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

                          E U R O P E

          Tuesday, December 28, 2021, Vol. 22, No. 253

                           Headlines



B E L G I U M

ONTEX: S&P Downgrades Ratings to 'B+', Outlook Negative


I R E L A N D

BLACKROCK EUROPEAN XII: S&P Assigns B- (sf) Rating on Cl. F Notes
BRIDGEPOINT CLO 3: Fitch Assigns Final B- Rating on Class F Tranche
CABINTEELY PARK: Fitch Assigns Final B- Rating on Class F Notes
CAIRN CLO XII: Fitch Assigns Final B- Rating on Class F-R Notes
HAYFIN EMERALD VIII: S&P Assigns B- (sf) Rating on Class F Notes

MADISON PARK XIV: Fitch Gives Class F-R Notes Final 'B-' Rating
NASSAU EURO I: Fitch Assigns Final B- Rating on Class F Tranche
NORTHWOODS CAPITAL 24: Fitch Rates Class F Tranche 'B-'
NORTHWOODS CAPITAL 24: S&P Assigns B- (sf) Rating on Cl. F Notes
PALMER SQUARE 2022-1: S&P Assigns B- (sf) Rating on Cl. F Notes

ROCKFORD TOWER 2021-2: S&P Assigns B- (sf) Rating on Cl. F Notes
TIKEHAU CLO VI: Fitch Assigns Final B- Rating on Class F Tranche
TORO EUROPEAN 7: S&P Affirms B- (sf) Rating on Class F Notes


I T A L Y

INTER MEDIA: Fitch Lowers Notes Rating to 'B+', Outlook Stable


L U X E M B O U R G

CODERE LUXEMBOURG: S&P Assigns 'CCC+' ICR, Outlook Negative
LUNA III: Fitch Assigns Final 'BB' LT IDR, Outlook Stable


S P A I N

BFA TENEDORA: S&P Alters Outlook to Stable, Affirms 'BB+/B' ICR
[*] Fitch Affirms CCC Rating on 3 Tranches


U N I T E D   K I N G D O M

BLOOMBERG: S&P Assigns 'Bf/S4' Rating on ST High Yield Bond ETF
GFG ALLIANCE: Scottish Gov't Ups Provision on Gupta Guarantee
INTERGEN NV: S&P Affirms 'B+' Long-Term ICR, Outlook Stable
KESSLERS INTERNATIONAL: Substantial Losses Prompt Administration
MOTION MIDCO: S&P Upgrades ICR to 'B-' on Resilient Trading

TRINITY SQUARE 2021-1: Fitch Affirms CCC Rating on Class H Notes
[] UK: Sunak Can Afford to Help Ailing Businesses Hit by Omicron

                           - - - - -


=============
B E L G I U M
=============

ONTEX: S&P Downgrades Ratings to 'B+', Outlook Negative
-------------------------------------------------------
S&P Global Ratings lowered its ratings on Belgium-based personal
hygiene manufacturer Ontex Group NV and its EUR580 million senior
unsecured notes due 2026 to 'B+' from 'BB-'.

S&P acknowledges that Ontex's ongoing negotiations with suppliers
and customers and possible divestitures of emerging-market
businesses could accelerate deleveraging.

S&P said, "We anticipate Ontex's leverage will peak at about 7.0x
in 2021 and remain above 5.0x in 2022, which is not commensurate
with a 'BB-' rating.On Dec. 15, Ontex's management revised down its
guidance for revenue growth and EBITDA margins in 2021 by 50 bps.
Ontex now expects revenue to decline 1.5% on a constant foreign
exchange (FX) basis and reported EBITDA margin (excluding one-off
items) to be about 8.5%. We revised our forecasts accordingly and
now expect the S&P Global Ratings-adjusted EBITDA margin (including
roughly EUR50 million of cash restructuring costs) to approach 6.5%
after 10.2% in 2020, leading to adjusted debt to EBITDA increasing
to almost 7.0x in 2021. This is a major deviation compared with our
previous estimate of leverage close to 5.5x. Our adjusted debt
figure includes EUR580 million of notes due 2026, a EUR220 million
term loan due 2024, EUR130 million-EUR135 million of lease
liabilities, EUR140 million-EUR150 million of outstanding
factoring, and EUR15 million-EUR20 million of pension liabilities.
We deduct from gross debt EUR180 million-EUR190 million of cash on
the balance sheet according to our expectations.

"Our revised estimates reflect a higher-than-anticipated impact
from increased input costs and supply chain disruptions.Like other
industry players, Ontex faces high pressure from increased prices
for commodities (40% of the total cost base), primarily fluff pulp,
propylene, polyethylene, and low density polyethylene (LDPE) as
well as energy costs. At the same time, supply chain disruptions
have reduced the availability of raw materials, temporarily
constraining Ontex's capacity to produce and deliver products to
customers. Also, restructuring charges linked to Ontex's plan to
streamline its manufacturing operations and optimize capacity
utilization are weighing on the group's profitability in 2021 due
to about EUR50 million of extraordinary costs (excluding non-cash
impairment charges). Positively, we anticipate that Ontex delivered
solid results in relation to its cost-savings program in the nine
months to Sept. 30, 2021, generating a EUR52 million gross cost
reduction (EUR42 million net of raw material price increase), and
it is on track to deliver EUR75 million of total savings by the end
of the year. This helped Ontex contain the profitability erosion."

Ontex's ongoing negotiations with suppliers and customers is
expected to translate into a gradual recovery of operating
performance in 2022. This should enable the company to compensate
for the majority of input cost increases from next year. S&P said,
"However, we believe the company will raise prices only gradually
in Europe (roughly 60% of total volumes in 2020) to continue
efforts to regain market shares as testified by new agreements with
customers. The tender nature of Ontex's contracts with customers
does not allow immediate price actions, which are typically taken
with some time delay. As a result, we anticipate EBITDA margins
will remain constrained in the first quarter of 2022 and gradually
recover during 2022. We currently believe the company can post
mid-single-digit revenue growth of EUR2.05 billion-EUR2.1 billion
in 2022, compared with about EUR2.0 billion expected in 2021. We
also forecast our adjusted EBITDA margin at 7.5%-8.0% in 2022 after
about 6.5% in 2021, primarily supported by ongoing cost-savings
initiatives that should generate an additional EUR80 million of
gross savings in 2022 from operational efficiencies, capacity
optimization, and reduction of overheads."

S&P said, "Since we expect a more pronounced EBITDA recovery only
in the second half of 2022, we anticipate a potential reduction of
headroom under the existing financial covenant as of June next
year. We expect the company will generate neutral or very limited
free operating cash flow (FOCF) in 2021 after lease payments,
before taking into account proceeds from the settlement of claims
regarding the acquisition in Brazil. As a result, we expect the
company will maintain sufficient cash on the balance sheet, of
EUR180 million-EUR190 million, to support its liquidity
requirements in 2022, which do not include any short-term debt
maturities. However, we now view liquidity as less than adequate
because we expect pressure on EBITDA will persist at least until
first-quarter 2022, resulting in tightening headroom under Ontex's
maintenance financial covenant, in particular for the June 2022
semi-annual test. We acknowledge that the company has faced similar
situations in the recent past, and it showed its ability to manage
covenant headroom with very good control of cash management."

Ontex's announced divestment of emerging-market businesses could
accelerate its deleveraging, although also reducing overall
business diversification. On Dec. 15, Ontex announced that it will
divest its operations in emerging markets (including Brazil,
Mexico, and Turkey among others) over 2022-2023 and use the net
proceeds primarily to reduce its debt. S&P said, "In our base case,
we do not factor in possible proceeds from divestitures of such
businesses, since we currently have limited visibility on terms and
conditions, final net proceeds, and timing to complete the
transactions. In our view, the sale of such assets provides an
additional liquidity cushion and could speed up debt reduction. We
estimate that it could bring our adjusted leverage figure toward 5x
from 2022. We understand the exit from emerging markets (accounting
for 30% of the group's sales and 20%-25% of its EBITDA in 2020)
will redirect management's focus to core businesses in Europe where
the company is the leading private-label player in baby care, adult
incontinence, and feminine care products, while it continues
expanding in North America. At the same time, we anticipate reduced
business complexity and FX exposure to volatile currencies, as well
as improved group profitability given the lower margins in emerging
markets (according to the company, close to 8% in 2020 compared
with 11.3% for the overall group). On the other hand, we see
reduced diversity both in terms of geographic footprint and product
portfolio with a reduction of Ontex's branded offering (46% of
sales in 2020)." Also, Ontex enjoys leading market shares in adult
incontinence and baby care in Turkey and Ethiopia respectively and
solid No. 2 positions in other large countries such as Mexico and
Brazil. The emerging markets represent a long-term growth driver,
primarily thanks to increasing urbanization, rising middle class,
and greater awareness of health and hygiene among populations.

S&P said, "Ontex has a public commitment to reduce its leverage and
we anticipate a prudent approach to discretionary spending. Ontex's
commitment to reduce net leverage toward 3.0x or below from 2023
(as adjusted by company) is an important supporting factor for our
overall credit assessment. The company's unchanged financial policy
translates into S&P Global Ratings-adjusted debt to EBITDA of
4.5x-5.0x. However, the 'B+' rating takes in consideration the
material deviation expected over 2021-2022, with leverage likely
staying above 5.0x during that period. Ontex's announcement that
proceeds from disposals will be redirected toward debt repayment
could accelerate deleveraging. The financial policy commitment
implies dividend suspension over 2020-2021; we estimate that no
dividend will be paid in 2022 given the expected negative net
income in 2021 (payout policy unchanged at 35%-40% of net income)
and recent debt repayment using net proceeds of EUR75 million-EUR80
million from the settlement of claims in Brazil.

"The negative outlook on Ontex primarily reflects the progressive
expected reduction of Ontex's covenant headroom related to its term
loan and revolving credit facility (RCF) over the next few
quarters. Moreover, we see some headwinds and greater uncertainty
on the evolution of operating performance in 2022 considering high
raw material costs, supply chain disruptions, and time lag to pass
higher costs to customers, partly compensated by Ontex's ability to
execute its cost savings program.

"We could lower the rating in case of increased concerns about the
company's ability to manage lower covenant headroom, or if we were
to observe a significant erosion of FOCF, leading to S&P Global
Ratings-adjusted debt to EBITDA remaining above 6.0x. This scenario
could materialize for example from a continuous increase of input
costs and inability to compensate through sales price increases and
cost savings.

"We could revise the outlook to stable if covenant headroom widened
and, at the same time, Ontex's operating performance showed
concrete signs of improvement supporting deleveraging by the end of
2022. This could be achieved thanks to successful negotiation of
conditions with customers and suppliers, and ability to execute the
cost-savings program. In addition, a positive rating action could
be considered if the disposal of emerging-market businesses results
in a material reduction of leverage compared with our current base
case."



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

BLACKROCK EUROPEAN XII: S&P Assigns B- (sf) Rating on Cl. F Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to BlackRock
European CLO XII DAC's class A, B-1, B-2, C-1, C-2, D, E, and F
notes. At closing, the issuer has issued unrated subordinated
notes.

The ratings reflect S&P's assessment of:

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

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

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

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

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

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor     2,933.52
  Default rate dispersion                                 525.30
  Weighted-average life (years)                             5.42
  Obligor diversity measure                               124.04
  Industry diversity measure                               21.59
  Regional diversity measure                                1.30

  Transaction Key Metrics
                                                         CURRENT
  Total par amount (mil. EUR)                                400
  Defaulted assets (mil. EUR)                                  0
  Number of performing obligors                              138
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                            B
  'CCC' category rated assets (%)                           4.48
  'AAA' weighted-average recovery (%)                      36.04
  Weighted-average spread net of floors (%)                 3.87

This is a European cash flow CLO transaction, securitizing a pool
of primarily syndicated senior secured loans or bonds. The
portfolio's reinvestment period ends approximately 4.6 years after
closing, and the portfolio's maximum average maturity date is 8.5
years after closing. Under the transaction documents, the rated
notes pay quarterly interest unless there is a frequency switch
event. Following this, the notes will switch to semiannual
payment.

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

S&P said, "In our cash flow analysis, we modeled the EUR400 million
target par amount, the covenanted weighted-average spread of 3.70%,
and the covenanted weighted-average recovery rates. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

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

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

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

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe that our ratings are
commensurate with the available credit enhancement for each class
of notes.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1, B-2, C-1, C-2, D, and E notes
is commensurate with higher ratings than those we have assigned.
However, as the CLO will have a reinvestment period, during which
the transaction's credit risk profile could deteriorate, we have
capped our assigned ratings on these notes.

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

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

-- S&P's BDR at the 'B-' rating level is 29.47% versus a portfolio
default rate of 16.80% if we were to consider a long-term
sustainable default rate of 3.1% for a portfolio with a
weighted-average life of 5.42 years.

-- Whether the tranche is vulnerable to non-payment in the near
future.

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

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

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

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

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

"S&P Global Ratings believes the new omicron variant is a stark
reminder that the COVID-19 pandemic is far from over. Although
already declared a variant of concern by the World Health
Organization, uncertainty still surrounds its transmissibility,
severity, and the effectiveness of existing vaccines against it.
Early evidence points toward faster transmissibility, which has led
many countries to close their borders with Southern Africa or
reimpose international travel restrictions. Over coming weeks, we
expect additional evidence and testing will show the extent of the
danger it poses to enable us to make a more informed assessment of
the risks to credit. Meanwhile, we can expect a precautionary
stance in markets, as well as governments to put into place
short-term containment measures. Nevertheless, we believe this
shows that, once again, more coordinated, and decisive efforts are
needed to vaccinate the world's population to prevent the emergence
of new, more dangerous variants."

Environmental, Social, And Governance (ESG) Factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries:
tobacco or tobacco products, illegal drugs or narcotics,
manufacture or sale of pornographic materials or
prostitution-related activities, development or production of
controversial weapons, and extraction of thermal coal and fossil
fuels from unconventional sources, or other fracking activities.
Since the exclusion of assets related to these activities does not
result in material differences between the transaction and our ESG
benchmark for the sector, no specific adjustments have been made in
our rating analysis to account for any ESG-related risks or
opportunities."

  Ratings List

  CLASS     RATING     AMOUNT     SUB (%)    INTEREST RATE*
                     (MIL. EUR)
  A         AAA (sf)    246.00    38.50   Three/six-month EURIBOR

                                          plus 0.94%

  B-1       AA (sf)      29.00    28.75   Three/six-month EURIBOR
                                          plus 1.75%

  B-2       AA (sf)      10.00    28.75   1.90%

  C-1       A (sf)       18.40    21.65   Three/six-month EURIBOR
                                          plus 2.10%

  C-2       A (sf)       10.00    21.65   Three/six-month EURIBOR
                                          plus 2.65%/ 2.10%§

  D         BBB- (sf)    27.60    14.75   Three/six-month EURIBOR
                                          plus 3.10%

  E         BB- (sf)     20.20     9.70   Three/six-month EURIBOR
                                          plus 6.16%

  F         B- (sf)      11.80     6.75   Three/six-month EURIBOR
                                          plus 8.85%

  Sub       NR           31.27     N/A    N/A

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

§EURIBOR applicable to class C-2 will be unfloored during the
non-call period with 2.65% and floored at 0% with 2.10% thereafter.
EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A--Not applicable.


BRIDGEPOINT CLO 3: Fitch Assigns Final B- Rating on Class F Tranche
-------------------------------------------------------------------
Fitch Ratings has assigned Bridgepoint CLO 3 DAC final ratings.

