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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

          Monday, December 20, 2021, Vol. 22, No. 247

                           Headlines



C Y P R U S

BANK OF CYPRUS: Fitch Affirms 'B-' LT IDR, Alters Outlook to Pos.
HELLENIC BANK: Fitch Affirms 'B' LT IDR, Alters Outlook to Positive


I R E L A N D

ARES EURO XV: Fitch Assigns Final B- Rating on Class F Tranche
AVOCA CLO XIX: Fitch Raises Class F Notes to 'B+'
AVOCA CLO XV: Fitch Raises Class F-R Notes to 'B+'
AVOCA CLO XVI: Fitch Raises Class F-R Notes to 'B+'
CONTEGO CLO III: Fitch Raises Class F-R notes to 'B+'

HARVEST CLO XV: Fitch Raises Class F-R Notes to 'B+'
PHOENIX PARK: Fitch Raises Class E-R Notes to 'B+'
ST PAUL CLO VIII: Fitch Raises Class F Notes to 'B+'
ST. PAUL CLO IX: Fitch Raises Class F Notes to 'B+'


R U S S I A

UNITED CONFECTIONERS: Fitch Affirms 'B' LT IDR, Outlook Now Neg.

                           - - - - -


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C Y P R U S
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BANK OF CYPRUS: Fitch Affirms 'B-' LT IDR, Alters Outlook to Pos.
-----------------------------------------------------------------
Fitch Ratings has revised Bank of Cyprus Public Company Limited's
(BoC) Outlook to Positive from Negative, while affirming the bank's
Long-Term Issuer Default Rating (IDR) at 'B-' and Viability Rating
(VR) at 'b-'.

The Outlook revision follows the announcement that BoC has reached
an agreement to sell EUR0.6 billion non-performing exposures (NPEs,
as defined by the European Banking Authority) and EUR121 million
foreclosed real-estate assets. The sale (project Helix 3) will
improve BoC's asset quality and reduce capital encumbrance by
unreserved problem assets (which include NPEs and foreclosed
assets).

The Positive Outlook also reflects significant progress in
organically reducing problem assets since end-2019, despite an
adverse operating environment in Cyprus, and Fitch's expectation
that this trend will continue in the near future.

Fitch has withdrawn BoC's Support Rating of '5' and Support Rating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 BoC a Government Support Rating (GSR) of 'No
Support' (ns).

KEY RATING DRIVERS
IDRs and VR

BoC's ratings reflect weak asset quality even after the announced
NPE disposal, which results in high capital encumbrance by
unreserved problem assets, as well as weak profitability, which has
been constrained by high loan impairment charges (LICs).

The ratings also reflect BoC's strong franchise and market position
as the largest bank in Cyprus, which however is a small market, and
an acceptable funding profile. BoC's VR is one notch below the 'b'
implied VR, due to weakest-link adjustments, as Fitch assesses
asset quality at 'ccc+' and capitalisation and leverage at 'b-'.

BoC's asset quality has been weak for a prolonged period of time,
but has been continuously improving on management's ability to
work-out NPEs organically and inorganically. The NPE ratio peaked
at 63% at end-2014 before decreasing to 8.6% at end-September 2021,
pro-forma for Helix 3, although this remains high. Fitch sees the
completion of the sale as highly probable.

Fitch's assessment of asset quality considers the high problem
assets ratio, which was about 18.5% at end-September 2021 (pro
forma for Helix 3), higher than that of main domestic peers and
most European banks. The transaction is subject to regulatory
approvals and expected to be finalised in 1H22.

Fitch expects BoC's asset quality to continue to improve on a
better economic environment in Cyprus and the bank's proven ability
to work-out legacy problem assets organically. Fitch does not
expect significant inflows of new NPEs from the loans previously
under moratorium, as performance to date has been positive and
better than anticipated.

BoC's profitability has been volatile and significantly below
global industry averages, mainly due to high LICs and one-offs
charges relating to large NPE trades. Operating
profit/risk-weighted assets (RWAs) reached about 0.3% in 9M21 and
Fitch expects the bank to generate profits. Net interest income
remains under pressure from low interest rates and increased
competition for clients in Cyprus, which limits new lending and
prevents the bank from deploying its excess liquidity. Fitch
expects profitability to improve as LICs will reduce and
restructuring costs wane. Improving profitability will also depend
on the bank's ability to reduce costs and diversify revenue.

Fitch expects BoC's capitalisation to improve on the completion of
Helix 3. The bank's fully loaded common equity Tier 1 (CET1) ratio
(including the full impact of IFRS 9) will increase to about 13.9%,
pro forma for the completion of Helix 3, from 13.3% at
end-September 2021. Capital remains highly vulnerable to the large
proportion of unreserved problem assets, although encumbrance
should have decreased to a still high 1.1x of fully-loaded CET1
capital at end-September 2021 (pro-forma for Helix 3), from about
1.5x at end-September 2020. This makes capital sensitive to shocks
and still not commensurate with risks. The bank's capacity to
generate capital internally should benefit from better future
profitability.


BoC's funding is supported by a strong deposit franchise in Cyprus.
Together with the deleveraging of the balance sheet, the gross
loans/deposits ratio declined to about 60% at end-September 2021
(pro forma for Helix 3). About 80% of BoC's deposits are domestic
and deposit preference in Cyprus contributes to funding stability.
The comfortable liquidity buffer has further increased, due to
large TLTRO drawings (EUR3 billion), which the bank intends to
repay by mid-2022.

The bank's funding and liquidity profile remains sensitive to
investor-confidence shocks. BoC has managed to restore its access
to unsecured wholesale funding and has been the first bank to issue
senior preferred debt in Cyprus, although at a comparatively higher
cost than other southern European banks.

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

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

-- Fitch could revise the Outlook to Stable if Fitch does not
    expect Helix 3 to be executed.

-- Rating downside could also arise from renewed pandemic shocks
    to the Cypriot economy leading to material asset-quality
    deterioration, large credit losses and, ultimately, capital
    erosion.

-- The ratings could also be under pressure if BoC remains loss
    making, despite improvement of asset quality, illustrating
    structural weaknesses of the business model.

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

-- The Positive Outlook on BoC's Long-Term IDR indicates that an
    upgrade is likely in the medium term, notably if Helix 3 is
    executed in line with Fitch's expectations.

-- An improvement in capital encumbrance by net impaired loans
    and foreclosed real-estate assets to about 100% of fully
    loaded CET1, driven by a sustained reduction in the problem
    assets ratio to close to 15%, while maintaining a CET1 ratio
    of about 14% is a likely trigger for an upgrade.

-- Improving operating profit/RWAs sustainably above 1% would
    also be positive for the banks' ratings.

OTHER DEBT AND ISSUER RATINGS: KEY RATING DRIVERS
DEPOSIT RATINGS

Fitch has assigned short- and long-term deposits ratings of 'B',
respectively. The long-term deposit rating is one notch above the
Long-Term IDR because of full depositor preference in Cyprus,
Fitch's expectation that BoC will comply with its minimum
requirement for own funds and eligible liabilities (MREL)
requirements over the medium term, and that deposits will therefore
benefit from the protection offered by more junior bank resolution
debt and equity, resulting in a lower probability of default.

