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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

          Thursday, March 17, 2022, Vol. 23, No. 49

                           Headlines



B E L A R U S

BELAGROPROMBANK JSC: Moody's Cuts LT FC Bank Deposit Rating to Ca
OAO SBER BANK: Moody's Cuts FC Deposit Rating to Ca, Outlook Neg.
[*] Fitch Lowers IFS Ratings of 3 Belarusian Insurers to 'CCC'


F R A N C E

CERELIA PARTICIPATION: Moody's Alters Outlook on B3 CFR to Stable
HESTIAFLOOR 2: Fitch Affirms 'B+' LT IDR, Outlook Negative


I R E L A N D

CAIRN CLO VI: Moody's Affirms B2 Rating on EUR8.7MM Cl. F-R Notes
DRYDEN 39 2015: Moody's Assigns B3 Rating to EUR17.3MM F-R-R Notes
DRYDEN 39 2015: S&P Assigns B- (sf) Rating to F-R-R Notes
FLY LEASING: Moody's Affirms 'B1' CFR & Alters Outlook to Negative
MALLINCKRODT PLC: High Court Appoints Michael McAteer as Examiner

THUNDERBOLT AIRCRAFT: S&P Puts B (sf) Rating on Watch Neg.


I T A L Y

BRIGNOLE CQ 2022: Moody's Assigns (P)B1 Rating to Class X Notes
LIMACORPORATE SPA: Moody's Affirms B3 CFR, Alters Outlook to Neg.


L U X E M B O U R G

ARMORICA LUX: S&P Downgrades ICR to 'B-', Outlook Stable


N E T H E R L A N D S

DUTCH PROPERTY 2022-CMBS1: S&P Assigns B- (sf) Rating to F Notes


R U S S I A

[*] Fitch Lowers LT Foreign Curr. IDRs of 6 Russian NBFIs to 'CC'


S P A I N

IM BCC 4: S&P Assigns Prelim CCC- (sf) Rating on Class B Notes


S W I T Z E R L A N D

ILIM TIMBER: Moody's Affirms 'B2' CFR & Alters Outlook to Negative


T U R K E Y

MILLI REASURANS: A.M. Best Affirms B(Fair) Fin'l. Strength Rating


U K R A I N E

KYIV CITY: Moody's Puts Caa3 Issuer Rating on Review for Downgrade


U N I T E D   K I N G D O M

AMIGO LOANS: Moody's Puts 'Caa1' CFR Under Review for Downgrade
CALEDONIAN MODULAR: Enters Administration, ALMO Mulls "Next Steps"
CHELSEA FC: May Face Insolvency Within Weeks if Club Not Sold
FOAM COMPANY: GNG Acquires Part of Business Out of Administration
REMY AUTOMOTIVE: Enters Administration, Optimistic on Rescue

WEST BERKSHIRE: Shareholders Express Anger Over Administration

                           - - - - -


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B E L A R U S
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BELAGROPROMBANK JSC: Moody's Cuts LT FC Bank Deposit Rating to Ca
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings and
assessments of Belarusbank and Belagroprombank JSC.

The rating action follows the downgrade of Belarus's sovereign
rating to Ca on March 10, 2022. The action was triggered by the
recent escalation of geopolitical tensions and significant further
tightening of sanctions, targeting key economic sectors of Belarus.
The impact of the sanctions is also reflected in the change of
Belarus's Macro Profile to 'Very Weak' from 'Very Weak+'.

RATINGS RATIONALE

The rating action is driven by the weakening in sovereign
creditworthiness and deterioration in economic and operating
environments for Belarusbank and Belagroprombank JSC. The credit
profiles of the two banks have strong linkages with the
creditworthiness of Belarus, given the banks' government ownership,
high direct sovereign exposure and lending to state-owned
enterprises.

In addition, the rating action captures the credit implications for
Belarus banks of very high geopolitical uncertainty, the recent and
potentially more severe economic and financial sanctions against
Belarus and its financial institutions.

The tightening of sanctions raises the probability of sustained and
severe disruption to Belarus's economy, Belarusbank and
Belagroprombank JSC, while potential imposition of additional
sanctions, or extending the list of sanctioned banks, would make
such disruption more severe. Moody's expects that Belarus banks'
asset quality will weaken as borrowers' creditworthiness suffers
from the weaker economic outlook and the imposed export
restrictions. Furthermore, the current geopolitical situation will
weaken depositor confidence, creating risks of deposit outflows. In
a scenario where severe sanctions weigh on Belarus' financial
sector's stability more than currently envisaged, further impairing
the banks' ability or willingness to service their debt, their
ratings could be downgraded.

The positioning of the banks' local currency deposit ratings one
notch higher than the foreign currency deposit rating reflects
Moody's expectations of greater ultimate repayment capacity for
local currency obligations.

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

A positive rating action on the banks' ratings is currently
unlikely, given the negative outlook. The outlook could be changed
to stable, if Moody's concluded that that recovery for investors
was likely to remain in line with the historical average for a Ca
rating. While unlikely, Moody's would consider upgrading Belarus's
ratings, if the likelihood of large losses for private creditors
was to diminish durably.

In a scenario where severe sanctions weigh on Belarus' financial
sector's stability more than currently envisaged, further impairing
the banks' ability or willingness to service their debt, their
ratings could be downgraded.

LIST OF AFFECTED RATINGS

Issuer: Belagroprombank JSC

Downgrades:

Adjusted Baseline Credit Assessment, Downgraded to ca from caa1

Baseline Credit Assessment, Downgraded to ca from caa1

Long-term Counterparty Risk Assessment, Downgraded to Caa3(cr)
from B3(cr)

Long-term Counterparty Risk Rating (Foreign Currency), Downgraded
to Ca from B3

Long-term Counterparty Risk Rating (Local Currency), Downgraded to
Caa3 from B3

Long-term Bank Deposit Rating (Foreign Currency), Downgraded to Ca
from B3, Outlook Remains Negative

Long-term Bank Deposit Rating (Local Currency), Downgraded to Caa3
from B3, Outlook Remains Negative

Affirmations:

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

Short-term Counterparty Risk Ratings, Affirmed NP

Long-term Bank Deposit Ratings, Affirmed NP

Outlook Action:

Outlook, Remains Negative

Issuer: Belarusbank

Downgrades:

Adjusted Baseline Credit Assessment, Downgraded to ca from b3

Baseline Credit Assessment, Downgraded to ca from b3

Long-term Bank Deposit Rating (Foreign Currency), Downgraded to Ca
from B3, Outlook Remains Negative

Long-term Bank Deposit Rating (Local Currency), Downgraded to Caa3
from B3, Outlook Remains Negative

Affirmations:

Short-term Bank Deposit Ratings, Affirmed NP

Outlook Action:

Outlook, Remains Negative

PRINCIPAL METHODOLOGY

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

OAO SBER BANK: Moody's Cuts FC Deposit Rating to Ca, Outlook Neg.
-----------------------------------------------------------------
Moody's Investors Service downgraded the foreign and local currency
deposit ratings of the Belarus-based OAO "Sber Bank" to Ca and
Caa3, respectively. The positioning of the banks' local currency
deposit ratings one notch higher than the foreign currency deposit
rating reflects Moody's expectations of greater ultimate repayment
capacity for local currency obligations.

The rating action follows the downgrade of Belarus's sovereign
rating to Ca on March 10, 2022. The action was triggered by the
recent escalation of geopolitical tensions and significant further
tightening of sanctions, targeting key economic sectors of Belarus.
The impact of the sanctions is also reflected in the change of
Belarus's Macro Profile to 'Very Weak' from 'Very Weak+'.

RATINGS RATIONALE

The rating action is driven by the weakening in Belarus' sovereign
creditworthiness and deterioration in economic and operating
environments for OAO "Sber Bank", and the reduced creditworthiness
of its parent bank in Russia, Sberbank which limits the parent
bank's capacity to support its subsidiary.

Because of the highly challenging macroeconomic environment in
Belarus, Moody's expects a severe deterioration of OAO "Sber
Bank's" solvency and liquidity metrics.

The Ca foreign currency and Caa3 local currency deposit ratings of
OAO "Sber Bank" do not incorporate any uplift for affiliate support
from its Russia-based parent Sberbank, because the latter's
standalone creditworthiness has decreased substantially amid the
newly imposed severe sanctions, as captured by the Baseline Credit
Assessment of ca assigned to Sberbank.

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

A positive rating action on the bank's ratings is currently
unlikely, given the negative outlook. The outlook could be changed
to stable if Moody's concluded that that recovery for investors was
likely to remain in line with the historical average for a Ca
rating. While unlikely, Moody's would consider upgrading Belarus's
ratings if the likelihood of large losses for private creditors was
to diminish durably.

In a scenario where severe sanctions weigh on Belarus' financial
sector's stability more than currently envisaged, further impairing
the bank's ability or willingness to service its debt, its ratings
could be downgraded. A further downgrade of Sberbank's BCA could
also lead to a downgrade of its subsidiary's ratings.

LIST OF AFFECTED RATINGS

Issuer: OAO "Sber Bank"

Downgrades:

Adjusted Baseline Credit Assessment, Downgraded to ca from b2

Baseline Credit Assessment, Downgraded to ca from b3

Long-term Bank Deposit Rating (Foreign Currency), Downgraded to Ca
from B3, Outlook Remains Negative

Long-term Bank Deposit Rating (Local Currency), Downgraded to Caa3
from B2, Outlook Remains Negative

Affirmations:

Short-term Bank Deposit Ratings, Affirmed NP

Outlook Action:

Outlook, Remains Negative

PRINCIPAL METHODOLOGY

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

[*] Fitch Lowers IFS Ratings of 3 Belarusian Insurers to 'CCC'
--------------------------------------------------------------
Fitch Ratings has downgraded three Belarusian insurers' Insurer
Financial Strength (IFS) Ratings to 'CCC' from 'B'. Fitch typically
does not apply Outlooks to ratings in the 'CCC' category or below.

The rating actions follow the downgrade Belarus's sovereign ratings
on 07 March 2022.

KEY RATING DRIVERS

The downgrade of Belarusian insurers' ratings follows the downgrade
of Belarus's Long-Term Local-Currency IDR (LT LC IDR) to 'CCC' from
'B'. All three Belarusian insurers are fully owned by the sovereign
and their ratings are driven by that of the sovereign.

Fitch has lowered the "Industry Profile and Operating Environment"
(IPOE) score for the Belarusian insurance sector, as defined under
the agency's insurance criteria, to the range 'b- to c' from 'bb to
ccc+'. As a result, the individual "Company Profile" assessments of
the three Belarusian insurers have also been lowered. The lowering
of Belarus's IPOE score reflects the relatively higher economic and
country risks. The insurers' individual "Company Profile" scores
are tethered to the IPOE score to reflect Fitch's assessment of
country risk.

In addition, the sovereign downgrade has a negative impact on
Belarusian insurers' investment and liquidity risk assessment,
primarily through exposure to state bonds and deposits with
state-owned banks.

The downgrade also reflects Fitch's view that availability of
reinsurance capacity provided by non-domestic reinsurers has
weakened due heightened uncertainty over cross-borders transactions
in the context of a significant risk of a tightening of sanctions
against Belarus.

RATING SENSITIVITIES

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

-- A downgrade of Belarus's sovereign rating;

-- Evidence of timely support from the sovereign not being
    provided, when needed.

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

-- Positive rating action on Belarus's sovereign rating.

BEST/WORST CASE RATING SCENARIO

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

       DEBT                           RATING             PRIOR
       ----                           ------             -----
Belarusian National           Ins Fin StrCCC Downgrade    B
Reinsurance Organization

Belarusian Republican         Ins Fin StrCCC Downgrade    B
Unitary Insurance Company (Belgosstrakh)

Export-Import Insurance       Ins Fin StrCCC Downgrade    B
Company of the Republic of Belarus




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F R A N C E
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CERELIA PARTICIPATION: Moody's Alters Outlook on B3 CFR to Stable
-----------------------------------------------------------------
Moody's Investors Service has changed to stable from positive the
outlook on the ratings of Cerelia Participation Holding SAS, the
parent company of Cerelia Group ("Cerelia" or "the company"), the
leading pan-European manufacturer of chilled dough and pancakes
with a presence in North America. Concurrently, Moody's has
affirmed the company's B3 corporate family rating, its B3-PD
probability of default rating and the B3 ratings on the EUR495
million-equivalent senior secured term loan B due 2027 (comprising
euro-denominated and US dollar-denominated tranches) and the EUR100
million senior secured revolving credit facility (RCF) due 2026,
both borrowed by Cerelia Participation Holding SAS.

"The outlook change to stable from positive reflects Cerelia's
weaker than expected operating performance owing to increasing
input costs, which is straining margins and cash flow generation,
and removing upward pressure on the rating at this point," says
Valentino Balletta, a Moody's Analyst and lead analyst for
Cerelia.

"While there is limited visibility in the current uncertain
environment, the affirmation of the B3 rating reflects Moody's
expectation that the company's performance will improve in the next
2 years allowing it to reduce leverage,” Mr. Balletta added.

RATINGS RATIONALE

The outlook change to stable from positive reflects Moody's
expectation that the company will be unable to achieve metrics that
would support higher ratings within the next 12-18 months,
including a ratio of adjusted debt/EBITDA below 6x.

Cerelia's earnings declined year-to-date through December 2021
relative to the comparable period in 2020 owing to a gradual
rotation from elevated at-home food consumption during the
pandemic, supply chain disruptions, and a persistent increase in
raw material prices which is currently only partially
passed-through to customers and with a time lag, straining
profitability and cash flow generation.

While Moody's expects the company to progressively delever from a
high starting level of around 8.6x expected in fiscal year 2022
(pro forma for the General Mills European Dough business
acquisition), this process will take Cerelia longer than previously
anticipated as a result of rising energy, raw material, packaging
and logistics costs, supply chain disruptions, labour shortages and
difficulties in fully passing price increases to end-customers,
particularly in some markets.

