just under 50% at end-3Q21, compared with 4Q19. With 96%
of pre-hedged debt based in hard currencies, lira volatility has
been a key driver of leverage increases for TT in the past. Over
the last two years it has effectively managed its financial policy
through hard-currency cash, cross-currency swaps, forwards and
futures, bringing post-hedged foreign-exchange (FX) exposure to a
net long position of USD58 million versus a net short exposure of
USD2.6 billion in March 2018. TT has continued to deleverage during
this period, reducing LTM funds from operations (FFO) net leverage
to around 1x at end-3Q21 from 1.9x at end-2018.

Dividend Payments Return: TT resumed its dividend programme in
2020, after a pause since 2017, with a pay-out ratio of 25%. The
Board of Directors had initially offered to pay 50% of 2019
distributable net income but this was decreased to 25% following
uncertainties around the outbreak of the pandemic. Historically the
dividend pay-out ratio had been as high as 93% in 2015 and Fitch
conservatively assumes TT will increase its pay-out ratio to 90% of
prior-year profits by end-2022.

No Material Leverage Pressure Seen: Fitch expects Fitch-defined
free cash flow (FCF) to fall from 2021 onwards to neutral to
slightly negative, as dividends and capex consume EBITDA growth.
Fitch's FFO net leverage is calculated before dividends and capex
and is comfortably below Fitch's negative rating threshold. Fitch
does not expect any significant leverage pressure as a result of a
return to a high dividend pay-out ratio.

Country Ceiling Restricts Rating: The Turkish state and Turkish
Wealth Fund own a combined 31.68% share of TT yet, in Fitch's view,
the links between TT and the Turkish state are weak and Fitch rates
TT on a standalone basis. TT's Foreign Currency IDR is capped by
the Turkish Country Ceiling of 'BB-', due to the company's exposure
to the Turkish market while TT's LC IDR is capped by Turkey's LC
IDR of 'BB-' as per Fitch's criteria.

Long-Term Concession Uncertainty: TT's ratings factor in some
long-term uncertainty relating to the expiry of the company's
fixed-line concession agreement with the Turkish government in
2026. The government may not automatically extend this concession
with TT but instead tender the contract out to third parties. In
this scenario Fitch would expect TT to participate in any tender
process but Fitch does not have visibility to evaluate its
potential impact on TT's financials at this stage. Fitch believes
that TT's management will continue to pursue a conservative
financial policy.

DERIVATION SUMMARY

TT has a similar operating profile to other European incumbent
peers such as Royal KPN N.V. (BBB/Stable), BT Group (BBB/Stable)
and Rostelecom PJSC (BBB-/Stable). The strength of TT stems mainly
from its leading fixed-line operations in Turkey with its
increasing fibre deployment as a key advantage. It is also a fully
integrated telecoms operator with a growing mobile market share and
increasing pay-TV penetration.

Leverage thresholds for its current ratings are tighter than for
European peers', due to higher risk from the FX mismatch between
mainly hard-currency debt and lira-denominated cash flow
generation. On the national rating scale, TT's profile compares
well with Turkiye Petrol Rafinerileri A.S.'s (Tupras,
A(tur)/Stable) and Arcelik A.S.'s (AAA(tur)/Stable). The latter
benefits from its exposure to international markets, which is also
reflected in its IDR being higher than the Turkish sovereign
rating. There is no direct impact on TT's rating from its
parent-subsidiary linkage, even though the Turkish government owns
a minority stake in TT.

KEY ASSUMPTIONS

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

-- Revenue growth of 17.7% in 2021, followed by high single-digit
    growth to 2024;

-- Fitch-defined EBITDA margin to increase to 45.5% in 2021,
    followed by a decline to 44% by 2024;

-- Capex at around 26% of revenue in 2021 but remaining flat
    thereafter at around 25%;

-- Dividend payments of around TRY1.9 billion in 2021, followed
    by 90% of prior-year profits;

-- Depreciation in the lira in 2021 to raise gross debt by over
    TRL1 billion in 2021.

RATING SENSITIVITIES

Development that may, individually or collectively, lead to
positive rating action/upgrade:

-- TT's Long-Term FC and LC ratings are currently constrained by
    Turkey's Country Ceiling of 'BB-' and Turkey's Long-Term LC
    rating of 'BB-', respectively.

Developments that may, individually or collectively, lead to
negative rating action/downgrade:

-- FFO net leverage above 3.5x on a sustained basis;

-- Material deterioration in pre-dividend FCF margin, or in the
    regulatory or operating environments;

-- Negative rating action on the Turkish Country Ceiling or
    Turkey's Long-Term LC rating could lead to a negative rating
    action on TT's FC and LC ratings, respectively;

-- Sustained increase in FX mismatch between company's net debt
    and cash flows;

-- Excessive reliance on short-term funding, without adequate
    liquidity over the next 12-18 months.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Adequate Liquidity: At end-September 2021 TT had TRL6.8 billion of
debt maturing in the next two years. Liquidity is supported by
strong FCF generation, TRL4.8 billion of cash on balance sheet (of
which TRL3.9 billion is in foreign currencies) and a strong record
of access to international capital and loan markets. After
accounting for TT's cross-currency swaps, forwards and futures
contracts the company has a net long FX exposure of USD58 million.


Nevertheless, refinancing risk remains and reliance on short-term
borrowings may exacerbate pressure on TT's liquidity in an
uncertain FX environment. Fitch expects the company to remain
FCF-positive in each of the next four years on a pre-dividend
basis.

ISSUER PROFILE

TT is the incumbent fixed-line operator in Turkey offering a
complete range of mobile, broadband, data, TV and fixed voice
services. It covers 81 cities in Turkey with its 353,000 km fibre
network. The fibre network covered around 28.9 million households
as of end-3Q21 and with an LTE population coverage of 95% at the
same date.

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.

TURKCELL ILETISIM: Fitch Affirms 'BB-' LT IDR, Outlook Stable
-------------------------------------------------------------
Fitch Ratings has affirmed Turkcell Iletisim Hizmetleri A.S's
(Tcell) Long-Term Issuer Default Rating (IDR) at 'BB-' with a
Stable Outlook. Fitch has also affirmed the company's National
Long-Term Rating at 'AAA(tur)' with a Stable Outlook.

The ratings reflect Tcell's leading market share in mobile in
Turkey, growing fibre broadband customer base and a low leverage.
Funds flow from operations (FFO) net leverage was 0.5x at end-2020,
which is well below the average for EMEA investment-grade peers.
Fitch expects the company to maintain ample leverage headroom over
the next four years. The company has continued to perform strongly
throughout the pandemic and grown revenues consistently above
inflation.

Tcell's business profile and financial policy are consistent with
investment-grade rated EMEA telecom peers' but its Long-Term IDR is
constrained by Turkey's Country Ceiling of 'BB-'.

