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

                          E U R O P E

          Tuesday, July 14, 2020, Vol. 21, No. 140

                           Headlines



F R A N C E

ALES GROUPE: Liquidity Issues Prompt Administration Proceedings


I R E L A N D

ADAGIO V: Moody's Confirms B2 Rating on EUR10.5MM Cl. F-R Notes
ALHAMBRA SME 2019-1: DBRS Puts BB(low) Rating on C Notes on Review
CAIRN CLO III: Fitch Affirms B-sf Rating on Class F Debt
COMPU B: High Court Confirms Examinership
CVC CORDATUS XV: Fitch Affirms B-sf Rating on Class F Debt

GOLDENTREE LOAN 4: Fitch Assigns B-sf Rating on Class F Debt
MAN GLG II: Fitch Affirms B-sf Rating on Class F Notes


I T A L Y

CENTURION BIDCO: Moody's Withdraws B2 Rating on New EUR640MM Notes
EMERALD ITALY 2019: DBRS Puts All Note Classes Under Review
SAFILO SPA: Moody's Withdraws B3 Corp. Family Rating


K A Z A K H S T A N

GRAIN INSURANCE: S&P Withdraws 'D' Issuer Credit Rating


N E T H E R L A N D S

AURORUS BV 2020: DBRS Assigns Prov. BB Rating on Class E Notes


S P A I N

CAIXABANK PYMES 11: DBRS Places B Rating on B Notes Under Review
IM BCC CAPITAL 1: DBRS Puts BB Rating on Class C Notes Under Review


U N I T E D   K I N G D O M

CANADA SQUARE 2020-2: Moody's Rates GBP5.7MM Class X Notes 'Caa3'
CASTELL PLC 2017-1: BRS Hikes Class F Notes Rating to BB(high)
CO-OPERATIVE BANK: Moody's Affirms B3 LongTerm Deposit Ratings
FLAMINGO GROUP: Moody's Confirms B2 CFR, Outlook Negative
FLEETWAY TRAVEL: Enters Administration, Ceases Trading

GEORGE BEST: Goes Into Administration, Owes GBP15.4 Million
GKN HOLDINGS: Fitch Alters Outlook on BB+ LT IDR to Negative
NMC HEALTH: UAE Entity Plans to Apply for Restructuring Locally
PAINTBOX BIRMINGHAM: Enters Administration, 140 Jobs at Risk
TUDOR ROSE 2020-1: DBRS Finalizes BB(low) Rating on Class F Notes


                           - - - - -


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F R A N C E
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ALES GROUPE: Liquidity Issues Prompt Administration Proceedings
---------------------------------------------------------------
Jennifer Weil at WWD reports that Ales Groupe, the maker of Phyto
and Lierac beauty products, has entered into administration
proceedings.

According to WWD, the company is facing severe liquidity issues due
to the coronavirus pandemic.

Ales Groupe is a cosmetics and fragrances company based in Paris,
France, and a member of the CAC Small 90.




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I R E L A N D
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ADAGIO V: Moody's Confirms B2 Rating on EUR10.5MM Cl. F-R Notes
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Adagio V CLO Designated Activity Company:

EUR21,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes
due 2031, Confirmed at Baa3 (sf); previously on Jun 3, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

EUR19,430,000 Class E-R Deferrable Junior Floating Rate Notes due
2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR10,500,000 Class F-R Deferrable Junior Floating Rate Notes due
2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

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

EUR2,900,000 (Current outstanding amount EUR 725,000) Class X
Senior Secured Floating Rate Notes due 2031, Affirmed Aaa (sf);
previously on Oct 15, 2018 Definitive Rating Assigned Aaa (sf)

EUR215,500,000 Class A-R Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Oct 15, 2018 Definitive
Rating Assigned Aaa (sf)

EUR26,930,000 Class B-1R Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Oct 15, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR9,000,000 Class B-2R Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Oct 15, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR6,310,000 Class C-1R Deferrable Mezzanine Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Oct 15, 2018 Definitive
Rating Assigned A2 (sf)

EUR17,000,000 Class C-2R Deferrable Mezzanine Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Oct 15, 2018 Definitive
Rating Assigned A2 (sf)

Adagio V CLO Designated Activity Company, issued in September 2016,
is a collateralised loan obligation (CLO) backed by a portfolio of
predominantly European senior secured loan and senior secured
bonds. The portfolio is managed by AXA Investment Managers, Inc.
("AXA IM"). The transaction's reinvestment period will end in
January 2023.

RATINGS RATIONALE

The action concludes the rating review on the Classes D-R, E-R and
F-R notes initiated on June 03, 2020 as a result of the
deterioration of the credit quality and/or the reduction of the par
amount of the portfolio following from the coronavirus outbreak.

Since the coronavirus outbreak widened in March, the decline in
corporate credit has resulted in a significant number of
downgrades, other negative rating actions, or defaults on the
assets collateralising the CLO. The deterioration in credit quality
of the portfolio is reflected in an increase in Weighted Average
Rating Factor (WARF) and of the proportion of securities from
issuers with ratings of Caa1 or lower. According to the trustee
reports the WARF has deteriorated by 14% to 3379[1] in June 2020
from 2969[2] in February 2020. As per the June 2020 trustee report,
securities with ratings of Caa1 or lower currently make up
approximately 5.9% [1] of the underlying portfolio. In addition,
the over-collateralisation (OC) levels have marginally weakened
across the capital structure. According to the trustee report dated
June 2020 the Class A/B, Class C, Class D, Class E and Class F OC
ratios are reported at 136.9%[1], 125.3%[1], 116.4%[1], 109.2%[1]
and 105.7%[1] compared to February 2020 levels of 138.8%[2],
127.0%[2], 118.0%[2], 111.7%[2] and 107.1%[2], respectively.

Moody's notes that none of the OC tests are currently in breach and
the transaction remains in compliance with the following collateral
quality tests: Diversity Score, Weighted Average Recovery Rate
(WARR), Weighted Average Spread (WAS) and Weighted Average Life
(WAL). However, the WARF test is not passing as per the June
trustee report [1]. Furthermore, the portfolio contains one
defaulted asset, representing 0.6% of the aggregate principal
balance.

Moody's analysed the CLO's latest portfolio and took into account
the recent trading activities as well as the full set of structural
features of the transaction and concluded that the current ratings
on the Class D-R, E-R and F-R notes continue to reflect the
expected losses of the notes. Moody's has also affirmed the ratings
on the Class X, A-R, B-1R, B-2R, C-1R and C-2R notes.

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 analysed the underlying collateral pool as having a
performing par and principal proceeds balance of EUR 345.6 million,
defaults of EUR 2.0 million, a weighted average default probability
of 28.9% (consistent with a WARF of 3434 over a weighted average
life of 6.1 years), a weighted average recovery rate upon default
of 46.10% for a Aaa liability target rating, a diversity score of
47 and a weighted average spread of 3.67%.

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.

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the global economy gradually recovers
in the second half of the year and future corporate credit
conditions generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of corporate assets from the collapse
in global economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. As a result, the degree of uncertainty around its
forecasts is unusually high. Moody's regards the coronavirus
outbreak as a social risk under its ESG framework, given the
substantial implications for public health and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

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 June 2020. 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
notes, 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: (i) the manager's investment strategy
and behaviour; and (ii) 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:

  -- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels.

In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.


ALHAMBRA SME 2019-1: DBRS Puts BB(low) Rating on C Notes on Review
------------------------------------------------------------------
DBRS Ratings GmbH placed its ratings of the following notes issued
by Alhambra SME Funding 2019-1 DAC (the Issuer) Under Review with
Negative Implications:

-- Class A Notes rated AAA (sf)
-- Class B Notes rated AA (sf)
-- Class C Notes rated BB (low) (sf)

The rating on the Class A Notes addresses the timely payment of
interest and ultimate payment of principal on or before the final
maturity date in November 2028. The ratings on the Class B and
Class C Notes address the ultimate payment of interest and
principal on or before the final maturity date.

The transaction is a public cash flow securitization collateralized
by a portfolio of loans extended to Spanish small and medium-size
enterprises and middle-market corporate. Be-Spoke Capital (Ireland)
Limited acts as the origination agent, Be-Spoke Capital (London)
Limited is the servicer, and Be-Spoke Capital (Spain) S.L. is the
service provider.

KEY RATING DRIVERS AND CONSIDERATIONS

On May 18, 2020, DBRS Morningstar published a commentary outlining
how the coronavirus crisis is likely to affect DBRS
Morningstar-rated Structured Credit transactions in Europe. For
more details, please see:
https://www.dbrsmorningstar.com/research/361098/european-structured-credit-transactions-risk-exposure-to-coronavirus-covid-19-effect
and
https://www.dbrsmorningstar.com/research/362712/european-structured-finance-covid-19-credit-risk-exposure-roadmap,
where DBRS Morningstar discussed the overall risk exposure of the
Structured Credit sector to the coronavirus and provided a
framework for identifying the transactions that are more at risk
and likely to be affected by the fallout of the pandemic on the
economy. DBRS Morningstar identified 19 borrowers that are
considered as "Mid-high" or at "High" risk due to the Coronavirus
Disease (COVID-19) disruption and adjusted its expected default
risk assumption as described in the commentary above.

In February 2020, the transaction benefitted from the loan
prepayment of one borrower for the full EUR 10.0 million
outstanding principal amount. This prepayment resulted in an
amortization of the Class A Notes by EUR 10.0 million and the
excess spread trapping allowed the reserve fund, which was unfunded
at closing, to be fully funded to EUR 4.0 million, resulting in an
increase of the available credit enhancement to the notes.

However, since the April collection period, the financial position
of some borrowers started to deteriorate, which can largely be
attributed to the lockdown measures put in place by the Spanish
Government as a response to the coronavirus pandemic. In April
2020, the Issuer agreed to defer the interest payment for six
borrowers (totalling 14.5% of the portfolio outstanding balance) by
one month. In May 2020, the Issuer has agreed to defer the interest
payments of five borrowers (totalling 11.9% of the portfolio
outstanding balance) by one month (interest payments of two of
these borrowers were deferred for the previous month).