The rating agency now expects that Cerelia's Moody's adjusted
leverage will reduce towards 7.0x by the end of fiscal year 2023
and move within the boundaries for a B3 rating only thereafter,
weakly positioning the company in the B3 rating category.

Although, inflation and supply chain headwinds will continue to be
a drag on margins, exacerbated by geopolitical tensions, Moody's
expects the company to be able to gradually improve the overall
profitability from current levels by implementing pricing actions
and reducing the time lag to pass on those increases to customers
by negotiating shorter-term price contracts. In addition, the
company will complete its ambitious investment plan in the next six
months, which will drive higher automation and productivity
improvements to partially mitigate the increase in input costs.
Nevertheless, current visibility is very low and the current
inflationary environment remains a key risk for the company's
forecasts over the next two years.

Additionally, the company has recently completed the acquisition of
the General Mills European Dough business, financed with drawings
under the RCF and a shareholder loan. While the acquisition is
broadly neutral on leverage and improves Cerelia business profile,
in the short-term it increases pressure on liquidity and reduces
availability under the RCF.

Cerelia's B3 CFR continues to be supported by the company's (1)
leading market shares in niche product categories, including pie
dough, pizza dough and pancakes, across its core European markets;
(2) geographically diversified sales, with pan-European presence
and exposure to North America; (3) track record of maintaining
long-term relationships with key private-label customers, which
provides a degree of revenue visibility, complemented by a
portfolio of own brands, which facilitate taking innovations to the
market; and (4) low production costs, with opportunities for
further reduction and high share of variable costs.

However, the rating is constrained by (1) the company's very high
leverage estimated to be at around 8.6x as of June 2022 (pro forma
for the recent completed acquisition), though expected to gradually
decline over the next 12-18 months; (2) Cerelia's modest scale,
with revenue of EUR535 million, and focus on relatively niche
market segments; (3) the execution risks related to the company's
ambitious volume-driven growth strategy, which primarily rests on
its ability to launch new innovative products, implement
cross-selling, expand to new markets and pursue co-manufacturing
opportunities; (4) near term margin pressure stemming from the
current inflationary environment and some execution risk in passing
those price increases to customers; and (5) its weaker liquidity
profile with reduced availability under the RCF and tightening
headroom under the springing covenant.

LIQUIDITY

Cerelia liquidity remains adequate, supported by EUR16 million of
cash on balance sheet as of December 2021. In addition, the company
has access to a EUR100 million committed RCF, which is expected to
be drawn by EUR56 million to fund the recent acquisition and
working capital needs.

Moody's notes, however, that liquidity has weakened in the last
year due to the weak operating performance, the peak in capital
expenditures and higher than expected working capital absorption
owing to shorter payment terms as well as lower availability under
the company's revolving credit facility. Headroom under the
covenant of senior secured net leverage not exceeding 9.0x, tested
only when drawings under the facility exceed 40% is expected to
remain adequate, tough it has tightened.

Although Moody's expects the company to strengthen its liquidity in
the next 12-18 months, the rating agency positively notes that the
company's ambitious investment plan to support its growth strategy,
impacting cash flow generation, will be mostly over in the next six
months. As a result, Moody's expects Cerelia to generate positive
Moody's-adjusted free cash flow of around EUR15 million in
financial year 2023 and around EUR30 million thereafter. The
company will have no material debt maturities until 2026, when its
RCF is due.

STRUCTURAL CONSIDERATIONS

The B3 ratings on the EUR495 million-equivalent senior secured term
loan (comprising a EUR457.5 million euro-denominated tranche and a
EUR37.5 million-equivalent US dollar-denominated tranche) and the
EUR100 million senior secured RCF, both borrowed by Cerelia
Participation Holding SAS, are in line with the CFR, reflecting the
fact that these two instruments rank pari passu and represent
substantially all of the company's financial debt. The senior
secured term loan B and the senior secured RCF have first priority
ranking pledges over the shares of the borrower as well as bank
accounts and intragroup loan receivables and are guaranteed by the
group's operating subsidiaries representing at least 80% of the
consolidated EBITDA. Moody's considers the security package to be
weak, in line with the rating agency's approach for shares-only
pledges. In addition, the capital structure includes around EUR43
million of real estate financing, partially secured with a specific
security on the financed real estate.

The capital structure also includes a convertible bond issued by
Cerelia Participation Holding SAS, to which Moody's has assigned a
100% equity credit.

The B3-PD PDR assigned to Cerelia Participation Holding SAS
reflects Moody's assumption of a 50% family recovery rate, given
the weak security package and the limited set of maintenance
financial covenants comprising only a springing covenant on the
senior secured RCF, tested only when utilisation is above 40%.

RATIONALE FOR STABLE OUTLOOK

The stable outlook reflects Moody's expectation that Cerelia's
operating performance will gradually improve over the next 12-18
months, owing to increasing volumes by around 3% and better pass
through of raw material price increases. This will allow the
company to reduce leverage towards 7.0x by 2023. The stable outlook
assumes that the company will maintain adequate liquidity and will
start to generate positive FCF on a sustained basis from FY 2023
onwards.

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

Upward pressure on the ratings could develop if it (1) successfully
executes its strategy, demonstrating a solid track record of sales
growth and improving margins; (2) achieves a sustainable
improvement in the profitability of its North American business;
(3) reduces Moody's-adjusted gross debt to EBITDA ratio towards
6.0x; and (4) generates positive free cash flow on a sustainable
basis.

The ratings could be downgraded if the company (1) faces a
significant decline of sales volumes and revenue leading to a
sustained erosion of profit margins; (2) fails to maintain the
Moody's-adjusted gross debt to EBITDA ratio below 7.0x on a
sustainable basis; or (3) does not maintain adequate liquidity.

LIST OF AFFECTED RATINGS

Affirmations:

Issuer: Cerelia Participation Holding SAS

Probability of Default Rating, Affirmed B3-PD

LT Corporate Family Rating, Affirmed B3

Senior Secured Bank Credit Facility, Affirmed B3

Outlook Actions:

Issuer: Cerelia Participation Holding SAS

Outlook, Changed To Stable From Positive

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Consumer
Packaged Goods Methodology published in February 2020.

COMPANY PROFILE

Cerelia Participation Holding SAS is the parent company of Cerelia
Group, the leading pan-European manufacturer of ready-to-bake and
ready-to-heat bakery products with a presence in North America,
domiciled in France. The company produces primarily pie dough,
pizza dough and kits, pancakes, crepes and pancake bites, cookie
dough and baked cookies, crescent and other baked products. Cerelia
was created in 2012 through the merger of Eurodough and
L'Alsacienne de Pâtes Ménagères. The company employs over
1,600 people and operates 13 production facilities, including 4 in
North America, across 7 countries. For the year ended June 2021,
the company sold 228 thousand tonnes of bakery products and
reported revenue of EUR535 million and EBITDA of EUR77 million.


HESTIAFLOOR 2: Fitch Affirms 'B+' LT IDR, Outlook Negative
----------------------------------------------------------
Fitch Ratings has affirmed HESTIAFLOOR 2's (Gerflor) Long-Term
Issuer Default Rating (IDR) at 'B+' and senior secured rating at
'BB-'. The Outlook remains Negative.

The Negative Outlook reflects the company's funds from operations
(FFO) gross leverage being outside Fitch's negative sensitivity of
6.5x in 2021-2022, and only coming close to this in 2023. Further,
weak disclosure of both financial and non-financial information to
Fitch has a negative impact on Fitch's ability to assess Gerflor's
most recent deleveraging, with weak leverage metrics continuing to
weigh on the ratings. Fitch will review the deleveraging path once
Fitch receives 2021 audited financial information.

The high leverage and small scale of operations constrain Gerflor's
ratings. These weaknesses are counterbalanced by Gerflor's strong
positions in a number of flooring market segments across several
geographic regions and end-customer segments, allowing Gerflor to
generate above-sector-average profit margins and strong free cash
flow (FCF).

KEY RATING DRIVERS

High Leverage to Continue: Fitch estimates FFO gross leverage of
8.6x in 2021 and 7.6x in 2022, versus 8.3x and 7.3x expected
previously for the same period, which are high for the rating and
above Fitch's negative sensitivity of 6.5x. This is caused by
weaker-than-expected profitability due to high input and freight
costs as well as Gerflor's late actions to increase prices in 2021.
Fitch expects continued rising input prices, such as crude oil
derivates, and somewhat margin-dilutive acquisitions to limit
EBITDA and FFO margin improvement in 2022, despite sale price
increases. Lack of improvement in earnings beyond 2022 is likely to
weigh on the ratings.

No Change to Deleveraging: Gerflor's deleveraging path is broadly
unchanged from Fitch's expectations a year ago and driven by market
stabilisation and higher absolute EBITDA on acquisitions. Fitch
forecasts FFO and EBITDA leverage ratios at 6.7x and 5.1x,
respectively, in 2023 (6.7x and 5.3x expected previously),
bordering on Fitch's negative sensitivities. Fitch assumes bolt on
acquisitions to be cash-funded while further acquisitions beyond
Fitch's forecasts could involve debt issuance. Fitch views
debt-funded acquisitions as indicative of a more aggressive
financial policy that will likely lead to debt /EBITDA remaining
above 6.0x in 2022-2023 before full EBITDA accretion, lengthening
the deleveraging path.

ESG Influence: Gerflor has an ESG Relevance Score of '4' for both
governance structure and financial transparency, due to the
insufficient financial and non-financial information provided by
the company. This is reflected in the lack of availability of
timely financial statements and limited access to management.

FCF Pressure from Working Capital: Fitch estimates an FCF margin of
0.5% in 2021 before it improves to 2% in 2022 and to firmly above
3% in 2023. Fitch expects the strong revenue recovery in 2021 to
continue into 2022 which, coupled with inventory build-up that is
now affected by high inflation, will result in negative
working-capital changes. While Fitch estimates Gerflor to have
incurred higher capex in 2021 after a delay to 2020 projects, capex
should remain stable at around 3.5% of sales from 2022 and not
burden FCF. Gerflor is able to preserve cash flow through cost
savings and capex delays, if needed, as demonstrated in 2020.

Focus on Bolt-on M&A: Gerflor's bolt-on acquisitions are aimed at
broadening its product portfolio and distribution channels. Its
2021 incremental debt of EUR50 million funded a bolt-on acquisition
of a flooring accessories company. Fitch believes further
acquisitions will also have a strong flooring-niche rationale.
Fitch views the breadth and depth of Gerflor's product category and
its focus on innovation as key to serving various end-markets and
attracting customers with new design and features.

Pandemic Greatly Hits Transportation: Transportation flooring, a
small yet highly profitable sub-segment of Gerflor, was
significantly hit by the pandemic during 2020, with a 30% sales
decline. While Fitch expects a gradual recovery in many transport
end-markets through 2021-2022, Fitch believes the aviation
end-market is likely to remain under pressure for longer. Fitch
believes involvement in public transportation contracts focused on
decarbonisation of traffic zones, such as electric buses and
trains, will support the segment revenue.

Robust Profitability: Gerflor's profitability is assessed at 'bbb'
under Fitch's Building Products Navigator. Its average EBITDA
margin of 14% to 2024 is above the sector average. Fitch believes
this is a result of the niche business model, ability to pass on
higher input prices to customers, a strong focus on the renovation
market at 80% of revenue, and tight customer relationships. Gerflor
also has a large share of variable costs, which translates into
healthy FFO and FCF margins, respectively, of 7%-8% and 2%-4% in
2022-2024.

Above-Average Recovery for Senior Secured: The senior secured debt
rating is 'BB-', one notch higher than the IDR, reflecting Fitch's
expectation of above-average recoveries for Gerflor's term loan B
(TLB) and revolving credit facility (RCF) in a default.

DERIVATION SUMMARY

Gerflor has a leading market position in its resilient niche
flooring segment and is larger than industry peers, such as
Victoria PLC (BB-/Stable) and Balta Group. It is much smaller than
Mohawk Industries, Inc. (BBB+/Stable) and other industry peers like
Tarkett Participation (BB-/Stable). Victoria has raised additional
debt to support acquisitions and Fitch expects it to double revenue
by 2022-2023. Gerflor has better geographical diversification than
Victoria although both have a fairly high exposure to Europe, while
Tarkett is more geographically diversified. Gerflor's exposure to
transport flooring provides end-product diversification with strong
profitability.

Like most building-product companies, Gerflor has limited product
differentiation but has developed innovative product solutions
enabling it to cater to a wide range of end-customers, which
compares positively to peers such as Ideal Standard International
SA (B-/Stable). Gerflor's distribution channels deliver strong
exposure to renovation or refurbishment construction activities
similar to that of Tarkett and Ideal Standard.

Gerflor's FFO margins (7%-8%) are somewhat similar to that of
higher-rated and larger issuers, like Tarkett and Compagnie de
Saint-Gobain (BBB/Stable), but weaker than Victoria's (10%-13%).

Fitch sees Gerflor's leverage profile as much weaker and expect FFO
gross leverage to be 8.6x-6.7x in 2021-2023 versus Victoria's
7.3x-4.1x, PCF GmbH's (B+/Stable) 6.9x-6.2x and Ideal Standard's
7.4x-5.2x over the same period.

KEY ASSUMPTIONS

-- Revenue to have grown 21% in 2021, followed by low single-
    digit organic growth in 2022-2024, further supported by
    acquisitions;

-- EBITDA margin at around 13.5% in 2021-2022, improving to
    around 14.3% in 2023-2024;

-- Capex at 3.5% of revenue until 2024 from 4.7% in 2021;

-- No dividend payments over the rating horizon;

-- M&A of EUR60 million in 2022 and EUR30 million in 2023-2024,
    from EUR80 million in 2021.