KEY RATING DRIVERS

Strong Performance During Pandemic: Tcell has maintained high
revenue growth that exceeds inflation. This is due to strong
subscriber additions and growing average revenue per user (ARPU) on
the domestic telecom market combined with a robust performance in
fintech, digital services and international operations. Revenue
growth has been strong during the last 12 months (LTM) to September
2021 at 20.4%. Mobile data usage has increased significantly during
the pandemic to just under 14Gb per subscriber/month by 3Q21 from
around 9Gb in 4Q19. Tcell continues to have the highest fixed and
mobile ARPU in Turkey and has increased mobile ARPUs (excluding
M2M) by 11.5% at LTM to September 2021.

Hedging Strategy Working: Foreign-exchange (FX) volatility has
historically been a driver of higher leverage at Tcell but use of
hedging has significantly lowered FX risk in the balance sheet and
helped avert leverage peaks under worsened macro conditions. The
lira has depreciated against the dollar by just under 50% at
end-3Q21 versus 4Q19. At end-September 2021, over 90% of pre-hedged
debt was mostly in US dollars and euros. Through a combination of
cross-currency swaps, forward contracts and hard-currency cash on
balance sheet Tcell has improved its net long FX exposure to USD122
million from a net short FX exposure of USD2 billion in December
2015.

Significant Leverage Headroom: Tcell reduced its FFO net leverage
to 0.5x in 2020, from 0.7x the year before, driven by effective
hedging and increased EBITDA. Fitch's FFO net leverage threshold
for a downgrade to 'B+' is 3.5x, and with leverage assumed to
remain below 1x over the next four years to 2024, Fitch sees ample
headroom against its current rating threshold.

High Inflation Environment: Tcell's LTM to September 2021 revenue
growth has continued to outpace inflation, due to the essential
nature of the company's services. As inflation has accelerated in
2021 to an average 18% in the first nine months, the gap between
revenue growth and inflation has reduced. Historically for Tcell,
where inflation rates rise above 15%, the more price-elastic
consumer segments will begin to limit their usage. Fitch expects a
slight contraction in EBITDA margins in 2021 as cost inflation
exceeds revenue growth.

Strong Momentum in Ukraine: Subsidiary Lifecell has delivered
consistent revenue growth for Tcell and outpaced the consolidated
group's with LTM growth to September2021 of 23%. The subsidiary is
also EBITDA margin-accretive with a reported EBITDA margin of above
56% during 3Q21. The Ukrainian market has a fairly low 4G
penetration at around 20% of market subscribers. ARPU levels are
also low relative to the wider EMEA region's and Fitch sees
capacity for future growth as increase in data consumption pushes
consumers to higher ARPU tariffs. Lifecell accounts for just under
10% of Tcell's revenue.

DERIVATION SUMMARY

Tcell's ratings are firmly positioned against closest peer Turkish
incumbent, Turk Telekomunikasyon A.S.'s (TT; BB-/Stable)). TT has a
similar operating profile, although its strength stems from its
incumbent fixed-line operations, but higher leverage and greater FX
risk associated with its hard currency-denominated debt. Both
undertake active debt management using derivative instruments.

Absent FX risk and associated sovereign pressures, Tcell has a
similar or stronger rating profile, both business and financial, to
that of similarly or higher-rated western European telecom peers
such as Royal KPN N.V. (BBB/Stable) and Telefonica Deutschland
Holding AG (BBB/Stable). Tcell has stronger growth potential than
these peers even when adjusted for inflation, and has developed a
broader understanding of mobile-based digital services and data
monetisation. Tcell's ratings are constrained by the sovereign
Country Ceiling of 'BB-'. No parent/subsidiary or operating
environment aspects affect the rating.

Fitch does not consider Tcell's parent, TWF, in assessing the
telecoms company's direct links with Turkey (BB-/Stable), as per
Fitch's criteria. TWF acts as the strategic long-term investment
arm and equity solutions provider of Turkey. Fitch believes that
the strength of links between Tcell and its majority shareholder
TWF is weak-to-moderate and hence rate Tcell on a standalone basis,
without implication of any support from the parent. Fitch believes
that Tcell's rating is not automatically constrained by Turkey's
IDR as its debt is ring-fenced from TWF and extraction of excessive
dividends is limited by the Capital Markets Law. High minority
interest also makes any excessive dividends unlikely.

KEY ASSUMPTIONS

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

-- Revenue growth of 20% in 2021, gradually slowing to around 8%
    by 2024, reflecting Fitch's view that inflation will begin to
    slow after 2021;

-- Fitch-defined EBITDA margins of around 36% in 2021-2024;

-- Capex at around 23%-26% of revenue in 2021-2024, including
    license payments;

-- TRY2.6 billion of dividend payment in 2021, followed by our
    conservative view that dividend pay-out ratio of prior-year
    net profits will increase to 90% from the following year.

RATING SENSITIVITIES

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

-- Tcell's IDR is currently constrained by Turkey's Country
    Ceiling of 'BB-'. An upgrade of the Country Ceiling will be
    reflected in Tcell's IDR.

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

-- Expectation that FFO net leverage will remain above 3.5x on a
    sustained basis;

-- Material deterioration in pre-dividend free cash flow (FCF)
    margin, or in the regulatory or operating environments;

-- Sustained increase in FX mismatch between net debt and cash
    flows;

-- A downgrade of Turkey's Country Ceiling;

-- Excessive reliance on short-term funding, without adequate
    liquidity over the next 12-18 months.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Healthy Liquidity: Tcell reported cash of TRL12.3 billion at
end-3Q21, which is sufficient to address short-term liabilities of
TRL5.4 billion maturing in 2021 and 2022. At end-September 2021,
the company had USD3.5 billion in uncommitted credit lines and
around USD570 million in committed credit facilities.

ISSUER PROFILE

Tcell is a major mobile network operator in Turkey with a leading
market share in mobile, along with fibre broadband and IPTV
providing a converged product. The company has assets in Ukraine,
Belarus and the Turkish Republic of northern Cyprus, which together
contributed around 11% to 2020 revenue.

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.



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U N I T E D   K I N G D O M
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BLUE 02: Bought Out of Administration by Scuba Tours
----------------------------------------------------
Business Sale reports that a Plymouth-based travel company
specialising in overseas diving trips has been saved from
administration following a pre-pack acquisition of the
non-licensable part of the business by Scuba Tours Worldwide Ltd.

Blue 02 Ltd, which traded as Blue O Two, had registered strong
growth pre-pandemic but said that the UK's stringent, and
constantly changing, COVID travel restrictions made it "almost
impossible" to deliver diving experiences, with some customers
having holidays rescheduled multiple times, Business Sale relates.