According to the servicer, as of 12 June 2020, one loan has become
a defaulted loan, representing 1.3% of the current portfolio
notional balance of EUR 264,980,000. In addition, the credit
profile of certain borrowers has deteriorated in the last year
resulting in downgrades of the credit estimates for such borrowers.
This faster than expected deterioration reflects the disruption to
the normal economic activity caused by the coronavirus.

As of June 29, 2020, the portfolio average credit quality measured
by the DBRS Morningstar Risk Score stood at 28.2% (excluding the
defaulted asset) compared with 25.7% at closing. The portfolio
currently has five borrowers with a credit estimate equivalent to a
CCC (high) rating (excluding the defaulted loan).

The rating action also reflects ongoing uncertainty regarding the
financial strength of certain borrowers because of the ongoing
restrictions still affecting some economic sectors such as
hospitality and tourism.

DBRS Morningstar will continue to liaise with the servicer
regarding borrower information to continue to monitor borrower
performance and update its credit estimates as required.

DBRS Morningstar typically endeavors to resolve the status of
ratings Under Review with Negative Implications as soon as
appropriate. If heightened market uncertainty and volatility
persist, DBRS Morningstar may extend the Under Review status for a
longer period of time.

Notes: All figures are in Euros or British pound sterling unless
otherwise noted.


CAIRN CLO III: Fitch Affirms B-sf Rating on Class F Debt
--------------------------------------------------------
Fitch Ratings has taken the following rating actions on Cairn CLO
III B.V. and Cairn CLO X B.V.

RATING ACTIONS

Cairn CLO III B.V.

Class A-R XS1692485326; LT AAAsf Affirmed; previously at AAAsf

Class B-R XS1692485672; LT AAsf Affirmed;  previously at AAsf

Class C-R XS1692486217; LT Asf Affirmed;   previously at Asf

Class D-R XS1692486563; LT BBBsf Affirmed; previously at BBBsf

Class E XS1298616811;   LT BBsf Affirmed;  previously at BBsf

Class F XS1298620417;   LT B-sf Affirmed;  previously at B-sf

Cairn CLO X B.V.

Class A XS1880992208;   LT AAAsf Affirmed; previously at AAAsf

Class B-1 XS1880992547; LT AAsf Affirmed;  previously at AAsf

Class B-2 XS1880990764; LT AAsf Affirmed;  previously at AAsf

Class C-1 XS1880993354; LT Asf Affirmed;   previously at Asf

Class C-2 XS1880991655; LT Asf Affirmed;   previously at Asf

Class D XS1880993941;   LT BBBsf Affirmed; previously at BBBsf

Class E XS1880994246;   LT BBsf Watch Maintained; previously at
BBsf

Class F XS1880994329;   LT B-sf Affirmed;  previously at B-sf

TRANSACTION SUMMARY

These are two cash flow CLOs mostly comprising senior secured
obligations. Cairn CLO III B.V. 's reinvestment period ended in
October 2019, and Cairn CLO X B.V. is still within its reinvestment
period. Both transactions are actively managed by the collateral
manager.

KEY RATING DRIVERS

Portfolio Performance Deterioration Slowdown

The removal of three tranches from Rating Watch Negative (RWN) and
the Negative Outlook on one tranche reflect a slowdown of the
portfolio performance deterioration relating to negative rating
migration of the underlying assets in light of the coronavirus
pandemic.

The transactions are slightly above par, with no defaulted assets
currently in their portfolios, but both transactions report a
breach of the maximum weighted average rating factor (WARF) test.
For Cairn CLO III B.V., according to Fitch's calculation, the WARF
of the portfolio has increased to 35.1 from a reported 34.6 at June
22, 2020. In Cairn CLO X B.V., Fitch's calculation shows an
increase of the portfolio WARF to 35.0 from a reported 34.8 at June
5, 2020. Assets with a Fitch-derived rating in the 'CCC' category
or below (including unrated assets) are at 7.0% in Cairn CLO III
B.V. and 6.0% in Cairn CLO X B.V., while assets with a Fitch
derived rating with a Negative Outlook are at 15.4% and 14.3%,
respectively. All other tests, including the overcollateralisation
and interest coverage tests, were reported as passing in both
CLOs.

The RWN on one tranche in Cairn CLO X B.V. and the Negative
Outlooks on two tranches in each transaction reflect the tight
cushion or shortfalls these tranches have in the coronavirus
sensitivity scenario described.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to envisage the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience with
cushions for the ratings of the class A-R to D-R notes in Cairn CLO
III B.V.) and for the class A to C notes in Cairn CLO X B.V. This
supports the affirmation with Stable Outlooks for these tranches.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch WARF of the current portfolio is 35.1 in Cairn CLO III
B.V. and 35.0 in Cairn CLO X B.V.

Asset Security

High Recovery Expectations:

Senior secured obligations comprise 99.1% of Cairn CLO III B.V.'s
portfolio and 99.2% of Cairn CLO X B.V.'s portfolio. Fitch views
the recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch's weighted
average recovery rate of the current portfolio is 63.5% in Cairn
CLO III B.V., and 63.4% in Cairn CLO X B.V.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligor exposure is at 19.5% of the
portfolio balance in Cairn CLO III B.V. and at 16.67% of Cairn CLO
X B.V.'s portfolio balance, while no obligor represents more than
2.4% in either transaction. The largest industry exposure of Cairn
CLO III B.V. is healthcare at 16.1% of the portfolio balance,
followed by businesses and services at 15.6% and computer and
electronics at 9.5%. The two largest industries of Cairn CLO X B.V.
are also healthcare and businesses and services, comprising 16.80%
and 18.75%, respectively, and the third-largest industry is
chemicals at 9.30%.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transaction was modelled using the current portfolio
based on both the stable and rising interest rate scenario and the
front, mid- and back-loaded default timing scenario as outlined in
Fitch's criteria. In addition, Fitch tests the current portfolio
with a coronavirus sensitivity analysis to estimate the resilience
of the notes' ratings. The analysis for the portfolio with a
coronavirus sensitivity analysis was only based on the stable
interest rate scenario including all default timing scenarios.

When conducting cash flow analysis, Fitch's model first projects
the portfolio scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, such scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans that are not assumed to default (or to
be voluntary terminated, when applicable). This adjustment avoids
running out of performing collateral due to amortisation and
ensures all of the defaults projected to occur in each rating
stress are realised in a manner consistent with Fitch's published
default timing curve.

RATING SENSITIVITIES

Cairn CLO III B.V.: Factors that could, individually or
collectively, lead to positive rating action/upgrade: A reduction
of the rating default rate (RDR) of all rating levels by 25% of the
mean RDR and an increase in the rating recovery rate (RRR) by 25%
in all rating levels would lead notes to an upgrade of up to four
notches for the class D notes, up to five notches for the class E
notes and up to two notches for the remaining rated notes. Except
for the class A-R notes, which are already at the highest 'AAAsf'
rating, upgrades may occur in case of better than expected
portfolio credit quality and deal performance, leading to higher
credit enhancement for the notes and excess spread available to
cover for losses on the remaining portfolio. If the asset
prepayment speed is higher than expected and outweighs the negative
pressure of the portfolio migration, this could increase credit
enhancement and add upgrade pressure on the 'AAsf' rated tranche.
However, upgrades are not expected in the near term in light of the
coronavirus pandemic. Factors that could, individually or
collectively, lead to negative rating action/downgrade: An increase
of the RDR of all rating levels by 25% of the mean RDR and a
decrease of the RRR by 25% in all rating levels would lead to a
downgrade of up to five notches for the class E notes and up to two
notches for the remaining rated notes. Downgrades may occur if the
build-up of the notes' credit enhancement following amortisation
does not compensate for a higher loss expectation than initially
assumed due to an unexpectedly high level of default and portfolio
deterioration. As the disruptions to supply and demand due to the
coronavirus disruption become apparent for other vulnerable
sectors, loan ratings in those sectors would also come under
pressure. Fitch will update the sensitivity scenarios in line with
the views of Fitch's leveraged finance team. In addition to the
base scenario, Fitch has defined a downside scenario for the
current coronavirus crisis, whereby all ratings in the 'B' category
would be downgraded by one notch and recoveries would be lowered by
15%. For typical European CLOs this scenario results in a category
rating change for all ratings. Cairn CLO X B.V.: Factors that
could, individually or collectively, lead to positive rating
action/upgrade: At closing, Fitch uses a standardised stress
portfolio (Fitch's Stress Portfolio) customised to the specific
portfolio limits for the transaction as specified in the
transaction documents. Even if the actual portfolio shows lower
defaults and losses (at all rating levels) than Fitch's Stress
Portfolio assumed at closing, an upgrade of the notes during the
reinvestment period is unlikely. This is because portfolio credit
quality may still deteriorate, not only by natural credit
migration, but also because of reinvestment. After the end of the
reinvestment period, upgrades may occur in the event of
better-than-expected portfolio credit quality and deal performance,
leading to higher credit enhancement levels for the notes, and
excess spread being available to cover for losses on the remaining
portfolio. Factors that could, individually or collectively, lead
to negative rating action/downgrade: Downgrades may occur if the
build-up of the notes' credit enhancementfollowing amortisation
does not compensate for a higher loss expectation than initially
assumed due to unexpected high level of default and portfolio
deterioration. As the disruptions to supply and demand due to the
coronavirus-related disruption become apparent for other vulnerable
sectors, loan ratings in those sectors would also come under
pressure. Fitch will update the sensitivity scenarios in line with
the views of Fitch's Leveraged Finance team. In addition to the
base scenario, Fitch has defined a downside scenario for the
current crisis, whereby all ratings in the 'B' category would be
downgraded by one notch and recoveries would be lower by a haircut
factor of 15%. For typical European CLOs, this scenario results in
a rating category change for all ratings.