       DEBT                  RATING              PRIOR
       ----                  ------              -----
Bridgepoint CLO 3 DAC

Class A XS2395173581   LT AAAsf   New Rating    AAA(EXP)sf
Class B XS2395173748   LT AAsf    New Rating    AA(EXP)sf
Class C XS2395174126   LT Asf     New Rating    A(EXP)sf
Class D XS2395174555   LT BBB-sf  New Rating    BBB-(EXP)sf
Class E XS2395174712   LT BB-sf   New Rating    BB-(EXP)sf
Class F XS2395174985   LT B-sf    New Rating    B-(EXP)sf
Subordinated Notes     LT NRsf    New Rating    NR(EXP)sf
XS2395175107

TRANSACTION SUMMARY

Bridgepoint CLO 3 DAC is a securitisation of mainly senior secured
loans (at least 90%) with a component of senior unsecured,
mezzanine, and second-lien loans. The note proceeds have been used
to fund an identified portfolio with a target par of EUR400
million. The portfolio is managed by Bridgepoint Credit Management
Limited. The CLO envisages a 4.6-year reinvestment period and an
8.6-year weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch weighted average rating factor (WARF) of the identified
portfolio is 24.7.

Strong Recovery Expectation (Positive): At least 90% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the identified portfolio is 63.6%.

Diversified Portfolio (Positive): At closing, the matrices,
including the forward matrix which is set at one year after
closing, are based on a top 10 obligors limit of 23%, and a maximum
fixed rate asset limit of 5% and 10% respectively. The manager can
elect the forward matrix at any time one year after closing if the
aggregate collateral balance is at least above the target par.

The transaction also includes various concentration limits,
including the maximum exposure to the three largest (Fitch-defined)
industries in the portfolio at 45%. 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 (Neutral): The WAL used for the transaction
stress portfolio is 12 months less than the WAL covenant to account
for strict reinvestment conditions after the reinvestment period,
including the OC tests and Fitch 'CCC' limit passing together with
a linearly decreasing WAL covenant. This ultimately reduces the
maximum possible risk horizon of the portfolio.

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Bridgepoint CLO 3 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.

CABINTEELY PARK: Fitch Assigns Final B- Rating on Class F Notes
---------------------------------------------------------------
Fitch Ratings has assigned Cabinteely Park CLO DAC 's notes final
ratings.

    DEBT                   RATING
    ----                   ------
Cabinteely Park CLO DAC

A XS2417672487       LT AAAsf   New Rating
B-1 XS2417672644     LT AAsf    New Rating
B-2 XS2417672560     LT AAsf    New Rating
C XS2417672727       LT Asf     New Rating
D XS2417673022       LT BBB-sf  New Rating
E XS2417672990       LT BB-sf   New Rating
F XS2417673295       LT B-sf    New Rating
Subordinated Notes   LT NRsf    New Rating
XS2417673451

TRANSACTION SUMMARY

Cabinteely Park CLO DAC is a securitisation of mainly senior
secured obligations (at least 90%) with a component of senior
unsecured, mezzanine, second-lien loans and high-yield bonds. Net
proceeds from the note issuance were used to fund a portfolio with
a target par of EUR400 million. The portfolio is actively managed
by Blackstone Ireland Limited. The collateralised loan obligation
(CLO) has a 4.6-year reinvestment period and an 8.6-year weighted
average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors at 'B'/'B-'. The Fitch-weighted
average rating factor (WARF) of the identified portfolio is 24.74.

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

Diversified Portfolio (Positive): The transaction includes two
Fitch matrices: (i) one effective at closing corresponding to the
top-10 obligor concentration limit at 18%, a fixed-rate asset limit
at 10% and an 8.6-year WAL and (ii) another one 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 7.6-year WAL. The transaction also includes various concentration
limits, including a maximum exposure to the three-largest
Fitch-defined industries in the portfolio at 40%. These covenants
ensure that the asset portfolio will not be exposed to excessive
concentration.

Portfolio Management (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): The WAL used for the transaction's
stressed-case portfolio and matrices analysis is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions post-reinvestment period, including satisfaction of the
over-collateralisation (OC) and Fitch 'CCC' limitation tests ,
among others. This ultimately reduces the maximum possible risk
horizon of the portfolio when combined with loan pre-payment
expectations.

RATING SENSITIVITIES

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

-- A 25% increase of the mean rating default rate (RDR) across
    all ratings and a 25% decrease of the rating recovery rate
    (RRR) across all ratings would result in downgrades of no more
    than two notches across the structure.

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

CAIRN CLO XII: Fitch Assigns Final B- Rating on Class F-R Notes
---------------------------------------------------------------
Fitch Ratings has assigned Cairn CLO XII DAC's refinancing notes
final ratings.

    DEBT                 RATING               PRIOR
    ----                 ------               -----
Cairn CLO XII DAC

A XS2208037833     LT PIFsf   Paid In Full    AAAsf
A-R XS2417414435   LT AAAsf   New Rating      AAA(EXP)sf
B XS2208038138     LT PIFsf   Paid In Full    AAsf
B-R XS2417414609   LT AAsf    New Rating      AA(EXP)sf
C XS2208038567     LT PIFsf   Paid In Full    Asf
C-R XS2417414864   LT Asf     New Rating      A(EXP)sf
D XS2208038997     LT PIFsf   Paid In Full    BBB-sf
D-R XS2417415168   LT BBB-sf  New Rating      BBB-(EXP)sf
E XS2208039375     LT PIFsf   Paid In Full    BB-sf
E-R XS2417415242   LT BB-sf   New Rating      BB-(EXP)sf
F XS2208039292     LT PIFsf   Paid In Full    B-sf
F-R XS2417415325   LT B-sf    New Rating      B-(EXP)sf

TRANSACTION SUMMARY

Cairn CLO XII DAC is a securitisation of mainly senior secured
obligations (at least 90%) with a component of corporate-rescue
loans, senior unsecured, mezzanine, second-lien loans and
high-yield bonds. Net proceeds from the note issuance have been
used to redeem existing notes and buy additional assets. The
portfolio is actively managed by Cairn Loan Investments II LLP. The
collateralised loan obligation (CLO) envisages a 4.6-year
reinvestment period and an 8.5-year weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors in the 'B' category. The Fitch
weighted average rating factor (WARF) of the identified portfolio
is 24.64.

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
63.42%.

Diversified Portfolio (Positive): The transaction includes two
Fitch matrices: one effective at closing corresponding to a top 10
obligor concentration limit at 20%, a fixed-rate asset limit to 5%
and an 8.5-year WAL; and one that can be selected by the manager at
any time from one year after closing as long as the portfolio
balance (including defaulted obligations at their Fitch 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 also includes various concentration limits,
including a maximum exposure to the three largest Fitch-defined
industries in the portfolio at 40%. These covenants ensure that the
asset portfolio will not be exposed to excessive concentration.

Portfolio Management (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 (Neutral): 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 post 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 will result in downgrades of no
    more than four notches, depending on the notes.

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels
    would result in an upgrade of up to three notches depending on
    the notes, except for the class A notes, which are already at
    the highest rating on Fitch's scale and cannot be upgraded.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

The majority of the underlying assets or risk presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
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.

HAYFIN EMERALD VIII: S&P Assigns B- (sf) Rating on Class F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Hayfin Emerald
CLO VIII DAC's class A-1, A-2, B, C, D, E, and F notes. At closing,
the issuer also issued unrated subordinated notes.

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

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

The ratings assigned to the notes reflect S&P's assessment of:

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

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

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

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor     2,839.60
  Default rate dispersion                                 454.98
  Weighted-average life (years)                             5.66
  Obligor diversity measure                               104.26
  Industry diversity measure                               22.65
  Regional diversity measure                                1.32

  Transaction Key Metrics
                                                         CURRENT
  Total par amount (mil. EUR)                              400.0
  Defaulted assets (mil. EUR)                                  0
  Number of performing obligors                              120
  Portfolio weighted-average rating
   derived from our CDO evaluator                              B
  'CCC' category rated assets (%)                           1.50
  'AAA' weighted-average recovery (%)                      34.81
  Covenanted weighted-average spread (%)                    3.70
  Reference weighted-average coupon (%)                     3.00

Loss mitigation loan mechanics

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

The purchase of loss mitigation loans is not subject to the
reinvestment criteria or the eligibility criteria. It receives no
credit in the principal balance definition. The cumulative exposure
to loss mitigation loans is limited to 10% of target par.

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

Rating rationale

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

"In our cash flow analysis, we used the EUR400 million par amount,
the covenanted weighted-average spread of 3.70%, the reference
weighted-average coupon of 3.00%, and the covenanted
weighted-average recovery rates for 'AAA' rated notes. We applied
various cash flow stress scenarios, using four different default
patterns, in conjunction with different interest rate stress
scenarios for each liability rating category.

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

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

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

"Our credit and cash flow analysis indicate that the available
credit enhancement for the class B to D notes could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes.

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

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

-- S&P's BDR at the 'B-' rating level is 28.41% versus a portfolio
default rate of 17.55% if it was to consider a long-term
sustainable default rate of 3.1% for a portfolio with a
weighted-average life of 5.66 years.

-- Whether the tranche is vulnerable to non-payment in the near
future.

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

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

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

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

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class
A-1 to E notes to five of the 10 hypothetical scenarios we looked
at in our publication, "How Credit Distress Due To COVID-19 Could
Affect European CLO Ratings," published on April 2, 2020.

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

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

Environmental, social, and governance (ESG) factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to certain activities,
including, but not limited to, tobacco products, controversial
weapons, civilian firearms, nuclear weapons, thermal coal,
prostitution, payday lending, and weapons of mass destruction.
Since the exclusion of assets related to these activities does not
result in material differences between the transaction and our ESG
benchmark for the sector, no specific adjustments have been made in
our rating analysis to account for any ESG-related risks or
opportunities."

  Ratings List

  CLASS    RATING     AMOUNT  SUB (%)     INTEREST RATE*
                    (MIL. EUR)
  A-1      AAA (sf)   218.50    39.00    Three/six-month EURIBOR  
                                         plus 0.96%

  A-2      AAA (sf)    25.50    39.00    Three/six-month EURIBOR
                                         plus 1.25%§

  B        AA (sf)     44.00    28.00    Three/six-month EURIBOR
                                         plus 1.75%

  C        A (sf)      25.20    21.70    Three/six-month EURIBOR
                                         plus 2.40%

  D        BBB (sf)    27.80    14.75    Three/six-month EURIBOR
                                         plus 3.50%

  E        BB- (sf)    21.00     9.50    Three/six-month EURIBOR
                                         plus 6.33%

  F        B- (sf)     10.80     6.80    Three/six-month EURIBOR
                                         plus 8.96%

  Sub      NR          30.90     N/A     N/A

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

§Euribor for class A-2 is capped at 2.15%.
EURIBOR--Euro Interbank Offered Rate.
NR--Not rated.
N/A—-Not applicable.


MADISON PARK XIV: Fitch Gives Class F-R Notes Final 'B-' Rating
---------------------------------------------------------------
Fitch Ratings has assigned Madison Park Euro Funding XIV DAC
refinancing notes final ratings.

     DEBT                 RATING               PRIOR
     ----                 ------               -----
Madison Park Euro Funding XIV DAC

A-1 XS2002365307    LT PIFsf   Paid In Full    AAAsf
A-1R XS2418762337   LT AAAsf   New Rating      AAA(EXP)sf
A-2 XS2002365646    LT PIFsf   Paid In Full    AAAsf
B-1 XS2002366024    LT PIFsf   Paid In Full    AAsf
B-1R XS2418762501   LT AAsf    New Rating      AA(EXP)sf
B-2 XS2002366453    LT PIFsf   Paid In Full    AAsf
C-1 XS2002366701    LT PIFsf   Paid In Full    Asf
C-1R XS2418762683   LT Asf     New Rating      A(EXP)sf
C-2 XS2002366966    LT PIFsf   Paid In Full    Asf
D XS2002367188      LT PIFsf   Paid In Full    BBB-sf
D-R XS2418762766    LT BBB-sf  New Rating      BBB-(EXP)sf
E XS2002367428      LT PIFsf   Paid In Full    BB-sf
E-R XS2424524887    LT BB-sf   New Rating      BB-(EXP)sf
F XS2002367857      LT PIFsf   Paid In Full    B-sf
F-R XS2424524705    LT B-sf    New Rating      B-(EXP)sf

TRANSACTION SUMMARY

Madison Park Euro Funding XIV DAC is a cash flow-collateralised
loan obligation (CLO) actively managed by the manager, Credit
Suisse Asset Management. The reinvestment period is scheduled to
end in January 2024. At closing of the refinance, the class A-1R,
B-1R, C-1R, D-R, E-R and F-R were issued and the proceeds used to
redeem the class A-1, A-2, B-1, B-2 C-1, C-2, D, E and F notes.

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors at 'B'/'B-'. The
Fitch-calculated weighted average rating factor (WARF) of the
current portfolio is 24.8.

High Recovery Expectations (Positive): The portfolio comprises
99.6% senior secured obligations. Fitch views the recovery
prospects for these assets as more favorable than for second-lien,
unsecured and mezzanine assets. The Fitch-calculated weighted
average recovery rate (WARR) of the portfolio is 63.5%.

Diversified Portfolio (Positive): The top-10 obligor and maximum
fixed-rate asset limits for this analysis are 20% and 12.5%,
respectively. The transaction also includes various concentration
limits, including the maximum exposure to the three-largest
Fitch-defined industries in the portfolio at 40%. These covenants
ensure that the asset portfolio will not be exposed to excessive
concentration.

Portfolio Management (Neutral): The transaction's reinvestment
period is scheduled to end in January 2024. The weighted average
life covenant has been extended by 12 months to 7.07 years and
Fitch test matrix was updated. Fitch's analysis is based on a
stressed-case portfolio with the aim of testing the robustness of
the transaction's structure against its covenants and portfolio
guidelines.

Cash Flow Analysis (Neutral): The weighted-average life (WAL) used
for the transaction's stressed-case portfolio and matrix analysis
is 12 months less than the WAL covenant to account for structural
and reinvestment conditions post-reinvestment period, including the
over-collateralisation (OC) and Fitch 'CCC' limitation tests, among
others. This ultimately reduces the maximum possible risk horizon
of the portfolio when combined with loan pre-payment expectations.

RATING SENSITIVITIES

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

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

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels
    would result in upgrades of up to three notches, depending on
    the notes, except for the class A notes, which are already at
    the highest rating on Fitch's scale and cannot be upgraded.

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

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

NASSAU EURO I: Fitch Assigns Final B- Rating on Class F Tranche
---------------------------------------------------------------
Fitch Ratings has assigned Nassau Euro CLO I DAC final ratings.

    DEBT                   RATING              PRIOR
    ----                   ------              -----
Nassau Euro CLO I DAC

A XS2400033333       LT AAAsf   New Rating    AAA(EXP)sf
B-1 XS2400033507     LT AAsf    New Rating    AA(EXP)sf
B-2 XS2400033762     LT AAsf    New Rating    AA(EXP)sf
C XS2400033929       LT Asf     New Rating    A(EXP)sf
D XS2400034141       LT BBB-sf  New Rating    BBB-(EXP)sf
E XS2400034497       LT BB-sf   New Rating    BB-(EXP)sf
F XS2400034653       LT B-sf    New Rating    B-(EXP)sf
Subordinated Notes   LT NRsf    New Rating    NR(EXP)sf
XS2400034810

TRANSACTION SUMMARY

Nassau Euro CLO I 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
were used to purchase a portfolio with a target par of EUR350
million. The portfolio is actively managed by Nassau Corporate
Credit (UK) LLP. The collateralised loan obligation (CLO) has a
4.5-year reinvestment period and an 8.5year weighted average life
(WAL).