RECOVERY ASSUMPTIONS

-- The recovery analysis assumes that Gerflor would be
    reorganised as a going concern (GC) in bankruptcy rather than
    liquidated.

-- A 10% administrative claim.

-- Factoring line and other credit facilities rank super senior.

-- GC EBITDA estimate of EUR120 million reflects Fitch's view of
    a sustainable, post-reorganisation EBITDA level upon which
    Fitch bases the valuation of Gerflor.

-- An enterprise value multiple of 5.5x is used to calculate a
    post-reorganisation valuation. It reflects Gerflor's leading
    position in its niche markets (such as sport and
    transportation), long-term relationship with blue-chip clients
    and a sticky customer base due to its direct distribution
    channel.

-- The recovery analysis is based on the last available financial
    statement as of 2020.

-- The waterfall analysis output for the senior secured debt
    (EUR900 million TLB and EUR125 million RCF) generated a ranked
    recovery in the 'RR3' band, indicating an instrument rating of
    'BB-'. The waterfall analysis output percentage on current
    metrics and assumptions was 53%.

RATING SENSITIVITIES

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

-- Total debt with equity credit/EBITDA below 3.5x;

-- FFO gross leverage below 4.5x on a sustained basis;

-- Increase in scale with EBITDA trending toward EUR250 million
    while keeping FCF margin in mid-single digits;

-- Greater diversification across segments or geographies.

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

-- Total debt with equity credit/EBITDA above 5.5x;

-- FFO gross leverage above 6.5x;

-- Transformational acquisitions eroding margins;

-- Neutral to negative FCF margin.

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

Comfortable Liquidity: At end-March 2021 Gerflor had EUR76 million
of Fitch-adjusted cash balance (end-2021 balance unavailable). At
end-2021 it had a fully undrawn RCF of EUR125 million. Liquidity is
further supported by expected positive FCF margins of 2% in 2022
and firmly above 3% in 2023-2024 and by no dividend payments. This
should allow Gerflor sufficient headroom to pursue small bolt-on
acquisitions, but larger transactions are likely to be
debt-funded.

Refinancing Risk Mitigated: Gerflor's EUR900 million TLB due in
2027 leads to bullet-refinancing risk on maturity but this is
mitigated by an interest coverage ratio of almost 4x.

ESG CONSIDERATIONS

Gerflor has an ESG Relevance Score of '4' for governance structure,
due to insufficient contact from management and lack of provision
of financial reports, which has a negative impact on the credit
profile, and is relevant to the ratings in conjunction with other
factors.

Gerflor has an ESG Relevance Score of '4' for financial
transparency, due to insufficient financial and non-financial
information, 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 score is a score of 3 - ESG issues are credit
neutral or have only a minimal impact on the entity, either due to
their nature of the way in which they are being managed by the
entity.

ISSUER PROFILE

France-based Gerflor specialises in resilient flooring (vinyl and
linoleum) and walls & finishes solutions that areprimarily sold to
commercial customers. Operations span primarily across European
countries as well as the Americas and Asia Pacific.



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

CAIRN CLO VI: Moody's Affirms B2 Rating on EUR8.7MM Cl. F-R Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Cairn CLO VI DAC:

EUR19,600,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2029, Upgraded to Aa2 (sf); previously on Jul 20, 2021
Upgraded to Aa3 (sf)

EUR17,150,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2029, Upgraded to A3 (sf); previously on Jul 20, 2021
Upgraded to Baa1 (sf)

Moody's has also affirmed the ratings on the following notes:

EUR212,000,000 (Current outstanding balance EUR 94,993,584) Class
A-R Senior Secured Floating Rate Notes due 2029, Affirmed Aaa (sf);
previously on Jul 20, 2021 Affirmed Aaa (sf)

EUR42,100,000 Class B-R Senior Secured Floating Rate Notes due
2029, Affirmed Aaa (sf); previously on Jul 20, 2021 Upgraded to Aaa
(sf)

EUR24,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2029, Affirmed Ba2 (sf); previously on Jul 20, 2021
Affirmed Ba2 (sf)

EUR8,700,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2029, Affirmed B2 (sf); previously on Jul 20, 2021
Upgraded to B2 (sf)

Cairn CLO VI DAC, issued in July 2016, and refinanced in July 2018
is a collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European and US loans. The
portfolio is managed by Cairn Loan Investments LLP. The
transaction's reinvestment period ended in July 2020.

RATINGS RATIONALE

The rating upgrades on the Class C-R and D-R Notes are primarily a
result of deleveraging of the Class A-R Notes following
amortisation of the underlying portfolio since the last rating
action in July 2021.

The Class A-R Notes have paid down by approximately EUR52.2 million
(24.6%) since the last rating action in July 2021 and EUR117.0
million (55.2%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased across the capital
structure. According to the trustee report dated January 2022 [1]
the Class A/B, Class C, Class D, Class E and Class F OC ratios are
reported at 158.8%, 141.1%, 128.6%, 114.4% and 110.0% compared to
July 2021 [2] levels of 148.0%, 134.1%, 123.9%, 112.0% and 108.3%,
respectively. Moody's notes that the January 2022 principal
payments are not reflected in the reported OC ratios.

The key model inputs Moody's uses in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.

In its base case, Moody's used the following assumptions:

Performing par and principal proceeds balance: EUR226.99m

Defaulted Securities: EUR5.26m

Diversity Score: 34

Weighted Average Rating Factor (WARF): 3090

Weighted Average Life (WAL): 3.91 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.54%

Weighted Average Coupon (WAC): 3.64%

Weighted Average Recovery Rate (WARR): 45.59%

Par haircut in OC tests and interest diversion test: None

The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in May 2021. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by (1) the manager's investment strategy and behaviour
and (2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded
ambiguities.

Additional uncertainty about performance is due to the following:

Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.

Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.


DRYDEN 39 2015: Moody's Assigns B3 Rating to EUR17.3MM F-R-R Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by Dryden
39 Euro CLO 2015 DAC (the "Issuer"):

EUR2,000,000 Class X-R Senior Secured Floating Rate Notes due
2035, Definitive Rating Assigned Aaa (sf)

EUR306,300,000 Class A-R-R Senior Secured Floating Rate Notes due
2035, Definitive Rating Assigned Aaa (sf)

EUR23,000,000 Class B-1-R-R Senior Secured Floating Rate Notes due
2035, Definitive Rating Assigned Aa2 (sf)

EUR20,000,000 Class B-2-R-R Senior Secured Fixed Rate Notes due
2035, Definitive Rating Assigned Aa2 (sf)

EUR32,000,000 Class C-R-R Mezzanine Secured Deferrable Floating
Rate Notes due 2035, Definitive Rating Assigned A2 (sf)

EUR36,000,000 Class D-R-R Mezzanine Secured Deferrable Floating
Rate Notes due 2035, Definitive Rating Assigned Baa3 (sf)

EUR29,200,000 Class E-R-R Mezzanine Secured Deferrable Floating
Rate Notes due 2035, Definitive Rating Assigned Ba3 (sf)

EUR17,300,000 Class F-R-R Mezzanine Secured Deferrable Floating
Rate Notes due 2035, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

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

Interest and principal amortisation amounts due to the Class X-R
Notes are paid pro rata with payments to the Class A-R-R Notes. The
class X-R Notes amortise by 12.5% or EUR250,000 over the first 8
payment dates, starting on the 1st payment date.

Class F-R-R Notes are amortised partially through the interest
waterfall. 25% of all remaining interest proceeds available for
distribution to subordinated noteholders will be used to redeem the
Class F Notes.

As part of this refinancing, the Issuer has extended the
reinvestment period to four and half years and the weighted average
life to 8.5 years. It has also amended certain concentration
limits, definitions including the definition of "Adjusted Weighted
Average Rating Factor" and minor features. The Issuer has included
the ability to hold workout obligations/loss mitigation
obligations. In addition, the Issuer has amended the base matrix
and modifiers that Moody's has taken into account for the
assignment of the definitive ratings.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 10% of the portfolio may consist of unsecured
senior loans, second-lien loans, high yield bonds and mezzanine
loans. The underlying portfolio is expected to be fully ramped as
of the closing date and to comprise of predominantly corporate
loans to obligors domiciled in Western Europe.

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

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

In addition to the eight classes of notes rated by Moody's, the
Issuer has originally issued EUR42,500,000 of Subordinated Notes
which remain outstanding and are not rated.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.

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

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

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.

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

Target Par Amount: EUR500,000,000

Diversity Score: 57

Weighted Average Rating Factor (WARF): 3183

Weighted Average Spread (WAS): 3.90%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 40.50%

Weighted Average Life (WAL)(*): 7.58 years

DRYDEN 39 2015: S&P Assigns B- (sf) Rating to F-R-R Notes
---------------------------------------------------------
S&P Global Ratings assigned credit ratings to Dryden 39 Euro CLO
2015 DAC's class X-R, A-R-R, B-1-R-R, B-2-R-R, C-R-R, D-R-R, E-R-R,
and F-R-R notes. At closing, the issuer issued subordinated notes.

The transaction is a reset of the existing Dryden 39 Euro CLO 2015
transaction, which originally closed in September 2015, and then
reset in October 2017. The issuance proceeds of the refinancing
notes were used to redeem the refinanced notes (the class X, A-R,
B-1-R, B-2-R, C-R, D-R, E-R, and F-R notes), pay fees and expenses
incurred in connection with the reset, and fund the acquisition of
additional assets.

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 are in line with
S&P's counterparty rating framework.

  Portfolio Benchmarks
                                                      CURRENT
  S&P weighted-average rating factor                 3,019.26
  Default rate dispersion                              531.63
  Weighted-average life (years)                          4.38
  Obligor diversity measure                            106.95
  Industry diversity measure                            18.56
  Regional diversity measure                             1.30

  Transaction Key Metrics
                                                      CURRENT
  Portfolio weighted-average rating
   derived from S&P's CDO evaluator                         B
  'CCC' category rated assets (%)                         4.9
  'AAA' weighted-average recovery (%)                   33.24
  Covenanted weighted-average spread (%)                 3.90
  Covenanted weighted-average coupon (%)                 4.00

Loss mitigation obligations

Under the transaction documents, the issuer can purchase loss
mitigation 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.

Loss mitigation 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 obligation's positive effect does
not materialize. In S&P's view, the presence of a bucket for loss
mitigation obligations, the restrictions on the use of interest and
principal proceeds to purchase these assets, and the limitations in
reclassifying proceeds received from these assets from principal to
interest help to mitigate the risk.

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

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

-- Following the purchase, each interest coverage test must be
satisfied by at least 25%.

The use of principal proceeds is subject to:

-- Passing par coverage tests;

-- The manager having built sufficient excess par in the
transaction so that the aggregate collateral balance is equal to or
exceeds the portfolio's reinvestment target par balance after the
reinvestment, or, if not the case, the amount of principal proceeds
to be applied to the purchase does not exceed the outstanding
principal balance of the related defaulted obligation or credit
impaired obligation;

-- The obligation meeting the restructured obligation criteria;

-- The obligation ranking senior to, or pari passu with, the
related defaulted or credit impaired obligation;

-- The obligation not maturing after the maturity date; and

-- The obligation having a par value greater than or equal to its
purchase price.

Loss mitigation obligations purchased with principal proceeds,
which have limited deviation from the eligibility criteria due to
meeting the restructured obligation criteria, will receive
collateral value credit for principal balance and
overcollateralization carrying value purposes. Loss mitigation
obligations purchased with interest or collateral enhancement
proceeds will receive zero credit. Any distributions received from
loss mitigation obligations purchased with the use of principal
proceeds will form part of the issuer's principal account proceeds
and cannot be recharacterized as interest. Any other amounts can
form part of the issuer's interest account proceeds. The manager
may, at their sole discretion, elect to classify amounts received
from any loss mitigation obligations as principal proceeds.

In this transaction, if a loss mitigation obligation that was
originally purchased with interest subsequently becomes an eligible
collateral debt obligation, the manager can designate it as such
and transfer out of the principal account into the interest account
the market value of the asset. S&P considered the alignment of
interests for this re-designation and considered, for example, that
the reinvestment criteria has to be satisfied following the
re-designation and that the market value of the eligible collateral
debt obligation cannot be self-marked by the manager, among other
factors.

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

Rating rationale

Under the transaction documents, the rated notes pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately 4.6 years after
closing.

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

S&P said, "In our cash flow analysis, we used the EUR500 million
target par amount, the covenanted weighted-average spread (3.90%),
the reference weighted-average coupon (4.00%), and the covenanted
weighted-average recovery rates (33.24%). 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 Oct. 15, 2026, the
collateral manager may substitute assets in the portfolio for so
long as S&P's 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 S&P's current counterparty criteria.

The transaction's legal structure and framework are 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 X-R, A-R-R, and E-R-R notes. Our credit and cash flow
analysis indicates that the available credit enhancement for the
class B-1-R-R, B-2-R-R, C-R-R, and D-R-R 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-R-R notes, our credit and cash flow analysis
indicates that the available credit enhancement is commensurate
with a lower rating. However, after applying our 'CCC' criteria, we
have assigned a 'B-' rating to this class of notes."z The 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 we rate, and that have recently
been issued in Europe.

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

S&P said, "Our model generated BDR at the 'B-' rating level of
26.30% (for a portfolio with a weighted-average life of 4.6 years),
versus if we were to consider a long-term sustainable default rate
of 3.1% for 4.60 years, which would result in a target default rate
of 14.20%.

"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-R to E-R-R
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-R-R 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. PGIM Fixed Income Ltd. factors ESG
considerations throughout the investment analysis and
decision-making processes for all strategies across issuers and
asset classes. Since we do not consider there to be a material
difference between the transaction and our ESG benchmark for the
sector, we have not made any adjustments in our rating analysis to
account for any ESG-related risks or opportunities."

The transaction securitizes a portfolio of primarily senior-secured
leveraged loans and bonds, and it is managed by PGIM Loan
Originator Manager.