COMPU B: High Court Confirms Examinership
-----------------------------------------
Mary Carolan at The Irish Times reports that a High Court judge has
confirmed examinership for the Irish-headquartered parent of Compu
b, a reseller of Apple premium computer products, and three related
companies in the UK employing a total 395 people, of whom 110 are
in Ireland.

Mr. Justice Denis McDonald earlier appointed David O'Connor --
doconnor@bdo.ie -- of BDO as interim examiner to the companies, The
Irish Times recounts.

When the matter returned before him on July 10, the judge was
satisfied, on foot of evidence including reports indicating the
companies have a reasonable prospect of survival if certain
conditions are met, to appoint Mr. O'Connor as examiner, The Irish
Times relates.

According to The Irish Times, he said it was "encouraging" Mr.
O'Connor has already received an expression of interest from a
potential investor.  He also noted the significant number of jobs
at stake and the absence of objections to examinership, The Irish
Times discloses.

The examinership concerns Compu b Retail Ltd, with registered
offices at Ballymount, Dublin, and three UK based companies, Compu
b Ltd, Stormfront Retail Limited and Stormfront Technology Ltd.
Compu b Ltd (CBL) acquired the two Stormfront companies in late
2019 and owns Compu b Retail Ltd (CBRL), The Irish Times states.

According to The Irish Times, the companies' petition said the
Compu b business has historically been profitable but a number of
factors came together which have had significant negative impacts
on the companies, including the pandemic, store closures resulting
from that, underperforming stores and acceleration of customer
trends towards buying online.

It was stated unless court protection is secured, the companies
will be unable to pay their debts as they fall due from July 2020
with a deficit of EUR3.3 million by the end of July 2020, The Irish
Times relays.

An independent expert had reported his view the companies have a
core business capable of survival on a going concern basis subject
to implementation of a restructuring plan, The Irish Times notes.

According to The Irish Times, on July 10, Declan Murphy, for the
companies, said the evidence met the legal test for examinership.

Compu b, founded in Limerick in 1992, has six stores here -- at
Grafton Street, Dublin; Dundrum Town Centre; the Pavilions, Swords;
Limerick, Cork and Galway -- and 24 stores in the UK.


CVC CORDATUS XV: Fitch Affirms B-sf Rating on Class F Debt
----------------------------------------------------------
Fitch Ratings has taken the following rating actions on CVC
Cordatus Loan Fund XV DAC.

RATING ACTIONS

CVC Cordatus Loan Fund XV DAC

Class A XS2025843652;   LT AAAsf Affirmed;  previously at AAAsf

Class B-1 XS2025844205; LT AAsf Affirmed;   previously at AAsf

Class B-2 XS2025845277; LT AAsf Affirmed;   previously at AAsf

Class C XS2025845863;   LT A+sf Affirmed;   previously at A+sf

Class D XS2025846598;   LT BBB-sf Affirmed; previously at BBB-sf

Class E XS2025846671;   LT BB-sf Affirmed;  previously at BB-sf

Class F XS2025847216;   LT B-sf Affirmed;   previously at B-sf

Class X XS2025843496;   LT AAAsf Affirmed;  previously at AAAsf

TRANSACTION SUMMARY

CVC Cordatus Loan Fund XV DAC is a securitisation of mainly senior
secured obligations (at least 90%) with a component of senior
unsecured, mezzanine and second-lien loans. The transaction is
still within its reinvestment period and is actively managed by the
collateral manager.

KEY RATING DRIVERS

Portfolio Performance Stabilises:

The affirmations reflect the stabilisation of the portfolio
performances following the placement of the notes on Rating Watch
Negative on April 17, 2020. In addition, as per the trustee report
dated May 13, 2020, the transaction is below par by 80bp. The
trustee-reported a Fitch weighted average rating factor (WARF) of
33.79, and the Fitch-calculated WARF of the portfolio increased to
34.16 on July 4, 2020.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the current portfolio
to determine the coronavirus baseline scenario. The agency notched
down the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows resilience of the
ratings of class X, A, B and C notes' ratings with cushions.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of obligors to be in the 'B'/'B-' category.
The Fitch WARF of the current portfolio is 34.16.

Asset Security

High Recovery Expectations: Senior secured obligations comprise
99.3% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted average recovery rate of the
current portfolio is 65.90%.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligor's exposure is 17.42% and no obligor
represents more than 2.37% of the portfolio balance. The largest
industry is healthcare at 13.45% of the portfolio balance, followed
by business services at 13.28% and computers and electronics at
10.63%.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, as well as to assess their
effectiveness, including the structural protection provided by
excess spread diverted through the par value and interest coverage
tests. The transaction was modelled using the current portfolio
based on both the stable and rising interest rate scenario and the
front, mid- and back-loaded default timing scenario as outlined in
Fitch's criteria. In addition, Fitch tested the portfolio with a
coronavirus sensitivity analysis to estimate the resilience of the
notes' ratings. The analysis for the portfolio with a coronavirus
sensitivity analysis was only based on the stable interest rate
scenario including all default timing scenarios.

When conducting its cash flow analysis, Fitch's model first
projects the portfolio scheduled amortisation proceeds and any
prepayments for each reporting period of the transaction life
assuming no defaults (and no voluntary terminations, when
applicable). In each rating stress scenario, such scheduled
amortisation proceeds and prepayments are then reduced by a scale
factor equivalent to the overall percentage of loans that are not
assumed to default (or to be voluntary terminated, when
applicable). This adjustment avoids running out of performing
collateral due to amortisation and ensures all of the defaults
projected to occur in each rating stress are realised in a manner
consistent with Fitch's published default timing curve.

RATING SENSITIVITIES

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

The transaction features a reinvestment period and the portfolio is
actively managed. At closing, Fitch uses a standardised stress
portfolio (Fitch's Stressed Portfolio) that is customised to the
specific portfolio limits for the transaction as specified in the
transaction documents. Even if the actual portfolio shows lower
defaults and losses (at all rating levels) than Fitch's Stressed
Portfolio assumed at closing, an upgrade of the notes during the
reinvestment period is unlikely, given the portfolio credit quality
may still deteriorate, not only by natural credit migration, but
also by reinvestments. After the end of the reinvestment period,
upgrades may occur in case of a better than initially expected
portfolio credit quality and deal performance, leading to higher
credit enhancement for the notes and excess spread available to
cover for losses on the remaining portfolio.

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

Downgrades may occur if the build-up of credit enhancement for the
notes following amortisation does not compensate for a higher loss
expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to the coronavirus for other sectors become
apparent, loan ratings in such sectors would also come under
pressure.

Coronavirus Baseline Scenario Impact: Fitch carried out a
sensitivity analysis on the target portfolio to envisage the
coronavirus baseline scenario. It notched down the ratings for all
assets with corporate issuers on Negative Outlook regardless of
sector. This scenario shows the resilience of the ratings with
cushions, except for the class C, D and E notes, which show
sizeable shortfalls.

In addition to the base scenario, Fitch has defined a downside
scenario for the coronavirus crisis, whereby all ratings in the 'B'
category would be downgraded by one notch and recoveries would be
lowered by 15%. For typical European CLOs this scenario results in
a rating category change for all ratings.


GOLDENTREE LOAN 4: Fitch Assigns B-sf Rating on Class F Debt
------------------------------------------------------------
Fitch Ratings has assigned GoldenTree Loan Management EUR CLO 4 DAC
final ratings.

RATING ACTIONS

GoldenTree Loan Management EUR CLO 4 DAC

Class A;   LT AAAsf New Rating;  previously at AAA(EXP)sf

Class B-1; LT AAsf New Rating;   previously at AA(EXP)sf

Class B-2; LT AAsf New Rating;   previously at AA(EXP)sf

Class C;   LT Asf New Rating;    previously at A(EXP)sf

Class D;   LT BBB-sf New Rating; previously at BBB-(EXP)sf

Class E;   LT BB-sf New Rating;  previously at BB-(EXP)sf

Class F;   LT B-sf New Rating;   previously at B-(EXP)sf

Sub-notes; LT NRsf New Rating;   previously at NR(EXP)sf

TRANSACTION SUMMARY

GoldenTree Loan Management EUR CLO 4 DAC is a securitisation of
mainly senior secured obligations (at least 90%) with a component
of corporate rescue loans, senior unsecured, mezzanine, second-lien
loans and high-yield bonds. Net proceeds from the notes are being
used to fund a portfolio with a target par of EUR375 million. The
portfolio is managed by GoldenTree Loan Management II, LP. The
collateralised loan obligation (CLO) envisages a one-year
reinvestment period and a 6.5-year weighted average life (WAL).

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B'/'B-'
range. The Fitch weighted average rating factor (WARF) of the
identified portfolio is 33.39.

High Recovery Expectations

At least 90% of the portfolio comprises senior secured obligations.
Recovery prospects for these assets are typically more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rating (WARR) of the identified portfolio
is 66.72%.

Diversified Asset Portfolio

The transaction includes several Fitch test matrices corresponding
to top-10 obligors and fixed-rate asset limits. The transaction
also includes limits on maximum industry exposure based on Fitch's
industry definitions. The maximum exposure to the three-largest
(Fitch-defined) industries in the portfolio is covenanted at 40%.
These covenants ensure that the asset portfolio will not be exposed
to excessive concentration.

Portfolio Management

The transaction features a one-year reinvestment period and
includes reinvestment criteria similar to other European
transactions. Fitch's analysis is based on a stressed-case
portfolio with the aim of testing the robustness of the transaction
structure against its covenants and portfolio guidelines.

Cash-flow Analysis

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

RATING SENSITIVITIES

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

A 25% reduction of the mean default rate across all ratings, and a
25% increase of the recovery rate at all rating levels, would lead
to an upgrade of up to five notches for the rated notes, except for
the class A notes as their ratings are at the highest level on
Fitch's scale and cannot be upgraded.