KEY RATING DRIVERS

Above Average Portfolio Credit Quality (Positive): 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 22.6.

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 64.8%.

Diversified Asset Portfolio (Positive): The transaction has a
concentration limit for the 10 largest obligors of 25%. The
transaction also includes various concentration limits, including
the maximum exposure to the three largest (Fitch-defined)
industries in the portfolio at 40%. These covenants ensure the
asset portfolio will not be exposed to excessive concentration.

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

Cash Flow Modelling (Positive): The WAL used for the transaction's
stress portfolio analysis is 12 months less than the WAL covenant
at the issue date. This reduction to the risk horizon accounts for
the strict reinvestment conditions envisaged after the reinvestment
period. These include passing both the coverage tests and the Fitch
WARF test post reinvestment as well a WAL covenant that
progressively steps down over time, both before and after the end
of the reinvestment period.

This ultimately reduces the maximum possible risk horizon of the
portfolio.

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Nassau Euro CLO I 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.

NORTHWOODS CAPITAL 24: Fitch Rates Class F Tranche 'B-'
-------------------------------------------------------
Fitch Ratings has assigned Northwoods Capital 24 Euro DAC final
ratings.

    DEBT                       RATING
    ----                       ------
Northwoods Capital 24 Euro DAC

A XS2402463843           LT AAAsf   New Rating
B-1 XS2402464148         LT AAsf    New Rating
B-2 XS2402464577         LT AAsf    New Rating
C XS2402464221           LT Asf     New Rating
D XS2402464494           LT BBB-sf  New Rating
E XS2402464734           LT BB-sf   New Rating
F XS2402464650           LT B-sf    New Rating
Sub Notes XS2402464817   LT NRsf    New Rating
Z Notes XS2403034189     LT NRsf    New Rating

TRANSACTION SUMMARY

Northwoods Capital 24 Euro DAC is a securitisation of mainly senior
secured obligations (at least 90%) with a component of senior
unsecured, mezzanine, second-lien loans, first-lien and high-yield
bonds. Net proceeds from the issuance of the notes will be used
fund a portfolio with a target par amount of EUR 400 million. The
portfolio is actively managed by Northwoods European CLO Management
LLC. The collateralised loan obligation (CLO) envisages a 4.6-year
reinvestment period and an 8.5-year weighted average life (WAL).

KEY RATING DRIVERS

Average Portfolio Credit Quality (Neutral): Fitch assesses the
average credit quality of obligors to be in the 'B' category. The
Fitch weighted average rating factor (WARF) of the identified
portfolio is 25.31.

High Recovery Expectations (Positive): At least 90% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rate (WARR) of the portfolio is 61.63%.

Diversified Portfolio (Positive): The transaction includes four
Fitch matrices: two effective at closing corresponding to a top 10
obligor concentration limit at 20%, fixed-rate asset limit at 12.5%
and 20%; and two forward matrices that can be selected by the
manager at any time from one year after closing as long as the
portfolio balance (including defaulted obligations at their Fitch
collateral value) is above target par and corresponding to the same
limits as the previous matrix apart from a one-year lower WAL
covenant.

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

Portfolio Management (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 portfolio with the aim of testing the robustness of the
transaction structure against its covenants and portfolio
guidelines.

Cash Flow Modelling (Neutral): The WAL used for the transaction
stress portfolio and matrices analysis is 12 months less than the
WAL covenant, to account for structural and reinvestment conditions
after the reinvestment period, including the OC tests passing and
Fitch C-basket security adjustment amount to be zero after the end
of reinvestment period. This ultimately reduces the maximum
possible risk horizon of the portfolio.

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

Northwoods Capital 24 Euro 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.

NORTHWOODS CAPITAL 24: S&P Assigns B- (sf) Rating on Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Northwoods Capital 24
Euro DAC's class A, B-1, B-2, C, D, E, and F notes. At closing, the
issuer issued class Z and subordinated notes.

The ratings reflect S&P's assessment of:

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

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

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

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

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

  Portfolio Benchmarks
                                                      CURRENT
  S&P weighted-average rating factor                 2,861.67
  Default rate dispersion                              460.50
  Weighted-average life (years)                          5.57
  Obligor diversity measure                             97.90
  Industry diversity measure                            17.03
  Regional diversity measure                             1.29

  Transaction Key Metrics
                                                      CURRENT
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                         B
  'CCC' category rated assets (%)                         5.5
  Covenanted 'AAA' weighted-average recovery (%)        35.52
  Covenanted weighted-average spread (%)             3.70
  Covenanted weighted-average coupon (%)                 4.00

Workout obligations

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

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

Rating rationale

Under the transaction documents, the rated notes pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately 4.5 years after
closing.

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

S&P said, "In our cash flow analysis, we used the EUR400 million
target par amount, the covenanted weighted-average spread (3.70%),
the reference weighted-average coupon (4.00%), and the identified
portfolio's weighted-average recovery rates at each rating level.
We applied various cash flow stress scenarios, using four different
default patterns, in conjunction with different interest rate
stress scenarios for each liability rating category.

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

Until the end of the reinvestment period on July 15, 2026, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain as established by
the initial cash flows for each rating, and it compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, as long as the initial ratings
are maintained.

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

The transaction's legal structure and framework is bankruptcy
remote, in line with S&P's legal criteria.

S&P said, "Following our analysis of the credit, cash flow,
counterparty, operational, and legal risks, we believe our ratings
are commensurate with the available credit enhancement for the
class A to E notes. Our credit and cash flow analysis indicates
that the available credit enhancement for the class B-1, B-2, C, D,
and E notes could withstand stresses commensurate with higher
ratings than those we have assigned. However, as the CLO will be in
its reinvestment phase starting from closing, during which the
transaction's credit risk profile could deteriorate, we have capped
our ratings assigned to the notes.

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

The ratings uplift (to 'B-') reflects several key factors,
including:

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

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

-- S&P's model generated break-even default rate at the 'B-'
rating level of 27.89% (for a portfolio with a weighted-average
life of 5.57 years), versus if it was to consider a long-term
sustainable default rate of 3.1% for 5.57 years, which would result
in a target default rate of 17.26%.

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

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

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

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

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

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

"The transaction securitizes a portfolio of primarily
senior-secured leveraged loans and bonds, and it is managed by
Northwoods European CLO Management LLC.

Environmental, social, and governance (ESG) factors
S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to certain activities,
including, but not limited to, the following: an obligation of a
company whose revenues are more than 0% derived from the
development, production, maintenance, trade, or stockpiling of
weapons of mass destruction or in the trade of illegal drugs or
illegal narcotics; one whose revenues are more than 20% derived
from products that contain tobacco or are involved in non-certified
palm oil production; one whose revenues are more than 10% derived
from the mining of thermal coal or oil sands extraction; and one
whose revenues are more than 20% derived from trading in endangered
or protected wildlife. Accordingly, since the exclusion of assets
from these industries does not result in material differences
between the transaction and our ESG benchmark for the sector, no
specific adjustments have been made in our rating analysis to
account for any ESG-related risks or opportunities."

  Ratings List
  CLASS    RATING      AMOUNT   INTEREST RATE (%)  CREDIT
                     (MIL. EUR)                    ENHANCEMENT (%)
  A        AAA (sf)    236.00      3mE + 0.96        41.00
  B-1      AA (sf)      25.50      3mE + 1.80        29.00
  B-2      AA (sf)      22.50            2.15        29.00
  C        A (sf)       29.00      3mE + 2.35        21.75
  D        BBB- (sf)    28.00      3mE + 3.30        14.75
  E        BB- (sf)     19.00      3mE + 6.36        10.00
  F        B- (sf)      12.00      3mE + 8.84         7.00
  Z        NR           0.001      N/A                 N/A
  Subordinated  NR      32.40      N/A                 N/A

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


PALMER SQUARE 2022-1: S&P Assigns B- (sf) Rating on Cl. F Notes
---------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Palmer Square
European CLO 2022-1 DAC's class A, B-1, B-2, C, D, E, and F notes.
At closing, the issuer has issued unrated subordinated notes.

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

The portfolio's reinvestment period will end approximately 4.6
years after closing, and the portfolio's weighted-average life test
will be approximately 8.5 years after closing.

The ratings assigned to the notes reflect S&P assessment of:

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

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

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

  Portfolio Benchmarks
                                                         CURRENT
  S&P Global Ratings weighted-average rating factor      2730.67
  Default rate dispersion                                 513.93
  Weighted-average life (years)                             5.43
  Obligor diversity measure                               139.46
  Industry diversity measure                               20.64
  Regional diversity measure                                1.39

  Transaction Key Metrics
                                                         CURRENT
  Total par amount (mil. EUR)                             400.00
  Defaulted assets (mil. EUR)                                  0
  Number of performing obligors                              162
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                          'B'
  'CCC' category rated assets (%)                           0.88
  Covenanted 'AAA' weighted-average recovery (%)           36.69
  Covenanted weighted-average spread (%)                    3.50
  Reference weighted-average coupon (%)                     4.00

Rating rationale

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

"In our cash flow analysis, we used the EUR400 million par amount,
the covenanted weighted-average spread of 3.50%, and the covenanted
'AAA' and reference weighted-average recovery rates for all other
rated notes. We applied various cash flow stress scenarios, using
four different default patterns, in conjunction with different
interest rate stress scenarios for each liability rating category.

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

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

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

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

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

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

Environmental, social, and governance (ESG) factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries:
development, production, maintenance, trade in, or stock-piling of
weapons of mass destruction; illegal drugs or narcotics, including
recreational cannabis; pornography or prostitution; payday lending;
tobacco or tobacco products; sale or extraction of thermal coal,
oil sands, or fossil fuels from unconventional sources; civilian
firearms; and opioid manufacturing or distribution. Accordingly,
since the exclusion of assets from these industries does not result
in material differences between the transaction and our ESG
benchmark for the sector, no specific adjustments have been made in
our rating analysis to account for any ESG-related risks or
opportunities."

  Ratings List

  CLASS    RATING      AMOUNT     SUB(%)    INTEREST RATE*
                    (MIL. EUR)
  A        AAA (sf)    248.00     38.00    Three/six-month EURIBOR

                                           plus 0.97%

  B-1      AA (sf)      35.00     28.00    Three/six-month EURIBOR

                                           plus 1.75%

  B-2      AA (sf)       5.00     28.00    2.20

  C        A (sf)       26.00     21.50    Three/six-month EURIBOR

                                           plus 2.30%

  D        BBB (sf)     27.20     14.70    Three/six-month EURIBOR

                                           plus 3.30%

  E        BB- (sf)     20.40      9.60    Three/six-month EURIBOR

                                           plus 6.36%

  F        B- (sf)      10.80      6.90    Three/six-month EURIBOR

                                           plus 8.85%

  Sub.     NR           33.50      N/A     N/A

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

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


ROCKFORD TOWER 2021-2: S&P Assigns B- (sf) Rating on Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Rockford Tower
Europe CLO 2021-2 DAC's class X, A, B, C, D, E, and F notes. At
closing, the issuer also issued unrated subordinated notes.

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

The ratings assigned to the notes reflect S&P's assessment of:

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

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

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

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

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

  Portfolio Benchmarks
                                                           CURRENT
  S&P Global Ratings weighted-average rating factor        2742.95
  Default rate dispersion                                   561.67
  Weighted-average life (years)                               5.65
  Obligor diversity measure                                 113.33
  Industry diversity measure                                 20.93
  Regional diversity measure                                  1.30

  Transaction Key Metrics
                                                           CURRENT
  Total par amount (mil. EUR)                               400.00
  Defaulted assets (mil. EUR)                                 0.00
  Number of performing obligors                                137
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                              B
  'CCC' category rated assets (%)                              0.8
  Covenanted 'AAA' weighted-average recovery (%)             35.93
  Covenanted weighted-average spread (%)                      3.73
  Covenanted weighted-average coupon (%)                      4.50

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

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread of 3.73%, the
covenanted weighted-average coupon of 4.50%, and the covenanted
weighted-average recovery rates of 35.93%. We applied various cash
flow stress scenarios, using four different default patterns, in
conjunction with different interest rate stress scenarios for each
liability rating category.

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

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

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

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B, C, D, and E notes could
withstand stresses commensurate with higher ratings than those we
have assigned. However, as the CLO is still in its reinvestment
phase, during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes.

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

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

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

-- S&P's model generated BDR at the 'B-' rating level of 28.40%
(for a portfolio with a weighted-average life of 5.65 years),
versus a generated BDR at 17.55% if we were to consider a long-term
sustainable default rate of 3.1% for 5.65 years.

-- The actual portfolio is generating higher spreads and
recoveries at the 'AAA' rating its cash flow analysis.

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

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

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

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

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

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

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

Rockford Tower Europe CLO 2021-2 is a European cash flow CLO
securitization of a revolving pool, comprising euro-denominated
senior secured loans and bonds issued mainly by sub-investment
grade borrowers. Rockford Tower Capital Management LLC manages the
transaction.

Environmental, social, and governance (ESG) factors

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

  Ratings List

  CLASS   RATING   AMOUNT (MIL. EUR)

  X       AAA (sf)     2.00

  A       AAA (sf)   248.00

  B       AA (sf)     40.40

  C       A (sf)      29.60

  D       BBB (sf)    24.00

  E       BB- (sf)    20.00

  F       B- (sf)     12.00

  Sub     NR          33.20

  NR--Not rated.


TIKEHAU CLO VI: Fitch Assigns Final B- Rating on Class F Tranche
----------------------------------------------------------------
Fitch Ratings has assigned Tikehau CLO VI DAC final ratings.

    DEBT                          RATING
    ----                          ------
Tikehau CLO VI DAC

A XS2417096398              LT AAAsf   New Rating
B-1 XS2417096554            LT AAsf    New Rating
B-2 XS2417096711            LT AAsf    New Rating
C XS2417096984              LT Asf     New Rating
D XS2417097107              LT BBB-sf  New Rating
E XS2417097362              LT BB-sf   New Rating
F XS2417097529              LT B-sf    New Rating
Subordinated XS2417097875   LT NRsf    New Rating

TRANSACTION SUMMARY

Tikehau CLO VI DAC is a securitisation of mainly senior secured
obligations (at least 92.5%) with a component of senior unsecured,
mezzanine, second-lien loans and high-yield bonds. Note proceeds
were used to purchase a portfolio with a target par of EUR400
million.

The portfolio is actively managed by Tikehau Capital Europe
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 assesses the
average credit quality of obligors in the 'B' category. The
Fitch-weighted average rating factor (WARF) of the identified
portfolio is 24.1.

High Recovery Expectations (Positive): At least 92.5% of the
portfolio will comprise senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch-weighted
average recovery rate (WARR) of the identified portfolio is 63.7%.

Diversified Asset Portfolio (Positive): The transaction includes
two Fitch matrices: (i) one effective at closing corresponding to
the top-10 obligor concentration limit at 22%, a fixed-rate asset
limit at 10% and an 8.5-year WAL and (ii) another one 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 also includes various concentration
limits, including a maximum exposure to the three-largest
Fitch-defined industries in the portfolio at 40%. These covenants
ensure 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): The WAL used for the transaction's
stressed-case portfolio analysis is 12 months less than the WAL
covenant at the issue date to account for the strict reinvestment
conditions envisaged by the transaction after its reinvestment
period. These include, among others, passing both the coverage and
the Fitch 'CCC' bucket limitation tests as well a WAL covenant that
progressively steps down over time, both before and after the end
of the reinvestment period. This ultimately reduces the maximum
possible risk horizon of the portfolio when combined with loan
pre-payment expectations.