SUBORDINATED DEBT

The 'CCC'/'RR6' rating on BoC's subordinated Tier 2 notes is
notched down twice from the bank's VR, in line with Fitch's
baseline notching for subordinated Tier 2 debt. The 'RR6' Recovery
Rating reflects poor recovery prospects. Fitch applies zero notches
for additional non-performance risk relative to the VR as the
notes' loss-absorption is triggered only at the point of
non-viability.

GSR

Fitch has assigned BoC a GSR of 'ns', which reflects the agency's
view that although external extraordinary sovereign support is
possible it cannot be relied upon. Senior creditors can no longer
expect to receive full extraordinary support from the sovereign in
the event that the bank becomes non-viable.

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.

OTHER DEBT AND ISSUER RATINGS: RATING SENSITIVITIES:
Factors that could, individually or collectively, lead to negative
rating action/downgrade:

-- The long-term deposit rating could be downgraded if the bank's
    Long-Term IDR is downgraded;

-- The subordinated debt rating could be downgraded if the bank's
    VR is downgraded.

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

-- The long-term deposit rating could be upgraded if the bank's
    Long-Term IDR is upgraded;

-- The subordinated debt rating could be upgraded if the bank's
    VR is 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 'bb-' has been assigned below
the 'bbb' category implied score, due to the following adjustment
reasons: size and structure of economy (negative), level and growth
of credit (negative).

The business profile score of 'b+' has been assigned below the 'bb'
category implied score, due to the following adjustment reason:
business model (negative).

The capitalisation & leverage score of 'b-' has been assigned below
the 'bb' category implied score, due to the following adjustment
reason: reserve coverage and asset valuation (negative).

The funding & liquidity score of 'b' has been assigned below the
'bb' category implied score, due to the following adjustment
reason: non-deposit funding (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 the entity,
either due to their nature or the way in which they are being
managed by the entity.

HELLENIC BANK: Fitch Affirms 'B' LT IDR, Alters Outlook to Positive
-------------------------------------------------------------------
Fitch Ratings has revised Hellenic Bank Public Company Limited's
(HB) Outlook to Positive from Negative, while affirming the bank's
Long-Term Issuer Default Rating (IDR) at 'B' and Viability Rating
(VR) at 'b'.

The Positive Outlook reflects Fitch's expectation that asset
quality will improve as HB is working to reach an agreement by
early 2022 to dispose of EUR0.7 billion gross non-performing
exposure (NPE; project Starlight). If completed, the NPE trade will
reduce capital encumbrance by unreserved problem assets, which
include NPEs and foreclosed assets. Fitch expects a strong economic
recovery in Cyprus to prevent material asset-quality deterioration
following the pandemic. Execution risks remain because HB has not
yet reached an agreement with a buyer.

Fitch has withdrawn HB'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 HB a Government Support Rating (GSR) of 'No
Support' (ns).

KEY RATING DRIVERS
IDRs and VR

The ratings of HB reflect its weak asset quality by international
standards and high capital encumbrance by unreserved problem
assets. Profitability is weak, due to HB's reliance on net interest
income and a fairly high cost base, and remains constrained by high
loan impairment charges (LICs). HB is the second- largest bank in
Cyprus, where it benefits from strong market shares. However, the
domestic economy is small, constraining growth opportunities and
resulting in above-average risk concentration. Funding is a rating
strength as HB's deposit base is stable and well in excess of
loans.

HB's NPE ratio of 14.5% and problem asset ratio of 16.8% at
end-September 2021 (both excluding NPEs guaranteed by the Asset
Protection Scheme) are significantly lower than their historical
peaks but remain high by international comparison. HB has not
suffered from material asset-quality deterioration from the
pandemic to date, and repayment behaviour on expired loan
moratoriums has been largely positive. Fitch estimates that HB's
NPE ratio would fall to mid-single digits, following the completion
of project Starlight. Fitch then expects asset quality to improve
slowly through write-offs and recoveries, but to remain vulnerable
to shocks to the Cypriot economy.

HB's phased-in common equity Tier 1 (CET1) ratio of 20% and total
capital ratio of 22.3% at end-September 2021 had comfortable
buffers over regulatory requirements. However, Fitch believes that
capitalisation is still not commensurate with risks, due to high
capital encumbrance by unreserved problem assets of about half of
fully-loaded CET1 capital. Fitch estimates that capital encumbrance
could fall below 30%, when project Starlight is completed, which
could support an upward revision of Fitch's capitalisation
assessment unless capital buffers are eroded more than currently
envisaged.

Profitability is a rating weakness as revenue generation remains
under pressure from a fairly undiversified business model,
continued pressure on net interest margin on loans and securities
and intense competition for high-quality borrowers, which
constrains growth opportunities. Costs are structurally high
relative to revenue, as the bank's small size makes economies of
scale difficult to achieve. Operating profitability has also been
volatile in recent years, due to heightened LICs on HB's legacy
impaired loans and the impact of the pandemic.

Fitch expects HB's near-term profitability to suffer from the
likely need to increase provisions on for-sale impaired loans. In
the longer term, Fitch expects HB to focus on restoring
profitability to more sustainable levels through the cross-selling
of fee-generating products, cost-cutting initiatives and a
reduction of excessive liquidity and deposits. HB's current capital
buffers allow some room to expense restructuring charges and invest
in technology and commercial capabilities. However, Fitch believes
that execution remains vulnerable to the operating and competitive
landscape, and that benefits will take time to materialise.

HB's gross loans/deposits ratio has remained below 50% in recent
years, due to the strength of the bank's deposit franchise in
Cyprus and loan deleveraging. The quality of the deposit base has
improved, as more confidence-sensitive deposits from non-resident
deposits have fallen to a manageable 16% of total deposits at
end-September 2021. However, funding diversification is limited.

HB has recently set up a EUR1.5 billion euro medium-term note
programme, but issuance on the wholesale debt market have not yet
started and Fitch believes that they remain sensitive to market
conditions. In 2021, HB drew EUR2.3 billion of ECB funding to take
advantage of its favourable pricing. HB redeposits these funds and
excess deposits at the ECB, resulting in large liquidity buffers
(35% of total assets at end-September 2021).

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

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

-- Fitch could revise the Outlook to Stable if Fitch believes
    that project Starlight is unlikely to be implemented, or if
    its execution is likely to result in significantly larger
    than-expected losses and higher than-anticipated capital
    erosion.

-- Rating downside could also arise from renewed pandemic shocks
    to the Cypriot economy leading to material asset-quality
    deterioration, large credit losses and, ultimately, capital
    erosion.

-- The ratings could be under pressure if HB becomes loss-making,
    due to structural weaknesses in its business model.

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

-- The Positive Outlook on HB's Long-Term IDR indicates that an
    upgrade is likely in the medium term, if project Starlight is
    executed in line with Fitch's expectations and does not lead
to
    material capital erosion.

-- An improvement in capital encumbrance by net impaired loans
    and foreclosed real estate assets driven by a sustainable
    reduction in the problem assets ratio to below 10%, while
    maintaining a CET1 ratio of at least 15%, is a likely trigger
    for an upgrade.

-- Improving operating profit/risk-weighted assets (RWAs)
    sustainably above 1% would also be positive for ratings.