The transaction features a reinvestment period and the portfolio is
actively managed. At closing, Fitch used a standardised stress
portfolio (Fitch's stressed portfolio) that is customised to the
specific portfolio limits for the transaction as specified in the
transaction documents. Even if the actual portfolio shows lower
defaults and smaller losses (at all rating levels) than Fitch's
stressed portfolio assumed at closing, an upgrade of the notes
during the reinvestment period is unlikely, as the portfolio's
credit quality may still deteriorate, not only through natural
credit migration, but also through reinvestments.

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

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

A 25% increase of the mean default rate across all ratings, and a
25% decrease of the recovery rate at all rating levels, would lead
to a downgrade of up to five notches for the rated notes.

Downgrades may occur if the build-up of credit enhancement
following amortisation does not compensate for larger loss
expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As the disruptions to
supply and demand due to COVID-19 become apparent for other
vulnerable sectors, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the views of its Leveraged Finance team.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the target portfolio to
envisage the coronavirus baseline scenario. The agency notched down
the ratings for all assets with corporate issuers on Negative
Outlook regardless of sector. This scenario shows the resilience of
the ratings, with substantial cushion across all rating scenarios.

In addition to the baseline scenario, Fitch has defined a downside
scenario for the current crisis, whereby all ratings in the 'Bsf'
category would be downgraded by one notch and recoveries would be
lower by 15%. This scenario results in a downgrade for the rated
notes of up to five notches.


MAN GLG II: Fitch Affirms B-sf Rating on Class F Notes
------------------------------------------------------
Fitch Ratings has taken multiple rating actions on Man GLG Euro CLO
II DAC, including the downgrade of the class D and E notes and the
removal of the class E and F notes from Rating Watch Negative
(RWN).

RATING ACTIONS

Man GLG Euro CLO II DAC

Class A-1-R XS2034711064; LT AAAsf Affirmed;   previously at AAAsf


Class A-2 XS1516363576;   LT AAAsf Affirmed;   previously at AAAsf


Class B XS1516362685;     LT AAsf Affirmed;    previously at AAsf

Class C-R XS2034711734;   LT Asf Affirmed;     previously at Asf

Class D XS1516363733;     LT BBB-sf Downgrade; previously at BBBsf


Class E XS1516363063;     LT BB-sf Downgrade;  previously at BBsf

Class F XS1516363147;     LT B-sf Affirmed;    previously at B-sf

TRANSACTION SUMMARY

This is a cash flow CLO mostly comprising senior secured
obligations. The transaction is still within its reinvestment
period and is actively managed by the collateral manager.

KEY RATING DRIVERS

Portfolio Deterioration

The transaction is below target par by 2.27%. The Fitch-calculated
weighted average rating factor (WARF) was 36.7 (assuming the 1.83%
of unrated names at CCC) as of July 4, 2020 and the
trustee-reported WARF was 36.1 on June 8, 2020, both above the
maximum covenant of 34.53. Based on Fitch's latest WARF, the
manager would not be able to move to another matrix point without
failing its collateral quality tests.

The 'CCC' category or below assets represented 10.86% of the
portfolio (12.69% including unrated names, which the agency
conservatively assumes at 'CCC', in line with the manager's
classification as per the transaction documents) as of July 4,
2020, compared with its 7.5% limit. Assets with a Fitch-derived
rating on Negative Outlook represent 27.65% of the portfolio
balance. Defaulted assets totalled EUR12,736,627. The class E and
class F par value tests and the reinvestment overcollateralisation
tests are reported as failing by the trustee. All other tests,
including interest coverage tests, were reported as passing.

The impact of the coronavirus baseline scenario indicates higher
resilience at the current ratings; therefore, the class E and F
notes have been removed from RWN.

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B'/'B-'
range. The Fitch-calculated WARF of the portfolio is 36.70.

High Recovery Expectations

Senior secured obligations comprise 100% of the portfolio. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The Fitch
weighted average recovery rate (WARR) of the current portfolio is
64.59%.

Portfolio Composition

The top-10 obligors' concentration is 16.62% and no obligor
represents more than 1.99% of the portfolio balance. By Fitch's
calculation, the largest industry is business services at 14.02% of
the portfolio balance, and the top-three largest industries at
32.56%, against the limits of 17.5% and 40%, respectively.

Cash Flow Analysis

Fitch used a customised proprietary cash flow model to replicate
the principal and interest waterfalls and the various structural
features of the transaction, and to assess their effectiveness,
including the structural protection provided by excess spread
diverted through the par value and interest coverage tests. The
transaction was modelled using the current portfolio based on both
the stable and rising interest-rate scenarios and the front-, mid-
and back-loaded default timing scenario as outlined in Fitch's
criteria.

Fitch also tested the current portfolio with a coronavirus
sensitivity analysis to estimate the resilience of the notes'
ratings. The analysis for the portfolio with a coronavirus
sensitivity analysis was only based on the stable interest-rate
scenario including all default timing scenarios.

When conducting cash flow analysis, Fitch's model first projects
the portfolio's scheduled amortisation proceeds and any prepayments
for each reporting period of the transaction life assuming no
defaults (and no voluntary terminations, when applicable). In each
rating stress scenario, these scheduled amortisation proceeds and
prepayments are then reduced by a scale factor equivalent to the
overall percentage of loans not assumed to default (or to be
voluntarily terminated, when applicable).

This adjustment avoids running out of performing collateral due to
amortisation and ensures all the defaults projected to occur in
each rating stress are realised in a manner consistent with Fitch's
published default timing curve.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade: At closing, Fitch used a standardised stress
portfolio (Fitch's Stress Portfolio) that was customised to the
portfolio limits for the transaction as specified in the
transaction documents. Even if the actual portfolio shows lower
defaults and smaller losses (at all rating levels) than Fitch's
Stressed Portfolio assumed at closing, an upgrade of the notes
during the reinvestment period is unlikely, as the portfolio's
credit quality may still deteriorate, not only through natural
credit migration, but also through reinvestments. Upgrades may
occur after the end of the reinvestment period in case of
better-than-expected portfolio credit quality and deal performance,
leading to higher credit enhancement and excess spread available to
cover for losses in the remaining portfolio. Factors that could,
individually or collectively, lead to negative rating
action/downgrade: Downgrades may occur if the build-up of credit
enhancement following amortisation does not compensate for a larger
loss expectation than initially assumed due to unexpectedly high
levels of default and portfolio deterioration. As the disruptions
to supply and demand due to COVID-19 for other vulnerable sectors
become apparent, loan ratings in those sectors would also come
under pressure. Fitch will update the sensitivity scenarios in line
with the view of its Leveraged Finance team. Coronavirus Baseline
Scenario Impact Fitch carried out a sensitivity analysis on the
target portfolio to determine the coronavirus baseline scenario.
The agency notched down the ratings for all assets with corporate
issuers on Negative Outlook regardless of sector. This scenario
demonstrates the resilience of the current ratings on the class
A-1-R and A-2 notes, whereas credit enhancement for the class B,
C-R, D, E and F notes may be eroded quickly with a deterioration of
the portfolio, the Negative Outlook reflects a higher resilience to
downgrade than notes placed on Rating Watch Negative. In addition
to the baseline scenario, Fitch has defined a downside scenario for
the current crisis, whereby all ratings in the 'B' category would
be downgraded by one notch and recoveries would be 15% lower. For
typical European CLOs, this scenario results in a rating-category
change for all ratings.




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

CENTURION BIDCO: Moody's Withdraws B2 Rating on New EUR640MM Notes
------------------------------------------------------------------
Moody's Investors Service withdrawn the B2 rating assigned to
Centurion Bidco S.p.A.'s proposed EUR640 million senior secured
notes due 2026.

RATINGS RATIONALE

Moody's has withdrawn the ratings following the cancellation of the
issuance of the notes on June 26, 2020.

Engineering is a leading provider of IT services, software
development and digital platforms, supporting clients in their
digital transformation projects. The company provides software and
IT related services and consultancy to companies in a diverse set
of sectors including telecommunications, utilities, financials and
public administration. In 2019, the company recorded revenue of
EUR1.3 billion, 86% of which was generated in Italy, and
company-adjusted EBITDA of EUR160 million (EUR180 million including
the impact of IFRS 16).


EMERALD ITALY 2019: DBRS Puts All Note Classes Under Review
-----------------------------------------------------------
DBRS Ratings GmbH placed its ratings on all classes of notes issued
by Emerald Italy 2019 Srl Under Review with Negative Implications
(URN). The Class D notes have an interest in arrears and its rating
does not carry any trends. The Negative trends in all classes have
now been removed following the URN rating action.

The rating actions come after the special servicer transfer event,
which occurred on June 19, 2020, following a payment default of the
Everest loan. As the loan is now in default, DBRS Morningstar
expects a higher level of uncertainties for the loan, especially
given the progress of the negotiations with the borrower and the
current outbreak of the Coronavirus Disease (COVID-19) pandemic.
Hence the URN rating actions.

The borrower missed a total of EUR 710,668.87 of payments on
interest, principal, and commitment fee on the 15 June 2020
interest payment day and did not cure the default thus triggering a
special servicing transfer event on 19 June 2020. Following the
special servicer transfer, the cash flow from the assets will be
trapped and the principal payment waterfall for the notes will
switch to sequential.

DBRS Morningstar understands that the special servicer is
negotiating with the borrower while formulating its workout
strategy. Further rating actions may be taken in the coming months
once more information on the workout and loan performance becomes
available.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
tenants and borrowers. DBRS Morningstar anticipates that vacancy
rate increases and cash flow reductions may arise for many CMBS
borrowers, some meaningfully. In addition, commercial real estate
values will be negatively affected, at least in the short term,
impacting refinancing prospects for maturing loans and expected
recoveries for defaulted loans.

Notes: All figures are in Euros unless otherwise noted.