RATING SENSITIVITIES

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

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

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

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

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

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

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

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

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

TORO EUROPEAN 7: S&P Affirms B- (sf) Rating on Class F Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to Toro
European CLO 7 DAC's class A-R to D-R notes. At the same time, S&P
affirmed its ratings on the existing class X, E, and F notes.

On Dec. 20, 2021, the issuer refinanced the original class A, B-1,
B-2, C, and D notes by issuing replacement notes of the same
notional.

The rating assigned to Toro European CLO 7's refinanced notes
reflect S&P's assessment of:

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

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

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

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

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

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

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

-- In S&P's cash flow analysis, it used the target par balance of
EUR320 million, the actual weighted-average spread, the actual
weighted-average coupon, and the actual weighted-average recovery
rates at each rating for all rating levels.

-- S&P applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

S&P said, "Following this analysis, we consider that the available
credit enhancement for the class A-R notes is commensurate with a
'AAA' rating. We have therefore assigned our 'AAA (sf)' rating on
this class of notes. Our credit and cash flow analysis indicates
that the available credit enhancement for the class B-1 to D notes
could withstand stresses commensurate with higher ratings than
those we have assigned. However, as the CLO is still in its
reinvestment phase, during which the transaction's credit risk
profile could deteriorate, we have capped our assigned ratings on
the notes. In our view the portfolio is granular in nature, and
well-diversified across obligors, industries, and assets. At the
same time, we have affirmed our ratings on the existing class X, E,
and F notes because the available credit enhancement is
commensurate with the currently assigned ratings.

"The Bank of New York Mellon, London Branch is the bank account
provider and custodian. We consider the documented downgrade
remedies to be in line with our counterparty criteria.

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

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

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

Environmental, social, and governance (ESG) factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. In the context of this refinancing, the
documentation is being supplemented with investment restrictions
based on ESG considerations. In particular, the documents prohibit
the manager from investing in activities related to thermal coal
mining or generation of electricity using coal (more than 30% of
revenues), manufacturing of tobacco products, controversial weapons
and illegal drugs, pornography, prostitution, human trafficking,
sexual violence against women, forced labor or child labor as
defined by the International Labour Organisation conventions,
severe environmental damage, and gross corruption, including
extortion and bribery. Since the exclusion of assets related to
these activities does not result in material differences between
the transaction and our ESG benchmark for the sector no specific
adjustments have been made in our rating analysis to account for
any ESG-related risks or opportunities."

Toro European CLO 7 DAC is a broadly syndicated collateralized loan
obligation (CLO) managed by Chenavari Credit Partners LLP.

  Ratings List

  RATINGS ASSIGNED

  CLASS   RATING    AMOUNT    REPLACEMENT   ORIGINAL    CURRENT
                              NOTES         NOTES       SUB (%)
                              INTEREST      INTEREST
                              RATE          RATE

  A-R     AAA (sf)  192.00    3-month       3-month      40.04
                              EURIBOR       EURIBOR
                              plus 0.81%    plus 1.15%

  B-1-R   AA (sf)    16.00    3-month       3-month      30.37
                              EURIBOR       EURIBOR
                              plus 1.95%    plus 2.10%


  B-2-R   AA (sf)    14.95    2.075%        2.10%        30.37

  C-R     A (sf)     21.30    3-month       3-month      23.72
                              EURIBOR       EURIBOR
                              plus 2.50%    plus 3.15%


  D-R     BBB (sf)   21.35    3-month       3-month      17.05
                              EURIBOR       EURIBOR
                              plus 3.60%    plus 4.50%

  RATINGS AFFIRMED

  CLASS    RATING     AMOUNT      NOTES' INTEREST RATE
                    (MIL. EUR)

  X        AAA (sf)     1.53     Three-month EURIBOR plus 0.55%

  E        BB- (sf)    22.40     Three-month EURIBOR plus 7.16%

  F        B- (sf)      7.45     Three-month EURIBOR plus 8.32%

The payment frequency switches to semiannual and the index switches
to six-month EURIBOR when a frequency switch event occurs.
EURIBOR--Euro Interbank Offered Rate.




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

INTER MEDIA: Fitch Lowers Notes Rating to 'B+', Outlook Stable
--------------------------------------------------------------
Fitch Ratings has downgraded Inter Media and Communication S.p.A.'s
notes to 'B+' from 'BB-'. The Outlook is Stable.

RATING RATIONALE

The downgrade reflects the deterioration of the consolidated
group's financial profile as a result of a reduction in revenue and
high player wages. Fitch's analysis is based upon the consolidated
group of Inter Milan, predominantly constituting F.C.
Internazionale Milano S.p.A. (TeamCo) and Inter Media and
Communication S.p.A. In Fitch's view, Inter Media's long-term
viability is linked to the performance of Inter Milan to ensure a
sustainable financial position.

The coronavirus pandemic and resulting restrictions have had a
significant impact on TeamCo, leading to reduced revenue as a
result of no/partial fan attendance at games since February
2020.This has coincided with a period of high player wages leading
up to the pandemic and significantly reduced commercial revenue
expected in the coming years, mostly as a result of reduced
international sponsorship. Overall this has reduced Inter Milan's
revenue diversity and created greater reliance upon on-pitch
performance.

There has also been a delay in collection of receivables from Asian
sponsors and a lack of flexibility for operating expenses, with an
increasing wage to revenue ratio of above 70%. Fitch forecasts this
will normalise in the medium term to below 60%, a benchmark that
Fitch considers reasonable for top European football clubs. The
recent liquidity pressures are now somewhat diminished, given the
receipt of shareholder loans, commitment of a shareholder facility,
and positive proceeds from player trading, although low
consolidated EBITDA and negative cashflow generation increases
reliance upon ongoing shareholder support and the ability to reduce
player wages

The Stable Outlook reflects Fitch's expectation that MediaCo's
notes will be refinanced in 1Q22.

KEY RATING DRIVERS

Prestigious League with access to UCL - League Strength/Business
Model: 'Midrange'

Serie A is the fourth most valuable football league in Europe by
annual revenue and the distribution mechanics of league broadcast
rights allow a largely stable base revenue stream, regardless of
league position. Broadcast rights for Serie A are already renewed
for 2021-2024 and the new contract signed in April 2021 reflects
the ongoing impact from the pandemic. Overall, Inter Milan's
position will remain to the previous contract and generate between
EUR85 million-EUR90 million per year subject to performance.

The league also benefits from the top four finishing positions
allowing access to the lucrative UEFA Champions League (UCL)
competition, which Inter Milan has competed in for the past four
seasons. The UCL carries significant broadcast revenue for
participating teams and increases exposure to international
audiences.

The league's competitiveness is supported by UEFA Financial Fair
Play (FFP) regulations, which monitor the club's financial
sustainability, among other parameters. While UEFA's ability to
strictly enforce FFP rules is in doubt, the sustainability of
European football has improved, in part due to the regulations.

Iconic European Football Team - Franchise Strength: 'Stronger'

Inter Milan has a 114-year history and historically the highest
attendance in the Italian football league. It also has a history of
strong performance having won 19 leagues and three UEFA cups and
three UCL trophies. In 2020-21 Inter Milan won the domestic league
for the first time since 2009-10. The club is also the only one in
Italy that has never been relegated out of Serie A.

While Milan has two main clubs (AC Milan and Inter Milan), the
large metropolitan area and business capital of Italy is largely
economically supportive of both clubs. It is also the most populous
metropolitan area (over 7.5 million people) and the wealthiest
region in Italy.

The club had improved its revenue income diversity over the past
years due to increased commercial revenues, aiming to create less
reliance on media revenue. However, some contracts with Asian
sponsors expired at the end of the 2018-19 and 2020-21 seasons and
have not been replaced, reducing revenue diversification.

Historic but Dated Stadium - Infrastructure Development/Renewal:
'Midrange'

Inter Milan plays at San Siro, a renowned stadium in Milan of
around 76,000 seats that belongs to the city. The stadium is one of
the largest in Europe and the largest in Italy and is also home to
AC Milan. Inter Milan has a concession until 2030 with rental
payments, shared 50% with AC Milan, amounting to around EUR4
million per year for Inter alone. Inter Milan typically offsets the
rental payment with capex work agreed with the city at around EUR3
million per year.

Although the stadium is old, it is considered a UEFA category-four
stadium, the highest possible, despite lacking modern facilities
and the large number of executive suites of modern European
stadiums.

Significant Refinancing Risk - Debt Structure: Weaker

Debt is senior at Inter Media, mainly bullet and carries
refinancing risk, given the upcoming maturity in December 2022. On
a consolidated basis, the group also has access to a EUR50 million
revolving credit facility, which is fully drawn down.

Fitch's analysis is based on a consolidated approach to Inter Media
and TeamCo. However, the structural features at Inter Media create
protection for investors to limit their exposure to operating risk
at TeamCo. The cashflow waterfall at Inter Media gives investors a
senior claim on pledged revenues, with only a small portion of
Inter Media's operating costs falling above investors' in the
waterfall. This ensures payments are made to investors and reserve
accounts are funded before any distributions are made to TeamCo.

While this is a beneficial feature, Fitch considers refinancing
risk is broadly linked to the consolidated group's performance, a
feature that was highlighted by the suspension of Serie A due to
the pandemic. Therefore, limited benefit is given to structural
protections on a consolidated basis, although Fitch applies a
rating uplift to Inter Media's notes through the application of
Fitch's Parent Subsidiary Linkage Criteria (PSL).

PSL Criteria

Inter Milan controls Inter Media, which contributes roughly 30% of
TeamCo's FY21 (financial year ending June) revenue (unadjusted).
Ring-fencing provisions at Inter Media restrict TeamCo's access to
Inter Media cashflows under certain conditions, although these
restrictions offer limited protection to bondholders given the
bullet maturity of the debt. Under the PSL criteria, Fitch
therefore assesses the 'Access & Control' of Inter Milan to Inter
Media as 'Open' with 'Porous' legal ring-fencing, leading to the
single notch rating uplift compared with the consolidated credit
profile.

Financial Profile

Fitch's financial forecast highlights the deterioration in
financial profile, with negative EBITDA expected in FY22 and under
the Fitch Rating case, Fitch-adjusted net debt/EBITDA reaching 21x
in FY23 followed by 9.5x in FY24.

PEER GROUP

Inter Media has one peer publicly rated by Fitch, Futbol Club
Barcelona (FCB, BBB-/Stable). It is a rating on FCB's private
placement instrument and is also rated on a consolidated basis.
Both clubs have similar assessments for league ('Midrange'),
franchise ('Stronger') and infrastructure renewal ('Midrange').
Although Inter Milan and FCB have a 'Stronger' assessment for
franchise, FCB has a far bigger fan base, significantly stronger
and more diverse revenue generation, and in Fitch's view, a
stronger global brand. Inter Media also has a 'Weaker' debt
structure assessment, compared with FCB's 'Midrange', due to the
concentrated bullet maturity compared with FCB's staggered debt
maturities. FCB's financial profile is also significantly stronger
under Fitch's rating case, with significantly lower leverage by
FY23 when compared with Inter Milan's Fitch-adjusted net
debt/EBITDA of 21x in FY23.

RATING SENSITIVITIES

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

-- Deterioration in Fitch-adjusted net debt/EBITDA to above 7.5x
    on a sustained basis as a result of reduced revenue stability,
    increased costs or material increase of player trading
    expenses.

-- Delay in refinancing of MediaCo's notes given upcoming
    maturity in December 2022.

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

-- Fitch-adjusted net debt/EBITDA sustainably below 6.5x as a
    result of sustained period of high revenue, improved
    diversification of revenue streams and evidence of prudent
    cost management, provided there is a clearer view on medium-
    term wages/revenue ratio and player trading.

BEST/WORST CASE RATING SCENARIO

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

FINANCIAL ANALYSIS

Fitch analyses the club on a consolidated basis and focuses on
Fitch-adjusted net debt/EBITDA as the primary metric. As part of
Fitch's financial analysis Fitch has updated its assumptions to
reflect the latest financial and on-pitch performance,
participation in international competitions, expectation for
stadium attendance, player salaries and net player trading. As part
of this update Fitch has also reflected management's latest
business plan and the loss of Asian sponsorship agreements. This
leads to less diverse revenue and greater reliance upon on-pitch
performance. In particular, there is now greater reliance upon
qualification to the UEFA Champions League, which Fitch does not
assume on an ongoing basis in the Fitch rating case.

The updated financial analysis results in low cash flow generation
and negative EBITDA in FY22 leading to significantly increased
leverage. Under the Fitch rating case, Fitch-adjusted net
debt/EBITDA reaches 21x in FY23 followed by 9.5x in FY24.

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.



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

CODERE LUXEMBOURG: S&P Assigns 'CCC+' ICR, Outlook Negative
-----------------------------------------------------------
S&P Global Ratings has withdrawn its 'SD' rating on Codere S.A.,
while assigning its 'CCC+' rating to Codere Luxembourg 2 and its
EUR482 million of super senior notes, which include the recent
EUR128.9 million new issuance and outstanding EUR353.1 million. The
recovery rating of '3' reflects its expectation of 50%-70% recovery
in a default scenario.

S&P also raised its issue rating on Codere's currently outstanding
EUR201.2 million senior notes to 'CCC-' from 'D', reflecting the
enacted debt restructuring. The recovery rating is '6', indicating
negligible recovery in the event of a payment default.

The rating actions follow the implementation of Codere S.A.'s
restructuring agreement as of Nov. 30, 2021.

Codere S.A. launched a consent solicitation and exchange offer on
Sept. 17, to implement the restructuring agreed with the majority
of its noteholders in April. Under the agreement, a new holding
structure has been created, and existing bondholders now own 95% of
Codere New TopCo S.A.'s equity, with existing shareholders
maintaining the remaining 5%. S&P expects Codere S.A. to be
liquidated over the next few months. The agreement also includes:

-- The issuance of additional senior notes, backed by original
lenders from the ad hoc committee, to bolster liquidity by about
EUR225 million. This includes EUR100 million of notes issued in
April and May of 2021 and EUR125 million issued earlier in
November, as part of the implementation of the agreement.

-- Amendments to the terms of Codere's outstanding super senior
notes, including extending its maturity to Sept. 30, 2026 and an
amendment to interest, which will now include cash and payment in
kind (PIK) components. Following the transaction, the amount of
super senior debt at Codere Luxembourg 2 is expected to be about
EUR482 million.

-- Amendments to the terms of Codere's senior notes (originally
EUR500 million and $300 million), including an extension of
maturity to Nov. 30, 2027, and an amendment to interest, which will
now include a minor cash component and a material PIK component,
split into euro and dollar tranches. The amendments establish that
part of these senior notes will be reinstated (about EUR133 million
and $81 million) and part will be exchanged into subordinated PIK
notes (EUR228 million), also due on Nov. 30, 2027. S&P notes that
although the PIK notes will sit outside the restricted group, its
adjusted metrics consolidate the PIK into our analysis, since they
do not comply with our criteria to receive equity treatment.