  Ratings List

  CLASS    RATING*     AMOUNT     INTEREST RATE    CREDIT          
       
                     (MIL. EUR)       (%)§       ENHANCEMENT (%)
  X-R      AAA (sf)      2.00      3mE + 0.50       N/A

  A-R-R    AAA (sf)    306.30      3mE + 0.95      38.74

  B-1-R-R  AA (sf)      23.00      3mE + 1.80      30.14

  B-2-R-R  AA (sf)      20.00            2.25      30.14

  C-R-R    A (sf)       32.00      3mE + 2.55      23.74

  D-R-R    BBB- (sf)    36.00      3mE + 3.70      16.54

  E-R-R    BB- (sf)     29.20      3mE + 6.71      10.70

  F-R-R    B- (sf)      17.30      3mE + 9.25       7.24

  Subordinated  NR      42.50             N/A        N/A

*The ratings assigned to the class X-R, A-R-R, B-1-R-R, and
B-2-R-R notes address timely interest and ultimate principal
payments. The ratings assigned to the class C-R-R, D-R-R, E-R-R,
and F-R-R notes address ultimate interest and principal payments.
§The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event
occurs.


FLY LEASING: Moody's Affirms 'B1' CFR & Alters Outlook to Negative
------------------------------------------------------------------
Moody's Investors Service affirmed the B1 corporate family and B3
senior unsecured ratings of Fly Leasing Limited (FLY). Moody's also
affirmed the Ba3 backed term loan ratings of FLY's subsidiaries,
Fly Funding II S.a.r.l. and Fly Willow Funding Limited. Moody's
changed the outlooks on all three companies to negative from
stable.

Affirmations:

Issuer: Fly Leasing Limited

Corporate Family Rating, Affirmed B1

Senior Unsecured Regular Bond/Debenture (Foreign Currency),
Affirmed B3

Issuer: Fly Funding II S.a.r.l.

Gtd First lien Senior Secured Bank Credit Facility (Foreign
Currency), Affirmed Ba3

Issuer: Fly Willow Funding Limited

Gtd Senior Secured Bank Credit Facility (Local Currency), Affirmed
Ba3

Outlook Actions:

Issuer: Fly Leasing Limited

Outlook, Changed To Negative From Stable

Issuer: Fly Funding II S.a.r.l.

Outlook, Changed To Negative From Stable

Issuer: Fly Willow Funding Limited

Outlook, Changed To Negative From Stable

RATINGS RATIONALE

FLY's outlook was changed to negative from stable based on Moody's
reduced expectation that FLY will be able to improve in the next 18
months its elevated debt-to-EBITDA leverage, which stood at 9.2x
based on trailing-12 months' earnings through September 31, 2021.
Moody's now anticipates that Fly's debt to EBITDA leverage will
remain elevated due to higher than expected debt levels in absolute
terms as well as the potential for lower earnings. While Moody's
believes that FLY's exposure to the military conflict between
Russia and Ukraine is limited and in line with the majority of
aircraft lessor peers, given its lower earnings basis, even a
moderate decline in lease collections would keep its leverage
elevated. Additionally, FLY does not currently have any committed
sources of external liquidity and would have to rely on additional
debt or equity raising to preserve a certain level of cash buffer
($112 million as of September 31, 2021).

Moody's affirmation of FLY's ratings considered Moody's baseline
expectation that global air travel will recover toward 2019 levels
through 2023, despite the military conflict between Russia and
Ukraine. Moody's anticipates that any decline in air travel demand
will most likely be limited to the immediate region of the military
conflict, but developments related to this military conflict are
highly fluid and uncertain. Moody's said that aircraft lessors have
the financial capacity to absorb moderate, temporary disruptions to
operations and cash flow, however credit, asset and operating risk
will rise in the sector if the military conflict is prolonged.
Moody's also anticipates that some of these cash flow declines,
including due to increased costs for repossession, maintenance and
storage of aircraft, will be offset by income and maintenance
reserve payments held by aircraft lessors from airline lessees per
the lease contracts.

The majority of FLY's fleet is comprised of modern narrow-body
aircraft used primarily in domestic and regional travel, which,
Moody's believes, has better prospects of improved volumes as air
travel demand continues to recover. Moody's also believes that the
gradual recovery will improve the environment for its owner, an
affiliate managed by Carlyle Aviation Partners (Carlyle Aviation),
to better place aircraft assets as leases mature, and for more
favorable outcomes from asset sales. Carlyle Aviation has a long
and broad experience of aircraft management throughout the aircraft
life cycle, and currently has a fleet of 308 aircraft.

Constraints on Fly's rating include its high airline concentrations
compared to rated peers, its higher reliance on secured funding
that encumbers its fleet and limits financial and operational
flexibility, and its lack of committed access to alternate
liquidity.

The Ba3 ratings for secured term loan obligations reflect the
security in the aircraft as well as the benefit of loss absorption
cushion provided by the unsecured notes obligations in the
consolidated liability waterfall. The $400 million senior unsecured
notes due October 15th, 2024 are rated at B3.

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

The ratings could be upgraded if FLY's revenue and earnings
improve, such that debt-to-EBITDA leverage improves to below 7.0x
on a sustained basis as well as if the company's liquidity position
improves, including its ability to maintain positive free cash
flow.

The ratings could be downgraded if FLY suffers further
deterioration in revenue and earnings or if its capital or
liquidity profile weaken as a result of a customer loss or business
disruption, including greater than expected impact from the
military conflict between Russia and Ukraine, or disposes of
aircraft assets on unfavorable terms. Also, expectations of a
sustained negative free cash flow may result in a downgrade.

Incorporated in Bermuda, FLY Leasing Limited (FLY) is a lessor of
commercial aircraft and engines owned by an affiliate of Carlyle
Aviation as of August 2021. As of September 30, 2021, the company
had 76 aircraft and seven engines on lease and 4 aircraft off-lease
and had total assets of $2.9 billion.

Carlyle Aviation is a multi-strategy aviation investment manager
with assets under management of $10.2 billion which owns and
manages a fleet of 308 aircraft.

The principal methodology used in these ratings was Finance
Companies Methodology published in November 2019.


MALLINCKRODT PLC: High Court Appoints Michael McAteer as Examiner
-----------------------------------------------------------------
By Order of Mr. Justice Quinn of the High Court on Monday, February
28, 2022, Mr. Michael McAteer of Grant Thornton, 13-18 City Quay,
Dublin 2, was appointed Examiner of Mallinckrodt Public Limited
Company having its registered address at College of Business &
Technology Park, Cruiserath, Blanchardstown, Dublin 15, Dublin, in
accordance with the Companies Act 2014.

                    About Mallinckrodt PLC

Mallinckrodt -- http://www.mallinckrodt.com/-- is a global
business consisting of multiple wholly-owned subsidiaries that
develop, manufacture, market and distribute specialty
pharmaceutical products and therapies.  The company's Specialty
Brands reportable segment's areas of focus include autoimmune and
rare diseases in specialty areas like neurology, rheumatology,
nephrology, pulmonology and ophthalmology; immunotherapy and
neonatal respiratory critical care therapies; analgesics; and
gastrointestinal products. Its Specialty Generics reportable
segment includes specialty generic drugs and active pharmaceutical
ingredients.

On Oct. 12, 2020, Mallinckrodt plc and certain of its affiliates
sought Chapter 11 protection in Delaware (Bankr. D. Del. Lead Case
No. 20-12522) to seek approval of a restructuring that would reduce
total debt by $1.3 billion and resolve opioid-related claims
against them.

Mallinckrodt plc disclosed $9,584,626,122 in assets and
$8,647,811,427 in liabilities as of Sept. 25, 2020.

Judge John T. Dorsey oversees the cases.

The Debtors tapped Latham & Watkins LLP and Richards, Layton &
Finger P.A. as their bankruptcy counsel; Arthur Cox and Wachtell,
Lipton, Rosen & Katz as corporate and finance counsel; Ropes & Gray
LLP as litigation counsel; Torys LLP as CCAA counsel; Guggenheim
Securities LLC as investment banker; and AlixPartners LLP as
restructuring advisor. Prime Clerk, LLC, is the claims agent.

The official committee of unsecured creditors retained Cooley LLP
as its legal counsel, Robinson & Cole LLP as co-counsel, and Dundon
Advisers LLC as its financial advisor.

On Oct. 27, 2020, the U.S. Trustee for Region 3 appointed an
official committee of opioid related claimants. The OCC tapped Akin
Gump Strauss Hauer & Feld LLP as its lead counsel, Cole Schotz as
Delaware co-counsel, Province Inc. as financial advisor, and
Jefferies LLC as investment banker.

                          *     *     *

Mallinckrodt in February announced that its Plan of Reorganization
was confirmed by the Bankruptcy Court. The Plan will deleverage
Mallinckrodt's balance sheet by approximately $US1.3 billion and
resolve thousands of lawsuits the company was facing prior to the
Chapter 11 proceedings by channeling opioid claims and many other
litigation and general unsecured claims to various creditor trusts.
The Plan was confirmed after a 16-day trial.


THUNDERBOLT AIRCRAFT: S&P Puts B (sf) Rating on Watch Neg.
----------------------------------------------------------
S&P Global Ratings placed 28 ratings from seven aircraft
asset-backed securitization (ABS) transactions on CreditWatch with
negative implications. The CreditWatch placements primarily reflect
the transactions' exposure to airlines in Russia and Ukraine.

Of the 25 outstanding commercial aircraft lease ABS transactions
rated by S&P Global Ratings, 12 have exposure to airlines domiciled
in either of these countries. The exposure, based on reported
adjusted base values, ranges from approximately 3% to 21%, with
one-to-seven aircraft in individual portfolios.

The EU and the U.S. sanctions, imposed shortly after the
Russia-Ukraine conflict began, require termination of all leases to
Russian operators by March 28. S&P said, "For the purposes of this
review, we are not making a distinction between the implications of
the EU and U.S. sanctions, if any, as most of the aircraft-owning
entities in these transactions are based in Europe and will be
directly affected by these sanctions. We are also considering
exposure to both Russia and Ukraine, even though the sanctions to
terminate leases apply only to Russian airlines. We will continue
to assess the impact as we get more clarity on the situation, in
order to resolve these CreditWatch placements." The lease
terminations and repossession of the planes under such a
challenging environment may further stress revenue collections for
affected securitized transactions, most of which are still
recovering from the COVID-19 pandemic.

S&P interacted with most of the lessors of the affected
transactions since the onset of the conflict. Based on those
interactions, there were some updates with regards to the actual
exposure reported in "S&P Global Ratings Reviews Aircraft ABS
Exposure To Russian And Ukrainian Airlines," which S&P considered
in its analysis:

-- One aircraft in a transaction was located outside Russia for a
scheduled maintenance event, which will make it less cumbersome to
repossess and remarket the aircraft.

-- Three aircraft from one transaction are still within the
aircraft acquisition period, and were not transferred to the trust
at the time the sanctions were imposed. While this mitigates the
transaction form the current risks, it currently leaves the
portfolio with three fewer aircraft; however, the portfolio remains
fairly diversified.

-- Two transactions with one aircraft each had aircraft located
outside the airline's home country.

-- It is also S&P's understanding from the lessors that all the
aircraft at risk (except the six above) are currently located in
the respective home country of the airline.

S&P said, "We are only placing six of the 12 transactions that we
cited in "S&P Global Ratings Reviews Aircraft ABS Exposure To
Russian And Ukrainian Airlines," on CreditWatch negative, as they
are the ones with relatively higher exposure to these countries.
For the remaining transactions, we believe that the available
credit enhancement is sufficient at their current rating levels
compared to their relative exposure to these events. We will
continue to monitor those transactions and take necessary actions
if we see further performance deterioration."

S&P Global Ratings acknowledges a high degree of uncertainty about
the extent, outcome, and consequences of the military conflict
between Russia and Ukraine. Irrespective of the duration of
military hostilities, sanctions and related political risks are
likely to remain in place for some time. Potential effects could
include dislocated commodities markets -- notably for oil and gas
-- supply chain disruptions, inflationary pressures, weaker growth,
and capital market volatility. As the situation evolves, S&P will
update its assumptions and estimates accordingly.

To resolve the CreditWatch placements, S&P will review the
transactions over the next 90 days.