According to Business Sale, over the course of the pandemic,
refunds totalling more than GBP3 million were made to customers and
without investment the business faced closure.  However, the brand
has now been saved, protecting jobs and providing continuity for
about 1,700 customers, Business Sale notes.

Andrew Sheridan -- andrew.sheridan@frpadvisory.com -- and Simon
Stibbons -- simon.stibbons@frpadvisory.com -- partners at business
advisory firm FRP, were appointed as joint administrators of Blue
O2 Ltd on Nov. 15 and immediately completed the sale of the
non-licensable part of the business to Scuba Tours Worldwide Ltd.,
Business Sale discloses.


CASTLEOAK: In Administration, More Than 100 Jobs Affected
---------------------------------------------------------
John Jones at Wales Online reports that Castleoak was still taking
on new staff just a week before bosses filed for administration,
including the company's new Head of Supply Chain, David Thomas, who
joined Castleoak after leaving his previous employer of 13 years.

The Cardiff-based developer, which developed and constructed
retirement and care homes, filed for administration in late October
after what employees described as a "very difficult year", Wales
Online relates.

The move means that more than 100 Castleoak workers have lost their
jobs, Wales Online notes.

With its headquarters based in Pontprennau, Castleoak had its own
design and build division and offsite manufacturing facility.

Administration notices for two companies -- Castleoak Holdings
(Cardiff Gate) Limited and Castleoak Offsite Manufacturing Limited
-- were filed on Oct. 25, Wales Online recounts.  Both companies
are subsidiaries of the parent company Castleoak Holdings Limited.

It has also been reported that the manufacturing facility's assets
have now been acquired out of administration by
Northamptonshire-based roof trusses and floor joists manufacturer
Robinson Manufacturing, which plans to restart production at
Castleoak's Ebbw Vale site, Wales Online discloses.

Latest accounts filed at Companies House for Castleoak Holdings Ltd
show that in the year to March 31, 2019, the group made a pre-tax
profit of GBP496,527 from a turnover of GBP67.2 million and
employed 152 staff, Wales Online states.

The firm were still involved in a number of large-scale projects at
the time of filing for administration, including the development of
40 low-carbon affordable homes in Alway in Newport, according to
Wales Online.


DEBENHAMS PLC: Hedge Funds Receive Two-Thirds of GBP300MM Recovered
-------------------------------------------------------------------
Jonathan Eley at The Financial Times reports that the hedge funds
that acquired control of Debenhams before its collapse last year
have received more than two-thirds of the GBP300 million recovered
by the department store chain's administrators, new documents
show.

According to the FT, among the lead creditors are hedge funds
Silver Point Capital, Alcentra and GoldenTree, which rank above
other creditors such as Debenhams' two defined benefit pension
funds.

Stephen Timms, chair of parliament's work and pensions committee,
said there would be "serious questions to answer about whether more
could and should have been done to protect members" if the schemes
ended up in the Pension Protection Fund, the FT relates.

Unsecured creditors such as landlords, local authorities and
suppliers are unlikely to receive anything from Debenhams'
collapse, which resulted in the closure of more than 100 stores and
the loss of about 12,000 jobs, the FT discloses.

FRP Advisory was appointed administrator in April last year and the
retailer was put into liquidation at the start of 2021, the FT
recounts.  FRP's latest report to Debenhams' creditors said total
distributions were GBP304 million as of Oct. 8, the FT notes.

The monies recouped from Debenhams' failure include a net GBP142
million from running down its inventories plus GBP55 million paid
by online fashion retailer Boohoo for the chain's website and
brands, and other asset sales, the FT states.

By far the biggest of these was the GBP120 million sale of Magasin
du Nord, Debenhams' upmarket Danish subsidiary, to privately owned
German group Peek & Cloppenburg, according to the FT.  The sum was
more than initially expected, the FT says.

Debenhams was carrying about GBP720 million of debt when FRP was
appointed, including a GBP200 million facility provided by the
hedge funds, the FT discloses.  That loan ranked above all the
other secured debt and carried an interest rate of 12%, the FT
states.

Although other secured creditors approved this, it meant they could
not receive any dividend from the administration until the
principal plus accrued interest on the facility -- a total of
GBP242 million -- was repaid in full, according to the FT.

Another person with knowledge of Debenhams' difficulties said
Barclays, a longstanding lender to the retailer, had long ago
written off its exposure to the company, the FT relates.


GABOTO LTD: 15-Year Disqualification Imposed Against Directors
--------------------------------------------------------------
Ciara Gilroy and Mark Woodcock of Fieldfisher LLP (Ireland), in an
article for Lexology, disclosed that on November 8, the High Court
imposed one of the longest ever disqualification periods for a
company director.  The Court held that this was "one of the most
extreme cases of using a company for [oil] laundering", and granted
an application on behalf of the liquidator of Gaboto Limited for
the disqualification of the two directors for a period of fifteen
years.

Gaboto Ltd traded in both wholesale and retail fuel from a property
in County Monaghan, around 600m from the border with Northern
Ireland.  The company also traded from a forecourt in Clondalkin,
Dublin.  In the course of a wider investigation into fuel
laundering along the border, Revenue Officials discovered evidence
of fuel laundering at the Clondalkin premises.  The company
subsequently entered into liquidation and the liquidator's
investigations revealed serious issues regarding the participation
of the company in fuel laundering fraud causing significant loss to
the exchequer.  

The Court noted that there had also been no cooperation by the
directors with the liquidator during his investigations, there had
been a failure to keep adequate accounting records and there was a
substantial debt owed to Revenue, in excess of EUR9 million.  It
was also clear to the Court that the directors had not engaged with
the proceedings against them.  The Court stated that this case was
at the extreme end of the abuse of a limited liability company and
that there were no mitigating factors to take into account,
dismissing a claim made by one of the directors in correspondence
that they had no knowledge or involvement in the company's affairs.
In those circumstances, the Court had no hesitation in imposing
the disqualification for a period of fifteen years against both
directors.  The purpose of a disqualification order is to protect
the public from irresponsible directors and essentially it means
that these two directors are disqualified from being appointed or
acting as a director or be in any way, whether directly or
indirectly, involved in the management of a company for the next
fifteen years.


HOTEL SEAGOE: Company Director Agrees to Disqualification
---------------------------------------------------------
The UK Department for the Economy (the Department) has accepted a
disqualification undertaking from the director of a business
operating in hotels and similar accommodation.

The undertaking was received for eight years from Brian Scullion
(62) of Old Rectory Park, Banbridge in respect of his conduct as
director of Hotel Seagoe Limited.

The Company provided hotels and similar accommodation trading from
22 Upper Church Lane, Portadown, Craigavon, Co. Armagh, BT63 5JE
and went into Liquidation on May 3, 2018, with an estimated
deficiency as regards creditors of GBP415,168.01.  There was a
total of GBP1 owing as Share Capital, resulting in an estimated
deficiency as regards members of GBP415,169.01.