S&P said, "Codere recently agreed to spin off its online business,
which, in our view, is credit neutral. Codere Online has merged
with DD3 Acquisition Corp. II, a special-purpose acquisition
company, which in turn was listed on the U.S. Nasdaq stock market.
The transaction values Codere Online at $350 million. Codere
Online's current management will continue operating the business.
We understand the cash proceeds amounted to $116 million, about $40
million higher than the minimum transaction proceeds envisaged. In
our base case, we do not consider any additional proceeds to Codere
as part of the Codere Online transaction, so we view it as credit
neutral. We understand the proceeds will be used to fund marketing
expenditure, technology platform improvements, and new market entry
costs. As part of the transaction, Codere will maintain a 66.5%
ownership stake in Codere Online and continue to consolidate it.
According to our ratios and adjustments criteria, we will follow
the group's scope of consolidation, including a full consolidation
of Codere Online, despite the economic interest of the group being
comfortably lower than our threshold. We note that the group's
EBITDA is expected to be negative this year and next. Should the
materiality of Codere Online's operations increase over time, we
may reassess the consolidation approach relative to the group's
intentions for its ownership stake and also whether a full
consolidation of a sizable minority portion continues to accurately
reflect the financial standing and performance of the consolidated
Codere group.

"For 2022, we expect Codere will continue posting very weak
earnings after pandemic-related restrictions affected results well
into the third quarter of 2021. We see the situation progressively
improving, with ongoing easing of restrictions in Codere's key
markets, particularly in Argentina, Mexico, and Italy. Still, we
acknowledge the volatility embedded in the Latin American markets
and expect recovery to be very gradual over the next two years. We
expect to see limited mobility restrictions in 2022, but we expect
the company will still lag prepandemic revenue levels, with notable
capital expenditure (capex) investments, including for upcoming
license renewals in Argentina and Italy.

"We believe Codere's pro forma capital structure will remain
unsustainable in the medium term with a limited liquidity buffer,
despite expectations that its operating performance will
progressively improve. Despite the current proposed debt
restructuring and the additional funding expected, we believe that
Codere's pro forma capital structure will remain unsustainable in
the medium term and its liquidity and covenants could come under
pressure in the near term if the company does not markedly improve
its performance. In our view, the company's EBITDA growth prospects
are still subject to volatility and subdued growth over the next
12-24 months, resulting in significant cash burn for the next few
years while its debt will rapidly accrue, considering the PIK
component.

"We assess Codere's liquidity as less than adequate due to our
expectations that liquidity sources might not be sufficient to
comfortably cover uses over the next 12 months. The expected
additional funding will ease Codere's liquidity pressure in the
short term, but covenant headroom under the documentation is
expected to be tight over the next 12 months. We note that Codere's
weak operating environment, together with its investment needs,
including gaming license renewals, and negative working capital,
will result in considerable cash burn over at least the next 12-24
months.

"Codere has one liquidity covenant under its senior notes
documentation that requires the company to keep a minimum of EUR40
million cash, cash equivalents, and undrawn committed financing,
tested monthly until December 2022. In our view, Codere's headroom
under its covenant over the next 12 months could be below 10%,
absent favorable operating performance and metrics in line with our
base case. We note that the cash at Codere Online is restricted and
not part of the calculation for covenant purposes. We also note
that the company does not have a revolving credit facility and,
under the current debt documentation and local debt levels, it can
incur a maximum of EUR25 million additional super senior debt,
EUR75 million under the general debt basket, and EUR25 million of
additional non-guarantor local debt.

"The lack of hedging increases the volatility of future
profitability and cash flows. Our rating incorporates Codere's
current lack of hedging against the risk of currency fluctuations
stemming from its significant exposure to Latin American markets.
We note Codere has had a long history of excessive debt that was
exacerbated by currency fluctuations in its Latin American markets,
particularly in Argentina. Pro forma the restructuring, about 90%
of Codere's debt will be denominated in euros while only about 30%
of EBITDA will be generated in euros. The lack of currency hedging
adds uncertainty to our profitability and cash flow generation
forecasts.

"The negative outlook indicates that we could downgrade Codere over
the next 12 months if we believe the company faces a near-term
default scenario due to operational underperformance leading to
insufficient liquidity, a distressed debt purchase, or further debt
restructuring. Considering Codere's still relatively tight
liquidity and high leverage, we believe the company has very little
room for underperformance against our base case."

S&P could lower the ratings if it expects:

-- Profitability, cash flows, and liquidity to decline because of
operational missteps such that the company is unable to meet its
fixed costs, including debt service and capital spending;

-- EBITDA cash interest coverage declines below 1.5x; and/or

-- The company undertakes a balance-sheet restructuring or a
distressed debt exchange.

S&P said, "We could revise the outlook to stable if improved
business or economic conditions led the company to reduce financial
leverage to a more sustainable level, such that S&P Global
Ratings-adjusted debt to EBITDA improved and stood well below 8x.
For such a scenario to occur, we would expect notable revenue and
profitability growth, without any additional debt."

-- Environmental, Social and Governance


LUNA III: Fitch Assigns Final 'BB' LT IDR, Outlook Stable
---------------------------------------------------------
Fitch Ratings has assigned Luna III S.a.r.l a final Long-Term
Issuer Default Rating (IDR) of 'BB' with Stable Outlook. Fitch has
also assigned Luna's EUR1,250 million term loan (TLB) a final
senior secured rating of 'BB+' with a Recovery Rating of 'RR2'.

The assignment of the final ratings follows the completion of the
acquisition of Urbaser S.A. (Sociedad Unipersonal) by Platinum
Equity in October 2021, in line with Fitch's expectations. Luna, a
vehicle that Platinum Equity used to raise the acquisition funding,
became the parent of Urbaser S.A. (Sociedad Unipersonal) after the
acquisition.

Luna's 'BB' IDR reflects the transaction-driven re-leverage above
Fitch's negative sensitivity of 5.2x for 2021-2022. The company's
strengths are a stable and predictable revenue stream backed by
long-term waste contracts with municipalities that carry limited
volume and price risk. The contracts are largely in Spain. The
business is complemented by shorter-term and more volatile
contractual revenue with industrial and commercial (I&C)
counterparties.

The Stable Outlook reflects its expectations of a return of the
heightened initial leverage metrics to within Fitch's guidelines by
2023, failure of which may result in a negative rating action.

KEY RATING DRIVERS

Transaction Completed, Re-Leverage in Place: Platinum Equity said
the Urbaser purchase was completed at the end of October 2021,
shortly after the syndication of the TLB, resized to EUR1,250
million and priced at 475bp. The transaction values Urbaser at
EUR3.3 billion in enterprise value. Urbaser carries on its balance
sheet part of the outflows needed to finance the acquisition and
sizable transaction fees.

The initial re-leverage is partially offset by the monetisation of
several carve-out adjustments of shareholdings and subordinated
loans related to entities that fall outside the scope of Luna's
rating, and which shall be sold back to Urbaser's previous owner
China Tianying, Inc. The carve-outs have a mildly positive effect
on Luna's credit risk profile.

Instrument Rating Above IDR: The 'BB+'/'RR2' rating on the TLB is
one notch above Luna's Long-Term IDR. The loan constitutes senior
secured obligations of Luna. TLB lenders benefit from guarantees by
group entities representing at least 80% of Luna's consolidated
EBITDA, as well as pledges over material bank accounts and
inter-company receivables. Structural subordination of holding
company (holdco) lenders is thus sufficiently mitigated.

Solid Growth and Contract Wins: Urbaser expects revenue to rise by
6%-10% in 2021, after an increase in 1H21. The company expects the
growth to be driven by the urban services business due to a
positive net churn in contracts. In waste treatment, normalisation
of demand from a pandemic-related low and a recovery of commodity
prices will also support revenue. In 2021, Urbaser was awarded with
two lots worth EUR0.5 billion of the six-year street-cleaning
concession contract with the City of Madrid. It also won contracts
for urban services in India and Ecuador this year.

Shareholder Support Key for Deleveraging: The acquisition implies
an increase in Luna's consolidated net debt (Fitch-adjusted,
excluding leases) of around EUR400 million, compared with current
debt at Urbaser group (pre-transaction), leading to a peak in funds
from operations (FFO) net leverage at 5.6x by end-2022. Fitch
forecasts Luna to return to within Fitch's rating sensitivity of
5.2x by end-2023 on consistent deleveraging, fuelled by operating
improvements and absence of dividends.

Platinum has indicated to Fitch its commitment to deleverage from
the high 4.2x net debt/structuring EBITDA (as adjusted by the
shareholder) at transaction closing, but has given no target. Fitch
expects Platinum to pursue such deleveraging during its investment
horizon of four to five years.

Targeting Larger Efficiencies: Platinum will introduce an
efficiency program to improve the cost structure and ESG profile of
Luna, which will be mainly linked to procurement, working-capital
management and workforce productivity. Platinum expects operational
improvements on average of EUR35 million a year in 2022-2025 (or
about 2% of the cost base in 2020), which Fitch sees as achievable
given Platinum's record. In Fitch's rating case Fitch incorporates
the bulk of expected improvements, net of the operating spending
and capex related to the efficiency program.

Resilient Business Model, Limited Volatility: Luna is an integrated
waste operator. Its business model provides good cash-flow
stability and revenue predictability in the medium term. Long-term
contracts with municipalities formed 78% of total EBITDA in 2020.
The rest of EBITDA was from short-term contracts with I&C
customers, which are more volatile. Revenue has proven to be
resilient through the economic cycle, including during the Covid-19
pandemic, with some limited volatility largely associated with
uncontracted waste-treatment volumes.

Long-Term Contractual Base: Urbaser's backlog of contracts by
end-2020 covered almost six years of revenue, with an average
standard contract duration of around seven years for waste
collection and 12 years for waste treatment. The contract renewal
rate averaged 87% in 2014-2020 (2020: 86%), reflecting Urbaser's
strong market position, high barriers to entry and valued
technological capabilities in waste treatment.

Moderate Concentration, Country Risk: Concentration risk is lower
than sector peers', with the top-20 contracts at around 28% of
total revenue and a revenue-weighted residual life of 10 years.
Urbaser's contractual base is very granular for the remaining 72%.
Luna has a moderate presence in Argentina (7% of total revenue in
2020), with risks related to hyperinflation and currency
depreciation being partially offset by contract indexation clauses
(revised every three months) and Argentinian peso-denominated
debt.

DERIVATION SUMMARY

Luna's IDR is supported by a strong business profile that compares
favourably with most peers', while higher leverage weighs on the
waste operator's 'BB' rating.

Fitch sees local competitor, FCC Servicios Medio Ambiente Holding,
S.A.U. (FCC MA; BBB-/Stable), as the closest peer for Luna. Fitch
sees lower business risk for FCC MA due to its stronger integrated
market position in Spain and the better credit quality of its
international operations, which are partially offset by Luna's
higher margins. However, Luna's new strategy of refocusing on
organic growth and developed countries will narrow the
debt-capacity differential between the two. Currently, FCC MA's
significantly lower leverage explains the bulk of the two-notch
difference.

Seche Environnement S.A. (BB/Stable) is a small French waste
operator that specialises in the niche markets of material
recovery, energy recovery and hazardous waste management. Seche's
smaller scale, lower share of contracted revenue and higher
exposure to industrial customers drive the lower debt capacity
compared with Luna. However, this is mitigated by Seche's lower
leverage metrics and exposure to activities with higher barriers to
entry due to stricter regulations.

Compared with integrated global leaders like Veolia Environement
S.A. (BBB/Stable), Luna is significantly smaller and less
geographically diversified. Luna also lacks meaningful
diversification into low-risk water activities that are a credit
strength for Veolia. However, Veolia has worse credit metrics than
Luna. Overall, the difference in ratings reflects Luna's weaker
business risk that is not entirely offset by a slightly better
financial profile.

KEY ASSUMPTIONS

-- Capital structure as indicated by the company, based on the
    transaction's purchase price and debt structure at closing,
    and including the related carve-outs;

-- Stable waste volumes and price growth to 2025, in line with
    CPI forecasts and foreign exchange of countries of operations;

-- Renewal rate of 83.6% for waste collection contracts and 90%
    for waste treatment to 2025;

-- New contract awards only in 2021-2022, adding on average EUR65
    million of revenue in these two years;

-- EBITDA margin on average at around 16% for 2021-2025;

-- Capex on average at EUR231 million per year for 2021-2025;

-- No M&A until 2025;

-- No dividend distributions until 2025;

-- Restricted cash of EUR40.4 million linked to project-finance
    reserve accounts, overseas blocked cash and working-capital
    needs.

RATING SENSITIVITIES

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

-- Deleveraging leading to FFO net leverage below 4.4x and FFO
    interest coverage above 3.5x on a sustained basis;

-- Positive-to-neutral FCF.

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

-- Failure to deleverage below 5.2x by 2023;

-- FFO interest coverage below 2.5x on a sustained basis;

-- Material changes to concessions or public-contract agreements
    or regulatory frameworks, to the extent that such changes are
    not financially favourable.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Healthy Liquidity: Luna's liquidity position and debt structure
have been enhanced at transaction closing by the long-term
structure of the financing package. Fitch assumes that around
EUR640 million of Urbaser's existing debt (excluding lease
liabilities), largely project-finance debt, have been rolled over
at closing.

Cash at closing in October 2021 estimated at EUR250 million (before
usual adjustments made by Fitch) and available committed credit
facilities of EUR340 million maturing in 2027 are sized to cover
Luna's capex plan until 2025. Luna is a highly cash-generative
business, so cash will accumulate on the balance sheet from 2022
despite the high capex in 2021-2022 and in the absence of dividends
payments and M&A. Its EUR1,250 million term loan has a bullet
structure and matures in 2028.

Improved Debt Structure: Following the transaction closing, around
60% of the debt is placed at the holdco level. As per the senior
facilities documentation, the senior facilities are guaranteed by
material subsidiaries jointly representing around 80% of
consolidated EBITDA. The financing documentation is covenant-lite,
providing limited covenant protection to creditors, in Fitch's
view.

ISSUER PROFILE

Luna is Platinum's vehicle for the acquisition of Urbaser and the
entity against which the acquisition funding has been raised.

Urbaser is a leading Spanish integrated waste-management company
that provides domestic waste collection and street-cleaning
services (42% of consolidated 2020 EBITDA) as well as solid
waste-treatment activities (54%) largely to municipalities and
secondarily to I&C clients. Around 66% of the business is domestic,
with the remainder in France, the Nordic countries, Latin America
and the Middle East.

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.



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

BFA TENEDORA: S&P Alters Outlook to Stable, Affirms 'BB+/B' ICR
---------------------------------------------------------------
S&P Global Ratings revised its outlook on Spain-based BFA Tenedora
de Acciones S.A.U (BFA) to stable from negative and affirmed its
'BB+/B' long- and short-term issuer credit ratings on the entity.

The outlook revision to stable reflects the easing of downside
risks for BFA's main investee, Caixabank. The integration of Bankia
into Caixabank is progressing smoothly and at a good pace, 13
months after the merger's announcement, with the IT migration
completed in November 2021. Caixbank's 2021 results have also been
stronger than S&P anticipated, primarily due to lower credit
provisions after potential asset quality problems from the pandemic
did not emerge. Furthermore, although the bank's capital remains
only adequate, it has been strengthened with one-off initiatives
such as the issuance of a EUR750 million Additional Tier 1
instrument in September 2021 and the sale of its capital-consuming
investment in Austrian Erste Bank. Both of these provided an extra
buffer to deal with a potential deterioration in economic
conditions, were that to occur.