Ratings List

RATINGS

ISSUER NAME         SERIES   CLASS      TO              FROM

AASET 2021-1 Trust  2021-1   A     A (sf)/Watch Neg     A (sf)

AASET 2021-1 Trust  2021-1   B     BBB- (sf)/Watch Neg  BBB- (sf)

AASET 2021-1 Trust  2021-1   C     B (sf)/Watch Neg     B (sf)

Castlelake Aircraft
Structured Trust    2017-1R  A     A (sf)/Watch Neg     A (sf)

Castlelake Aircraft
Structured Trust    2017-1R  B     BBB (sf)/Watch Neg   BBB (sf)

Castlelake Aircraft
Structured Trust    2017-1R  C     B- (sf)/Watch Neg    B- (sf)

MAPS 2019-1 Ltd     2019-1   A     BBB+ (sf)/Watch Neg  BBB+ (sf)

MAPS 2019-1 Ltd     2019-1   B     BB+ (sf)/Watch Neg   BB+ (sf)

MAPS 2019-1 Ltd     2019-1   C     B+ (sf)/Watch Neg    B+ (sf)

MAPS 2021-1 Trust   2021-1   A     A (sf)/Watch Neg     A (sf)

MAPS 2021-1 Trust   2021-1   B     BBB (sf)/Watch Neg   BBB (sf)

MAPS 2021-1 Trust   2021-1   C     BB (sf)/Watch Neg    BB (sf)

PK Air 1 LP                  A-F   A (sf)/Watch Neg     A (sf)

PK Air 1 LP                  A-R   A (sf)/Watch Neg     A (sf)

PK Air 1 LP                  A-E   A (sf)/Watch Neg     A (sf)

PK Air 1 LP                  B1-F  BBB+ (sf)/Watch Neg  BBB+ (sf)

PK Air 1 LP                  B2-F  BBB- (sf)/Watch Neg  BBB- (sf)

PK Air 1 LP                  B-E   BB (sf)/Watch Neg    BB (sf)

PK Air 1 LP                  C-F   BB- (sf)/Watch Neg   BB- (sf)
  
PK Air 1 LP                  C-E   BB- (sf)/Watch Neg   BB- (sf)

PK Air 1 LP                  D1-F  B- (sf)/Watch Neg    B- (sf)

PK Air 1 LP                  D-E   B- (sf)/Watch Neg    B- (sf)

S-JETS 2017-1 Ltd.  2017-1   A     BBB (sf)/Watch Neg   BBB (sf)

S-JETS 2017-1 Ltd.  2017-1   B     BB (sf)/Watch Neg    BB (sf)

S-JETS 2017-1 Ltd.  2017-1   C     B (sf)/Watch Neg     B (sf)

Thunderbolt Aircraft
Lease Ltd.                   A     A- (sf)/Watch Neg    A- (sf)

Thunderbolt Aircraft
Lease Ltd.                   B     BB- (sf)/Watch Neg   BB- (sf)

Thunderbolt Aircraft
Lease Ltd.                   C     B (sf)/Watch Neg     B (sf)




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

BRIGNOLE CQ 2022: Moody's Assigns (P)B1 Rating to Class X Notes
---------------------------------------------------------------
Moody's Investors Service has assigned the following provisional
ratings to Notes issued by Brignole CQ 2022 S.r.l.:

EUR[ ] Class A Asset Backed Floating Rate Notes due March 2038,
Assigned (P)Aa3 (sf)

EUR[ ] Class B Asset Backed Floating Rate Notes due March 2038,
Assigned (P)A1 (sf)

EUR[ ] Class C Asset Backed Floating Rate Notes due March 2038,
Assigned (P)Baa2 (sf)

EUR[ ] Class D Asset Backed Floating Rate Notes due March 2038,
Assigned (P)Ba3 (sf)

EUR[ ] Class X Asset Backed Floating Rate Notes due March 2038,
Assigned (P)B1 (sf)

RATINGS RATIONALE

The Notes are backed by a six months revolving pool of Italian
Cessione del Quinto (CDQ) and Delegazione di Pagamento (DP)
consumer loans originated by Creditis Servizi Finanziari SpA
(Creditis; NR). This represents the second issuance out of the
Brignole CQ shelf.

The portfolio consists of approximately EUR164 million of loans as
of February 18, 2022 pool cut-off date. The Reserve Fund will be
funded to 1% of Class A to C Notes balance at closing and the total
credit enhancement for the Class A Notes will be around 20%. Class
X is an excess spread Note which will be repaid out of the interest
available funds. It has an 18 months target amortization profile.
The ratings are primarily based on the credit quality of the
portfolio, the structural features of the transaction and its legal
integrity.

According to Moody's, the transaction benefits from various credit
strengths such as (i) a granular portfolio, (ii) an amortising cash
reserve sized at 1% of Class A to C Notes balance, (iii) a turbo
amortization feature starting three payment dates after the Notes'
step up date and (iv) an interest rate cap to mitigate the interest
rate mismatch on the Notes provided by Natixis (Aa3(cr), P-1).
However, Moody's notes that the transaction features some credit
weaknesses such as (i) an unrated servicer, (ii) a 6 months
revolving period and (iii) an interest rate cap with a
pre-determined notional which will terminate ahead of the Notes
legal maturity, potentially leaving the transaction unhedged should
the pool amortization be slower than expected. Various mitigants
have been included in the transaction structure such as a back-up
servicer facilitator which is obliged to appoint a back-up servicer
if the appointed servicer is terminated, as well as a performance
trigger which stops the revolving early if certain triggers are
breached.

All the loans in the initial portfolio benefit from life insurance
and 32.9% also benefit from employment insurance. The top three
life insurers represent over 75.7% of the pool: 29.8% AXA France
Vie (Aa3 insurance financial strength), 25.6% Net Insurance Life
S.p.A. (Not Rated), and 20% Cardif Assurance Vie (Not Rated). The
top three employment insurances are provided by: 15.3% Net
Insurance S.p.A. (Not Rated), 7.3% HDI Assicurazioni S.p.A. (Not
Rated), and 6.9% AXA France IARD (Aa3 insurance financial
strength).

The insurance policies will pay off the outstanding loan balance in
the event of, inter alia, borrowers' unemployment, resignation or
death. Since those events would be the typical driver of defaults
in a standard consumer loan transaction, the existence of the
insurance is credit positive. Therefore, the default risk of the
insurers and their correlation to the portfolio are a key aspect in
Moody's quantitative analysis of the transaction.

Moody's determined the portfolio lifetime expected defaults of
8.5%, expected recoveries of 75% post insurance pay-out and Aa3
portfolio credit enhancement ("PCE") of 25% related to borrower
receivables. The expected defaults and recoveries capture Moody's
expectations of performance considering the current economic
outlook, while the PCE captures the loss Moody's expect the
portfolio to suffer in the event of a severe recession scenario
prior to giving any benefit to insurance recoveries. Expected
defaults and PCE are parameters used by Moody's to calibrate its
lognormal portfolio loss distribution curve and to associate a
probability with each potential future loss scenario in the ABSROM
cash flow model to rate Consumer ABS.

Portfolio expected defaults of 8.5% are in line with the EMEA CDQ
Loan ABS average and are based on Moody's assessment of the
lifetime expectation for the pool taking into account: (i) historic
performance of the loan book of the originator and performance of
the previous deal, (ii) benchmark transactions, and (iii) other
qualitative considerations.

Portfolio expected recoveries of 75% post insurance pay-out are in
line the EMEA CDQ Loan ABS average and are based on Moody's
assessment of the lifetime expectation for the pool taking into
account: (i) historic performance of the loan book of the
originator, (ii) benchmark transactions, and (iii) other
qualitative considerations.

PCE of 25% is in line with the EMEA CDQ Loan ABS average and is
based on Moody's assessment of the pool which is mainly driven by:
(i) evaluation of the underlying portfolio, complemented by the
historical performance information as provided by the originator,
(ii) the relative ranking to originator peers in the EMEA CDQ loan
market and (iii) the exposure to different insurance companies. The
PCE level of 25% results in an implied coefficient of variation
("CoV") of 48.1%.

Moody's also considered the insurance company exposure in the
transaction and the impact of one or more insurance companies
defaulting on the recovery figure, as well as shifts in the
concentration to single insurance companies. These scenarios are
weighted by the credit quality of the insurance companies to derive
a joint loss distribution for Moody's cash-flow model.

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

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

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

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


LIMACORPORATE SPA: Moody's Affirms B3 CFR, Alters Outlook to Neg.
-----------------------------------------------------------------
Moody's Investors Service has affirmed the B3 corporate family
rating and B3-PD probability of default rating of Limacorporate
S.p.A. ("LimaCorporate" or "the company"). Concurrently, Moody's
has affirmed the instrument ratings on the EUR275 million
guaranteed senior secured floating rates notes (FRNs) at B3 and the
EUR60 million guaranteed senior secured revolving credit facility
(RCF) at Ba3. Moody's has revised the outlook to negative from
stable.

RATINGS RATIONALE

The change in outlook to negative primarily reflects the heightened
refinancing risks associated with the company's RCF, which is due
in February 2023 and which was drawn by EUR47 million at end of
2021. The company usually relies on its RCF to partially fund
capital spending plans. Currently, the agency forecasts that the
company would not be able to redeem the drawn portion with its own
liquidity sources and therefore it will need to have access to
financial markets to refinance it.

Moody's understands that the company intends to refinance both its
RCF due in February 2023 and its FRNs, which mature in August 2023
well in advance of their expiry. However the agency believes that
access to capital markets is now more difficult because of the high
geopolitical risk caused by the Russia-Ukraine military conflict,
which could mean that a refinancing in 2022 proves more
challenging. The company's financial strategy and risk management
policies, including liquidity management is considered a governance
risk under Moody's ESG framework.

Furthermore, LimaCorporate's free cash flow (FCF) generation
remains limited. The agency expects its Moody's-adjusted FCF to be
break-even in 2022 and only turn positive in 2023 as a result of an
expected rebound in sales, lower working capital outflows due to
the company's already built-up inventory levels, and slightly lower
capital spending linked to instrument sets.

The rating affirmation considers the company's improved operating
performance in 2021, which Moody's expects will continue over the
next 12-18 months, following a sharp decrease in earnings in 2020
because of the coronavirus pandemic. Moody's expects
LimaCorporate's Moody's-adjusted leverage to trend towards 6x over
the same period, driven by a continued recovery in trading, market
penetration of the company's technologies, and continued cost
savings, which were initially generated during the pandemic.

RATING OUTLOOK

The negative outlook reflects the heightened refinancing risks
associated with the RCF, which is due in February 2023. The agency
estimates that the company would not be able to repay the drawn
part of its RCF with its own liquidity sources.

LIQUIDITY PROFILE

Because the RCF matures over the next 12 months, Moody's considers
LimaCorporate's liquidity to be weak. As at the end of 2021, the
company's main liquidity sources were its cash balances of around
EUR30 million and access to EUR13 million of undrawn RCF. The
company's RCF matures in February 2023, while its EUR275 million
notes are due in August 2023.

Under the loan documentation, the RCF lenders benefit from a
springing super senior net leverage covenant tested only when the
RCF is drawn by more than 35%. Moody's base case assumes that the
company will maintain adequate capacity under its financial
covenant, if tested.

While the agency expects FCF to turn positive from 2023, liquidity
is strained by TechMah's outstanding milestone payments (EUR14
million remaining as of September 2021). Moody's has limited
visibility into the timing of these payments.

STRUCTURAL CONSIDERATIONS

The probability of default rating is B3-PD, in line with the
corporate family rating (CFR), reflecting Moody's assumption of a
50% recovery rate, as is customary for capital structures that
include notes and bank debt. The senior secured floating-rate notes
are rated B3, in line with the CFR, because there is a limited
amount of super senior RCF in the structure.

Both the notes and the RCF benefit from a senior-ranking security
package incorporating guarantees from all material group entities
and some asset security. Shareholder funding in the restricted
group is in the form of equity. Additionally, there are EUR85
million of payment-in-kind (PIK) notes issued outside of the
restricted group, which have not been taken into consideration in
Moody's calculation of leverage metrics.

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

Given the negative outlook, upward rating pressure is unlikely in
the near term, but a stabilization of the outlook could occur if
the company successfully refinances its debt facilities in a timely
manner. Quantitively, positive rating pressure is possible if the
company's Moody's-adjusted leverage declines below 6x on a
sustained basis; and LimaCorporate improves its liquidity,
including Moody's-adjusted FCF/debt increasing above 5% on a
sustained basis.

Downward rating pressure could occur if the company is unable to
refinance its debt facilities as management currently intends; if
its Moody's-adjusted leverage increases above 7x for a prolonged
period; the company's liquidity further deteriorates, including
negative Moody's-adjusted FCF on a sustained basis; or the company
undertakes debt-financed acquisitions or shareholder
distributions.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Medical
Products and Devices published in October 2021.

COMPANY PROFILE

Headquartered in San Daniele del Friuli, Italy, LimaCorporate is a
global orthopedic medical device company with subsidiaries in 24
countries and sales across 44 countries. The company manufactures
and markets innovative joint replacement and repair solutions in
the Hips, Extremities and Knees segments. In the last twelve months
ending September 2021, the company reported revenue EUR207 million
and company-adjusted EBITDA of EUR61 million. The company has been
ultimately majority-owned by EQT Partners since 2016.



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

ARMORICA LUX: S&P Downgrades ICR to 'B-', Outlook Stable
--------------------------------------------------------
S&P Global Ratings lowered its long-term issuer credit and issue
ratings on Luxembourg-based landscaping services group Armorica Lux
S.a.r.l. (idverde)and its EUR335 million senior secured term loan B
(TLB) to 'B-' from 'B', with the unchanged '3' recovery rating
indicating its expectations of meaningful loan recovery prospects
(50%-70%; rounded estimate: 55%) in the event of a payment
default.

S&P said, "The stable outlook reflects that we expect idverde's
leverage will remain elevated in the coming 12 months due to
potential operating headwinds such as inflationary pressures, which
could limit profit restoration. Nevertheless, we project gradual
margin improvement, thanks to lower one-off costs, and continued
adequate liquidity over the next 12 months."

The downgrade reflects idverde's significantly higher-than-expected
leverage, which peaked above 15x in 2021 and will likely, remain
elevated in 2022, combined with negative FOCF. The
weaker-than-expected financial performance stems from operational
setbacks in the group's U.K. business amid lower volumes than
anticipated from housebuilder activity and the creation segment.
This is due to a combination of inconsistent management decisions
at the local level and execution issues, resulting in deteriorated
productivity and exceptional losses. The U.K. business also faced a
cyber attack, further disrupting operations. Idverde's management
has launched turnaround initiatives to address the underperformance
and expects to restore profitability in the housebuilder and
creation segments within two years. However, these events have
significantly hit S&P Global Ratings-adjusted credit metrics and
S&P forecasts leverage will remain elevated at about 9.0x in 2022,
which departs from its initial expectations of improvement toward
6.0x by that time.

idverde benefits from favorable growth prospects in its markets,
since demand for outsourced landscaping services should remain
solid, but its profitability is weak and could be further
challenged by inflationary pressures.Apart from the U.K. where some
segments experienced headwinds, operating performance in most
markets was satisfactory or even above expectations, supported by
solid demand for landscaping services. Notably, revenue was EUR35
million above budget and EBITDA margins 110 basis points (bps)
higher than anticipated in the group's largest market, France.
However, operating headwinds could persist at the group level given
tight labor markets and inflationary pressures, which may limit
EBITDA margin recovery. That said, S&P expects the group to pass
increased costs through to customers, because a large part of its
contracts include indexation clauses, and forecast S&P Global
Ratings-adjusted EBITDA margins will improve from very low levels
of 3.5%-4.0% in 2021. This is also because of many nonrecurring
costs last year.