OTHER DEBT AND ISSUER RATINGS: KEY RATING DRIVERS
DEPOSITS

Fitch has assigned short-and long-term deposits ratings of 'B' and
'B+' respectively. The long-term deposit rating is one notch above
the Long-Term IDR because of full depositor preference in Cyprus
and Fitch's expectation that HB will comply with its interim and
final minimum requirement for own funds and eligible liabilities
(MREL), which will become binding by end-2025. HB's resolution debt
buffer is currently low but Fitch expects it to gradually increase
as the bank aims to issue senior debt. Deposits will therefore
benefit from protection offered by more junior bank resolution debt
and equity, resulting in a lower probability of default.

SENIOR PREFERRED DEBT

HB's senior preferred debt is rated in line with the bank's
Long-Term IDR to reflect that the likelihood of default on senior
preferred obligations is the same as that of the bank. Their
Recovery Rating of 'RR4' reflects Fitch's expectation of average
recovery prospects, as Fitch believes that HB's plans to
drastically reduce impaired loans and maintain comfortable
capitalisation relative to the bank's risk profile will materially
reduce solvency risks.

Fitch also expects protection available to senior preferred
creditors to increase as HB issues MREL-eligible liabilities as it
will allow distribution of potential losses in a resolution across
a reasonable amount of principal.

SENIOR NON-PREFERRED (SNP) DEBT

SNP debt is rated one notch below the bank's Long-Term IDR to
reflect the risk of below-average recovery prospects, which
corresponds to a Recovery Rating of 'RR5'. Below-average recovery
prospects arise from the possible use of more senior debt to meet
resolution buffer requirements, and from the combined buffer of
additional Tier 1, Tier 2 and SNP debt being unlikely to exceed 10%
of RWAs.

GSR

Fitch has assigned HB a GSR of 'ns', which reflects the agency's
view that although external extraordinary sovereign support is
possible it cannot be relied upon. Senior creditors can no longer
expect to receive full extraordinary support from the sovereign in
the event that the bank becomes non-viable.

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.

OTHER DEBT AND ISSUER RATINGS: RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative
rating action/downgrade:

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

-- The senior preferred and SNP debt ratings could also be
    downgraded if Fitch believes that recoveries for the bank's
    senior preferred and SNP creditors have weakened and are below
    average (RR5) or poor (RR6). This could be the case if the
    bank's asset quality or capitalisation deteriorates
    unexpectedly.

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

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

-- The senior preferred and SNP debt ratings could also be
    upgraded if the bank is expected to meet its resolution buffer
    requirements exclusively with SNP debt and junior instruments
    or if SNP and more junior resolution debt buffers exceed 10%
    of RWAs on a sustained basis, both of which Fitch deems
    unlikely.

-- 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 'bb-' has been assigned below
the 'bbb' category implied score, due to the following adjustment
reasons: size and structure of economy (negative), level and growth
of credit (negative).

The business profile score of 'b+' has been assigned below the 'bb'
category implied score, due to the following adjustment reason:
business model (negative).

The capitalisation & leverage score of 'b' has been assigned below
the 'bb' category implied score, due to the following adjustment
reason: reserve coverage and asset valuation (negative).

The funding & liquidity score of 'b+' has been assigned below the
'bb' category implied score, due to the following adjustment
reason: non-deposit funding (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 the entity,
either due to their nature or the way in which they are being
managed by the entity.



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I R E L A N D
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ARES EURO XV: Fitch Assigns Final B- Rating on Class F Tranche
--------------------------------------------------------------
Fitch Ratings has assigned Ares European CLO XV DAC final ratings.

    DEBT                  RATING               PRIOR
    ----                  ------               -----
Ares European CLO XV DAC

A XS2409270399       LT AAAsf   New Rating    AAA(EXP)sf
B-1 XS2409270639     LT AAsf    New Rating    AA(EXP)sf
B-2 XS2409270803     LT AAsf    New Rating    AA(EXP)sf
C XS2409271017       LT Asf     New Rating    A(EXP)sf
D XS2409271447       LT BBB-sf  New Rating    BBB-(EXP)sf
E XS2409271876       LT BB-sf   New Rating    BB-(EXP)sf
F XS2409272171       LT B-sf    New Rating    B-(EXP)sf
Subordinated Notes   LT NRsf    New Rating    NR(EXP)sf
XS2409272254

TRANSACTION SUMMARY

Ares European CLO XV 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
EUR500 million. The portfolio is actively managed by Ares
Management Limited. The collateralised loan obligation (CLO) has a
4.6-year reinvestment period and an 8.5-year weighted average life
(WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch places the
average credit quality of obligors in the 'B'/'B-' category. The
Fitch weighted average rating factor (WARF) of the identified
portfolio is 25.7.

High Recovery Expectations (Positive): At least 90% of the
portfolio comprises senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the identified portfolio is 62.2%.

Diversified Asset Portfolio (Positive): The transaction includes
two Fitch matrices: (i) one effective at closing corresponding to
the top-10 obligor concentration limit at 16%, a fixed-rate asset
limit at 10% and an 8.5-year WAL and (ii) another that can be
selected by the manager at any time one year after closing as long
as the portfolio balance (including defaulted obligations at their
Fitch-calculated collateral value) is above target par and
corresponding to the same limits of the previous matrix, apart from
a 7.5-year WAL.

The transaction will also have various concentration limits,
including the maximum exposure to the three largest (Fitch-defined)
industries in the portfolio at 40%. These covenants ensure that the
asset portfolio will not be exposed to excessive concentration.

Portfolio Management (Neutral): The transaction has a 4.6-year
reinvestment period and includes reinvestment criteria similar to
those of other European transactions. Fitch's analysis is based on
a stressed-case portfolio with the aim of testing the robustness of
the transaction structure against its covenants and portfolio
guidelines.

Cash Flow Modelling (Positive): Fitch's analysis is based on a
stressed-case portfolio with a 7.5-year WAL, which is one year
shorter than the 8.5 year maximum WAL test covenant at closing.
Fitch views the tight reinvestment conditions after the
reinvestment period, such as the satisfaction of Fitch 'CCC'
obligations limit, coverage tests, and a linear step-down of the
WAL test, effective in restricting reinvestment should the
transaction deteriorate. This justifies a one-year WAL reduction in
Fitch's 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 would result in downgrades of no
    more than four notches, depending on the notes.

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

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

Ares European CLO XV DAC

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

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

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

AVOCA CLO XIX: Fitch Raises Class F Notes to 'B+'
-------------------------------------------------
Fitch Ratings has upgraded Avoca CLO XIX DAC's class B-1, B-2, C,
D, E, and F notes and affirmed the class A-1 and A-2 notes. The
class B-1 through F notes have been removed from Under Criteria
Observation (UCO) and all notes maintain a Stable Rating Outlook.