The Department accepted the disqualification undertaking from Brian
Scullion on October 18, 2021, based on the following unfit conduct
which solely for the purposes of the disqualification procedure was
not disputed:

   -- Acting as a De-facto director of Hotel Seagoe Limited during
the period from March 26, 2015, to the date of liquidation, and
whilst disqualified by way of undertaking effective from 24 April
2015 for a period of 7 years as a result of his conduct as director
of Overtown Properties Limited;

   -- Causing and permitting the company to operate a policy of
discrimination against the Crown from 2016/17.  Causing and
permitting Hotel Seagoe Limited to retain monies totalling
GBP166,475.66 due to the Crown as at the date of liquidation.
Furthermore, operating a policy of discrimination in that
significant payments were made to trade creditors and third parties
at a time when the HMRC debt continued to increase;

       -- failing to learn from his previous insolvency and / or
demonstrating a repeated pattern of unfit conduct;

       -- failing to comply with the legislation in that annual
accounts for the year ended March 31, 2016 were not filed within
the prescribed period; and

       -- causing and permitting Hotel Seagoe Limited to fail to
comply with the legislation in that the Annual Return for the year
ended March 5, 2016, and the Confirmation Statement for the period
ended March 5, 2017, were not filed within the prescribed period;

The Department has accepted twenty three Disqualification
Undertakings in the financial year commencing April 1, 2021.


IRIS MIDCO: S&P Downgrades Rating to B- on Debt-Funded Acquisitions
-------------------------------------------------------------------
S&P Global Ratings lowered its ratings on U.K. software company
IRIS Midco Ltd. (IRIS) to 'B-' from 'B'.

The stable outlook indicates S&P's expectation of solid underlying
operating performance in FY2022, with organic revenue growth of
about 7%-9% and underlying EBITDA growth of about 5% excluding
exceptional costs.

IRIS' leverage and FOCF to debt weakened in FY2021 due to
debt-funded acquisitions and high exceptional costs. In FY2021,
IRIS closed the strategic acquisitions of cloud-based companies
iSAMS, Staffology, and Senta. The acquisitions were at high
multiples due to the maturity of these assets and their strategic
rationale. They added a relatively minimal contribution to IRIS'
EBITDA, and were financed by the drawdown of a GBP75 million
acquisition facility. S&P said, "In addition, IRIS' profit and loss
(P&L) exceptional costs and exceptional capitalized development
costs (which we expense in our S&P Global Ratings-adjusted EBITDA
calculation) increased significantly to GBP37.6 million in FY2021,
more than double the level we had previously assumed. This was
partly due to higher capitalized spending on IRIS Elements, a cloud
next-generation business applications platform, and high
transaction and integration costs for acquisitions." This means
that, despite a slight improvement in underlying EBITDA excluding
exceptional costs, IRIS' pro forma adjusted leverage and FOCF to
debt weakened to 15.7x and 2.6% respectively, or 10.5x and 3.9%
excluding PIK notes.

S&P said, "We expect persistently high exceptional costs will
impede deleveraging in FY2022.We understand that P&L exceptional
costs and exceptional capitalized developments will remain high, at
about GBP30 million in FY2022. This partly reflects continued high
capitalized spending on IRIS Elements and continued significant
spending on Project Quantum, an IT infrastructure program. This
means that we expect reduction in IRIS' pro forma adjusted leverage
to be limited to 13x-13.4x in FY2022, and that its FOCF to debt
will remain in the 2%-3% range, or 8.3x-8.7x and 3.5%-4.5%
excluding PIK notes, respectively. In addition, we see a risk that
further debt-funded acquisitions could prevent improvement in IRIS'
credit metrics. While IRIS made additional bolt-on acquisitions in
the first half of FY2022 using available cash on its balance sheet,
the company could potentially draw on a new GBP85 million
acquisition facility to close further acquisitions in the second
half of the year.

"We think IRIS' underlying operating performance in FY2022 will be
solid, excluding exceptional costs. Our base case forecast reflects
solid organic revenue growth of about 7%-9%, supported by about 7%
growth in recurring revenue and strong recovery in nonrecurring
transactional and professional services revenue following the
COVID—19 pandemic's negative impact in FY2021. We expect IRIS'
education division to report the highest growth, partly thanks to
its new Ed:Gen offering for local authorities. In our view, IRIS'
underlying EBITDA growth, excluding exceptional costs, will be
about 5%. The margin dilution reflects additional investment in
recently acquired companies and in IRIS' overall suite of cloud and
hosted products, aimed at driving higher revenue growth.

"We see scope for a potentially significant improvement in adjusted
leverage and FOCF in FY2023 if exceptional costs reduce.We
understand that there could be a further meaningful reduction in
P&L exceptional costs and exceptional capitalized developments to
below GBP25 million in FY2023. This reflects no further P&L costs
on Project Quantum and lower capitalized spending on IRIS Elements.
This, along with continued solid underlying operating performance,
could potentially improve IRIS' pro forma adjusted leverage and
FOCF to debt in FY2023.

"The stable outlook indicates our expectation of solid underlying
operating performance in FY2022, with organic revenue growth of
about 7%-9% and underlying EBITDA growth of about 5% excluding
exceptional costs.

"We could lower the rating if IRIS' FOCF becomes negative due to an
unexpected deterioration in its revenue and underlying EBITDA
margins. This could lead us to assess the company's capital
structure as unsustainable over the medium term, despite no
immediate liquidity pressures. We could also potentially lower the
rating if IRIS came under liquidity pressure.

"We could raise the rating if IRIS improved its pro forma adjusted
leverage to sustainably below 11x (7x excluding the PIK notes in
FY2023) and its FOCF to debt to about 5% (8% excluding the PIK
notes in FY2023) or higher. This could be achievable in FY2023 on
the back of a sustained solid operating performance, and if we see
relatively limited funding of acquisitions through additional
debt."


RAC BOND: S&P Assigns B+ (sf) Rating to Class B2-Dfrd Notes
-----------------------------------------------------------
S&P Global Ratings assigned its 'B+ (sf)' credit rating to RAC Bond
Co. PLC's new 5.25% fixed-rate GBP345 million class B2-Dfrd notes.
S&P's rating on these junior notes only addresses the ultimate
payment of interest and ultimate payment of principal on the legal
final maturity date. At the same time, S&P has affirmed its 'BBB
(sf)' ratings on the outstanding class A1 and A2 notes.