The group's strategy involves acquisitions to complement organic
growth, which could further strain cash flow available for debt
repayment. S&P said, "Idverde has completed more than 20
acquisitions since its acquisition by Core Equity Holdings (CEH) in
2018 and we expect bolt-on deals will continue to be used to
strengthen its market shares locally and add complementary services
to its product range. In our view, the company will need to raise
additional debt or receive equity contributions from its
shareholders to execute its external growth plan, which is likely
to maintain leverage at high levels. We also note relatively high
and recurring costs associated with acquisitions and integration
processes, despite a track record of successfully integrating
acquired entities and achieving margin improvement through
cost-saving measures. We factor these into our adjusted EBITDA and
leverage figures."

The group's liquidity remains adequate, supported by sources
exceeding uses by more than 1.2x in the next 12 months. Idverde
benefits from relatively low capital expenditure (capex) and
working capital requirements, supporting its liquidity position
despite weaker than previously expected funds from operations
(FFO). The group has no major upcoming debt repayments and only
must comply with a single springing net leverage covenant of 7.40x,
under which S&P expects it will maintain adequate headroom (above
15%).

S&P said, "The stable outlook reflects that we expect idverde's
leverage will remain elevated in the coming 12 months due to
potential operating headwinds such as inflationary pressures, which
could limit profit restoration. Nevertheless, we project gradual
margin improvement, thanks to lower one-off costs, and continued
adequate liquidity over the next 12 months.

"We could downgrade the company if operational performance weakens
further due to continued high exceptional costs and a
slower-than-expected recovery at underperforming divisions. This
could add additional strain to credit metrics and result in
sustained negative FOCF and tightening liquidity. In addition, we
could consider a downgrade if leverage is maintained above 10x.

"We could consider an upgrade if profitability improves more
quickly than anticipated, with EBITDA exceeding our expectations
and resulting in S&P Global Ratings-adjusted debt to EBITDA of
below 7.0x on a sustained basis, FFO interest coverage reverting
above 2x, and improved FOCF."

ESG credit indicators: To E-2, S-2, G-4; from E-2, S-2, G-3

S&P said, "Governance factors are a negative consideration in our
credit rating analysis of Armorica Lux S.a.r.l. Our assessment of
the company's financial risk profile as highly leveraged reflects
corporate decision-making that prioritizes the interests of the
controlling owners, in line with our view of the majority of rated
entities owned by private-equity sponsors. Our assessment also
reflects their generally finite holding periods and a focus on
maximizing shareholder returns. We note that a cyber attack and
operational underperformance, particularly in the U.K., negatively
affected the group's financial results in 2021, with S&P Global
Ratings-adjusted EBITDA margin falling to 3.7% from 6.9% in 2020.
The governance risk associated with a lack of control on strategy
execution also feeds into our negative assessment for governance
factors."




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

DUTCH PROPERTY 2022-CMBS1: S&P Assigns B- (sf) Rating to F Notes
----------------------------------------------------------------
S&P Global Ratings has assigned credit ratings to Dutch Property
Finance 2022-CMBS1 B.V.'s class A, B, C, D, E, and F notes. Dutch
Property Finance 2022-CMBS1 also issued unrated class X and Z notes
at closing.

In this true sale transaction, the issuer used the issuance amount
to purchase a portfolio of 65 commercial mortgage loans and to fund
a committed liquidity reserve account.

The portfolio comprises 65 small commercial real estate loans
originated by RNHB B.V. (the seller) and Stichting PVF Zakelijke
Hypothekenfonds, and which are secured on over 330 commercial
properties located throughout the Netherlands.

Many of the loans are cross collateralized and cross defaulted so
that the transaction is ultimately backed by 19 distinct borrower
groups.

S&P said, "Our ratings address Dutch Property Finance 2022-CMBS1's
ability to meet timely interest payments on the class A to D notes
and principal repayment no later than the legal final maturity in
April 2050. Our ratings on the class E and F notes address ultimate
repayment of interest and principal no later than the legal final
maturity in April 2050. Our ratings do not address payment of the
step up consideration.

"Our ratings on the notes reflect the credit support provided by
the subordinate classes of notes, the issuer reserve, the
underlying loans' credit, cash flow, and legal characteristics, and
an analysis of the transaction's counterparty and operational
risks, namely the servicer's ability to perform its roles in this
transaction."

  Ratings

  CLASS     RATING*     AMOUNT (MIL. EUR)§

  A         AAA (sf)     181.088

  B         AA- (sf)      20.610

  C         A (sf)        11.027

  D         BBB+ (sf)     11.026

  E         BB (sf)        8.705

  F         B- (sf)        4.063

  X         NR             0.100

  Z         NR             2.000

*S&P said, "Our ratings address timely interest payments on the
class A-D notes and principal repayment no later than the legal
final maturity in April 2050. Our ratings on the class E and F
notes address ultimate repayment of interest and principal no later
than the legal final maturity in April 2050. Our ratings do not
address payment of the step-up consideration."
§The class A notes include the EUR4.39 million liquidity reserve,
which is not included in the calculation of the LTVs and credit
enhancement.
NR--Not rated.




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

[*] Fitch Lowers LT Foreign Curr. IDRs of 6 Russian NBFIs to 'CC'
-----------------------------------------------------------------
Fitch Ratings has downgraded six Russian non-bank financial
institutions' (NBFI) Long-Term Foreign-Currency Issuer Default
Ratings (LTFC IDRs) to 'CC' from 'B' and removed them from Rating
Watch Negative (RWN).

The affected entities are:

-- Aton Financial Holding (Aton)

-- Baltic Leasing JSC (BL)

-- JSC GTLK (GTLK)

-- Central Counterparty National Clearing Centre (NCC)

-- RESO-Leasing LLC (RL)

-- JSC Rosagroleasing (RAL)

Fitch has also downgraded BL's, GTLK's and RL's Long-Term
Local-Currency (LTLC) IDRs to 'CC' from 'B' and removed the ratings
from RWN. Aton's and NCC's LTLC IDRs were downgraded to 'CCC-' from
'B' and removed from RWN.

This rating action considers i) the Presidential Decree of 5 March
2022, which could impose insurmountable barriers to issuers'
ability to make timely payments on foreign- and local-currency debt
to certain international creditors in their original currency.
While the practical implementation of this decree remains unclear,
Fitch believes that the severely heightened risk is best reflected
in Fitch's 'CC' rating definition of 'default of some kind appears
probable'; ii) the risk of broader intervention in the
foreign-currency operations of the financial sector; and iii) the
deterioration in the Russian operating environment following the
imposition of sanctions by the US, EU and other jurisdictions,
which weakens entities' standalone profiles and reduces the
likelihood they will receive extraordinary government or
shareholder support.

The rating actions follow the downgrade of Russia's sovereign LTFC
IDR to 'C' from 'B' on 8 March 2022.

Following the rating action, Fitch has withdrawn RAL's ratings for
commercial reasons. Fitch will no longer provide ratings or
analytical coverage of RAL.

KEY RATING DRIVERS

The rating actions reflect Fitch's view that following the
downgrade of the sovereign rating and the imposition of a number of
restrictions regarding the companies' ability to service
outstanding debt held by non-residents, a default on the companies'
foreign- and/or local-currency obligations now appears probable.
Fitch has therefore revised the operating environment score for
Russian NBFIs to 'ccc-' from 'b'. Fitch views the risks to issuers'
standalone foreign-currency liquidity profiles to be particularly
acute, but the threat to solvency arising from a substantial
deterioration in asset quality and heightened market risks is also
very material.

LTFC IDRs

The LTFC IDRs, following the downgrades, are one notch below the
operating environment score, reflecting Fitch's opinion that some
form of default on FC financial obligations or deposits is probable
over the rating horizon, due to restrictions imposed on FC
financial obligation payments to certain international creditors
under the Presidential Decree or broader intervention in the FC
operations and deposits.

LTLC IDRs and Viability Rating (VR)

For the companies with outstanding LC bonds (BL, GTLK, RL, and RAL)
their LTLC IDRs reflect the severely heightened risk of a default
on the companies' LC bonds because of potential restrictions
imposed by authorities on LC debt payments to certain international
creditors under the Presidential Decree of 5 March.

Aton's and NCC's LTLC IDRs of 'CCC-' are not capped by the payment
controls, due to the absence of meaningful outstanding LC bonds.
However, their LTLC IDRs and NCC's VR at 'ccc-' remain driven and
constrained by the sharply deteriorated operating environment,
including a material weakening of most of their domestic
counterparties, potential spikes in margin requirements and the
heightened risk of imposition of further payment controls.

Short-Term IDRs

The Short-Term IDRs for all reviewed entities have been downgraded
to 'C' from 'B' and removed from RWN. All Short-Term IDRs remain in
accordance with Fitch's correspondence table between Long-Term and
Short-Term IDRs.

Debt Ratings

GTLK's rouble-denominated senior unsecured debt ratings are aligned
with the company's LTLC IDR, which has been downgraded to 'CC',
reflecting Fitch's expectations of average recoveries (RR4). The
U.S. dollar-denominated notes issued by GTLK's Ireland-based
subsidiary, GTLK Europe DAC, and its financing SPV, GTLK Europe
Capital DAC, are rated in line with GTLK's LTFC IDR, as they
benefit from an unconditional and irrevocable guarantee from GTLK
although GTLK's ability to honour this guarantee has weakened, in
Fitch's view, following the downgrade of its Long-Term IDR.

Government and Shareholder Support Ratings (GSRs and SSRs)

Fitch has revised RAL's, NCC's and GTLK's Government Support
Ratings (GSR) to 'No Support' (ns) from 'b' and removed them from
RWN. The ratings reflect Fitch's view that no extraordinary support
will be forthcoming for senior creditors from the Russian
sovereign, given the Presidential Decree.

Fitch has affirmed RL's and Aton's Shareholder Support Rating (SSR)
at 'ns', indicating that the ratings do not include an assumption
of extraordinary support.

RATING SENSITIVITIES

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

-- Fitch would downgrade the LTFC and LTLC IDRs to 'C' if Fitch
    believes a default or default-like process has begun. This
    could for instance occur if an issuer has entered into a grace
    or cure period following non-payment of a material financial
    obligation.

-- Fitch would downgrade the LTFC and LTLC IDRs to 'RD'
    (restricted default) if a non-payment of a material financial
    obligation remains uncured after expiry of the relevant grace
    period or if Fitch becomes aware of a selective payment
    default on a specific class or currency of debt.

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

-- A positive rating action on the sovereign rating, indicating
    improvement in the operating environment and abating potential
    payment restrictions, could lead to upgrades of the entities'
    Long-Term IDRs.

BEST/WORST CASE RATING SCENARIO

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

Criteria Variation

Fitch have varied its criteria by maintaining LTFC and LTLC IDRs
(both 'CC') above the issuer's GSR (ns) for RAL and GTLK. This is
because Fitch believes the while sovereign support can no longer be
relied upon, the IDRs meet the rating definition of a 'CC' (default
is probable) rather than 'C' definition (default-like process has
begun).

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
=========

IM BCC 4: S&P Assigns Prelim CCC- (sf) Rating on Class B Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to IM
BCC Cajamar PYME 4, Fonde de Titulizacion's class A and B notes.

The transaction is a securitization of a pool of performing secured
and unsecured loans granted to Spanish small and midsize (SME)
companies according to the European Commission's definition.

The main features of the transaction are:

-- The portfolio is very well diversified with more than 20,000
loans granted to Spanish SME borrowers.

-- The transaction is structured with a combined waterfall for
both principal and interest payments.

-- Cajamar Caja Rural, Sociedad Cooperativa de Credito is an
established lender in the Spanish market.

Lower average credit quality of SME borrowers that are being
securitized compared to the originator's overall loan book.

The transaction includes a cash reserve, funded on the closing
date, which provides liquidity support to the notes throughout the
transaction's life. This reserve will eventually be also used to
redeem the notes.

S&P said, "Our preliminary ratings on the class A and B notes
reflect our assessment of the underlying asset pool's credit and
cash flow characteristics, as well as our analysis of the
transaction's exposure to legal, counterparty, and operational
risks.

"Our analysis indicates that the available credit enhancement for
the class A and B notes is sufficient to mitigate the notes'
exposure to credit and cash flow risks at the 'A+ (sf)' and 'CCC-'
(sf) ratings."

Rating Rationale

S&P's preliminary ratings reflect S&P's assessment of the following
factors:

Credit risk

The collateral is a static pool of secured and unsecured loans
granted to Spanish SMEs. S&P has analyzed credit risk by applying
its criteria for European CLOs backed by SMEs.

S&P said, "In line with our European SME CLO criteria, we derived
the portfolio's 'AAA' scenario default rate (SDR) by adjusting our
average credit quality assessment to determine loan-level rating
inputs and by applying the 'AAA' targeted portfolio default
rates."

The collateral portfolio's average credit quality is 'B',
considering the following factors:

-- Country and originator, to reflect the country where the assets
were originated, and S&P's assessment of the quality of the
originator's underwriting and origination processes;

-- The securitized portfolio's credit quality compared with the
originator's overall loan book, to make a portfolio selection bias
if the securitized pool's credit quality is worse than the overall
loan book. For this transaction, S&P has made one downward
adjustment for portfolio selection bias, reflecting that 7.99% of
the underlying pool has either no internal rating assigned or is
rated with a different originator internal rating scale; and

-- Further portfolio-specific characteristics of the underlying
pool, such as: (i) the pool's weighted-average seasoning, which at
2.43 years, is fairly low, if we consider that the weighted-average
term-to-maturity is more than seven years; (ii) that 51% of the
securitized pool was originated in 2021, during the pandemic.
Therefore, the historical vintage data may not be a good fit, and
might be inadequate to explain the trajectory of these assets in
the long term.