     DEBT                 RATING           PRIOR
     ----                 ------           -----
Avoca CLO XIX DAC

A-1 XS1869413143    LT AAAsf   Affirmed    AAAsf
A-2 XS1879601349    LT AAAsf   Affirmed    AAAsf
B-1 XS1869413226    LT AA+sf   Upgrade     AAsf
B-2 XS1869413499    LT AA+sf   Upgrade     AAsf
C XS1869413572      LT A+sf    Upgrade     Asf
D XS1869413655      LT BBB+sf  Upgrade     BBB-sf
E XS1869413812      LT BB+sf   Upgrade     BB-sf
F XS1869413903      LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY
Avoca CLO XIX DAC is a cash flow CLO comprised of mostly senior
secured obligations. The transaction is actively managed by KKR
Credit Advisors (Ireland) and will exit its reinvestment period in
July 2023.

KEY RATING DRIVERS
CLO Criteria Update: The rating actions mainly reflect the impact
of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria and the shorter risk horizon incorporated in Fitch's
updated stressed portfolio analysis. The analysis considered cash
flow modelling results for the current and stressed portfolios
based on the Oct. 29, 2021 trustee report.

The rating actions are in line with the model implied ratings
produced from Fitch's updated stressed portfolio analysis, which
applied the agency's collateral quality matrix specified in the
transaction documentation. The transaction has two matrices, based
on a 0% and 5% fixed rate concentration limit, but Fitch analyzed
the matrix specifying the 5% fixed rate concentration limit as this
matrix is slightly more conservative and the deal currently has
1.2% fixed rate obligations. Fitch also applied a haircut of 1.5%
to the weighted average recovery rate (WARR) as the calculation of
the WARR in transaction documentation is not in line with the
latest CLO criteria.

The Stable Outlooks reflect Fitch's expectation that the classes
have sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with the class's ratings.

Stable Asset Performance: The transaction metrics indicate stable
asset performance. 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 is
6.0% excluding non-rated assets as calculated by Fitch.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors in the 'B'/'B-' category. The
weighted average rating factor (WARF) as calculated by the trustee
was 34.4, which is below the maximum covenant of 34.7. The WARF, as
calculated by Fitch under the updated criteria, was 25.6.

High Recovery Expectations: Senior secured obligations comprise
98.5% of the portfolio as calculated by the trustee. Fitch views
the recovery prospects for these assets as more favorable than for
second-lien, unsecured and mezzanine assets. The Fitch WARR
reported by the trustee was 66.1%, against the covenant at 62.6%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 13.4%, and no obligor represents more than 1.5% of
the portfolio balance, as reported by the trustee.

RATING SENSITIVITIES
Factors 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 decrease of the rating
    recovery rate (RRR) by 25% at all rating levels in the
    stressed portfolio will result in downgrades of up to four
    notches, depending on the notes;

-- Downgrades may occur if the build-up of the notes' credit
    enhancement (CE) 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 in
    the stressed portfolio would result in an upgrade of up to
    three notches, depending on the notes;

-- Except for the tranche already at the highest 'AAAsf' rating,
    upgrades may occur in the case of better than expected
    portfolio credit quality and deal performance that leads to
    higher CE 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
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.

AVOCA CLO XV: Fitch Raises Class F-R Notes to 'B+'
--------------------------------------------------
Fitch Ratings has upgraded Avoca CLO XV DAC's class B-1-R, B-2-R,
C-R, D-R, E-R and F-R notes and removed them from Under Criteria
Observation (UCO). Fitch also affirmed the class A-R notes. The
Rating Outlook remains Stable on all notes.

        DEBT                 RATING           PRIOR
        ----                 ------           -----

Avoca CLO XV DAC

A-R    XS1768030295    LT AAAsf   Affirmed    AAAsf
B-1-R  XS1768030451    LT AA+sf   Upgrade     AAsf
B-2-R  XS1768030618    LT AA+sf   Upgrade     AAsf
C-R    XS1768030964    LT A+sf    Upgrade     Asf
D-R    XS1768031004    LT BBB+sf  Upgrade     BBBsf
E-R    XS1768031426    LT BB+sf   Upgrade     BBsf
F-R    XS1768031772    LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY
The transaction is a cash flow collateralized loan obligation
backed by a portfolio of mainly European leveraged loans and bonds.
The transaction is actively managed by KKR Credit Advisors
(Ireland) and will exit its reinvestment period in April 2022.

KEY RATING DRIVERS
CLO Criteria Update and Cash Flow Modelling: The rating actions
mainly reflect the impact of Fitch's recently updated CLOs and
Corporate CDOs Rating Criteria, a shorter risk horizon incorporated
into Fitch's stressed portfolio analysis and stable performance of
the transaction. The analysis considered cash flow modelling
results for the current and stressed portfolios based on the
October 2021 investor report. The stressed portfolio is based on a
Fitch collateral quality matrix specified in the transaction
documentation and underpins model implied ratings in this review.

While the transaction has two Fitch collateral quality matrices,
Fitch's analysis was based on the matrix that the agency considered
is most relevant when considering current and historical portfolios
for this CLO; specifically, the matrix with a fixed rate collateral
debt obligations limit of 5.0%. Fitch also applied a 1.5% haircut
on the weighted average recovery rate (WARR) as the calculation of
the WARR in transaction documentation is not in line with the
latest CLO criteria.

The Stable Outlooks reflect Fitch's expectation that the classes
have sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with the class's ratings.

Deviation from Model-Implied Rating: The rating for the class D-R
notes is one notch lower than the model implied rating; this
deviation reflects the small breakeven default rate cushion at the
model-implied rating, which could erode if the portfolio's
performance deteriorates. All other classes were assigned ratings
in line with their respective model implied ratings.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The largest issuer and largest
10 issuers in the portfolio represent 1.9% and 14.2% of the
portfolio, respectively, as reported by the trustee.

Stable Asset Performance: The transaction is passing all collateral
quality, portfolio profile and coverage tests. Exposure to assets
with a Fitch-derived rating of 'CCC+' and below is reported by the
trustee at 5.7%, compared with the 7.5% limit.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the obligors to be at the 'B'/'B-' rating level. The trustee
calculated Fitch weighted-average rating factor (WARF) is at 34.2,
under the covenant maximum limit of 34.4. Fitch calculated WARF is
at 25.3 after applying the recently updated Fitch CLOs and
Corporate CDOs Rating Criteria.

High Recovery Expectations: 98.9% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as being more favorable than for second-lien, unsecured and
mezzanine assets. The Fitch WARR of the current portfolio is
reported by the trustee at 66.7%, compared with the covenant
minimum of 64.4%.

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 in the stressed portfolio would
    result in downgrades of up to three notches, depending on the
    notes;

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in upgrades of up to three
    notches, depending on the notes;

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better-than-expected portfolio
    credit quality and deal performance, leading to higher CE
    available to cover for losses on the remaining portfolio.

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

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

AVOCA CLO XVI: Fitch Raises Class F-R Notes to 'B+'
---------------------------------------------------
Fitch Ratings has upgraded Avoca CLO XVI DAC class B-1R, B-2R,
B-3R, C-1R, C-2R, D-R, E-R to F-R notes, removed them from Under
Criteria Observation and affirmed the class A-1R and A-2R notes.
All notes remain on Stable Outlook.