The Affected Rating is Available at https://bit.ly/3iWMhYj


SAFILO SPA: Moody's Withdraws B3 Corp. Family Rating
----------------------------------------------------
Moody's Investors Service withdrawn the B3 corporate family rating
and the B3-PD probability of default rating of Italian eyeglass
manufacturer Safilo S.p.A., as well as the negative outlook on the
ratings. At the time of withdrawal, Safilo had no rated debt
outstanding.

RATINGS RATIONALE

Moody's has decided to withdraw the rating for its own business
reasons.

COMPANY PROFILE

Headquartered in Padua, Italy, Safilo S.p.A. is a global
manufacturer and seller in the premium eyewear sector, offering a
strong portfolio of both owned and licensed brands. The group sells
sunglasses, prescription glasses and sport-specific eyewear in more
than 130 countries. In 2019, Safilo reported sales and a company
adjusted EBITDA of EUR939 million and EUR51.8 million,
respectively. These stood at EUR221.1 million and EUR5.8 million,
respectively, during the first quarter of 2020.




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

GRAIN INSURANCE: S&P Withdraws 'D' Issuer Credit Rating
-------------------------------------------------------
S&P Global Ratings withdrew its 'D' (default) issuer credit,
insurer financial strength, and Kazakhstan national scale ratings
on Kazakhstan-based JSC Grain Insurance Co. at the issuer's
request.

S&P said, "We lowered the ratings on Grain Insurance to 'D' on
March 13, 2020, because the company had missed several payments due
to its counterparties. We understand Grain Insurance is not
honouring its obligations and will surrender its license for
property/casualty insurance operations in the coming months."




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

AURORUS BV 2020: DBRS Assigns Prov. BB Rating on Class E Notes
--------------------------------------------------------------
DBRS Ratings Limited assigned provisional ratings to the following
classes of notes to be issued by Aurorus 2020 B.V. (the Issuer).

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at A (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BB (sf)
-- Class F Notes at B (low) (sf)

DBRS Morningstar did not assign provisional ratings to the Class G
Notes, Class X Notes, or Class RS Notes expected to be issued in
this transaction.

The ratings on the Class A Notes and Class B Notes address the
timely payment of scheduled interest and the ultimate repayment of
principal by the legal final maturity date. The ratings on the
Class C Notes, Class D Notes, Class E Notes, and Class F Notes
address the ultimate payment (then timely as most-senior class) of
interest and ultimate repayment of principal by the legal final
maturity date, in accordance with the terms of the notes.

DBRS Morningstar based its provisional ratings on information
provided by the Issuer and its agents as of the date of this press
release.

The Class A to Class G Notes are collateralized by the receivables
of unsecured revolving loans, fixed-rate installment loans, and
credit cards originated and serviced by Qander Consumer Finance
B.V. (Qander or the Seller) in the Netherlands. The Class X Notes
are not collateralized by loan receivables and will be repaid
through the availability of excess spread.

The transaction includes a 38-month revolving period where the
receivables of new accounts can be added to the pool until October
2023, subject to the occurrence of an early amortization event.

DBRS Morningstar based its ratings on a review of the following
analytical considerations:

-- The transaction's capital structure, including form and
sufficiency of available credit enhancement;

-- Relevant credit enhancement in the form of subordination, a
reserve fund, and excess spread;

-- Credit-enhancement levels are sufficient to support DBRS
Morningstar's projected cumulative net loss assumption under
various stressed cash flow assumptions for the notes;

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested;

-- Qander's capabilities with regard to originations,
underwriting, and servicing as well as the availability of a named
backup servicer at closing;

-- The transaction parties' financial strength with regard to
their respective roles;

-- The credit quality of the collateral and historical and
projected performance of the Seller's portfolio;

-- The sovereign rating of the Kingdom of the Netherlands,
currently at AAA with a Stable trend; and

-- The expected consistency of the transaction's legal structure
with DBRS Morningstar's "Legal Criteria for European Structured
Finance Transactions" methodology and the presence of legal
opinions that are expected to address the true sale of the assets
to the Issuer.

TRANSACTION STRUCTURE

The transaction incorporates separate revenue and redemption
waterfalls that allocate the available funds including collections
representing interest, principal, and recoveries from defaulted
receivables. The notes amortize sequentially while the
transaction's revenue priority of payments incorporates a principal
deficiency ledger for each class of notes, whereby available
revenue funds are used to cover realized losses.

A reserve account will be funded through the issuance proceeds of
the Class X and Class RS Notes. The balance of the reserve will be
initially equal to 0.9% of the original balance of the Class A,
Class B, Class C, and Class D Notes. Subsequently, following the
revolving period, the target increases to 1.5% of the Class A,
Class B, Class C, and Class D Notes. It is nonamortizing, and,
following the redemption of the Class D Notes, it becomes available
to pay interest on the most senior class of notes outstanding
subject to no principal deficiency being recorded in the applicable
note specific ledger.

The reserve account target is zero only upon the earlier of the
final maturity date and when the Class G Notes have been redeemed
in full. In the absence of liquidity support from the reserve
account and subject to principal deficiency ledger conditions,
principal funds can be used to pay interest on the Class A and
Class B Notes. Following their redemption, and still subject to
principal deficiency ledger conditions, principal can be used to
pay interest on the most senior class of notes outstanding.

DBRS Morningstar analyzed the transaction cash flow structure in
Intex DealMaker.

COUNTERPARTIES

The Issuer collection account, reserve account, replenishment
account, and the swap cash collateral account are held by ABN AMRO
Bank N.V. DBRS Morningstar's Long-Term Issuer rating of ABN AMRO
Bank is at A (high) with a Stable trend. The transaction documents
contain downgrade provisions consistent with DBRS Morningstar
criteria.

An eligible institution is expected to be appointed as the interest
rate swap counterparty for the transaction The hedging documents
are expected to contain downgrade provisions consistent with DBRS
Morningstar criteria.

COVID-19 CONSIDERATIONS

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many ABS transactions, some
meaningfully. The ratings are based on additional analysis of
expected performance as a result of the global efforts to contain
the spread of the coronavirus.

Notes: All figures are in Euros unless otherwise noted.




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

CAIXABANK PYMES 11: DBRS Places B Rating on B Notes Under Review
----------------------------------------------------------------
DBRS Ratings GmbH placed its ratings of the following notes issued
by CaixaBank PYMES 11, FT (the Issuer) Under Review with Negative
Implications:

-- Series A Notes rated AA (low) (sf)
-- Series B Notes rated B (sf)

The rating of the Series A Notes addresses the timely payment of
interest and the ultimate payment of principal on or before the
legal maturity date in April 2052. The rating of the Series B Notes
addresses the ultimate payment of interest and principal on or
before the legal maturity date.

CaixaBank PYMES 11, FT is a cash flow securitization collateralized
by a portfolio of secured and unsecured loans and drawdowns of
secured lines of credit originated and serviced by CaixaBank, S.A.
(CaixaBank) to corporate, small and medium-sized enterprises, and
self-employed individuals in Spain. The transaction closed in
November 2019.

KEY RATING DRIVERS AND CONSIDERATIONS

On May 18, 2020, DBRS Morningstar published a commentary outlining
how the coronavirus crisis is likely to affect DBRS
Morningstar-rated Structured Credit transactions in Europe. For
more details, please see:
https://www.dbrsmorningstar.com/research/361098/european-structured-credit-transactions-risk-exposure-to-coronavirus-covid-19-effect
and
https://www.dbrsmorningstar.com/research/362712/european-structured-finance-covid-19-credit-risk-exposure-roadmap,
where DBRS Morningstar discussed the overall risk exposure of the
Structured Credit sector to the coronavirus and provided a
framework for identifying the transactions that are more at risk
and likely to be affected by the fallout of the pandemic on the
economy. For this transaction, DBRS Morningstar identified a high
exposure to industry sectors considered as "Mid-high" or "High"
risk due to the coronavirus disruption and anticipates increased
expected default rates for obligors in those industries based on
their perceived exposure to the adverse disruption of the
coronavirus. Given the low seasoning of the transaction with no
time to build much additional credit enhancement, the expected
increase in default rates could constraint the current ratings.

DBRS Morningstar typically endeavors to resolve the status of
ratings Under Review with Negative Implications as soon as
appropriate. If heightened market uncertainty and volatility
persist, DBRS Morningstar may extend the Under Review status for a
longer period of time.

Notes: All figures are in Euros unless otherwise noted.


IM BCC CAPITAL 1: DBRS Puts BB Rating on Class C Notes Under Review
-------------------------------------------------------------------
DBRS Ratings GmbH placed its ratings of the following notes issued
by IM BCC Capital 1, FT (the Issuer) Under Review with Negative
Implications:

-- Class B Notes rated BBB (sf)
-- Class C Notes rated BB (sf)

The ratings on the Class B Notes and Class C Notes address the
ultimate payment of interest and principal on or before the legal
maturity date.

The transaction is a cash flow securitization collateralized by a
portfolio of term loans originated and serviced by Cajamar Caja
Rural, S.C.C. (Cajamar), granted to small and medium-size
enterprises and self-employed individuals based in Spain. The
transaction closed in December 2018.

DBRS Morningstar also rates the Class A Notes at AA (sf). The Class
A Notes rating has not been affected by this rating action.

KEY RATING DRIVERS AND CONSIDERATIONS

On May 18, 2020, DBRS Morningstar published a commentary outlining
how the coronavirus crisis is likely to affect DBRS
Morningstar-rated Structured Credit transactions in Europe. For
more details, please see:
https://www.dbrsmorningstar.com/research/361098/european-structured-credit-transactions-risk-exposure-to-coronavirus-covid-19-effect
and
https://www.dbrsmorningstar.com/research/362712/european-structured-finance-covid-19-credit-risk-exposure-roadmap,
where DBRS Morningstar discussed the overall risk exposure of the
Structured Credit sector to the coronavirus and provided a
framework for identifying the transactions that are more at risk
and likely to be affected by the fallout of the pandemic on the
economy. For this transaction, DBRS Morningstar identified a high
exposure to industry sectors considered as "Mid-high" or "High"
risk due to the coronavirus disruption and anticipates increased
expected default rates for obligors in those industries based on
their perceived exposure to the adverse disruption of the
coronavirus. Given the limited credit enhancement available to the
Class B and Class C Notes, which remains stable because of the pro
rata amortization of the rated notes, the expected increase in
default rates could constraint the current ratings on those two
tranches.