RAC Bond Co. is a whole business securitization of RAC Bidco Ltd.'s
(RAC) operating businesses, excluding RAC Insurance. RAC Bond Co.'s
financing structure blends a corporate securitization of RAC's
operating business in the U.K. with a subordinated high-yield
issuance. The transaction is backed by future cash flows generated
by the operating businesses, which include roadside services and
insurance and financial services, but exclude RAC Insurance Ltd.
and RACMS (Ireland) Ltd.

The transaction features two classes of notes (A and B). The issuer
on lent the class A notes' proceeds to the borrower via
issuer-borrower loans, while the class B notes' proceeds are held
in escrow and will be on-lent through an issuer-borrower loan upon
satisfaction of the escrow conditions. The operating cash flows
generated by the borrowing group are available to repay its
borrowings from the issuer which, in turn, uses those proceeds to
service the notes.

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

Rationale For The Class B2-Dfrd Notes

On the issue date, the issuer issued the new class B2-Dfrd notes
totaling GBP345.0 million. These are contractually subordinated to
the outstanding class A1 and A2 notes and to the liabilities
incurred by the borrower, including the outstanding senior term and
revolving credit facilities (other than in respect of the class B
only share pledge over RAC Bidco Ltd). The new class B2-Dfrd notes
bear a 5.25% fixed interest rate, which will step down to 4.75%
following their expected maturity date in November 2027. S&P's
rating on these junior notes addresses ultimate payment of interest
and principal.

The issuance proceeds are held in escrow for the sole benefit of
the class B2-Dfrd noteholders, and the funds will not be onlent to
the borrower, through an issuer/borrower loan, until the issuer
confirms to the class B notes' trustee that the escrow release
conditions have been met. Those include satisfying all conditions
precedent to the Silver Lake investment becoming unconditional in
accordance with its terms. The investment was announced on Sept. 6
and is currently being subjected to regulatory review. It is
expected to close in early 2022.

The special mandatory redemption price equals 100% of the class
B2-Dfrd notes' principal balance plus accrued and unpaid interest.
The escrow account will only hold the gross proceeds from the
issuance of the notes, which will not be sufficient to fund the
full special mandatory redemption price. Any deficiency, to the
extent it arises, from accrued interest or certain other additional
amounts (such as tax gross up) on the class B2-Dfrd notes will be
due and payable by the borrower. The class B2-Dfrd notes benefit
from an undertaking from the borrower to the issuer to allocate the
funds to the issuer for the relevant amount. The issuer will redeem
all the class B2-Dfrd notes at a special mandatory redemption price
if the escrow release conditions are not met on or before the Sept.
5, 2022, longstop date. The special mandatory redemption price
equals 100% of the class B2-Dfrd notes' principal balance plus
accrued and unpaid interest.

The class B2-Dfrd notes are structured as soft-bullet notes due in
2046. Under the transaction documents, if either the class B2 loan
or any class A loan is not repaid on its respective final maturity
date (aligned with the expected maturity date [EMD] of the
corresponding class of notes), interest due on the class B2-Dfrd
notes will no longer be payable and will be deferred. The deferred
interest, and the interest accrued thereon, becomes due and payable
on the final maturity date of the class B2-Dfrd notes in 2046. Our
analysis focuses on scenarios in which the loans underlying the
transaction are not refinanced at their EMDs. S&P therefore
considers the class B2-Dfrd notes as deferring accruing interest
following the earliest class A term loan's EMD and receiving no
further payments until all the class A debt is fully repaid.

Under the transaction documents, further issuances of class A notes
are permitted without consideration given to any potential effect
on the then current rating on the outstanding class B2-Dfrd notes.

S&P said, "Both the extension risk stemming from the deferability
of the notes, which we view as highly sensitive to the future
performance of the borrowing group, and the ability to issue more
senior debt without consideration given to the class B2-Dfrd notes,
may adversely affect the issuer's ability to repay the class
B2-Dfrd notes. As a result, the uplift above the borrowing group's
creditworthiness reflected in our rating is limited. Consequently,
we have assigned our 'B+ (sf)' rating to the class B2-Dfrd notes.
"Operating cash flows from RAC Bidco Ltd. (Holdco) and its
subsidiaries (the obligors), which include the borrower, are
available to service the borrower's financial obligations. In our
analysis, we have excluded any projected cash flows from RAC
Insurance, which has not granted security due to regulatory
considerations. The obligors jointly and severally guarantee each
other's obligations.

"The covenants in the class B2 issuer-borrower loan agreement
contain some provisions that we consider nonstandard. First, the
covenant package allows for various forms of permitted indebtedness
(e.g., lease obligations, credit facilities, debt, etc.),
investments, and liens that may be related to "similar businesses,"
which the agreement defines fairly broadly and whose contributions
to the obligor group are unclear. Second, the class B2-Dfrd notes'
covenant package permits the establishment of a receivables
financing program. Lastly, it is our understanding that the change
of control provisions and the associated rights granted to the
class B2-Dfrd noteholders following a change of control may contain
a carve-out that limits the determination to instances where a
downgrade has occurred within 60 days of the change of control
event itself.

Rating Rationale For The Class A1 And A2 Notes

RAC Bond Co.'s primary sources of funds for principal and interest
payments on the class A1 and A2 notes are the loan interest and
principal payments from the borrower and amounts available from the
liquidity facility, which is shared with the borrower to service
the senior term facilities (STF 2020 and 2021).

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

"Our cash flow analysis serves to both assess whether cash flows
will be sufficient to service debt through the transaction's life
and to project minimum debt service coverage ratios (DSCRs) in
base-case and downside scenarios. In our analysis, we have excluded
any projected cash flows from the underwriting part of the RAC's
insurance business, which is not part of the restricted borrowing
group (only the insurance brokerage part is).

"As discussed in our criteria, we typically view liquidity
facilities and trapped cash (either due to a breach of a financial
covenant or following an expected repayment date) as being required
to be kept in the structure if: (1) the funds are held in accounts
or may be accessed from liquidity facilities; and (2) we view it as
dedicated to service the borrower's debts, specifically that the
funds are exclusively available to service the issuer/borrower
loans and any super senior or pari passu debt, which may include
bank loans.

"In this transaction, we have given credit to trapped cash in our
DSCR calculations as we have concluded that it is required to be
kept in the structure and is dedicated to debt service.

"Although both the borrower and issuer may draw on the liquidity
facility, our treatment of the liquidity facility differs from
other transactions where the liquidity facility covers both
borrower and issuer shortfall amounts. In the case of Arqiva
Financing PLC, for example, the liquidity facility covers the
issuer/borrower loans as well as pari passu bank debt. However, in
the case of RAC Bond Co., although the liquidity facility is shared
by the borrower and the issuer, the borrower's ability to draw is
limited to liquidity shortfalls related to the STFs (2020 and 2021)
and does not cover the issuer/borrower loans. This is an important
point and the reason why we do not give credit to the liquidity
facility in our base-case DSCR analysis for RAC Bond Co, while we
do give credit to it other transactions where the borrower may draw
on the liquidity facility to service issuer/borrower loans as
well."