      DEBT               RATING            PRIOR
      ----               ------            -----
Avoca CLO XVI DAC

A-1R XS1858999268   LT AAAsf   Affirmed    AAAsf
A-2R XS1858999342   LT AAAsf   Affirmed    AAAsf
B-1R XS1858999698   LT AA+sf   Upgrade     AAsf
B-2R XS1858999938   LT AA+sf   Upgrade     AAsf
B-3R XS1858999854   LT AA+sf   Upgrade     AAsf
C-1R XS1859000025   LT A+sf    Upgrade     Asf
C-2R XS1859000611   LT A+sf    Upgrade     Asf
D-R XS1859000454    LT BBB+sf  Upgrade     BBBsf
E-R XS1859000884    LT BB+sf   Upgrade     BBsf
F-R XS1859394485    LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY

Avoca CLO XVI DAC is a cash flow CLO mostly comprising senior
secured obligations. The transaction is actively managed by KKR
Advisors (Ireland) and will exit its reinvestment period in October
2022.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria
and the shorter risk horizon incorporated in Fitch's stressed
portfolio analysis. The analysis considered cash flow modelling
results for the current and stressed portfolios. The stressed
portfolio analysis is based on Fitch's collateral quality matrix
specified in the transaction documentation and underpins the
model-implied ratings (MIRs) in this review. The rating actions are
in line with the MIRs.

The transaction has two matrices, but Fitch analysed one matrix
specifying a fixed-rate collateral debt obligations limit of 5%.
When analysing the matrix, Fitch applied a haircut of 1.5% to the
weighted average recovery rate (WARR) as the calculation of the
WARR in transaction documentation is not in line with the latest
CLO criteria.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. As of the Oct. 29 2021 trustee report,
collateral quality tests, coverage tests and portfolio profile
tests are all in compliance.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at the 'B'/'B-' level. The
weighted average rating factor (WARF) as calculated by the trustee
was 33.9, which is below the maximum covenant of 34.4. Fitch
calculates the WARF as 25.0 under the updated criteria.

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.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 15.5%, and no obligor represents more than 2.0% of
the portfolio balance as calculated by the trustee.

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 in the stressed portfolio would
    result in downgrades of up to three notches, depending on the
    notes.

-- Downgrades may occur if the build-up of the notes' credit
    enhancement (CE) 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 in
    the stressed portfolio would result in upgrades of up to three
    notches, depending on the notes.

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better-than- expected portfolio
    credit quality and deal performance, and continued
    amortisation that leads to higher CE 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

Avoca CLO XVI DAC

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

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

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

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

CONTEGO CLO III: Fitch Raises Class F-R notes to 'B+'
-----------------------------------------------------
Fitch Ratings has upgraded Contego CLO III B.V.'s class B1-R, B2-R,
C-R, D-R, E-R, and F-R notes and affirmed the class A notes. The
class B1-R through F-R notes have been removed from Under Criteria
Observation (UCO). The Outlooks are Stable.

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

A-R XS1785844215    LT AAAsf   Affirmed    AAAsf
B1-R XS1785845378   LT AA+sf   Upgrade     AAsf
B2-R XS1785845964   LT AA+sf   Upgrade     AAsf
C-R XS1785846772    LT A+sf    Upgrade     Asf
D-R XS1785847317    LT BBB+sf  Upgrade     BBBsf
E-R XS1785847580    LT BB+sf   Upgrade     BBsf
F-R XS1785847747    LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY

Contego CLO III B.V. is a cash flow CLO mostly comprising senior
secured obligations. The transaction is actively managed by Five
Arrows Managers LLP and will exit its reinvestment period in July
2022.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria
and the shorter risk horizon incorporated in Fitch's updated
stressed portfolio analysis. The analysis considered cash flow
modelling results for the current and stressed portfolios.

Stressed Portfolio Analysis: The rating actions are in line with
the model-implied ratings (MIRs) produced by Fitch's updated
stressed portfolio analysis, which applied the agency's collateral
quality matrix specified in the transaction documentation. Fitch
also applied a haircut of 1.5% to the weighted average recovery
rate (WARR) as the calculation of the WARR in the transaction
documentation reflects a previous version of the CLO criteria.

The Stable Outlooks reflect Fitch's expectation that the notes have
sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with their ratings.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. As of the October 2021 trustee report, the
aggregate portfolio amount, when adjusted for trustee-reported
recoveries on defaulted assets, was 0.98% below the original target
par amount. The transaction is in compliance with all
collateral-quality, portfolio-profile and coverage tests. Exposure
to assets with a Fitch-derived rating of 'CCC+' and below
(including unrated assets) is 3.14%.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at the 'B'/'B-' level. The
weighted average rating factor (WARF) as calculated by the trustee
is 33.81, which is below the maximum covenant of 34.50. The WARF as
calculated by Fitch under its updated criteria is 25.26.

High Recovery Expectations: Senior secured obligations comprise
94.41% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 14.69%, and no obligor represents more than 2.26%
of the portfolio balance, as calculated by Fitch.

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 in the stressed portfolio will
    result in downgrades of no more than three 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 in
    the stressed portfolio would result in upgrades of no more
    than three notches across the structures, except for the class
    A-1 and A-2 notes, which are already at the highest rating on
    Fitch's scale and cannot be upgraded.

-- Except for tranches already at the highest 'AAAsf' rating,
    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

Contego CLO III B.V.

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

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

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

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

HARVEST CLO XV: Fitch Raises Class F-R Notes to 'B+'
----------------------------------------------------
Fitch Ratings has upgraded Harvest CLO XV Designated Activity
Company's class B-1-R to F-R notes, removed them from Under
Criteria Observation (UCO) and affirmed the class A-1A-R, A-1B-R
and A-2-R notes (collectively, class A-R notes. All classes remain
on Rating Outlook Stable.

       DEBT                   RATING           PRIOR
       ----                   ------           -----
Harvest CLO XV DAC

A-1A-R  XS1817777375    LT AAAsf   Affirmed    AAAsf
A-1B-R  XS1820806328    LT AAAsf   Affirmed    AAAsf
A-2-R   XS1820808456    LT AAAsf   Affirmed    AAAsf
B-1-R   XS1817777961    LT AA+sf   Upgrade     AAsf
B-2-R   XS1817778696    LT AA+sf   Upgrade     AAsf
C-R     XS1817779231    LT A+sf    Upgrade     Asf
D-R     XS1817779827    LT BBB+sf  Upgrade     BBBsf
E-R     XS1817780320    LT BB+sf   Upgrade     BBsf
F-R     XS1817780676    LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY

Harvest CLO XV Designated Activity Company is a cash flow CLO
mostly comprising senior secured obligations. The transaction is
actively managed by Investcorp Credit Management EU Limited and
will exit its reinvestment period in May 2022.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria
and the shorter risk horizon incorporated in Fitch's updated
stressed portfolio analysis. The analysis considered cash flow
modelling results for the current and stressed portfolios. The
stressed portfolio analysis is based on Fitch's collateral quality
matrix specified in the transaction documentation and underpins the
model-implied ratings in this review. The rating actions are in
line with the model-implied ratings.

Fitch's analysis was based on the matrix that the agency considered
most relevant when considering current and historical portfolios
for this CLO, specifically the matrix with the lowest top 10
obligors' limit of 20.0% and fixed rate collateral debt obligations
at 5.0%. Fitch also applied a haircut of 1.5% to the weighted
average recovery rate (WARR) as the calculation of the WARR in
transaction documentation is not in line with the latest CLO
criteria.