S&P said, "We continue to rate BFA three notches below Caixabank's
'bbb+' SACP, which is currently lower than the issuer credit
rating. This is because BFA's main asset is its investment in
Caixabank, and thus its earnings depend on the discretionary
dividends Caixabank distributes to shareholders. This makes BFA's
creditors structurally subordinated to Caixabank's. BFA has little
influence on Caixabank's decisions on dividend distribution, given
it only holds a minority 16% interest in Caixabank and has very
limited representation on the board of directors. Additionally,
since Caixabank is a regulated entity, there always exists the risk
of the regulator preventing the distribution of dividends in a
stress scenario. We also factor into our assessment BFA's limited
debt outstanding--comprising largely short-term repurchase
agreements (repos) for about EUR0.9 billion--and our expectation
that debt will decline over time. This is because the company is in
run-down mode and its balance sheet should not grow to encompass
other assets. We also think BFA has enough liquidity to meet its
limited cash-flow needs. In addition to its cash buffers, we note
that CaixaBank's shares are highly liquid and BFA could liquidate
its stake in Caixabank to repay debt, if necessary. Such a
transaction would cover BFA's short-term repo obligations by about
3.6x-4.0x (higher than our 3.0x threshold).

"The stable outlook on BFA reflects our expectation of limited
changes ahead to the factors supporting the current rating, neither
the stand-alone creditworthiness of Caixabank, to which the rating
of BFA is linked, nor BFA's credit metrics."

S&P could lower the ratings on BFA if:

-- CaixaBank's stand-alone creditworthiness weakened, which could
happen if economic risks in Spain heightened--resulting in more
stretched capital at the bank--or if Caixabank failed to extract
value from the integration of Bankia; or

-- BFA's credit metrics were to deteriorate significantly, either
because part of its capital base was depleted due to a loss in the
market value of its investment in Caixabank or because its debt
increased materially, such that the potential liquidation of BFA's
stake in CaixaBank would no longer be sufficient to cover it.
Although less likely, it could also occur if BFA's shareholders
changed their stance toward BFA's business model (particularly
regarding its growth and dividend upstreaming).

An upgrade is remote.


[*] Fitch Affirms CCC Rating on 3 Tranches
------------------------------------------
Fitch Ratings has upgraded seven tranches of four Spanish RMBS
transactions, and affirmed the others. Three tranches have been
removed from Rating Watch Positive (RWP).

       DEBT                      RATING           PRIOR
       ----                      ------           -----
IM Caja Laboral 2, FTA

Class A ES0347552004        LT AAAsf  Affirmed    AAAsf
Class B ES0347552012        LT A+sf   Affirmed    A+sf
Class C ES0347552020        LT BB-sf  Upgrade     Bsf

IM Caja Laboral 1, FTA

Class A ES0347565006        LT AAAsf  Affirmed    AAAsf
Class B ES0347565014        LT AAAsf  Upgrade     AA+sf
Class C ES0347565022        LT AA+sf  Upgrade     A+sf
Class D ES0347565030        LT Asf    Upgrade     A-sf
Class E (RF) ES0347565048   LT CCCsf  Affirmed    CCCsf

MBS Bancaja 3, FTA

Series A2 ES0361796016      LT AAAsf  Affirmed    AAAsf
Series B ES0361796024       LT AA+sf  Affirmed    AA+sf
Series C ES0361796032       LT AA-sf  Affirmed    AA-sf
Series D ES0361796040       LT A+sf   Upgrade     A-sf
Series E ES0361796057       LT CCCsf  Affirmed    CCCsf

MBS Bancaja 4, FTA

Class A2 ES0361797014       LT AAAsf  Affirmed    AAAsf
Class B ES0361797030        LT A+sf   Affirmed    A+sf
Class C ES0361797048        LT A+sf   Upgrade     A-sf
Class D ES0361797055        LT A+sf   Upgrade     BBBsf
Class E ES0361797063        LT CCCsf  Affirmed    CCCsf

TRANSACTION SUMMARY

The transactions comprise fully amortising Spanish residential
mortgages serviced by Caja Laboral Popular Cooperativa de Credito
(BBB+/Stable/F2) for IM Caja Laboral 1 and 2, and by CaixaBank,
S.A. (BBB+/Stable/F2) for MBS Bancaja 3 and 4.

KEY RATING DRIVERS

Performance Outlook and Removal of Additional Stresses: The rating
actions reflect the broadly stable asset performance outlook Fitch
has for the securitised portfolios driven by the low share of loans
in arrears over 90 days (less than 0.5% for IM Caja Laboral 1 and 2
and less than 1.5% for MBS Bancaja 3 and 4 of the current portfolio
balance as of the latest reporting dates) and the improved
macro-economic outlook for Spain, as described in Fitch's latest
Global Economic Outlook dated December 2021.

The rating analysis reflects the removal of the additional stresses
in relation to the coronavirus outbreak and legal developments in
Catalonia as announced on 22 July 2021 (see "Fitch Retires EMEA
RMBS Coronavirus Additional Stress Scenario Analysis, Except UK
Non-Conforming", "Fitch Retires Additional Stress Scenario Analysis
for Spanish RMBS Linked to Catalonia Decree Law", and "Fitch Places
or Maintains 121 EMEA RMBS Ratings on RWP on Additional Stress
Scenario Retirement" at www.fitchratings.com).

Credit Enhancement Trends: The upgrades and affirmations reflect
Fitch's view that the notes are sufficiently protected by credit
enhancement (CE) to absorb the projected losses commensurate with
higher and prevailing rating scenarios. For IM Caja Laboral 1 and
2, Fitch expects CE ratios to remain broadly stable due to the
pro-rata amortisation of the notes currently in place for IM Caja
Laboral 2 and soon to occur for IM Caja Laboral 1.

MBS Bancaja 3 and 4 transactions are currently amortising
sequentially and building CE for the notes. However, pro-rata
amortisation is very likely to occur on the next payment dates that
apply a reverse sequential amortisation of the notes and a reserve
fund reduction, which will produce CE reduction down to a
percentage that is around twice the initial CE protection. The
rating analysis has taken into account the current and projected CE
ratios, commensurate with the rating actions.

For all the transactions, the notes will amortise strictly
sequentially when the outstanding portfolio balance represents less
than 10% of their original amount (currently 12.5% for Bancaja 3,
14.9% for Laboral 1, 15.4% for Bancaja 4 and 43.5% for Laboral 2).

Risky Portfolio Attributes: For MBS Bancaja 3 and 4, the portfolios
are materially exposed to loans for the acquisition of second homes
(around 35% and 80% for MBS Bancaja 3 and 4 portfolio balances as
of latest reporting dates), which are considered riskier than loans
for the purchase of first residences, and are therefore subject to
a foreclosure frequency (FF) adjustment of 150%, in line with
Fitch's European RMBS rating criteria. Moreover, the portfolios are
exposed to loans granted to self-employed borrowers (more than 20%)
and loans originated via third-party brokers (in range of 13% and
18%), features that carry a FF adjustment of 170% and 150%,
respectively.

To address the regional concentration risk of the portfolios
(mainly the Basque region for IM Caja Laboral 1 and 2, and Valencia
for MBS Bancaja 3 and 4), Fitch applies higher rating multiples to
the base FF assumption to the portion of the portfolios that exceed
two and a half times the population within these regions relative
to the national count.

Ratings Capped by Counterparty Risks: MBS Bancaja 3 and 4 class D
notes' ratings are capped at the SPV transaction account bank
provider's Issuer Default Rating (IDR; Citibank Europe Plc,
A+/Stable/F1) as the transactions' cash reserves held at this
entity represent the main source of structural CE for these
tranches. The rating cap reflects the excessive counterparty
dependence on the SPV transaction account banks holding the cash
reserves, as the sudden loss of these amounts could imply a
downgrade of 10 or more notches of the notes in accordance with
Fitch's Structured Finance and Covered Bonds Counterparty Rating
Criteria.

Payment Interruption Risk Mitigated: Fitch views the transactions
as sufficiently protected against payment interruption risk. In a
scenario of servicer disruption, liquidity sources provide
sufficient buffer to mitigate liquidity stresses on the notes
covering senior fees, net swap payments (if any) and interest
payment obligations on the senior securitisation notes during at
least three months, a period Fitch views as sufficient to implement
alternative servicing arrangements.

RATING SENSITIVITIES

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

-- For the notes that are rated at 'AAAsf, a downgrade of Spain's
    Long-Term IDR that could decrease the maximum achievable
    rating for Spanish structured finance transactions.

-- For MBS Bancaja 3 and MBS Bancaja 4 class D notes, a downgrade
    of the SPV account bank's IDR could trigger a downgrade of the
    notes. This is because the notes' ratings are capped at the
    bank's rating given the excessive counterparty risk exposure.

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

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

-- The notes that are rated 'AAAsf' are at the highest level on
    Fitch's scale and cannot be upgraded.

-- For the mezzanine and junior notes, CE increases as the
    transactions deleverage sufficient to fully compensate for the
    credit losses and cash flow stresses that are commensurate
    with higher rating scenarios.

-- For MBS Bancaja 3 and MBS Bancaja 4 class D notes, an upgrade
    of the SPV account bank's IDR could trigger an upgrade of the
    notes. This is because the notes' ratings are capped at the
    bank's rating given the excessive counterparty risk exposure.

BEST/WORST CASE RATING SCENARIO

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

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

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

DATA ADEQUACY

For IM Caja Laboral 1 and 2: Fitch has checked the consistency and
plausibility of the information it has received about the
performance of the asset pools and the transactions. Fitch has not
reviewed the results of any third- party assessment of the asset
portfolio information or conducted a review of origination files as
part of its ongoing monitoring. Fitch did not undertake a review of
the information provided about the underlying asset pools ahead of
the transactions' initial closing. The subsequent performance of
the transactions over the years is consistent with the agency's
expectations given the operating environment and Fitch is therefore
satisfied that the asset pool information relied upon for its
initial rating analysis was adequately reliable. Overall, Fitch's
assessment of the information relied upon for the agency's rating
analysis according to its applicable rating methodologies indicates
that it is adequately reliable.

For MBS Bancaja 3 and 4: Fitch has checked the consistency and
plausibility of the information it has received about the
performance of the asset pools and the transactions. There were no
findings that affected the rating analysis. Because the latest
loan-by-loan portfolio data sourced from the European Data
Warehouse did not include information about property occupancy
status, Fitch assumed a 34.6% and 80.3% of the portfolio for MBS
Bancaja 3 and 4 respectively to be linked to second homes
consistent with the exposure reported as of transactions closing
dates. This assumption is considered adequate as the granular
portfolios comprise fully amortising loans so the exposure to
second homes is expected to remain stable over time.

Fitch has not reviewed the results of any third-party assessment of
the asset portfolio information or conducted a review of
origination files as part of its ongoing monitoring. Fitch did not
undertake a review of the information provided about the underlying
asset pools ahead of the transactions' initial closing. The
subsequent performance of the transactions over the years is
consistent with the agency's expectations given the operating
environment and Fitch is therefore satisfied that the asset pool
information relied upon for its initial rating analysis was
adequately reliable. Overall and together with the 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.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The ratings of MBS Bancaja 3 and 4 class D notes are credit-linked
to the transaction account bank provider's Long-Term IDR,
reflecting the excessive counterparty exposure as per Fitch
Structured Finance and Covered Bonds Counterparty Rating Criteria.

ESG CONSIDERATIONS

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



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

BLOOMBERG: S&P Assigns 'Bf/S4' Rating on ST High Yield Bond ETF
---------------------------------------------------------------
S&P Global Ratings has assigned fund credit quality ratings (FCQR)
and fund volatility ratings (FVR) to 19 exchange-traded funds
(ETFs), managed by SSGA Funds Management Inc., a subsidiary of
State Street Global Advisors (SSGA) Inc. The collection of SSGA
SPDR fixed-income ETFs are passively managed and employ a
stratified sampling approach across a variety of investment
strategies depending on their underlying index, with each ETF
classified as a diversified investment company under the 1940 Act
and denominated in U.S. dollars.

The fund credit quality and fund volatility ratings have been
assigned to the following list of ETFs:

-- SPDR® Bloomberg Investment Grade Floating Rate ETF (FLRN):
'Af/S1'

  -- SPDR® Portfolio Short Term Corporate Bond ETF (SPSB):
'BBB+f/S1'

-- SPDR® Portfolio Intermediate Term Corporate Bond ETF (SPIB):
'BBB+f/S2'

-- SPDR® Bloomberg Short Term High Yield Bond ETF (SJNK):
'Bf/S4'

-- SPDR® Bloomberg High Yield Bond ETF (JNK): 'B+f/S4'

-- SPDR® Bloomberg 1-3 Month T-Bill ETF (BIL): 'AAAf/S1+'

-- SPDR® Portfolio Short Term Treasury ETF (SPTS): 'AA+f/S1'

-- SPDR® Portfolio Intermediate Term Treasury ETF (SPTI):
'AA+f/S3'

-- SPDR® Portfolio Long Term Treasury ETF (SPTL): 'AA+f/S5'

-- SPDR® Portfolio TIPS ETF (SPIP): 'AA+f/S3'

-- SPDR® Portfolio Mortgage Backed Bond ETF (SPMB): 'AA+f/S2'

-- SPDR® Portfolio Aggregate Bond ETF (SPAB): 'A+f/S2'

-- SPDR® Bloomberg Emerging Markets Local Bond ETF (EBND):
'BBB-f/S4'

-- SPDR® ICE Preferred Securities ETF (PSK): 'BBB-f/S4'

-- SPDR® Nuveen Bloomberg High Yield Municipal Bond ETF (HYMB):
'B-f/S4'

-- SPDR® Nuveen Bloomberg Municipal Bond ETF (TFI): 'AA-f/S3'

-- SPDR® Nuveen Bloomberg Short Term Municipal Bond ETF (SHM):
'AA-f/S2'

-- SPDR® Portfolio Long Term Corporate Bond ETF (SPLB):
'BBB+f/S4'

-- SPDR® Bloomberg International Treasury Bond ETF (BWX):
'Af/S4'

S&P said, "For the FCQR on each ETF, we first determined a
preliminary FCQR through our quantitative assessment of the ETF's
portfolio credit risk using our fund credit quality matrix. The
assessment reflects the weighted average credit risk of the
portfolios of investments. As part of our overall FCQR assessment,
for each ETF, we conducted a portfolio risk assessment focusing on
counterparty risk, concentration risk, liquidity, and the fund
credit score cushion (the proximity of the preliminary FCQR to a
fund rating threshold). For assessed funds with preliminary FCQRs
that were within 10% of the lower fund rating threshold, we applied
sensitivity tests. The rating sensitivity tests assess the degree
to which an ETF's asset portfolio exposure to the fund's largest
obligor and lowest-credit-quality obligor, as well as exposure to
assets on CreditWatch with negative implications, could lead to a
fund downgrade. This was the case for SPDR® Portfolio Intermediate
Term Corporate Bond ETF, SPDR® Bloomberg High Yield Bond ETF,
SPDR® Nuveen Bloomberg High Yield Municipal Bond ETF, SPDR®
Nuveen Bloomberg Municipal Bond ETF, and SPDR® Bloomberg
International Treasury Bond ETF. Only the SPDR® Bloomberg
International Treasury Bond ETF saw its final FCQR reflect a rating
one notch lower than the preliminary FCQR following the adjustment
due to sensitivity tests.

"We then conducted a qualitative assessment that entailed a review
of the investment manager's management and organization, risk
management, and compliance. We assigned a strong designation to
SSGA in these categories. In accordance with the FCQR/FVR criteria,
we do not assess credit culture or credit research for ETFs that
are passively managed against an index.