DBRS Morningstar typically endeavors to resolve the status of
ratings Under Review with Negative Implications as soon as
appropriate. If heightened market uncertainty and volatility
persist, DBRS Morningstar may extend the Under Review status for a
longer period of time.

Notes: All figures are in Euros unless otherwise noted.




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

CANADA SQUARE 2020-2: Moody's Rates GBP5.7MM Class X Notes 'Caa3'
-----------------------------------------------------------------
Moody's Investors Service assigned definitive credit ratings to the
following Notes issued by Canada Square Funding 2020-2 PLC:

GBP138.6M Class A Mortgage Backed Floating Rate Notes due December
2057, Definitive Rating Assigned Aaa (sf)

GBP13.0M Class B Mortgage Backed Floating Rate Notes due December
2057, Definitive Rating Assigned Aa3 (sf)

GBP4.9M Class C Mortgage Backed Floating Rate Notes due December
2057, Definitive Rating Assigned A2 (sf)

GBP4.1M Class D Mortgage Backed Floating Rate Notes due December
2057, Definitive Rating Assigned Baa3 (sf)

GBP2.4M Class E Mortgage Backed Floating Rate Notes due December
2057, Definitive Rating Assigned B2 (sf)

GBP5.7M Class X Mortgage Backed Floating Rate Notes due December
2057, Definitive Rating Assigned Caa3 (sf)

The GBP 8.8M VRR Loan Note due December 2057, the Class S1
Certificate due December 2057, the Class S2 Certificate due
December 2057 and the Class Y Certificate due December 2057 have
not been rated by Moody's.

The Notes are backed by a pool of UK buy-to-let ("BTL") mortgage
loans originated by Fleet Mortgages Limited ("Fleet", NR), Topaz
Finance Limited ("Topaz", NR) and Landbay Partners Limited
("Landbay", NR). The pool was acquired by Citibank N.A., London
Branch (Aa3/(P)P-1 & Aa3(cr)/P-1(cr)) from: (1) Hart Funding
Limited following its purchase from Fleet for Fleet-originated
loans; (2) Zephyr Funding Limited following its purchase from Topaz
for Topaz -originated loans; and (3) Broadway Funding Limited
following its purchase from Landbay for Landbay-originated loans.
The securitised portfolio consists of 756 mortgage loans with a
current balance of GBP 171.6 million as of June 30, 2020. The VRR
Loan Note is a risk retention Note which receives 5% of all
available receipts, while the remaining Notes and Certificates
receive 95% of the available receipts on a pari-passu basis.

RATINGS RATIONALE

The ratings of the Notes are based on an analysis of the
characteristics and credit quality of the underlying buy-to-let
mortgage pool, sector wide and originator specific performance
data, protection provided by credit enhancement, the roles of
external counterparties and the structural features of the
transaction.

MILAN CE for this pool is 14.0% and the expected loss is 2.2%.

The portfolio's expected loss is 2.2%, which is in line with other
UK BTL RMBS transactions owing to: (i) the performance of
comparable originators; (ii) the current macroeconomic environment
in the UK and in particular the fact that at closing 4.7% of the
pool has suspended its payment according to coronavirus-related
payment holidays; (iii) some historical track record, evidencing
good performance for the Fleet portion of the pool; and (iv)
benchmarking with similar UK BTL transactions.

MILAN CE for this pool is 14.0%, which is in line with other UK BTL
RMBS transactions, owing to: (i) the WA current LTV for the pool of
70.7%; (ii) top 20 borrowers constituting 15.28% of the pool; (iii)
static nature of the pool; (iv) the fact that 97.0% of the pool are
interest-only loans; (v) the share of self-employed borrowers of
26.07%, and legal entities of 56.48%; (vi) the presence of 24.71%
of HMO and MUB loans in the pool; and (vii) benchmarking with
similar UK BTL transactions.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Its analysis has considered
the effect on the performance of consumer assets from the collapse
in the UK economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. As a result, the degree of uncertainty around its
forecasts is unusually high. Moody's regards the coronavirus
outbreak as a social risk under its ESG framework, given the
substantial implications for public health and safety.

At closing, the transaction benefits from a fully funded,
amortising liquidity reserve fund that equals 1.5% of 100/95 of the
outstanding Class A Notes with a floor of 1.00% of 100/95 prior to
and no floor post the step-up date in March 2025 supporting the
Class S1 Certificate, Class S2 Certificate and Class A Notes. The
release amounts from the liquidity reserve fund will flow through
the revenue waterfall prior to and through the principal waterfall
post the step-up date. There is no general reserve fund.

There is limited liquidity support for Class B to E notes. While
the liquidity reserve provides sufficient liquidity support to
Class A, Classes B to E do not benefit from it. As long as Class A
is outstanding relatively high senior payments including servicing
fees, swap payments and S Certificate payments (in total approx.
0.09%), spread on Class A and a relatively low portfolio yield
(3.45% on average) limit the liquidity available for the more
junior classes of notes. In case of extensive payment holidays due
to current government initiatives on Coronavirus relief measures or
a servicer disruption event this could lead to interest payment
deferrals on the Class B to E notes. This risk is partially
mitigated by the principal to pay interest mechanism applicable to
Class B to E notes as long as the respective tranche's PDL does not
exceed 10% or a tranche becomes the most senior outstanding class
of notes. Low scheduled portfolio amortisation amounts and low
expected prepayments limit this benefit. Moody's has taken this
into account in its analysis and constrained the rating of the
Class B notes.

Operational Risk Analysis: Fleet, Topaz and Landbay are the
servicers in the transaction whilst Citibank N.A., London Branch,
will be acting as the cash manager. In order to mitigate the
operational risk, CSC Capital Markets UK Limited (NR) will act as
back-up servicer facilitator. To ensure payment continuity over the
transaction's lifetime, the transaction documentation incorporates
estimation language whereby the cash manager can use the three most
recent servicer reports available to determine the cash allocation
in case no servicer report is available. The transaction also
benefits from approx. 2 quarters of liquidity for Class A based on
Moody's calculations. Finally, there is principal to pay interest
as an additional source of liquidity for the Classes A to E (if
relevant tranches PDL does not exceed 10%, unless it is the most
senior Class of Notes outstanding).

Interest Rate Risk Analysis: 91.76% of the loans in the pool are
fixed rate loans reverting to three months LIBOR with the remaining
portion linked to three months LIBOR. The Notes are floating rate
securities with reference to daily SONIA. To mitigate the
fixed-floating mismatch between fixed-rate assets and floating
liabilities, there will be a scheduled notional fixed-floating
interest rate swap provided by BNP Paribas (Aa3(cr)/P-1(cr)).

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

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

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

Significantly different actual losses compared with its
expectations at close due to either a change in economic conditions
from its central scenario forecast or idiosyncratic performance
factors would lead to rating actions. For instance, should economic
conditions be worse than forecast, the higher defaults and loss
severities resulting from a greater unemployment, worsening
household affordability and a weaker housing market could result in
a downgrade of the ratings. Deleveraging of the capital structure
or conversely a deterioration in the Notes available credit
enhancement could result in an upgrade or a downgrade of the
ratings, respectively.


CASTELL PLC 2017-1: BRS Hikes Class F Notes Rating to BB(high)
--------------------------------------------------------------
DBRS Ratings Limited confirmed and upgraded the following ratings
on the notes issued by Castell 2017-1 PLC (the Issuer):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AAA (sf)
-- Class C Notes upgraded to AAA (sf) from AA (low) (sf)
-- Class D Notes upgraded to A (high) (sf) from A (low) (sf)
-- Class E Notes upgraded to BBB (sf) from BBB (low) (sf)
-- Class F Notes upgraded to BB (high) (sf) from BB (sf)

The ratings address the timely payment of interest and ultimate
payment of principal on or before the legal final maturity date in
October 2044.

The rating actions follow an annual review of the transaction and
are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and
losses.

-- Portfolio default rate (PD), loss given default (LGD), and
expected loss assumptions on the remaining receivables.

-- Current available credit enhancement to the notes to cover the
expected losses at their respective rating levels.

-- Current economic environment and an assessment of sustainable
performance, as a result of the Coronavirus Disease (COVID-19)
pandemic.

Castell 2017-1 PLC is a securitization of second-lien mortgage
loans originated in the UK by Optimum Credit Limited (OCL).

PORTFOLIO PERFORMANCE

As of April 2020, loans that were two to three months in arrears
represented 0.7% of the outstanding portfolio balance and the 90+
delinquency ratio was 2.1%. As of April 2020, the cumulative loss
ratio was 0.4%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS

DBRS Morningstar conducted a loan-by-loan analysis of the remaining
pool of receivables and has updated its base case PD and LGD
assumptions to 12.0% and 29.8%, respectively.

CREDIT ENHANCEMENT

As of the April 2020 payment date, credit enhancement to the Class
A, Class B, Class C, Class D, Class E and Class F notes was 68.4%,
54.9%, 38.6%, 26.4%, 16.3%, and 7.4%, up from 47.3%, 37.8%, 26.5%,
18.0%, 10.9%, and 4.7% in April 2019, respectively.

Credit enhancement to the rated notes is provided by subordination
of junior classes, excluding the Class X Notes, which are repaid
through available excess spread, and a general reserve fund.

The transaction benefits from a general reserve fund of GBP 4.3
million and a liquidity reserve fund of GBP 0.8 million. The
general reserve fund covers senior fees as well as interest and
principal (via the principal deficiency ledgers) on the rated
notes. The liquidity reserve fund covers senior fees and interest
on the Class A Notes and Class B Notes.