DSCR analysis

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

Base-case forecast

S&P said, "Our base-case earnings before interest taxes
depreciation and amortization (EBITDA) and operating cash flow
projections in the short term rely on our corporate methodology. We
gave credit to growth through the end of fiscal year ending
December 2021 (FY2021), the growth period.

"Beyond FY2021, our base-case projections are based on our
methodology and assumptions for corporate securitizations, from
which we then apply assumptions for capital expenditures (capex),
change in working capital, and taxes to arrive at our projections
for the cash flow available for debt service.

"Our expectation for EBITDA for FY2021 has improved and reflects
the forecast underlying EBITDA, excluding any contribution from RAC
Insurance and exceptional items as well at the International
Financial Reporting Standards' (IFRS) lease payments. Beyond the
growth period, we assume that EBITDA is flat.

"We have assumed maintenance capex of GBP8.2 million for FY2021,
and GBP8.7 million and GBP9.2 million in FY2022 and FY2023, and the
minimum required maintenance capex of GBP7.5 million for FY2024
onward. Regarding the capitalized customer acquisition costs that
we include in the maintenance capex, we assumed GBP29 million for
FY2021 onward as the level of costs to maintain the customer base.

"We also expect the borrower to reduce capex to about GBP21.0
million in 2021 compared to GBP22.5 million in 2020.

"We forecast a one-time tax payment of about GBP47 million in
FY2021, GBP27 million in FY2022, and GBP33 million thereafter. We
expect the company to be subject to a higher 25% tax rate from
FY2023 onward.

"Further, we assume about GBP2 million working capital outflow in
FY2021 and none thereafter.

"Our higher EBITDA expectations for FY2021 are coupled with higher
capex expectations (including customer acquisition costs) and a
lower one-time cash tax settlement payment to HM Revenues &
Customs. The net effect is modest increase in our projected cash
flow available for debt service (CFADS) in FY2021. Consequently,
our minimum DSCRs in our base-case, which is driven by the
near-term CFADS, have increased slightly. Looking into the long
term, our higher EBITDA expectation translates to higher average
DSCR ratios in both the base case and downside case scenarios. That
said, they remain above the mid end of the range for a 'bbb' anchor
in our base-case analysis, and above the breakpoint between a
strong and a satisfactory resilience score in our downside
analysis. Our satisfactory BRP remains unchanged."

Downside DSCR analysis

S&P said, "Our downside DSCR analysis tests whether the
issuer-level structural enhancements improve the transaction's
resilience under a moderate stress scenario. Considering RAC Ltd.'
business and services' historical performance during the financial
crisis of 2007-2008, in our view a 30% decline in EBITDA from our
base case is appropriate for the borrower's particular business. We
applied this 30% decline to the base-case at the point where we
believe the stress on debt service would be greatest.

"Our downside DSCR analysis resulted in a strong resilience score
for the class A1 and A2 notes. This reflects the headroom above a
1.80:1 DSCR threshold that is required under our criteria to
achieve a strong resilience score after considering the level of
liquidity support available to each class."

Liquidity adjustment

The GBP90 million liquidity facility balance represents about 5.2%
of the total senior (Class A) debt, including the STFs (2020 and
2021), which is below the 10% threshold S&P typically considers for
significant liquidity support. Therefore, it has not considered any
further uplift adjustment to the resilience-adjusted anchor for
liquidity.

Modifier analysis

S&P said, "Considering the relatively close proximity of the EMD
for class A1 notes, we believe the issuer is likely to lead
refinancing operations in the short to medium term. In our view,
this could potentially lower our base case anchor. We also
considered the possibility the issuer would issue longer-dated
senior debt. To account for this structural configuration and the
proximity of our current base case anchor to the lower part of the
base-case DSCR range, we lowered our resilience adjusted anchor by
one notch."
Comparable rating analysis

Under S&P's corporate securitization criteria, it considered credit
characteristics of comparable peers in the business sector and by
structure type (cash sweep transactions).

RAC is the second-largest car breakdown services provider in the
U.K. in terms of EBITDA, after its main competitor, the AA.
Together they represent about 72% of the market in terms of
revenues, and both transactions have comparable leverage ratios and
bear similar repayment structures. RAC generates 25% less EBITDA
than the AA and its S&P adjusted EBITDA margin is about the same as
the AA's. S&P said, "We considered the smaller scale of the
business for RAC compared with market leader AA, in terms of
EBITDA. We also compared RAC Bond's class A notes' leverage to that
of CPUK Finance Ltd. (a cash sweep transaction)--the former's class
A notes are leveraged marginally higher. Overall, we decreased by
one notch our resilience adjusted anchor on the class A notes'
rating as part of the comparable rating analysis."

Counterparty risk

S&P's 'BBB (sf)' ratings on the class A1 and A2 notes are not
currently constrained by the ratings on any of the counterparties,
including the liquidity facility, derivatives, and bank account
providers.

Eligible investments

S&P said, "Under the recently amended transaction documents, the
counterparties are allowed to invest cash in short-term investments
with a minimum required rating of 'BBB+' (previously 'BBB-'). Given
the substantial reliance on excess cash flow as part of our
analysis and the possibility that this could be invested in
short-term investments, full reliance can be placed on excess cash
flows only in rating scenarios up to 'BBB+'."

Outlook

A change in S&P's assessment of the company's BRP would likely lead
to a rating action on the class A1 and A2 notes as we would require
higher DSCRs for a weaker BRP to achieve the same anchor.

Upside scenario

S&P said, "For the class B2-Dfrd notes, we do not see any upside
scenario at this stage in relation to the borrowing group's
creditworthiness, as it is constrained by financial policy, and our
assessment of the borrowing group's BRP, which is constrained by
the group's weak geographic and service diversification, and its
exposure to the insurance broker business. Furthermore, our ratings
on the class A1 and A2 notes would be limited to 'BBB+ (sf)' under
our eligible investments criteria."

Downside scenario

S&P said, "We could lower our anchor or the resilience-adjusted
anchor for the class A notes if we were to revise the borrowing
group's BRP to fair from satisfactory, or lower our anchor or the
resilience-adjusted anchor for the class B2-Dfrd notes if the
financial sponsor pursued a more aggressive financial policy. This
could occur if trading conditions in its core roadside service
market were to deteriorate with significant customer losses and/or
lower revenue per customer. Under these scenarios, we would likely
observe margins falling below 25% with little prospect for rapid
improvement.

"We could also lower our anchor or the resiliency-adjusted anchor
for the class A1 and A2 notes if the business' minimum projected
DSCR falls below 2.0:1 in our base-case DSCR analysis or 1.8:1 in
our downside scenario. This could also happen if a deterioration in
trading conditions reduces cash flows available to the borrowing
group to service its rated debt."