"For the FVR on each fund, we first determined a preliminary FVR by
assessing the historical volatility and dispersion of fund returns
relative to reference indices. Next, we evaluated portfolio risk,
considering duration, credit exposures, liquidity, derivatives,
leverage, foreign currency, and investment concentration. For most
FVRs, we considered them consistent with their investment
objectives and strategies. Only the SPDR® Bloomberg Short Term
High Yield Bond ETF (SJNK) and SPDR® Nuveen Bloomberg High Yield
Municipal Bond ETF (HYMB) saw their final FVRs reflect a rating one
notch lower than the preliminary FVRs following an adjustment due
to portfolio risk assessments.

"We also performed a comparable rating analysis on the assessed
funds against other funds that have a similar portfolio strategy
and composition and formed a holistic view of the funds' portfolio
credit quality and characteristics relative to peers. The
comparative rating analysis was neutral to the assigned FCQRs and
FVRs.

"The rating assignment follows regulatory developments by the New
York Department of Financial Services, which would permit ETFs to
be treated as debt for purposes of their risk-based capital for New
York-domiciled insurers. As a result, those insurers would incur a
much less onerous capital charge than if the instrument were
treated as equity in a fund."

-- ETF investment objective, S&P Global Ratings' FCQR and FVR, and
reference index

-- SPDR® Bloomberg Investment Grade Floating Rate ETF (FLRN)
(Af/S1) seeks to provide investment results that, before fees and
expenses, correspond generally to the price and yield performance
of an index that tracks the market for U.S. dollar-denominated,
investment-grade floating-rate notes with maturities greater than
or equal to one month and less than five years. As of Dec. 6, 2021,
there were 425 securities in the underlying index. (Reference
index: Bloomberg USD Floating Rate Note

GFG ALLIANCE: Scottish Gov't Ups Provision on Gupta Guarantee
-------------------------------------------------------------
Robert Smith, Laurence Fletcher and Mure Dickie at The Financial
Times report that the Scottish government has taken a GBP161
million provision against a guarantee it handed to Sanjeev Gupta's
business, underlining the risk to taxpayers from a complicated deal
that underwrote the metals magnate's takeover of Britain's last
aluminium smelter.

According to the FT, Scotland upped its provision against a
taxpayer guarantee linked to Mr. Gupta's metalworks in Lochaber
from GBP37 million to GBP161 million.  The increase was disclosed
in an audit of the Scottish government's latest consolidated
accounts published this week, which said the change reflected the
"uncertainty regarding the financial stability" of Mr. Gupta's
industrial empire at the end of March, the FT notes.

The 50-year-old's conglomerate came under intense pressure that
month as its main lender Greensill Capital collapsed, sparking a
financial and political scandal, the FT states.  Mr. Gupta's GFG
Alliance group of companies is now under investigation by the UK's
Serious Fraud Office for suspected fraud and money laundering, the
FT discloses.

The Scottish Government told the FT on Dec. 17 that the value of
its security package against the guarantee exceeded its remaining
financial exposure, citing "analysis prepared by independent
advisers".

Scotland provided the GBP586 million guarantee in December 2016 to
allow Mr. Gupta's family business to acquire the smelter in
Lochaber, near Fort William, and two nearby hydropower plants from
Rio Tinto, the FT relays.  The government only disclosed the total
size of the guarantee last month after a nearly two-year freedom of
information campaign by the FT.

The guarantee saw the government stand behind 25 years of power
purchases by Mr. Gupta's company from another business owned by his
father, according to the FT.  Greensill was then able to transform
this contract into GBP295 million of debt that carried the same
credit rating as UK sovereign bonds, these funds were then used to
purchase the Lochaber smelter, the FT states.

The ruling Scottish National Party is coming under increasing
scrutiny for its dealings with GFG Alliance however, with a
government minister telling the Scottish parliament that it may
have breached state aid rules in a 2016 deal that saved the Dalzell
steel plant, the FT discloses.

The FT has previously reported that GFG stopped making payments on
a GBP7 million government loan backing the steelworks last year,
after transferring a portion of the taxpayer loan's proceeds
elsewhere in the industrialist's empire.

The Scottish government said that the provision in the accounts,
which are prepared by the Auditor General for Scotland, was based
"on a technical assessment of a range of credit risk scenarios",
the FT recounts.

"The guarantee has not been called, while the change in provision
is an accounting adjustment only and does not impact Scottish
Government spending," it added.  "It is not a forecast of likely
outcomes in respect of the guarantee and the provision remains
under review and is subject to change."

The Lochaber transaction was the first significant deal Greensill
executed for Mr. Gupta, the FT notes.

At the time, Mr. Gupta said the investment could create 2,000 new
jobs in the Lochaber region, but the Scottish government disclosed
this year that fewer than 50 additional people had been hired,
according to the FT.  The Auditor General of Scotland's report
noted that deals such as Lochaber, where the government had taken a
"direct role in providing financial support to private companies",
had "not delivered expected outcomes and [are] unlikely to achieve
value for money", the FT relates.

That assessment drew condemnation of the guarantee from Willie
Rennie, former leader of the Scottish Liberal Democrats.

"Gupta has a valuable government guarantee, which [he] has been
able to use to secure a financial return for his company," Mr.
Rennie told the FT.  "Scotland is on the hook for millions of
pounds, with next to nothing in return."

In a statement GFG said that the Lochaber smelter "remains a
profitable operation" and that the group's "continuing commitment
to the operations and to investing in a new recycling and aluminium
billet plant will secure their longer-term future, create new high
quality employment in the area and provide opportunities for the
local supply chain", the FT relates.


INTERGEN NV: S&P Affirms 'B+' Long-Term ICR, Outlook Stable
-----------------------------------------------------------
S&P Global Ratings affirmed its 'B+' long-term issuer credit rating
on U.K.-based energy producer InterGen N.V.

The stable outlook reflects S&P's expectation that the group will
maintain S&P Global Ratings-adjusted debt to EBITDA below 4.5x and
funds from operations (FFO) to debt above 12% for 2021 and 2022,
with several negative factors offsetting the positive impact of
higher wholesale energy prices during the fourth quarter (Q4) of
2021.

The steep increase in energy prices in the second half of 2021
provides strong momentum for InterGen's U.K. assets for 2021-2022.
The recovery in global demand, tighter supplies, low gas storage
levels ahead of winter, and outages in the electricity system have
caused an unprecedented rise in commodity prices, leading to an
increased reliance on U.K. gas power plants. This should provide
strong momentum for efficient combined cycle gas turbine (CCGT)
generators such as InterGen. Peak forward spark spreads for Q4 2021
increased to record high levels in September, offering the group a
window of opportunity to capture value through its open position
and ancillary services arrangements for its U.K projects during the
final quarter of 2021 and the first quarter of 2022. S&P said,
"Although we note that the situation resulted in a significant
variation in collateral posted with credit counterparties in Q3
2021 (GBP130.1 million as of Sept. 30, 2021 compared to GBP40
million as of December 2020), significantly undermining the group's
liquidity, we expect the situation to normalize in Q4 2021 and Q1
2022. In our view, the current situation illustrates both the
flexibility and efficiency of InterGen's U.K. power plants and its
ability to thrive in volatile conditions." This also highlights the
growing opportunities offered by additional demand for flexible
generation, which stems from the increase in renewables as a source
of power generation in the U.K. and substantial capacity
retirements expected by 2025.

Although forward power prices in the Australian power market have
risen from relatively subdued levels in 2020 and the first half of
2021, S&P expects hedges will partly mitigate the impact on
projects' profitability this year and the next. Specifically,
Intergen's Australian projects are significantly hedged through
2022, with approximately 90% of 2021 and 80% of 2022 volumes sold
at prices more reflective of the previous lower price environment.
InterGen's share in Australian assets comprises 480 megawatts (MW)
of capacity split between two Australian coal-fired plants, Callide
(203MW) and Millmerran (276MW), in which the group has a 25% and
32.5% equity interest, respectively.

S&P said, "We expect lower distribution from the Australian
projects following an incident at Callide and the refinancing of
Millmerran. Specifically, we expect the distributions to fall
significantly for the next two years to about GBP20 million (nil
for 2021), compared to about GBP50 million historically. InterGen
announced in May 2021 that one of the two units (unit 4) of its
25%-owned Callide coal-fired power generator in Queensland,
Australia, had suffered a major explosion and fire, causing
significant damage to the turbine and generator and forcing the
unit to come offline. We understand that the investigation
regarding the full extent of the damage is still ongoing, and the
group's share of the write-down in the project entity is GBP4.7
million, which has been recorded for the damaged and destroyed
assets." Management currently assumes resumption of operations for
the unit no earlier than April 2023 and considers this incident as
an insurable event on both property damages and business
interruption, with insurance recoveries likely limiting any major
financial impact from the incident. That said, reduced cash flows
for 2021 and 2022 will constrain distributions from the project at
a modest GBP5 million (InterGen share) per year for 2022 (nil in
2021).

Furthermore, InterGen announced on July 13, 2021 that it had
completed the refinancing of its Millmerran coal-fired power
generator in Australia five-year, multi-tranche Australian dollars
(A$) 555 million debt facility at its (32.5% owned) with a
downsized new five-year A$364 million facility. S&P understands
that the refinancing was more challenging than anticipated given a
more limited pool of lenders on the back of coal-financing
headwinds. The refinancing included direct support from InterGen
with a GBP12 million shareholder loan, which it expects to be
repaid in 2022. That said, the change in amortization profile (to
amortizing debt from bullet maturity previously) and induced higher
debt service for the coming years will significantly reduce the
potential for equivalent distribution, with an estimated GBP15
million for 2022 (nil in 2021).

The termination of the in-the-money Spalding tolling agreement in
September 2021, coupled with lower capacity market payments in the
U.K., will likely translate into more volatile cash flows for
2022-2023. The Spalding CCGT power plant historically generated a
gross margin of GBP40 million-GBP50 million annually (about 33% of
gross margin realized in the U.K.). S&P said, "We also note reduced
capacity payments for 2022 and 2023 compared to historical levels.
We estimate that the contracted proportion of the gross margin of
InterGen's U.K. generation assets will be about 25%-30% for
2022-2023, down from about 60% for 2021. We continue to assess the
group's inherent ability to generate robust positive free cash flow
and strong ability to take advantage of volatile energy markets.
However, the reduction in future Australian distributions,
termination of Spalding CCGT tolling contract, and reduced capacity
market payments are key factors supporting our assessment that its
cash flows will becoming increasingly volatile for the next two
years."

InterGen's future strategy remains uncertain and its financial
strategy is aggressive. S&P said, "We expect the group to continue
to publicly communicate its strategy over the next 12-24 months
regarding the nature of future investments (targeted technology,
size, country of operation, and type of remuneration) and funding
structures to be implemented. In our view, this could lead to
changes, not only to the group's business risk profile, but also to
its capital structure, if InterGen were to make significant
debt-funded investments or acquisitions, for example. At this
stage, we expect InterGen will continue to target the provision of
flexible generation, essential for system stability, by relying on
its existing thermal generation assets. We think the significant
leverage reduction trajectory that the group has implemented since
the sale of its Mexican portfolio in April 2018 has been
opportunistic, signalling that the group is still assessing its
strategic options." This is further exacerbated by the resumption
of significant dividend distributions in 2020 (GBP30 million),
which increased to GBP38 million in 2021, and despite the absence
of distribution from Australian projects in 2021.

There are rising refinancing risks ahead of June 2023. InterGen is
approaching the maturity of its $410 million 7% senior secured
notes (approximately GBP318 million) due in June 2023. These notes
account for most of its debt. S&P considers InterGen's refinancing
risk against the backdrop of environmental, social, and governance
factors in lenders' considerations, and how the perception of
ESG-related risks can harm fossil fuel and carbon-intensive
generators such as InterGen in the U.K., considering the country's
ambition to reach carbon neutrality by 2050.

S&P said, "The stable outlook on InterGen reflects our expectation
that the group will maintain adjusted debt to EBITDA of 3.5x-4.0x
and FFO to debt of about 15%-20% for 2021-2022, making no large
debt-funded acquisitions or large extraordinary dividend
distributions over that period.

"We still consider that management's financial policy is aggressive
and that there is significant uncertainty regarding the group's
future strategic direction and financial policy.

"We could lower our rating on InterGen if the company's debt to
EBITDA exceeded 4.5x and FFO to debt dropped below 12% for a
prolonged period. This could occur, for example, if there were
prolonged unplanned outages for any of the company's assets,
unexpected declines in the U.K. or Australian power prices, or any
new and unfavorable regulations related to thermal generation
assets in the U.K. or Australia.

"We could also lower the rating if we considered that InterGen's
cash flow volatility would increase further, as a result of
permanently lower capacity market payments, for example.

"In addition, we could lower our rating if InterGen failed to
secure liquidity 12 months ahead of the June 2023 maturity of its
$410 bonds.

"We consider an upgrade as currently unlikely given the limited
visibility on the group's future strategy and capital structure."

An upgrade would require FFO to debt to stabilize significantly
above 20% with debt to EBITDA dropping below 3x, coupled with the
group's ability to increase future revenue predictability via
higher capacity market payments or long-term contracts with
creditworthy offtakers, for example.

Environmental, Social, And Governance

E-4, S-3, G-3

S&P said, "Environmental factors are a negative consideration in
our credit rating analysis of InterGen, while governance and social
factors are moderately negative considerations. InterGen is more
exposed than peers to environmental factors, given that its
generation portfolio is entirely based on thermal sources in the
U.K. (gas) and Australia (coal). We therefore think the group faces
uncertain long-term business prospects along with increasing
financing challenges against the backdrop of both countries'
ambitions to decarbonize their economies. At this stage, we have
limited visibility on management's strategy to mitigate these
risks. InterGen has also been exposed to safety risks via the
explosion and fire at one of the units in its Australian coal power
plant (25% ownership and operated by a third party). Although there
were no injuries, this incident may have negative and lasting
reputational and operational implications given that the damaged
unit is not expected to be available before April 2023."


KESSLERS INTERNATIONAL: Substantial Losses Prompt Administration
----------------------------------------------------------------
Business Sale reports that retail display firm Kesslers
International has fallen into administration, after accruing
substantial losses due to cost inflation and the impact of COVID-19
on retail.

Kroll Advisory's Philip Dakin and Michael Lennon have been
appointed as joint administrators to the company, Business Sale
relates.

According to Business Sale, the administrators are undertaking a
substantial restructuring of the company's operations, which will
include 125 redundancies among 160 staff, and will market the
remaining business for sale.

In its most recently available accounts at Companies House, for the
year ending December 31 2019, Kesslers International reported a
post-tax loss of GBP367,845 on revenue of GBP20.3 million, Business
Sale discloses.  At that time, the firm's fixed assets were valued
at GBP1.06 million and current assets at GBP14 million, Business
Sale states.  Net assets amounted to GBP153,120, Business Sale
notes.

Commenting on the company's collapse, joint administrator Michael
Lennon, as cited by Business Sale, said: "Attempts to diversify and
grow the business through an outsourced supply model were not
delivered successfully and it has not been possible to return the
company to profitability."

"The continued under performance in trading and rising costs has
resulted in a weakened cash flow position which has led to the
appointment of the joint administrators.  The joint administrators
have taken steps to restructure the trading operations, which has
resulted in 125 redundancies."

"As a business focused on designing, manufacturing, and installing
display units for retail stores, Kesslers has faced unprecedented
challenges over the last two years, leading to substantial losses.
While there has been some pickup in demand from retailers, it
remains highly volatile," Business Sale quotes Elaghmore founding
partner Andy Ducker as saying.

"Coupled with significant increases in the cost of raw materials
and the rent on its manufacturing facility in East London, we have
reluctantly concluded the business is no longer viable.  As a
result, Kesslers has been placed into administration."