-- Finally, based on the final average portfolio assessment
resulting from the above adjustments, S&P calculated the SDRs for
each rating level.

-- S&P then derived the 'B' SDR based on an analysis of the
originator-specific default data to reflect its forward-looking
estimate of expected defaults for a portfolio, given the current
economic trends.

-- S&P said, "In addition, we considered the current macroeconomic
environment, sectors in which these SMEs operate, annual turnover
of the SMEs that form part of the collateral portfolio, and other
similar characteristics of the SME pool when assessing the
portfolio's average credit quality and determining 'B' SDRs at
10%."

-- In accordance with S&P's rating framework, it interpolated the
remaining SDRs at each rating level between 'B' and 'AAA'."

Cash flow analysis

S&P said, "We tested the transaction's cash flows in a model that
simulated various rating stress scenarios. In our modeling
approach, we ran several different scenarios at each rating level,
combining different interest rate patterns with different default
patterns. We also applied an additional sensitivity analysis to
assess the effect of permitted variations and liquidity stresses
that could arise due to payment holidays on the rated notes.

"Our analysis indicates that the available credit enhancement of
24.27%, including the reserve fund (sized at 3% of the class A and
B notes' initial balance) for the class A notes is sufficient to
withstand the credit and cash flow stresses that we apply at the
'A+' rating, so that the notes receive timely interest and ultimate
principal payments at maturity.

"The class B notes only benefit from soft credit enhancement
(available through excess spread generated on the asset portfolio
and the availability of the reserve fund once the class A notes
fully amortize). We have therefore assigned our preliminary 'CCC-
(sf)' rating to this class of notes. Furthermore, there is no
compensation mechanism that would accrue interest on deferred
interest on the class B notes, but we consider this feature to be
common in the Spanish market. As soon as the class B notes becomes
the most senior, interest payments will be timely, and any accrued
interest will be fully paid. Under these circumstances, when the
class B notes are the most senior notes outstanding, our rating
will address timely payment of interest and ultimate payment of
principal.

"Our preliminary rating on the class A notes also reflects our
assessment under the terms outlined in our structured finance
sovereign risk criteria, which allow us to rate a security above
the long-term rating on the sovereign."

Counterparty risk

S&P considers that the transaction's replacement mechanisms
adequately mitigate its exposure to counterparty risk, under its
counterparty criteria.

Operational and servicing risk

The originator and servicer is an established Spanish bank that has
a good knowledge of its operating regions and its client bases.
S&P's preliminary ratings on the notes reflect its assessment of
the bank's origination policies, as well as its evaluation of its
ability to fulfil its role as servicer under the transaction
documents.

Legal risk

S&P expects the issuer to be bankruptcy remote in accordance with
its legal criteria.

Country risk

S&P said, "We have also applied our structured finance sovereign
risk criteria in our analysis of the class A notes. Our analysis
indicates that the class A notes can support a rating above the
unsolicited long-term sovereign rating on Spain (currently 'A').
For the class B notes, as the assigned preliminary rating is 'CCC-
(sf)', we did not apply our sovereign risk criteria."

Supplemental tests

S&P said, "We introduced new supplemental stress tests in our SME
CLO criteria to assess obligor and industry concentrations. We also
included an additional test for regional concentration because
European SME portfolios tend to be based in a single jurisdiction.
The credit enhancement available for all of the rated classes is
sufficient to meet these tests."

Monitoring and surveillance

S&P will maintain continual surveillance on the transaction until
the notes mature or are otherwise retired. To do this, it analyzes
regular servicer reports detailing the performance of the
underlying collateral, monitor supporting ratings, and make regular
contact with the servicer to ensure that minimum servicing
standards are being sustained and that any material changes in the
servicer's operations are communicated and assessed.

In particular, the key performance indicators we consider in our
surveillance are:

-- The level of arrears, defaults, and recoveries during the
transaction's life;

-- The variation of credit enhancement available to the notes;
and

-- The underlying portfolio's composition.

  Ratings List

  CLASS     PRELIM. RATING*    PRELIM. AMOUNT (MIL. EUR)

  A             A+ (sf)           702.00
  B             CCC- (sf)         198.00

*S&P's rating on the class A notes reflects timely payment of
interest and ultimate payment of principal on the legal final
maturity of the notes. Its rating on the class B notes reflects
ultimate payment of interest and principal.




=====================
S W I T Z E R L A N D
=====================

ILIM TIMBER: Moody's Affirms 'B2' CFR & Alters Outlook to Negative
------------------------------------------------------------------
Moody's Investors Service has changed Ilim Timber Continental
S.A.'s outlook to negative from positive. At the same time, Moody's
affirmed the B2 corporate family rating and the B2-PD probability
of default rating.

RATINGS RATIONALE

The rating action reflects the heightened geopolitical and macro
uncertainty that Ilim Timber is exposed to following Russia's (Ca
negative) invasion of Ukraine (Caa2 review for downgrade). In
particular, there are significant risks to Russia's macro-economic
stability posed by the imposition of severe and co-ordinated
sanctions and this has financial ramifications on the domestic
banking and corporate sector. About a quarter of Ilim Timber's
revenues are generated in Russia and are impacted by the
significant depreciation of the rouble. Moody's will continue to
monitor the current developments and in particular how they may
translate into business disruptions or a weaker operating
environment.

Ilim Timber's rating factors in (1) the proximity of the company's
production assets to reliable and accessible raw material supply
and an established distribution infrastructure; (2) its diversified
customer base and established sales channels to all key regions;
and (3) its well-invested modern saw mills in Germany that require
low-maintenance capital spending.

The rating also takes into account Ilim Timber's (1) low product
portfolio diversification because around 74% of the company's sales
are represented by sawn timber, a market characterised by
seasonality and volatility in terms of price; (2) fairly small size
on a global scale; (3) high operational concentration at Wismar
mill in Germany; and (4) somewhat volatile spreads between cost of
logs and sawn timber prices, resulting in volatile profitability.

RATIONALE FOR NEGATIVE OUTLOOK

The negative outlook reflects the downside risks that Ilim Timber
is exposed to given its operations in Russia, and more broadly to
heightened geopolitical risk.

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

The rating is unlikely to be upgraded given the negative outlook.
Moody's could downgrade Ilim Timber's rating if (1) the heightened
geopolitical risk materially impacts the business or financial
profile of the company; (2) Moody's-adjusted debt/EBITDA was to
rise above 5.0x on a sustained basis; (3) operating performance,
cash generation or market position were to weaken materially; or
(4) liquidity was to deteriorate.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Paper and
Forest Products published in December 2021.

COMPANY PROFILE

Switzerland-domiciled Ilim Timber is one of the largest softwood
sawn timber producers in Europe. The company operates two
facilities in Germany and two in Russia, with a total annual
production capacity of 2.6 million cubic meters of sawn timber and
0.2 million cubic meters of plywood. The company generates about
75% of its revenue from operations in Germany and 25% from its
mills in Russia. Ilim Timber is controlled by Boris and Mikhail
Zingarevich.




===========
T U R K E Y
===========

MILLI REASURANS: A.M. Best Affirms B(Fair) Fin'l. Strength Rating
-----------------------------------------------------------------
AM Best has downgraded the Long-Term Issuer Credit Rating
(Long-Term ICR) to "bb" (Fair) from "bb+" (Fair) and affirmed the
Financial Strength Rating of B (Fair) of Milli Reasurans Turk
Anonim Sirketi (Milli Re) (Turkey). Concurrently, AM Best has
placed these Credit Ratings (ratings) under review with negative
implications.

The ratings reflect Milli Re's consolidated balance sheet strength,
which AM Best assesses as adequate, as well as its adequate
operating performance, neutral business profile and appropriate
enterprise risk management.

The downgrade of the Long-Term ICR follows the publication of Milli
Re's audited financial statements for year-end 2021, and reflects a
deterioration in the company's consolidated risk-adjusted
capitalization, as measured by Best's Capital Adequacy Ratio
(BCAR). The worsening of economic conditions in Turkey, which
resulted in a material devaluation of the Turkish Lira and high
levels of inflation, has increased Milli Re's asset, reserving and
underwriting risk significantly.

The ratings have been placed under review with negative
implications, as AM Best needs time to assess the full impact of
the deteriorating economic conditions in Turkey on Milli Re's
balance sheet strength and its broader credit fundamentals.




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

KYIV CITY: Moody's Puts Caa3 Issuer Rating on Review for Downgrade
------------------------------------------------------------------
Moody's Investors Service has further downgraded the City of Kyiv's
and the City of Kharkiv's long-term issuer (domestic and foreign
currency) ratings to Caa3 from Caa1 and placed these ratings on
review for further downgrade. Concomitantly Moody's has downgraded
both cities' Baseline Credit Assessments (BCA) to caa3 from caa1
and placed them on review for further downgrade.

The rating action follows Moody's decision to downgrade to Caa2
from B3 and place on review for downgrade the Ukrainian
government's rating on March 4, 2022.

The downgrade of the ratings reflects the widespread economic,
social, and physical impacts of the ongoing military conflict with
Russia. Moody's expects a significant and prolonged loss in
economic activity including lower employment and a reduction in key
tax revenue sources for both cities. In addition, spending pressure
will rise sharply to address the impacts of the military conflict.
The downgrade also reflects Moody's expectation of extensive
physical damage to infrastructure, in addition to the tragic loss
of life and displacement of a significant proportion of its
population. Russia's invasion has upended the normal functioning of
the two local administrations with consequent impacts on their
ability to govern effectively.

The decision to place the ratings of Kyiv and Kharkiv on review for
further downgrade reflects the high degree of uncertainty and
downside risks of the social and economic damage that the two
cities will incur. The intensification of the military invasion of
Ukraine could have significant implications for the ability to meet
debt obligations of the two cities. Moody's believes that the
existing buffers, in absence of any form of additional financial
support, may not be sufficient to fully offset liquidity risks
stemming from debt repayment needs.

The review period will allow Moody's to better assess the extent to
which the invasion leads to long-lasting economic damage and
impairs the cities' ability and willingness to continue meeting
their debt obligations under a period of military conflict.

RATINGS RATIONALE

RATIONALE FOR THE RATING DOWNGRADES

KYIV AND KHARKIV

The military conflict in Ukraine heightens credit risks for Kyiv
and Kharkiv. The most relevant direct effects include casualties,
displacement of its population, physical damage to real estate and
infrastructure, loss in economic activity and employment.

Russia's invasion significantly interferes with local
administrations' governance and management effectiveness. While it
is difficult to assess the long-term impact of the military
conflict, the two cities are facing unprecedented challenges to
mitigate the social and the economic disruption over the next
months.

Against this backdrop, the City of Kyiv entered this crisis with a
relatively wealthy and diversified economy, strong financial
fundamentals and low debt levels at an estimated 17% of operating
revenues in 2021, all of which provides some shock absorption
capacity.

Similarly, the City of Kharkiv benefited from a relatively
developed economy, solid financials and a moderate debt burden at
an estimated 45% of operating revenue in 2021. A historically
conservative approach to budget spending allowed the city to
maintain its budget position close to balance over the last four
years.

Both cities are largely exposed to systemic risk from the Ukraine
sovereign, which has further increased, given their close
operational and financial linkages. Specifically, Kyiv and Kharkiv
are highly reliant on tax and intergovernmental revenues from the
sovereign which may reduce given pressure on national budgets and
the need to reprioritise resources. They are also exposed to
tighter financing conditions, including reduced market access and
refinancing risks.

Moody's has changed both cities' Baseline Credit Assessments (BCAs)
to caa3 from caa1 and placed them on review for further downgrade.

The Caa3 ratings also incorporate a low level of extraordinary
support from the Ukrainian Government for both the City of Kyiv and
the City of Kharkiv.

RATIONALE FOR INITIATING THE REVIEW FOR FURTHER DOWNGRADE

KYIV AND KHARKIV

The decision to place the issuer ratings of Kyiv and Kharkiv on
review for further downgrade reflects the need to assess the extent
to which the military conflict leads to sustained economic and
fiscal damage for the two cities. Moody's will examine the negative
implications from tax reduction caused by losses in the economic
activity and displacement of population, spending needs to mitigate
the social and the economic effects of the crisis, and tightening
external financial conditions including lack of market access, all
of which could affect their liquidity profiles and ultimately debt
service capacity.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS

KYIV

The City of Kyiv's ESG Credit Impact Score is highly negative
(CIS-4), reflecting moderately negative exposure to environmental
risk, highly negative exposure to social risks, along with very
highly negative governance risk. These exposures are not
sufficiently mitigated by financial resilience and central
government support.

The E issuer profile score is moderately negative (E-3), reflecting
moderate exposure to physical climate risks and natural capital and
neutral-to-low risks for the remaining environmental risk factors.

The highly negative S issuer profile score (S-4) reflects highly
negative risk for demographics as well as labor and income mainly
reflecting the economic damages resulting from the current military
assault and related displacement of population. Moreover health and
safety conditions have significantly weakened and access to basic
services will remain disrupted.

The very highly negative issuer profile score (G-5) reflects a
significantly impaired institutional structure which will heavily
impact intergovernmental relationships, weakening management
capacity and effectiveness including budget management.

KHARKIV

The City of Kharkiv's ESG Credit Impact Score is highly negative
(CIS-4), reflecting highly negative exposure to environmental risk,
highly negative exposure to social risk, along with very highly
negative governance risk. These exposures are not sufficiently
mitigated by financial resilience and central government support.

The E issuer profile score is highly negative (E-4), reflecting
highly negative risks exposure to physical climate risk including
elevated heat stress and significant pressure on municipal water
systems.