Surveillance

S&P said, "We will maintain active surveillance on the rated notes
until the notes mature or are retired. The purpose of surveillance
is to assess whether the notes are performing within the initial
parameters and assumptions applied to each rating category. The
transaction terms require the issuer to supply periodic reports and
notices to S&P Global Ratings for maintaining continuous
surveillance on the rated notes.

"We view the RAC's performance as an important part of analyzing
and monitoring the performance and risks associated with the
transaction. While company performance will likely have an effect
on the transaction, other factors, such as cash flow, debt
reduction, and legal framework, also contribute to our overall
analytical opinion."

  Ratings List

  CLASS     RATING     BALANCE (MIL. GBP)

  RATING ASSIGNED  

  B2-Dfrd   B+ (sf)     345

  RATINGS AFFIRMED  

  A1        BBB (sf)    300
  A2        BBB (sf)    600


SMALL BUSINESS 2021-1: Moody's Assigns Ba3 Rating to Class D Notes
------------------------------------------------------------------
Moody's Investors Service has assigned the following definitive
ratings to the debts issued by Small Business Origination Loan
Trust 2021-1 DAC (the Issuer):

GBP138.52M Class A Floating Rate Asset-Backed Notes due March
2030, Definitive Rating Assigned Aa3 (sf)

GBP3.35M Class B Floating Rate Asset-Backed Notes due March 2030,
Definitive Rating Assigned A3 (sf)

GBP24.58M Class C Floating Rate Asset-Backed Notes due March 2030,
Definitive Rating Assigned Baa3 (sf)

GBP20.67M Class D Floating Rate Asset-Backed Notes due March 2030,
Definitive Rating Assigned Ba3 (sf)

Moody's has not assigned a rating to GBP25.13M Class E Floating
Rate Asset-Backed Notes due March 2030, GBP11.17M Class X Floating
Rate Asset-Backed Notes due March 2030 and GBP11.17M Class Z
Variable Rate Asset-Backed Notes due March 2030.

The transaction is a static cash securitisation of small business
loans originated through Funding Circle Ltd's ("Funding Circle")
online lending platform. The loans, which will be sold onto the
Issuer by Glencar European Investments Platform DAC ("Glencar"),
are granted to individual entrepreneurs and small and medium-sized
enterprises (SME) domiciled in UK. Funding Circle will act as the
Servicer and Collection Agent on the loans and Glencar will be the
retention holder.

RATINGS RATIONALE

The ratings of the notes are primarily based on the analysis of the
credit quality of the underlying portfolio, the structural
integrity of the transaction, the roles of external counterparties
and the protection provided by credit enhancement.

In Moody's view, the strong credit positive features of this deal
include, among others:

(i) a static portfolio with a short weighted average life of around
1.5 years;

(ii) high seasoning of the portfolio compared to previous SBOLT's
transactions with a weighted average seasoning of around 21
months;

(iii) certain portfolio characteristics, such as:

a) high granularity with low single obligor concentrations (for
example, the top individual obligor and top 10 obligor exposures
are 0.18% and 1.69% respectively) and an effective number of
1,849;

b) the loans' monthly amortisation; and

c) the high yield of the loan portfolio, with a weighted average
interest rate of 10.13%.

(iv) the transaction's structural features, which include:

(a) a cash reserve funded at closing at 1.75% of the initial
portfolio balance, ramping to 2.75% of the initial portfolio
balance before amortising in line with the rated Notes; and

(b) a non-amortising liquidity reserve sized and funded at 0.25% of
the initial portfolio balance;

(c) an interest rate cap with a strike of 2% that provides
protection against increases on SONIA due on the rated Floating
Rate Asset-Backed Notes.

(v) no set-off risk, as obligors do not have deposits or derivative
contracts with Funding Circle.

However, the transaction has several challenging features, such
as:

(i) the limited performance history of Funding Circle as originator
and servicer. Although origination volumes grew rapidly during the
11 year operating history of Funding Circle, volumes was relatively
low in the first 4 years and its experience of a full economic
cycle has been limited;

(ii) moderately high industry concentrations as around 41% of the
obligors belong to the top two sectors, namely Services: Business
(21.74%) and Construction & Building (19.44%) and the high exposure
to individual entrepreneurs and micro-SMEs (around 57% of the
portfolio); and

(iii) the loans are only collateralized by a personal guarantee,
and recoveries on defaulted loans often rely on the realization of
this personal guarantee via cashflows from subsequent business
started by the guarantor.

(iv) Borrowers who have been directly affected by the COVID-19
pandemic were being offered a payment plan by Funding Circle,
whereby borrowers were granted a payment holiday or had their loan
maturity extended for up to six months. Certain borrowers for loans
classified as COVID Adjusted Performing Loans must meet certain
criteria before being included in the provisional loan portfolio.
These borrowers were excluded from the default definition.

However, if a borrower of a COVID Adjusted Performing Loan falls
into arrears then they will fall out of the definition of COVID
Adjusted Performing Loans and therefore will eventually be counted
towards the default definition if such arrears are more than 3
months.

Key collateral assumptions:

Mean default rate: Moody's assumed a mean default rate of 12.5%
over a weighted average life of 1.5 years (equivalent to a B2/B3
proxy rating as per Moody's Idealized Default Rates). This
assumption is based on:

(i) the available historical vintage data;

(ii) the performance of the previous transactions backed by loans
originated by Funding Circle; and

(iii) the characteristics of the loan-by-loan portfolio
information.

Moody's took also into account the current economic environment and
its potential impact on the portfolio's future performance, as well
as industry outlooks or past observed cyclicality of
sector-specific delinquency and default rates.

Default rate volatility: Moody's assumed a coefficient of variation
(i.e. the ratio of standard deviation over the mean default rate
explained above) of 47.11%, as a result of the analysis of the
portfolio concentrations in terms of single obligors and industry
sectors.

Recovery rate: Moody's assumed a 25% stochastic mean recovery rate,
primarily based on the characteristics of the collateral-specific
loan-by-loan portfolio information, complemented by the available
historical vintage data.

Portfolio credit enhancement: the aforementioned assumptions
correspond to a portfolio credit enhancement of 47%.

As of September 30, 2021, the loan portfolio of approximately
GBP223.5 million was comprised of 4,040 loans to 4,029 borrowers.
All loans accrue interest on a fixed rate basis. The average
remaining loan balance stood at GBP55,301, with a weighted average
fixed rate of 10.13%, a weighted average remaining term of 2.99
years and a weighted average seasoning of 1.74 years.
Geographically, the pool is concentrated mostly in the South East
(23.9%) and London (14.9%). Generally, the loans were taken out by
borrowers to fund the expansion or growth of their business and
each loan benefits from a personal guarantee from (typically) the
owner(s) of the business. Any loans more than 30 days delinquent or
defaulted (disregarding COVID Adjusted Performing Loans), as of the
loan portfolio cut-off date will be excluded from the final pool.