Citibank N.A., London Branch acts as the account bank for the
transaction. Based on the DBRS Morningstar private rating of
Citibank N.A., London Branch, the downgrade provisions outlined in
the transaction documents, and other mitigating factors inherent in
the transaction structure, DBRS Morningstar considers the risk
arising from the exposure to the account bank to be consistent with
the rating assigned to the Class A Notes, as described in DBRS
Morningstar's "Legal Criteria for European Structured Finance
Transactions" methodology.

NatWest Markets Plc acts as the swap counterparty for the
transaction. DBRS Morningstar's public Long-Term Critical
Obligations Rating of NatWest Markets Plc at "A" is above the First
Rating Threshold as described in DBRS Morningstar's "Derivative
Criteria for European Structured Finance Transactions"
methodology.

DBRS Morningstar analyzed the transaction structure in Intex
DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many RMBS transactions, some
meaningfully. The ratings are based on additional analysis and
adjustments to expected performance as a result of the global
efforts to contain the spread of the coronavirus.

Notes: All figures are in British pound sterling unless otherwise
noted.


CO-OPERATIVE BANK: Moody's Affirms B3 LongTerm Deposit Ratings
--------------------------------------------------------------
Moody's Investors Service affirmed all ratings and assessments of
The Co-operative Bank plc (The Co-operative Bank) and its
intermediate holding company The Co-operative Bank Finance p.l.c.
(The Co-operative Bank Finance). The ultimate holding company, The
Co-operative Bank Holdings Limited, is unrated.

The rating agency also changed the outlook on the long-term deposit
rating of The Co-operative Bank, and on the long-term issuer rating
of The Co-operative Bank Finance, to stable from positive.

RATINGS RATIONALE

The affirmation of the b3 Baseline Credit Assessment (BCA) of The
Co-operative Bank and the stable outlook balance lower execution
risk but weaker profitability prospects in the current operating
environment.

In 2019, The Co-operative Bank made significant progress in
achieving its planned restructuring. The bank concluded its
2018-2019 "fix the basics" plan, which included the separation of
its IT systems from its previous shareholder, The Co-operative
Group; Moody's had indicated that the execution risk related the
separation of The Co-operative Bank's IT systems was a key risk for
the bank.

At the same time, the economic shock deriving from the outbreak of
the coronavirus pandemic in the UK and globally a social risk
according to Moody's, will exacerbate the inability of The
Co-operative Bank to be profitable due to higher credit provisions
for expected losses and lower demand for credit.

In 2019, the bank reported a pre-tax loss of GBP152 million [1].
According to The Co-operative Bank, several costs are
non-recurring; for example, IT investments and charges for payment
protection insurance. However, also excluding the costs that the
bank considers as extraordinary, The Co-operative Bank indicated
that it would still have reported a pre-tax loss of GBP20 million
[1].

In the currently challenging UK operating environment, in which
Moody's expects a 10.1% real GDP contraction and an 8% unemployment
rate in 2020 [2], the rating agency expects The Co-operative Bank
to remain loss-making for at least the next two years. As such, the
rating agency believes that The Co-operative Bank lacks, at
present, a sustainable business model; this is a key governance
consideration that Moody's continues to incorporate in the ratings
of The Co-operative Bank.

Moody's believes that operating costs will reduce as the bank
progresses with the execution of its strategic plan. At the same
time, the net interest income will be challenged by low margins,
subdued growth, and the forthcoming issuance of debt to meet the
minimum requirements for own funds and eligible liabilities (MREL);
fees are unlikely to grow given the macroeconomic contraction, and
loan loss charges are expected to increase. In 2019 The
Co-operative Bank reported GBP2.5 million in loan loss reversals
[1], which will not be repeated in the current environment.

As a partially mitigating factor, Moody's noted that The
Co-operative Bank still has high risk-weighted capital ratios. As
of March 2020, the bank's Common Equity Tier 1 (CET1) ratio was
18.3%, while the total capital ratio was 22.6%; these ratios are
higher than most of the rated UK banks, however the bank has a high
Pillar 2A requirement relative to peers and continues to not meet
its PRA assessment buffer requirement. Moody's calculates that The
Co-operative Bank has a circa GBP 270 million buffer over minimum
capital requirements; this buffer is good in relation to the bank's
size, but the risk of a material reduction of the buffer and a
breach of the minimum requirement is high in a stressed environment
for a loss-making bank such as The Co-operative Bank.

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

The Co-operative Bank's BCA could be upgraded following a return to
sustainable internal capital generation through earnings, and the
issuance of sufficient debt to meet the bank's MREL requirements.

An upgrade of the BCA would lead to an upgrade of the long-term
deposit ratings of The Co-operative Bank and the issuer rating for
The Co-operative Bank Finance. Substantial issuance of bail-in-able
subordinated or senior debt by The Co-operative Bank or The
Co-operative Bank Finance, which would protect depositors from
losses in a resolution scenario, could also lead to an upgrade of
the long-term deposit ratings. The Co-operative Bank Finance's
issuer rating could also be upgraded following a material increase
in the stock of subordinated liabilities issued by The Co-operative
Bank Finance or by The Co-operative Bank, or a material issuance of
senior unsecured debt by The Co-operative Bank Finance.

The Co-operative Bank's BCA could be downgraded following evidence
that the bank will not be able to return to a sustainable level of
net profitability beyond 2021.

A downgrade of The Co-operative Bank's BCA would lead to a
downgrade of all long-term ratings of The Co-operative Bank and The
Co-operative Bank Finance.

LIST OF AFFECTED RATINGS

Issuer: The Co-operative Bank plc

Affirmations:

Adjusted Baseline Credit Assessment, Affirmed b3

Baseline Credit Assessment, Affirmed b3

LT Counterparty Risk Assessment, Affirmed B1(cr)

LT Counterparty Risk Ratings, Affirmed B2

LT Deposit Ratings, Affirmed B3, outlook changed to Stable from
Positive

ST Counterparty Risk Assessment, Affirmed NP(cr)

ST Counterparty Risk Ratings, Affirmed NP

ST Deposit Ratings, Affirmed NP

Outlook action:

Outlook changed to Stable from Positive

Issuer: The Co-operative Bank Finance p.l.c.

Affirmations:

ST Issuer Ratings, Affirmed NP

LT Issuer Ratings, Affirmed Caa1, outlook changed to Stable from
Positive

Outlook action:

Outlook changed to Stable from Positive

PRINCIPAL METHODOLOGY

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


FLAMINGO GROUP: Moody's Confirms B2 CFR, Outlook Negative
---------------------------------------------------------
Moody's Investors Service confirmed all ratings on Flamingo Group
International Limited (Flamingo or the company), the top entity of
the borrowing group of a leading European flower and premium
vegetables producer and distributor with farm operations in Kenya,
Ethiopia and South Africa. This includes Flamingo's B2 corporate
family rating (CFR), B2-PD probability of default rating (PDR) and
B2 instrument ratings of the EUR280 million senior secured term
loan B and EUR30 million senior secured revolving credit facility
(RCF). The outlook on all ratings has been changed to negative from
ratings under review.

The rating action concludes the review for downgrade initiated on
April 17, 2020.

RATINGS RATIONALE

The rapid and widening spread of the coronavirus pandemic,
deteriorating global economic outlook, falling oil prices, and
asset price declines are creating a severe and extensive credit
shock across many sectors, regions and markets. The combined credit
effects of these developments are unprecedented. Sales of flowers
have been affected by the shock given its exposure to confinement
measures and sensitivity to consumer demand and sentiment. The
ratings confirmations balance Flamingo's resilient performance
during the pandemic and its adequate liquidity against the breadth
and severity of the coronavirus shock and the uncertain trends in
customer demand that will persist in the next 12-18 months.

Flamingo reported 1% higher sales year-to-date in May 2020 despite
the pandemic, which was stronger than Moody's expected in the
beginning of the crisis. The growth was largely driven by a
recovery in the traditional retail channel in May, but also by a
significant spike in sales via its online channel. The company's
EBITDA was lower compared to the prior year by approximately GBP4.5
million or 16%, which is still seen as a relatively mild impact
given the magnitude of the confinement measures that were
introduced in the UK and Continental Europe. Moody's expects that
higher online sales may to some extent continue into the rest of
the year, while Flamingo is also well-positioned with its core and
price competitive offering with largest retailers to capture
consumer demand in a post-pandemic recessionary environment. More
negatively, the company's recovery may be slowed down or reversed
if the company's ability to produce or transport from Africa to
Europe is disrupted by government restrictions.

Moody's base case expects that the company's performance in the
second half of 2020 will be close to the pre-crisis levels and as a
result Moody's-adjusted debt/EBITDA will increase to 6x in 2020,
from 5.3x in 2019, and decline back to around 5x in 2021.
Moody's-adjusted EBITA/interest will stay around 1x-1.5x in 2020
and recover towards 2x in 2021. Moody's also cautions there are
inherent uncertainties and variables involved in modelling
profitability and cash flows in times of great uncertainty.

The B2 CFR reflects Flamingo's (i) limited product diversification;
(ii) exposure to demand volatility stemming from the customer
preferences and retailer promotional activity as well as potential
margin volatility due to pricing pressure in UK retail and ability
to pass through cost increase; (iii) political risk arising from
operating in Kenya and Ethiopia which account for most of its own
production; (iv) vulnerability to weather and crop disease risk
inherent in the industry leading to potential margin volatility;
(v) concentration of the customer base (with the top five customers
accounting for c.60% of the combined entity sales) and of
Flamingo's third-party supplier base.

Flamingo's ratings also reflect (i) strong market position, albeit
in narrow product segments: cut flowers and premium vegetables in
the UK and sweetheart roses globally, supported by the company's
cost advantage in sweetheart roses production; (ii) a degree of
vertical integration combining its own production with third-party
sourcing enabling it to meet fluctuations in demand; (iii)
positioning in product segments with favourable growth spectrum and
with third-party suppliers.