Kesslers International, part of the Hexcite Group, formed in 1888
and provides point-of-sale and point-of-purchase retail equipment
and services including design, engineering, installation and
customer service, to a range of domestic and international
customers.


MOTION MIDCO: S&P Upgrades ICR to 'B-' on Resilient Trading
-----------------------------------------------------------
S&P Global Ratings raised the long-term issuer credit rating on
theme park operator Motion Midco Ltd. (Merlin Entertainments PLC)
to 'B-' from 'CCC+'. S&P has also raised the issue ratings on the
senior secured debt to 'B' from 'CCC+' and on the senior notes to
'CCC' from 'CCC-'. S&P has revised upward the recovery rating on
the senior secured notes to '2' (rounded estimate: 70%) from '3'
(rounded estimate: 60%).

S&P said, "The stable outlook reflects our expectation that demand
for Merlin's family-oriented attractions should remain strong and
support gradual deleveraging over the next 12 months, with adjusted
leverage of about 8.5x in 2022.

"In our view, demand for outings with friends and family, the
staycation trend, and the quality of Merlin's earnings in the third
quarter of 2021 support the long-term sustainability of the capital
structure.

"The third quarter of 2021 was effectively the first quarter in
which we could assess Merlin's post-lockdown earnings ability, as
almost all its attractions were open during the quarter. While
overall attendance in this quarter was about 30% below pre-pandemic
levels, mainly due to the Midway attractions, revenue benefitted
from a higher average admission price per customer. The pricing
benefit was the result of management's promotional strategy to
manage visitor numbers through attendance peaks and troughs at
attractions with capacity constraints, reduced discounting, and
lower VAT rates for leisure-related activities in the U.K. The
benefit of lower VAT in the U.K. will taper in 2022. However, we
forecast that, in line with trends in the wider leisure sector, the
group will maintain higher prices than before the pandemic to
capitalize on staycation tailwinds and account for the inflationary
pressure from wage increases and staff shortages. However, our
ratings also acknowledge that the recovery in revenue will be
gradual, with revenue only exceeding 2019 levels in 2023."

High EBITDA multiples for recent mergers and acquisitions (M&A) in
the short-term breaks segment provide the financial sponsors with
an additional means of addressing Merlin's highly leveraged capital
structure. The volume of M&A transactions for short-term break
assets has picked up over the past 18 months, and companies such as
Landal GreenParks and Bourne Leisure Holdings Ltd. have sold for
double-digit EBITDA multiples. Merlin's resort theme parks benefit
from the staycation trend. The segment comprises six parks in three
different countries, with different branding for each park,
including Thorpe Park Resorts, Alton Towers, Gardaland Resorts, and
Heide Park Resorts. Staycation benefits were evident in the
segment's year-to-date results, as the segmental underlying EBITDA
(as per the group's definition) of GBP123 million in 2021 was
higher than that in 2019. The group has no plans to dispose of any
resort theme parks, nor do we make any such forecast in our base
case. However, owning such popular attractions gives Merlin
additional financial flexibility to address any long-term issues
around the sustainability of its capital structure.

Merlin's credit metrics appear stretched for 2021, but we expect
them to improve steadily over the next 12 months.The group's 2021
credit metrics seem stretched, with adjusted leverage of 13.5x
(21.0x including preference shares), but we expect them to steadily
improve to 8.5x (13.5x) in 2022 and 7.5x (12.0x) in 2023. More
importantly, as the capital expenditure (capex) for new-build
attractions tapers, S&P forecasts that the group's free operating
cash flow (FOCF) after lease payments will be about GBP100 million
in 2022 and 2023.

COVID-19 has temporarily diluted some of Merlin's traditional
business advantages relative to its U.S. theme park peers.With
attractions in more than 20 countries, a mix of indoor and outdoor
settings, and a meaningful accommodation offering, Merlin attracted
67 million visitors in 2019. About 28% of its pre-pandemic visitors
were international tourists. Before the pandemic, Merlin's
attendance figures were significantly higher than those of U.S.
theme parks operators such as Six Flags (32 million in 2019) and
Cedar Fair (28 million in 2019). In addition, Merlin's indoor
attractions provide a counterbalance for any weather-related
disruption at its outdoor theme parks. However, pandemic-related
travel restrictions and varying COVID-19 transmission rates in
different countries have negated the benefits of Merlin's
diversity, as operators that focus solely on outdoor attractions in
the U.S. have already seen their businesses fully recover. In
contrast, some of Merlin's Midway attractions, which rely on
international tourists, are unlikely to see demand fully recover
until 2024 at the earliest.

S&P said, "Our revised expectation for emergence EBITDA drives our
upward revision of the recovery rating on the senior secured notes.
We have revised upward our recovery rating on the senior secured
notes to '2' (rounded estimate: 70%) from '3' (rounded estimate:
60%). This is because Merlin has continued to invest in the
business throughout the pandemic, including in Legoland New York,
which is part of the debt security package. Our emergence EBITDA
expectation assumes that the new attractions in which Merlin has
invested will contribute additional EBITDA. In addition, based on
greater pricing flexibility, we anticipate that Merlin will extract
better margins from the existing estate, resulting in a higher
enterprise value for the group at the point of hypothetical
default."

S&P Global Ratings believes the omicron variant is a stark reminder
that the COVID-19 pandemic is far from over. Uncertainty still
surrounds its transmissibility, severity, and the effectiveness of
existing vaccines against it. Early evidence points toward faster
transmissibility, which has led many countries to reimpose social
distancing measures and international travel restrictions. S&P
said, "Over coming weeks, we expect additional evidence and testing
will show the extent of the danger it poses to enable us to make a
more informed assessment of the risks to credit. In our view, the
emergence of the omicron variant shows once again that more
coordinated and decisive efforts are needed to vaccinate the
world's population to prevent the emergence of new, more dangerous
variants."

S&P said, "The stable outlook indicates our expectation that demand
for Merlin's family-oriented attractions should remain strong and
support gradual deleveraging over the next 12 months, with adjusted
leverage of about 8.5x in 2022 and material FOCF. The outlook also
reflects our view that the group has sufficient liquidity to handle
the headwinds from the spread of the omicron variant.

"We could lower the rating if Merlin's credit metrics did not
recover as per our base-case forecasts, resulting in an
unsustainable capital structure or a stressed liquidity position.
This could occur, for example, because of a prolonged lockdown of
the group's attractions, or a more adverse recessionary and
consumer environment than we expect, combined with a lack of
supportive measures by the financial sponsors.

"We consider a positive rating action in the next 12 months as
unlikely due to the group's very high debt and the risks posed by
COVID-19 variants. A positive rating action will depend on the
stabilization of the macro-environment, including a lower risk of
new variants, a meaningful recovery in international leisure
travel, low unemployment rates, and continued consumer confidence
in discretionary spending in an inflationary environment." In
addition, a positive rating action will depend on Merlin's ability
to exceed S&P's base-case forecasts for 2022, including:

-- The return of revenue to about 90% of the 2019 level, and an
EBITDA margin above 30%;

-- Adjusted debt to EBITDA materially below 8.5x (13.5x including
preference shares); and

-- FOCF after lease payments (excluding growth capex) of above
GBP100 million.

Environmental, Social, And Governance

To: E-2 S-3 G-3 From: E-2 S-4 G-3

Social factors are now a moderately negative consideration in our
credit rating analysis of Merlin. During the pandemic, the group
had to close all its theme parks and attractions across its
numerous countries of operation. Merlin has proved able to restore
its earnings once restrictions were lifted. However, Merlin relies
more on international tourists than its peers, and this segment is
not likely to recover fully until 2024. Although the extreme
disruption due to the pandemic is a likely one-off, the risk of
disruption due to terrorist attacks, local health concerns, or
illness outbreaks persists.

Governance factors are a moderately negative consideration, as is
the case for most rated entities owned by private-equity sponsors.
The group's highly leveraged financial risk profile points to
decision-making that prioritizes the interests of the controlling
owners. This also reflects the owners' generally finite holding
periods and focus on maximizing shareholder returns. However,
KIRKBI's 48% strategic stake in the business differentiates the
group from other entities controlled wholly by financial sponsors.

ESG Credit Indicators: E-2, S-3, G-3

Environmental, social, and governance (ESG) credit factors for this
change in credit rating/outlook and/or CreditWatch status:

-- Health and safety


TRINITY SQUARE 2021-1: Fitch Affirms CCC Rating on Class H Notes
----------------------------------------------------------------
Fitch Ratings has upgraded Trinity Square 2021-1's class C and X
notes and affirmed the rest. The class X, F and G notes have been
removed from Rating Watch Positive (RWP).

       DEBT                 RATING            PRIOR
       ----                 ------            -----
Trinity Square 2021-1

Class A XS2318720864   LT AAAsf   Affirmed    AAAsf
Class B XS2318721086   LT AAsf    Affirmed    AAsf
Class C XS2318720948   LT A+sf    Upgrade     Asf
Class D XS2318721169   LT BBB+sf  Affirmed    BBB+sf
Class E XS2318721243   LT BB+sf   Affirmed    BB+sf
Class F XS2318721326   LT BBsf    Affirmed    BBsf
Class G XS2318721599   LT BB-sf   Affirmed    BB-sf
Class H XS2318723025   LT CCCsf   Affirmed    CCCsf
Class X XS2318721755   LT BB+sf   Upgrade     BB-sf

TRANSACTION SUMMARY

Trinity Square 2021-1 is a securitisation of legacy owner-occupied
(OO) and buy-to-let (BTL) mortgages originated by GE Money Home
Lending Limited and GE Money Mortgages Limited. The transaction is
a refinancing of the Trinity Square 2015-1 Plc and Trinity Square
2016-1 Plc issuance.

KEY RATING DRIVERS

Off RWP: The class F, G and X notes have been removed from the RWP
assigned in July 2021, following the retirement of Fitch's
coronavirus-related additional stress scenario analysis for BTL
assets (see 'Fitch Retires UK and European RMBS Coronavirus
Additional Stress Scenario Analysis, except for UK Non-Conforming'
dated July 2021 on www.fitchratings.com).

The retirement of the additional stress analysis is the result of
improved macroeconomic forecasts, the limited performance
deterioration observed so far, and Fitch's expectation that the
stress included in Fitch's asset assumptions is sufficient to
account for the remaining uncertainty related to the Covid-19
pandemic. As the proportion of BTL loans is small at 5%, the
retirement of these assumptions has contributed to the upgrades,
but it is not the main driver.

Increasing Credit Enhancement: The transaction has begun to
amortise sequentiaily, allowing credit enhancement (CE) to build
up. The upgrade of the class C notes reflects increased CE, as it
can now withstand losses commensurate with the higher rating. The
Positive Outlook on the class F notes also reflects
better-than-expected CE trends, mostly related to material
prepayment rates observed to-date.

Stable Asset Performance: Asset performance has remained stable
since closing in March 2021. One-month plus arrears were 5.9% as of
September 2021, versus 6.2% as of April 2021 while three-month plus
arrears have remained at 3.8% across the same period. Hence, excess
spread continues to be robust and can be used to repay the class X
notes, in excess of Fitch's original projections, resulting in
today's upgrade.

Foreclosure Frequency Macroeconomic Adjustments: Fitch applied
foreclosure frequency (FF) macroeconomic adjustments to the OO
non-conforming sub-pool, because of Fitch's expectation of
temporary mortgage under-performance (see 'Fitch Ratings to Apply
Macroeconomic Adjustments for UK Non-Conforming RMBS to Replace
Additional Stress' dated September 2021 on www.fitchratings.com).
The end of the government's repossession ban has resulted in
renewed uncertainty over borrowers' performance in the UK
non-conforming sector, where many borrowers have already rolled
into late arrears over recent months. Borrowers' payment ability
may also be challenged with the end of the coronavirus job
retention scheme and self-employed income support scheme. The
adjustment is 1.59x at 'Bsf' while no adjustment is applied at
'AAAsf' as Fitch deems assumptions sufficiently remote at this
level.

RATING SENSITIVITIES

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

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

-- Additionally, unanticipated declines in recoveries could also
    result in lower net proceeds, which may make certain notes
    susceptible to possible negative rating action, depending on
    the extent of the decline in recoveries.

-- Fitch conducts sensitivity analyses by stressing both a
    transaction's base-case FF and recovery rate (RR) assumptions,
    and examining the rating implications on all issued notes. We
    tested a 15% increase in the weighted average (WA) FF and a
    15% decrease in the WARR. The ratings on the subordinated
    notes could be downgraded by up to six notches as a result.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing CE levels
    and, potentially, upgrades. Fitch tested an additional rating
    sensitivity scenario by applying a decrease in the WAFF of 15%
    and an increase in the WARR of 15%. The ratings on the
    subordinated notes could be upgraded by up to six notches as a
    result.

BEST/WORST CASE RATING SCENARIO

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

CRITERIA VARIATION

Fitch conducted additional analysis to assess the class F, G and X
notes' ratings in scenarios where it did not apply asset margin
compression, due to its absence since Trinity Square 2015-1 Plc and
Trinity Square 2016-1 closing. This constitutes a criteria
variation with respect to the standard Fitch assumption applied as
part of its cash flow analysis.

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

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

DATA ADEQUACY

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.

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

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

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

ESG CONSIDERATIONS

Trinity Square 2021-1 has an ESG Relevance Score of '4' for
Customer Welfare - Fair Messaging, Privacy & Data Security, due to
the pools exhibiting an interest-only maturity concentration of
legacy non-conforming OO loans of greater than 20%, which has a
negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

Trinity Square 2021-1 has an ESG Relevance Score of '4' for Human
Rights, Community Relations, Access & Affordability, due to a
significant proportion of the pools containing OO loans advanced
with limited affordability checks, which has a negative impact on
the credit profile, and is relevant to the ratings in conjunction
with other factors.

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

[] UK: Sunak Can Afford to Help Ailing Businesses Hit by Omicron
----------------------------------------------------------------
BBC News reports that Chancellor Rishi Sunak can afford to step in
and help struggling businesses hit by Omicron despite continued
high public borrowing, says the Institute for Fiscal Studies.

IFS director Paul Johnson told the BBC that although interest rates
were going up, borrowing was still "very cheap".

He spoke after figures showed the government borrowed less last
month, the BBC notes.

The gap between its spending and tax income stood at GBP17.4
billion in November, GBP4.9 billion down on a year earlier, the BBC
discloses.

However, the figure was higher than analysts had forecast and it
was also the second-highest total for November since monthly
records began in 1993, the BBC states.

Borrowing hit record levels because of Covid as the government
spent billions of pounds on emergency measures, the BBC relays.

These included the furlough scheme, which wrapped up on Oct. 1,
according to the BBC.

Mr. Johnson, as cited by the BBC, said the chancellor would be able
to afford to meet demands from pubs, restaurants and nightclubs for
financial support.

Although the Omicron variant of Covid has not led to lockdown
measures as in previous waves of the pandemic, businesses are
struggling because people are reluctant to go out, the BBC states.

The IFS's Mr. Johnson said, however, that it would be "very hard
indeed" to provide targeted support to those who needed it most,
given that city centres were harder hit than other areas, the BBC
notes.

He added that fears of fuelling high inflation meant Mr. Sunak
would be worried about "throwing more billions into the economy at
this stage".

Government debt stood at more than GBP2.3 trillion at the end of
November this year -- about 96.1% of the UK's gross domestic
product (GDP) and the highest level recorded since the early 1960s,
the BBC discloses.



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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-
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Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
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Editors.

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

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