The Stable Outlooks reflect Fitch's expectation that the classes
have sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with the class's ratings.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. As of the 10th November 2021 trustee report, the
collateral quality tests, coverage tests and portfolio profile
tests are in compliance. Exposure to assets with a Fitch-derived
rating of 'CCC+' and below (excluding non-rated assets) is 6.2% as
calculated by Fitch.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at the 'B'/'B-' level. The
weighted average rating factor (WARF) calculated by the trustee was
34.8, which is below the maximum covenant of 35.0. Fitch calculates
the WARF as 26.0 under the updated criteria.

High Recovery Expectations: Senior secured obligations comprise
99.4% of the portfolio. Fitch views the recovery prospects for
these assets as more favorable than for second-lien, unsecured and
mezzanine assets.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 13.8%, and no obligor represents more than 2.2% of
the portfolio balance as calculated by Fitch. The Fitch WARR
reported by the trustee was 65.1%, against the covenant at 62.4%.

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 in the stressed portfolio would
    result in downgrades of up to three notches, depending on the
    notes;

-- Downgrades may occur if the build-up of the notes' credit
    enhancement (CE) following amortization 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 in
    the stressed portfolio would result in upgrades of up to three
    notches, depending on the notes;

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better-than- expected portfolio
    credit quality and deal performance, and continued
    amortization that leads to higher CE 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.

PHOENIX PARK: Fitch Raises Class E-R Notes to 'B+'
--------------------------------------------------
Fitch Ratings has upgraded Phoenix Park CLO DAC, except for the
class A-1A-RR and A-1B-RR notes (collectively, class A-1 notes),
and removed them from Under Criteria Observation (UCO). Fitch
affirmed the class A-1 notes and all ratings remain on Stable
Outlook.

           DEBT                       RATING           PRIOR
           ----                       ------           -----

Phoenix Park CLO DAC

Class A-1A-R-R  XS1890615013    LT AAAsf   Affirmed    AAAsf
Class A-1B-R-R  XS1892517340    LT AAAsf   Affirmed    AAAsf
Class A-2A1-R-R XS1890615799    LT AA+sf   Upgrade     AAsf
Class A-2A2-R-R XS1892517936    LT AA+sf   Upgrade     AAsf
Class A-2B-R-R  XS1890616334    LT AA+sf   Upgrade     AAsf
Class B-1-R-R   XS1890616920    LT A+sf    Upgrade     Asf
Class B-2-R-R   XS1892518587    LT A+sf    Upgrade     Asf
Class C-R       XS1890618462    LT BBB+sf  Upgrade     BBB-sf
Class D-R       XS1890617811    LT BB+sf   Upgrade     BBsf
Class E-R       XS1890618033    LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY
Phoenix Park CLO DAC is a cash flow CLO mostly comprising senior
secured obligations. The transaction is in its reinvestment period
until April 2023 and the portfolio is actively managed by
Blackstone Ireland Limited.

KEY RATING DRIVERS
CLO Criteria Update: The rating actions mainly reflect the impact
of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria
and the shorter risk horizon incorporated in Fitch's stressed
portfolio analysis. The rating actions are in line with the
model-implied ratings from Fitch's updated stressed portfolio
analysis, which applied the agency's collateral quality matrix
specified in the transaction documentation. When analysing the
matrix, Fitch applied a haircut of 1.5% to the weighted average
recovery rate (WARR), as the calculation of the WARR in transaction
documentation is not in line with the latest CLO criteria.

The Stable Outlooks reflect Fitch's expectation that the classes
have sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with the class's ratings.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. As of the October 2021 trustee report, the
transaction's portfolio notional balance was currently slightly
above its target par by 0.2%. The transaction was also passing all
the reported collateral-quality, concentration- limitation and
coverage tests. Exposure to assets with a Fitch-derived rating
(FDR) of 'CCC+' and below was around 7.4% (excluding 0.7% unrated
assets) and there were no defaults.

'B'/'B-' Credit Quality: Fitch assesses the average credit quality
of the transaction's underlying obligors at 'B'/'B-'. The Fitch
weighted average rating factor (WARF) per the latest criteria is
25. The WARF as calculated by the trustee was 33.7 as of October
2021, which was below the maximum covenant of 34.

High Recovery Expectation: Senior secured obligations comprise
close to 98% of the portfolio. Fitch views the recovery prospects
for these assets as more favourable than for second-lien, unsecured
and mezzanine assets. The Fitch WARR reported by the trustee was
65.8% as of October 2021, against a minimum covenant of 64.4%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The trustee reported that the
top 10 obligors and the largest obligor represented 12.5% and 1.5%
of the portfolio balance, respectively.

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

-- 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.

-- A 25% increase of the mean default rate (RDR) across all
    ratings and a 25% decrease in the recovery rate (RRR) across
    all ratings in the stressed portfolio would result in a
    downgrade of up to four notches, depending on the notes.

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

-- 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.

-- A 25% decrease of the mean RDR across all ratings and a 25%
    increase of the RRR across all ratings in the stressed
    portfolio would result in upgrades of up to two notches across
    the structure, except for the class A-1 notes, which are
    already at the highest rating on Fitch's scale and cannot be
    upgraded.

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.

ST PAUL CLO VIII: Fitch Raises Class F Notes to 'B+'
----------------------------------------------------
Fitch Ratings has upgraded St. Paul's CLO VIII DAC's class B-1,
B-2, C, D, E, and F notes and affirmed the class A notes. The class
B-1 through F notes have been removed from Under Criteria
Observation (UCO). The Outlooks are Stable.

    DEBT                RATING            PRIOR
    ----                ------            -----
St. Paul's CLO VIII DAC

A XS1718482703     LT AAAsf   Affirmed    AAAsf
B-1 XS1718483008   LT AA+sf   Upgrade     AAsf
B-2 XS1718483347   LT AA+sf   Upgrade     AAsf
C XS1718483776     LT A+sf    Upgrade     Asf
D XS1718483933     LT BBB+sf  Upgrade     BBBsf
E XS1718484238     LT BB+sf   Upgrade     BB-sf
F XS1718484584     LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY

St. Paul's CLO VIII DAC is a cash flow CLO mostly comprising senior
secured obligations. The transaction is actively managed by
Intermediate Capital Managers Limited and will exit its
reinvestment period in January 2022.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria
and the shorter risk horizon incorporated in Fitch's updated
stressed portfolio analysis. The analysis considered cash flow
modelling results for the current and stressed portfolios.

Stressed Portfolio Analysis: The rating actions are in line with
the model-implied ratings (MIRs) produced by Fitch's updated
stressed portfolio analysis, which applied the agency's collateral
quality matrix specified in the transaction documentation. Fitch
also applied a haircut of 1.5% to the weighted average recovery
rate (WARR) as the calculation of the WARR in transaction
documentation reflects a previous version of the CLO criteria. The
transaction has four matrices but Fitch analysed two specifying the
top-10 obligor limit of 18.00%, as the deal currently has a top 10
obligor exposure of 17.91%.