Key transaction structure features:

Cash Reserve Fund: The transaction benefits from a cash reserve
fund funded at closing at 1.75% of the initial portfolio balance,
ramping to 2.75% of the initial portfolio balance before amortising
in line with the rated Notes. The reserve fund provides both credit
and liquidity protection to the rated Notes.

Liquidity Reserve Fund: The transaction benefits from a separate,
non-amortising liquidity reserve fund sized and funded at 0.25% of
the initial portfolio balance. When required, funds can be drawn to
provide liquidity protection to the most senior rated Notes then
outstanding.

Counterparty risk analysis:

Funding Circle (NR) will act as Servicer of the loans and
Collection Agent for the Issuer. Equiniti Gateway Ltd (NR) will act
as a warm Back-Up Servicer and Collection Agent.

All of the payments on loans in the securitised loan portfolio are
paid into a Collection Account held at Barclays Bank PLC (A1 /
P-1). There is a daily sweep of the funds held in the Collection
Account into the Issuer Account, which is held with Citibank, N.A.,
London Branch (Aa3 / P-1), with a transfer requirement if the
rating of the account bank falls below A2 / P-1.

Principal Methodology:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in
July 2021.

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

The notes' ratings are sensitive to the performance of the
underlying portfolio, which in turn depends on economic and credit
conditions that may change. The evolution of the associated
counterparties risk, the level of credit enhancement and the United
Kingdom's country risk could also impact the notes' ratings.



===============
X X X X X X X X
===============

[*] BOOK REVIEW: Hospitals, Health and People
---------------------------------------------
Author: Albert W. Snoke, M.D.
Publisher: Beard Books
Softcover: 232 pages
List Price: $34.95
Order your personal copy today at
http://www.beardbooks.com/beardbooks/hospitals_health_and_people.html

Hospitals, Health and People is an interesting and very readable
account of the career of a hospital administrator and physician
from the 1930's through the 1980's, the formative years of today's
health care system. Although much has changed in hospital
administration and health care since the book was first published
in 1987, Dr. Snoke's discussion of the evolution of the modern
hospital provides a unique and very valuable perspective for
readers who wish to better understand the forces at work in our
current health care system.

The first half of Hospitals, Health and People is devoted to the
functional parts of the hospital system, as observed by Dr. Snoke
between the late 1930's through 1969, when he served first as
assistant director of the Strong Memorial Hospital in Rochester,
New York, and then as the director of the Grace-New Haven Hospital
in Connecticut. In these first chapters, Dr. Snoke examines the
evolution and institutionalization of a number of aspects of the
hospital system, including the financial and community
responsibilities of the hospital administrator, education and
training in hospital administration, the role of the governing
board of a hospital, the dynamics between the hospital
administrator and the medical staff, and the unique role of the
teaching hospital.

The importance of Hospitals, Health and People for today's readers
is due in large part to the author's pivotal role in creating the
modern-day hospital. Dr. Snoke and others in similar positions
played a large part in advocating or forcing change in our hospital
system, particularly in recognizing the importance of the nursing
profession and the contributions of non-physician professionals,
such as psychologists, hearing and speech specialists, and social
workers, to the overall care of the patient. Throughout the first
chapters, there are also many observations on the factors that are
contributing to today's cost of care. Malpractice is just one
example. According to Dr. Snoke, "malpractice premiums were
negligible in the 1950's and 1960's. In 1970, Yale-New Haven's
annual malpractice premiums had mounted to about $150,000." By the
time of the first publication of the book, the hospital's premiums
were costing about $10 million a year.

In the second half of Hospitals, Health and People, Dr. Snoke
addresses the national health care system as we've come to know it,
including insurance and cost containment; the role of the
government in health care; health care for the elderly; home health
care; and the changing role of ethics in health care. It is
particularly interesting to note the role that Senator Wilbur Mills
from Arkansas played in the allocation of costs of hospital-based
specialty components under Part B rather than Part A of the
Medicare bill. Dr. Snoke comments: "This was considered a great
victory by the hospital-based specialists. I was disappointed
because I knew it would cause confusion in working relationships
between hospitals and specialists and among patients covered by
Medicare. I was also concerned about potential cost increases. My
fears were realized. Not only have health costs increased in
certain areas more than anticipated, but confusion is rampant among
the elderly patients and their families, as well as in hospital
business offices and among physicians' secretaries." This aspect of
Medicare caused such confusion that Congress amended Medicare in
1967 to provide that the professional components of radiological
and pathological in-hospital services be reimbursed as if they were
hospital services under Part A rather than part of the co-payment
provisions of Part B.

At the start of his book, Dr. Snoke refers to a small statue,
Discharged Cured, which was given to him in the late 1940's by a
fellow physician, Dr. Jack Masur. Dr. Snoke explains the
significance the statue held for him throughout his professional
career by quoting from an article by Dr. Masur: "The whole question
of the responsibility of the physician, of the hospital, of the
health agency, brings vividly to mind a small statue which I saw a
great many years ago.it is a pathetic little figure of a man, coat
collar turned up and shoulders hunched against the chill winds,
clutching his belongings in a paper bag-shaking, tremulous,
discouraged. He's clearly unfit for work-no employer would dare to
take a chance on hiring him. You know that he will need much more
help before he can face the world with shoulders back and
confidence in himself. The statuette epitomizes the task of medical
rehabilitation: to bridge the gap between the sick and a job."

It is clear that Dr. Snoke devoted his life to exactly that
purpose. Although there is much to criticize in our current
healthcare system, the wellness concept that we expect and accept
today as part of our medical care was almost nonexistent when Dr.
Snoke began his career in the 1930's. Throughout his 50 years in
hospital administration, Dr. Snoke frequently had to focus on the
big picture and the bottom line. He never forgot the importance of
Discharged Cured, however, and his book provides us with a great
appreciation of how compassionate administrators such as Dr. Snoke
have contributed to the state of patient care today. Albert Waldo
Snoke was director of the Grace-New Haven Hospital in New Haven,
Connecticut from 1946 until 1969. In New Haven, Dr. Snoke also
taught hospital administration at Yale University and oversaw the
development of the Yale-New Haven Hospital, serving as its
executive director from 1965-1968. From 1969-1973, Dr. Snoke worked
in Illinois as coordinator of health services in the Office of the
Governor and later as acting executive director of the Illinois
Comprehensive State Health Planning Agency. Dr. Snoke died in April
1988.



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

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

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

This material is copyrighted and any commercial use, resale or
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