The highly negative S issuer profile score (S-4) reflects primarily
the highly negative risk for demographics as well as labor and
income, mainly reflecting the economic damages resulting from the
current military assault and the related displacement of
population. Moreover health and safety conditions have
significantly weakened and access to basic services will remain
disrupted.

The very highly negative issuer profile score (G-5) reflects a
significantly impaired institutional structure which will heavily
impact intergovernmental relationships, weakening management
capacity and effectiveness including budget management.

The specific economic indicators, as required by EU regulation, are
not available for City of Kyiv and City of Kharkiv. The following
national economic indicators are relevant to the sovereign rating,
which was used as an input to this credit rating action.

Sovereign Issuer: Ukraine, Government of

GDP per capita (PPP basis, US$): 13,129 (2020 Actual) (also known
as Per Capita Income)

Real GDP growth (% change): -3.8% (2020 Actual) (also known as GDP
Growth)

Inflation Rate (CPI, % change Dec/Dec): 5% (2020 Actual)

Gen. Gov. Financial Balance/GDP: -5.7% (2020 Actual) (also known as
Fiscal Balance)

Current Account Balance/GDP: 3.4% (2020 Actual) (also known as
External Balance)

External debt/GDP: [not available]

Economic resiliency: b3

Default history: At least one default event (on bonds and/or loans)
has been recorded since 1983.

SUMMARY OF MINUTES FROM RATING COMMITTEE

On March 8, 2022, a rating committee was called to discuss the
rating of the Kharkiv, City of and Kyiv, City of. The main points
raised during the discussion were: The issuer's economic
fundamentals, including its economic strength, have materially
decreased. The issuer's institutions and governance strength, have
materially decreased. The issuers' fiscal or financial strength,
including its debt profile, has materially decreased. The systemic
risk in which the issuer operates has materially increased.

FACTORS THAT COULD RESULT IN CONFIRMATION OF THE CURRENT RATINGS

Either city's Caa3 rating would likely be confirmed at its current
level if disruption arising from the military conflict was to be
short lived resulting in only limited further economic and
financial disruption and significant external financial support was
provided to shore up the country's and the cities' financing
position and operations.

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

An upgrade of the two cities' ratings is remote given the review
for downgrade.

Conversely, downward pressure could be exerted on the ratings in
case of increased likelihood of defaults and severe losses for
creditors, following prolonged economic and social crises and
strained liquidity situation.

The sovereign action on Ukraine published on March 4, 2022 required
the publication of these credit rating actions on a date that
deviates from the previously scheduled release date in the
sovereign release calendar.

The principal methodology used in these ratings was Regional and
Local Governments published in January 2018.



===========================
U N I T E D   K I N G D O M
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AMIGO LOANS: Moody's Puts 'Caa1' CFR Under Review for Downgrade
---------------------------------------------------------------
Moody's Investors Service extended the review for downgrade on
Amigo Loans Group Ltd's (Amigo's) Caa1 corporate family rating and
the B3 backed senior secured note rating issued by Amigo Luxembourg
S.A.

RATINGS RATIONALE

Moody's initiated the review for downgrade on Amigo's ratings on
February 5, 2021 to reflect the rating agency's view that Amigo is
facing heightened solvency risks following a surge in customer
complaints. Furthermore, the review captures the uncertainties
regarding the balance sheet composition, and the magnitude of the
company's economic value loss in the coming months. Moody's review
for downgrade, which was previously extended on May 28 and October
13, 2021, continues to reflect enhanced uncertainties around the
future ownership structure, strategy and business model evolution
of the company.

The extension of the review follows Amigo's continuing discussion
on the new Scheme of Arrangement which was announced on December 6,
2021. The Court convening hearing took place, on March 8, 2022,
from which a final judgment should be expected in the next few
days. The creditors' meeting is currently scheduled to be held on
May 12, 2022 and the Court Sanction hearing will take place on 23
and May 24, 2022. Amigo continues to engage with both the
Independent Customers' Committee (ICC) and the Financial Conduct
Authority (FCA). On September 8, 2021, Amigo submitted a revised
Scheme proposal, incorporating feedback from the ICC, along with
its future business plan to the FCA and the ICC. The rating agency
expects to conclude the ratings review upon Amigo's announcement of
its next steps.

The review primarily focuses on the strategic steps Amigo will
decide to take and their related financial implications including
the forecast balance sheet evolution, any relevant updates from the
FCA's ongoing investigation of the company's affordability
assessment processes and Amigo's future business strategy.

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

Amigo's CFR could be confirmed at current levels if Moody's
concludes that the company will be able to maintain its standalone
financial profile, without any adverse development in its solvency
and liquidity profile and franchise positioning. Amigo Luxembourg
S.A.'s backed senior secured debt ratings could be confirmed at the
current level if Moody's believes that there continues to be
sufficient unencumbered assets to continue to meet the claims of
the senior note holders.

Amigo's CFR could be downgraded because of Amigo filing for
insolvency or further weakening in its solvency or liquidity
profile, and/or franchise positioning, governance and risk
management. The senior secured notes may be downgraded if there is
a material increase in the liabilities that will rank super senior
to or pari passu with the senior secured notes that would increase
their expected loss. Redemption of the senior notes at a material
discount, were this to occur, could be viewed as a distressed
exchange and result in a multi notch downgrade.

PRINCIPAL METHODOLOGY

The methodology used in these ratings was Finance Companies
Methodology published in November 2019.


CALEDONIAN MODULAR: Enters Administration, ALMO Mulls "Next Steps"
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Stephen Delahunty at Inside Housing reports that a London-based
ALMO is looking at "next steps" after the offsite builder it had
appointed to develop two of its sites entered administration.

Lewisham Homes made the statement after builder Caledonian Modular,
which was developing 65 modular homes across two locations, entered
administration last week, Inside Housing recounts.

As a result of the administration, Caledonian has made 28
employees, around 10% of the total workforce, redundant, Inside
Housing notes.

Latest accounts filed at Companies House for the year to March 21,
2020, showed the firm made a pre-tax loss of GBP2.8 million from
turnover of GBP45.3 million and employed 222 staff, Inside Housing
discloses.

Administrators Alvarez & Marsal said it is looking for a new buyer
for the firm, Inside Housing relates.

Lewisham Homes announced in October 2020 that it had appointed the
offsite firm to deliver 65 homes in the first of two projects
across two locations in London using precision manufactured housing
methods, Inside Housing recounts.

But a Lewisham Homes spokesperson has confirmed that the landlord
is "currently in the process of assessing next steps following this
announcement so that work can continue on both of these schemes",
Inside Housing notes.

According to Inside Housing, a spokesperson for Alvarez & Marsal
said: "Mark Firmin and Mike Denny of Alvarez & Marsal were
appointed as joint administrators of Caledonian Modular Limited on
8th March 2022.  The administrators are continuing to trade the
business while exploring all possible options for its future,
including finding a new buyer."


CHELSEA FC: May Face Insolvency Within Weeks if Club Not Sold
-------------------------------------------------------------
Barnaby Lane at Insider reports that Chelsea FC could be insolvent
within weeks if the club isn't sold, says a top sports lawyer based
in the United Kingdom.

The English Premier League club was put up for sale by current
owner Roman Abramovich, a billionaire Russian oligarch with ties to
Vladimir Putin, following Russia's invasion of Ukraine, Insider
recounts.

Sanctions imposed on Abramovich and Chelsea by the UK government,
however, complicated the proposed sale, Insider notes.

The 55-year-old owner has had his assets frozen and has been barred
from making transactions with UK citizens and businesses, Insider
disclsoes.

Chelsea has been barred from generating from revenue through ticket
and merchandise sales, cannot sign new players or extend the
contract of current players, and can only pay up to US$26,000 per
game for travel costs, Insider relates.

Despite the sanctions, the UK government has said it remains open
to Abramovich selling the club, so long as the profits do not go to
him and a suitable buyer can be found, Insider notes.

Chelsea has set a deadline of Friday, March 18, for interested
parties to make a bid, with Swiss billionaire Hansjorg Wyss and
British property magnate Nick Candy among those expected to submit
offers, Insider discloses.

Stephen Taylor Heath, Head of Sports Law at UK top 100 law firm JMW
Solicitors, told Insider that securing a quick sale, though
complicated, is essential for the club to avoid it falling into
insolvency, which is when a company's debts are greater than the
value of its assets and income.

"The club is in a situation where its got a massive wage bill, but
is not allowed to enter into contracts that generate revenue,"
Insider quotes Mr. Taylor Heath as saying.  "It's supposed to be
living on the revenue that it's already accumulated.

"If the sale -- which would enable any new purchasers to then
inject money into the club -- does not go through, then it will be
in an insolvency scenario with an administrator being appointed,
who would oversee the sale in the same way that an administrator is
overseeing the sale of Derby County, for example."


FOAM COMPANY: GNG Acquires Part of Business Out of Administration
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Rachel Covill at TheBusinessDesk.com reports that GNG Group has
acquired part of The Foam Company out of administration, boosting
its medical and consumer mattress division which includes its Komfi
vacuum-packed mattress brand.

Located in Abingdon near Oxford, The Foam Company has been making
foam, memory foam and latex components for use in furniture for
more than 30 years as well as being a leading manufacturer of
mattresses.

It was placed into administration in February following the
withdrawal of a key mattress brand, Mammoth, that it was making
under licence, TheBusinessDesk.com relates.

In March, a deal was completed for GNG Group, an international
brand leader and supplier of foam-based products, to acquire the
company's assets and intellectual property, TheBusinessDesk.com
discloses.

Headquartered in Wakefield, GNG Group was established in 1987 and
primarily serves the medical, consumer and sports sectors.  It has
grown into a GBP10 million turnover business, employing more than
90 people.


REMY AUTOMOTIVE: Enters Administration, Optimistic on Rescue
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Business Sale reports that Remy Automotive UK, the UK-based arm of
the international Remy group, has fallen into administration, with
Quantuma Advisory's Paul Zalkin and Andrew Watling saying they are
"hopeful" of rescuing "significant parts" of the business.

Based in Coleshill, Remy Automotive UK is the group's UK supply and
distribution business, working as a sister company to its
Europe-based counterpart in Belgium.  In addition, the group also
has manufacturing facilities in Tunisia and Hungary.

According to Business Sale, as well as being appointed
administrator for the UK arm, Quantuma is working as restructuring
and M&A adviser to the Tunisia business and is working alongside
colleagues in Hungary and Belgium.

"There is, undoubtedly, a fundamentally sound and viable
remanufacturing sales and distribution business within the Remy
group, of which Remy Automotive UK is an important part," Business
Sale quotes joint administrator Paul Zalkin as saying. "Historic
group wide balance sheet issues can now be overcome using
insolvency processes to restructure the assets.  Working alongside
my counterparts in Belgium, Hungary and Tunisia, I remain hopeful
that it will be possible to rescue significant parts of the
group."

Remy was previously funded by corporate and private US investment,
receiving significant injections of emergency working capital
during COVID-19, Business Sale discloses.  However, earlier this
year, investors withdrew their support for the business, Business
Sale states.

Remy Automotive UK's accounts at Companies House are currently
overdue, with the most recent available accounts covering the year
ending December 31 2018, Business Sale notes.  In that year, the
company saw its post-tax losses increase from GBP569,000 in 2017 to
GBP1.95 million, with turnover standing at GBP13.1 million,
according to Business Sale.


WEST BERKSHIRE: Shareholders Express Anger Over Administration
--------------------------------------------------------------
John Garvey at Newbury Today reports that there is anger among some
shareholders over West Berkshire Brewery having gone into
administration.

Yattendon Group Plc, which also bought Vicars Game in Ashampstead
last year, acquired the assets of the brewery in December.

Brewing legend David Bruce became chairman of the brewery in March
2013, when it had seen growth of around 20 per cent year-on-year
since 2001 and had annual sales of more than GBP1 million.

According to Newbury Today, a Crowdfunding appeal was set up in
2020 after the Covid-19 pandemic adversely affected the company,
with shares from GBP10 to GBP25,000 to preserve jobs.

In return, the shareholders received discounts, brewery tours and
beer subscriptions, Newbury Today states.

However, last month it was announced that these would end, Newbury
Today recounts.

Moreover, the company's 1,667 investors, including Mr. Bruce, saw
the value of their shares wiped out, Newbury Today discloses.

One of the disgruntled shareholders has claimed the former brewery
management kept them in the dark and that "repeated and frequent
requests to the chairman . . . to publish audited accounts for the
period to end March 2021 and set a date for the AGM were repeatedly
ignored and brushed off", Newbury Today relates.

According to Newbury Today, he said: "Local residents invested in
West Berkshire Brewery to the tune of £12m, in good faith and
based on financial reports supplied and the accompanying commentary
from the chairman and managing director."

Others queried the claim that the coronavirus pandemic was
responsible for the collapse, Newbury Today relays.

Mr. Bruce declined to comment, but has said in a letter to
shareholders: "It is with a heavy heart that I want to confirm to
all my fellow stakeholders that our company, The West Berkshire
Brewery PLC, appointed Grant Thornton . . . to be its
administrator.

"During my 55-year career successfully investing in and developing
breweries from London to Seattle via Paris, New York and Denver, I
have never experienced a corporate failure before.

"Therefore, I am mortified personally that our company has finally
succumbed to the devastating effects of the Covid-19 global
pandemic on the UK's brewing and hospitality industries, which have
been well-documented by the media for the past 21 months."

The letter added: "We applied for a bank loan under the Coronavirus
Business Interruption Loan Scheme (CBILS) but failed to obtain one,
even though the Government was guaranteeing 80 per cent of any
loans made.

"We furloughed as many of our staff as we could, obtained business
rates relief, agreed rent deferment with our landlord and
negotiated 'time-to-pay' with HMRC [Her Majesty's Revenue and
Customs] for Beer Duty."



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

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

Copyright 2022.  All rights reserved.  ISSN 1529-2754.

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