The Stable Outlooks reflect Fitch's expectation that the notes have
sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with their ratings.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. As of the October 2021 trustee report, the
aggregate portfolio amount, when adjusted for trustee-reported
recoveries on defaulted assets, was 0.52% below the original target
par amount. The transaction is in compliance with all coverage
tests. The transaction is currently failing the weighted average
life (WAL), WARR, and 'CCC' portfolio profile tests. Exposure to
assets with a Fitch-derived rating of 'CCC+' and below (including
unrated assets) is 8.34%.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at the 'B'/'B-' level. The
weighted average rating factor (WARF) as calculated by the trustee
is 34.75, which is below the maximum covenant of 35.00. The WARF as
calculated by Fitch under its updated criteria is 26.1.

High Recovery Expectations: Senior secured obligations comprise
98.10% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 17.91%, and no obligor represents more than 2.22%
of the portfolio balance, as calculated by Fitch.

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 in the stressed portfolio will
    result in downgrades of no more than three 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 in
    the stressed portfolio would result in upgrades of no more
    than three notches across the structures, except for the class
    A-1 and A-2 notes, which are already at the highest rating on
    Fitch's scale and cannot be upgraded.

-- Except for tranches already at the highest 'AAAsf' rating,
    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

St. Paul's CLO VIII DAC

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

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

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

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

ST. PAUL CLO IX: Fitch Raises Class F Notes to 'B+'
---------------------------------------------------
Fitch Ratings has upgraded St. Paul's CLO IX DAC's class B to F
notes, removed them from Under Criteria Observation (UCO), and
affirmed the class A notes. The Outlook is Stable.

     DEBT             RATING            PRIOR
     ----             ------            -----
St. Paul's CLO IX DAC

A XS1808334632   LT AAAsf   Affirmed    AAAsf
B XS1808334988   LT AA+sf   Upgrade     AAsf
C XS1808333584   LT A+sf    Upgrade     Asf
D XS1808333824   LT BBB+sf  Upgrade     BBBsf
E XS1808334392   LT BB+sf   Upgrade     BB-sf
F XS1808334475   LT B+sf    Upgrade     B-sf

TRANSACTION SUMMARY

St. Paul's CLO IX DAC is a cash flow CLO mostly comprising senior
secured obligations. The transaction is actively managed by
Intermediate Capital Managers Limited and will exit its
reinvestment period in May 2022.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria
and the shorter risk horizon incorporated in Fitch's updated
stressed portfolio analysis. The analysis considered modelling
results for the current and stressed portfolios. The stressed
portfolio analysis is based on Fitch's collateral quality matrix
specified in the transaction documentation and underpins the
model-implied ratings (MIRs) in this review.

While the transaction has four Fitch collateral quality matrices,
Fitch's analysis was based on the matrices that the agency deemed
most relevant when considering the current and historical
portfolios for this CLO. These matrices have the lowest top-10
obligors' limit of 20% and fixed-rate collateral debt obligation
limits of both 0% and 15%. When analysing the matrix, Fitch applied
a haircut of 1.5% to the weighted average recovery rate (WARR) as
the calculation in the transaction documentation is not in line
with the latest criteria. This analysis supports MIRs of
approximately one to two notches above the current ratings under
the updated criteria for all but the class A notes. All notes were
affirmed at or upgraded to their MIRs.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. As of the 2 November 2021 trustee report, the
aggregate portfolio amount when adjusted for trustee-reported
recoveries on defaulted assets, was 0.4% under the original target
par amount. The transaction was in compliance with its
collateral-quality, coverage and portfolio-profile tests but failed
the 'CCC' obligations test. Exposure to assets with a Fitch-derived
rating of 'CCC+' and below (excluding non-rated assets) is 8.53% as
calculated by Fitch.

B'/'B-' Portfolio: Fitch assesses the average credit quality of the
transaction's underlying obligors at the 'B'/'B-' level. The
weighted average rating factor (WARF) as calculated by the trustee
was 34.73, which is below the maximum covenant of 37. Fitch
calculated the WARF at 25.69 under its updated criteria.

High Recovery Expectations: Senior secured obligations comprise
97.2% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top- 10 obligor
concentration is 15.76% and no obligor represents more than 2.08%
of the portfolio balance as calculated by Fitch.

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) at all rating levels by
    25% of the mean RDR and a decrease of the recovery rate (RRR)
    by 25% at all rating levels in the stressed portfolio would
    result in downgrades of up to four notches, depending on the
    notes.

-- Downgrades may occur if the build-up of the notes' credit
    enhancement (CE), 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 in
    the stressed portfolio would result in upgrades of up to three
    notches, depending on the notes.

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better-than- expected portfolio
    credit quality and deal performance, and continued
    amortisation that leads to higher CE 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 securities 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.



===========
R U S S I A
===========

UNITED CONFECTIONERS: Fitch Affirms 'B' LT IDR, Outlook Now Neg.
----------------------------------------------------------------
Fitch Ratings has revised JSC Holding Company United Confectioners'
(UC) Outlook to Negative from Stable and affirmed the company's
Long-Term Issuer Default Rating (IDR) at 'B'.

The Outlook revision reflects continuing profitability
deterioration since 2020, leading to an increase in leverage, and
Fitch's expectations that margin recovery will be challenged by
UC's exposure to foreign-exchange (FX) risks, competitive pressure
and weak pricing power.

The 'B' IDR reflects weak governance practices, including sizeable
related-party transactions, and expected negative free cash flow
(FCF) that are balanced against UC's strong market positions in
most of Russia's confectionery segments. Fitch expects that the
board would consider taking some initiatives that could contribute
to limiting debt increases.

KEY RATING DRIVERS
Pressure on Profitability Continues: As previously anticipated,
profitability in 2020 was affected by increased raw-material prices
and rouble depreciation. Fitch expects profitability to remain
under pressure in 2021 and beyond, as Fitch conservatively assumes
that UC's aim to protect market share would restrain the ability to
increase prices. Fitch therefore does not expect the EBITDA margin
to recover to pre-pandemic levels (2019: 7.6%) at least until 2024,
and that its recovery will depend on UC's ability to effectively
pass on raw-material cost increases.

Leverage Exceeding Negative Sensitivities: Material decrease in
funds from operations (FFO) led to leverage exceeding Fitch's
negative sensitivity in 2020 to reach 7.4x. Fitch expects the
metric to remain above 6.0x in 2021, as operating profitability is
forecast to remain below 2020 levels. Under the Fitch rating case,
Fitch expects UC to deleverage below the negative sensitivity of
4.0x by 2023, under the assumptions of recovering profitability and
limited cash upstream through related-party transactions, which
should help keep total debt under control.

Market Still Affected by Pandemic: Russian confectionery sales
volumes decreased year-on-year by 1.4% in 9M21, with largest
contraction in bulk sweets, chocolate and caramel - segments
important to UC - whereas boxed sweets did not show any recovery
since a sharp contraction in 2020. Fitch expects that as long as
consumer purchasing power remains under pressure in Russia, lower
price range sub-segments such as bakery and other sugary products
will perform the strongest, while recovery for highest-price range
products such as boxed sweets will hinge on a recovery of consumer
income post-pandemic.

Market Share Challenged by Competition: UC's market share is
vulnerable to further erosion in most sub-segments. Market share by
volume is decreasing, despite overall market concentration
continues to increase, with top-five producers' share increasing to
39.2% as of 3Q21. UC faces Mondelez's dominance in the highly
attractive premium chocolate segment, and tough competition in the
wide lower-price segments from KDV, a fast-growing local producer.
While UC remains the market leader in its largest product category
of bulk sweets and among the top three in other categories (except
bakery and other sugary products), its currently low profitability
constrains its ability to spend more on marketing to retain its
position.

Integration Reduces Margin Volatility: Fitch's medium-term
expectations for EBITDA margin recovery toward the mid-to-high
single digits incorporate continued competitive pressures in the
confectionery market and the growing bargaining power of retailers
as the food retail market consolidates. Fitch expects this to be
partly offset by partial recovery in sales volumes after the
pandemic, UC's efficiency and vertical-integration initiatives,
including odernization of core production facilities, increased
investments in its agricultural division and retail network
expansion, alongside a declining revenue share of the low-margin
caramel business and growing exports.

Expected Reduced FCF: Fitch predicts neutral to negative FCF in
2021-2023, despite expected lower capex and related-party
transactions. In 2022-2023 Fitch assumes that recovery of operating
profitability will be accompanied by both higher capex (up to RUB3
billion), leading to small negative FCF margins. Fitch understands
from management that sole shareholder Guta Group remains committed
to keeping UC's external debt burden at manageable levels, which
leads to Fitch's assumption of conservative cash amounts being
upstreamed via related-party transactions.

Weak Corporate Governance Practices: Weak corporate governance,
which could affect unsecured creditors, remains a core
consideration for UC's 'B' rating and leads to ESG Relevance Scores
of '5' for both Governance Structure and for Group Structure. Major
rating constraints include a history of large loans to related
parties, lack of management and board independence, and material
portion of UC cash being held in the related Guta-Bank.

In recent years, UC has started to show a net cash inflow under
related-party transactions. Also, Fitch understands from management
that the board is in the process of taking a number of initiatives
that should support a reduction of leverage at UC, including
non-core asset divestments and the streamlining of operations via a
transfer within the wider Guta Group of non-core businesses owned
by UC. The rating is premised on the assumption of limited
disbursements to related parties over the next four years.
Improving transparency around potential related-party transactions
and limited extraction of resources by Guta Group from UC could
contribute to improvement in ESG Relevance Scores.

DERIVATION SUMMARY
UC is rated lower than Ulker Biskuvi Sanayi A.S (B+/Negative), due
to its lower domestic market share and weaker geographic
diversification, resulting in a smaller business scale and a weaker
operating profile. Together with weaker financial transparency and
opaque related-party transactions, which constrain its rating, this
results in a single-notch rating difference with Ulker, despite
Fitch's expectation that UC's leverage will converge to more
conservative levels than Ulker's.

UC has similarly strong brands compared with leading Latin American
confectionery producer Arcor S.A.I.C. - which has a Local-Currency
IDR of 'B+'/Stable - but is smaller and is less geographically
diversified, which together with corporate-governance issues
explains the one-notch difference between the ratings.

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

-- Mid single-digit revenue growth in 2021-2024, driven mostly by
    price increases

-- EBITDA margin in 2021 100bp-120bp below 2020's, before
    recovering by 200bp by 2024

-- Working capital-related outflow of RUB1 billion in 2021,
    followed by RUB600 million in 2022 and RUB200 million-RUB300
    million per annum in 2023-2024

-- Annual capex of RUB2 billion-RUB2.8 billion in 2022-2024

The recovery analysis assumes that UC would not be considered a
going concern in bankruptcy and that that it would be liquidated
rather than reorganised. Fitch has assumed a 10% administrative
claim.

The liquidation estimate reflects Fitch's view of the value of
balance-sheet assets that can be realised in sale or liquidation
during a bankruptcy or insolvency proceeding and distributed to
creditors.

Advance rate of 75% for accounts receivable takes into account low
historical share of bad debt for receivables and high quality of
major counterparties. Advance rate of 25% for inventories takes
into account the perishable nature of UC's inventories. Advance
rate of 50% for PP&E takes into account some obsolete equipment in
the old production facilities, but also the prime location of many
owned buildings.

Rouble bonds are issued by the finance company OOO United
Confectioners-Finance, but Fitch treats them pari passu with senior
unsecured debt of operating companies, due to public offers (akin
to guarantees) from three major production plants.

Fitch's principal waterfall analysis results in above-average
recovery expectations for senior unsecured bonds. However, the
Recovery Rating is capped at 'RR4' by the Russian jurisdiction of
UC. Fitch therefore rates the senior unsecured bonds as 'B' with
'RR4' with a waterfall-generated recovery computation output
percentage capped at 50% based on current metrics and assumptions.

RATING SENSITIVITIES
Factors that could, individually or collectively, lead to an
upgrade:

-- Consistent evidence of improved corporate-governance
    practices, including a record of restrained related-party
    transactions and greater financial transparency

-- FFO gross leverage sustainably below 3.0x

-- EBITDA margin of at least 10% on a sustained basis

Factors that could, individually or collectively, lead to an to
Outlook revision to Stable:

-- Visibility of liquidity ratio being maintained above 1.0x

-- EBITDA margin recovering to at least 6% on a sustained basis

-- Visibility that FFO gross leverage is trending below 4.0x by
    2023

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

-- Larger-than-expected distributions to Guta Group or material
    investments in non-core assets not offset by greater pre
    dividend FCF

-- Deterioration in liquidity or refinancing short-term debt on
    more onerous terms

-- Sustained material deterioration in FCF generation, driven by
    operating under-performance

-- FFO gross leverage above 4.0x on a sustained basis

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
Liquidity Under Pressure: At end-November 2021, Fitch-adjusted
unrestricted cash (excluding cash held in related-party Guta Bank)
was around RUB0.5 billion. Available undrawn bank lines of RUB8.9
billion further supported liquidity, covering maturities of RUB7.7
billion up to end-2022. However, as Fitch expects FCF to remain
negative, Fitch sees increasing pressure on liquidity. Fitch
therefore does not rule out divestments of non-core assets to
support liquidity.

ISSUER PROFILE
UC is the second-largest confectionery producer in Russia by volume
and value. UC is owned by Guta Group, which has interests in
several industries (banking, real estate, healthcare, etc.).

SUMMARY OF FINANCIAL ADJUSTMENTS
Fitch treats cash held at related party Guta Bank as restricted. At
end-2020 it amounted to RUB1 billion. For future periods Fitch
adjusts cash by RUB1.7 billion.

ESG CONSIDERATIONS
UC has an ESG Relevance Score of 5 for 'Governance Structure', due
to its concentrated ownership by Guta Group and lack of board
independence, which results in decision-making being concentrated
in one shareholder. This has a negative impact on the credit
profile, and is highly relevant to the rating as a key rating
driver.

UC has an ESG Relevance Score of 5 for 'Group Structure', due to
its highly complex group structure with a record of large and
opaque related-party transactions. This has a negative impact on
the credit profile, and is highly relevant to the rating as a key
rating driver.

UC has an ESG Relevance Score of '4' for Financial Transparency, as
quality and timing of financial disclosure are not fully
satisfactory. This has a negative impact on the credit profile, and
is relevant to the rating in conjunction with other factors.

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


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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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