LIQUIDITY

The company's liquidity is adequate, supported by GBP56.9 million
cash on balance sheet as of May 2020, which includes the fully
drawn GBP26 million equivalent RCF. The RCF is subject to a net
leverage covenant set at 5.95x, which may come under pressure later
this year. Cash outflows include planned repayment of the vendor
loan note in the second half of the year of around GBP28 million.

The company is subject to some intra-year seasonality in demand and
working capital swings in the Flamingo flower business and may be
affected by payment terms with its key customers.

ENVIRONMENTAL, SOCIAL & GOVERNANCE CONSIDERATIONS

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety. Flamingo's business is exposed to a range of other
environmental and social risks, such as extreme changes in weather,
environmental impact from flowers and vegetables production, water
and labour shortage. Moody's notes that sustainable production and
employment are high on the company's agenda and these concerns are
partially mitigated by a number of measures, such as Flamingo's
usage of biological pest control, water efficiency initiatives in
Kenya and contribution to a wide range of social and local
community projects.

Moody's also consider ownership by Sun Capital Partners which, as
is common for private equity sponsored deals, has a high tolerance
for leverage and potentially high appetite for shareholder-friendly
actions.

RATIONALE FOR NEGATIVE OUTLOOK

The negative outlook reflects the risks that leverage will remain
above the rating trigger for a sustained period of time, primarily
due to the uncertain prospects for the flower market in Europe,
potential disruptions in the company's production in Kenia and
Ethiopia and supply chain.

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

Upward rating pressure would not arise until the coronavirus
outbreak is brought under control and major confinement measures
are lifted. Over time, Moody's could upgrade the company's rating
if:

  -- Moody's-adjusted debt/EBITDA falls sustainably below 4.0x;

  -- EBIT margin improves towards high single digits in percentage
terms; and

  -- Free cash flow generation remains solid

Moody's could downgrade Flamingo's ratings if the pandemic results
in a significant decline in demand, shutdown of the company's
production facilities in Africa or supply chain disruption, leading
to further deterioration in credit metrics and liquidity. A
negative rating action could also result from:

  -- Moody's-adjusted debt/EBITDA failing to reduce to 5.0x

  -- EBIT margin stays below 5%

  -- Free cash flow becomes negative; or

  -- Weakening liquidity

PRINCIPAL METHODOLOGY

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

PROFILE

Flamingo Group International Limited is a leading European supplier
of flowers and premium vegetables to retail and wholesale customers
with 66% of sales generated in the UK. The company runs farming
operations primarily in Kenya and Ethiopia as well as in South
Africa with 630 hectares of combined greenhouse production
capacity. In 2019 the combined entity generated revenues of GBP558
million and adjusted EBITDA of GBP57 million. Flamingo is owned by
the private equity funds managed and advised by Sun Capital
Partners, Inc. and its affiliates.


FLEETWAY TRAVEL: Enters Administration, Ceases Trading
------------------------------------------------------
Ian Taylor at Travel Weekly reports that tour operator Fleetway
Travel has gone into administration after more than 40 years in
business.

PwC has been appointed administrator, Travel Weekly discloses.

Fleetway Travel ceased trading on July 13, just days after UK
outbound travel resumed, with 6,500 Atol-protected bookings and a
smaller number of accommodation-only bookings to be refunded by
Abta, Travel Weekly relates.

The company had offices in London and Sheffield and employed 85
staff, who were informed of the administration via Zoom, Travel
Weekly discloses.

In a statement, the CAA, as cited by Travel Weekly, said consumers
with cancelled bookings would be able to submit a claim under
Atol.

Fleetway's annual revenue was about GBP10 million, Travel Weekly
states.  

Fleetway Travel sold luxury holidays worldwide, including a
significant US business.  It carried 68,000 passengers and recorded
a transaction turnover of GBP38 million in 2018, the last full year
for which it filed results.  As well as Fleetway Travel, the
company traded under names including Exclusive Luxury Breaks,
Explorer's Collection, Late Bargains, Luxury Holiday Collection,
Phone & Fly, Sail Away, Silversurfers Holidays and Travelsmart.


GEORGE BEST: Goes Into Administration, Owes GBP15.4 Million
-----------------------------------------------------------
Ryan McAleer at The Irish News reports that administrators for the
George Best Hotel in Belfast have confirmed it went bust owing at
least GBP15.4 million, and they are now considering whether or it
will be worth even completing the construction project, never mind
opening it as a hotel.

It has also emerged that 59 bedroom investors from around the world
put a combined GBP4,260,062 into the venture, The Irish News
discloses.

The 83-bedroom George Best Hotel was due to open in 2018 as the
first of three Signature Living hotels in Belfast, The Irish News
states.

But the construction project in the listed building was beset by
planning delays, The Irish News notes.

According to The Irish News, a winding up petition was initially
presented against the company in January 2020, prompting loan firm
Lyell Trading to appoint administrators from London-based Duff &
Phelps on April 24 2020.

The administrators initially said the lender had intervened "in
order to protect its investment and provide a platform from which
the hotel can be completed", The Irish News relays.

But the latest report prepared for creditors suggests they are be
less keen to do so now, according to The Irish News.

It states that the administrators "continue to assess the viability
of recommencing the development of the hotel and whether it will be
a viable option to complete the hotel never mind to open and trade
the hotel, once complete", The Irish News recounts.

Duff & Phelps' report estimates a total of GBP4,260,062 was
invested in 59 bedrooms, averaging at GBP72,200, The Irish News
discloses.  But some invested more, The Irish News states.

The administrators' report suggests unsecured creditors may only
receive 50% for the initial GBP10,000 they invested and 20%
thereafter, The Irish News says.

But the report states that the final settlement remains uncertain,
with updates to be provided in future reports, The Irish News
notes.

The administration process is currently due to run until April 23,
2021, according to The Irish News.


GKN HOLDINGS: Fitch Alters Outlook on BB+ LT IDR to Negative
------------------------------------------------------------
Fitch Ratings has revised UK-based GKN Holdings Limited's Outlook
to Negative from Stable, while affirming the company's Long-Term
Issuer Default Rating (IDR) at 'BB+'. Fitch further revised
UK-based GKN Aerospace Services Limited's (GASL) Outlook to
Negative from Stable, while affirming the company's Long-Term IDR
at 'BB'.

The Negative Outlook reflects the likelihood that the effects of
the coronavirus pandemic could materially hinder or delay the
previously expected recovery in cash generation and leverage to
levels consistent with a 'BB+' rating. It also reflects the risk of
a protracted weakened economic environment and its potential effect
on new vehicles and aircraft production.

The ratings continue to incorporate a business profile that is
strong for a 'BB+' rating, record of successful restructuring by
sole owner Melrose Industries plc (Melrose) and adequate financial
flexibility.

KEY RATING DRIVERS

Drop in Production: Fitch expects global vehicle production to fall
about 20% and production of several civil aircraft programmes to
fall 25%-35% in 2020. Fitch expects vehicle production to recover
from 2H20, albeit to lower levels than assumed prior to the
pandemic. Pick-up in production of single-aisle airplanes is not
expected before 2022, except for the B737 from a low base in 2020,
while production of wide-body airliners is expected to stabilise
after 2022. The underlying sharp drop in expected revenue by Fitch
is somewhat mitigated by sustained demand for defence programmes
and for Ergotron's products, while Fitch's expected sales declines
at Nortek Air Management and Brush are expected to be in
single-digits in 2020.

Profitability Hit in 2020: The fall in revenue will strongly impair
fixed-cost absorption with a material effect on profitability. Its
rating case includes a decline of about 50% of EBITDA and funds
flow from operations (FFO). We, therefore, expect free cash flow
(FCF) to turn slightly negative in 2020 from 1% in 2019. Lower
capex on weaker demand and production stoppages and no dividend
payments in 2020 limit the downward adjustment to its FCF forecast.
Nonetheless, a larger-than-expected fall in profitability and
worse-than-expected deterioration in receivable terms and inventory
levels could further stress FCF generation over 2020.

Profitability Uplift from Restructuring: Fitch expects EBITDA and
FFO to strongly rebound in 2021, albeit to lower levels than in
2019, before gradually improving over the medium term. Fitch also
expects the FCF margin to be well above 1% post 2020. This is
subject to successful implementation of Melrose's earnings and cash
generation enhancement programmes, which are a central tenet of the
group's business strategy. This is particularly important, since
Fitch expects production in most of its end-markets to remain below
2019 levels until at least 2023. A slow realisation of expected
benefits of restructuring or weaker recoveries of underlying
markets could put further pressure on the ratings.

Leverage Spike from Weaker Cash-flows: Its expectations of
materially lower FFO generation result in higher FFO leverage of
6.5x at end-2020, versus 3.9x at end-2019. Fitch expects the metric
to improve as FFO recovers and positive FCF, after acquisitions and
divestitures, is partly used to reduce debt. Nonetheless, its
rating case forecasts FFO leverage remaining above its negative
sensitivity of 3.5x until at least end-2021, at 4x in 2021.
Furthermore, execution risks for the rationalisation programmes and
uncertainty over the direction of global production of vehicles and
airliners could delay or constrain projected deleveraging.

Deleveraging Potential with Disposals: Leverage increase could be
slowed or deleveraging hastened depending on the cash deployments
of the potential net proceeds from disposals of owned assets.
Melrose has demonstrated its ability to identify and execute
disposals of businesses following its investments cycle, which
allow it to repay some of its debt raised for acquisitions with a
portion of net disposal proceeds. This strategy differentiates
Melrose from typical corporates. However, the ownership, funding
and management structures mean it remains a conglomerate rather
than an investment fund.

Strong Market Positions, Cyclical End-markets: GKN is,
respectively, a top-20 and a top-50 aerospace and automotive
supplier with leading global market positions in several
end-markets, such as aero structures, driveshaft and all-wheel
drive systems. It focuses on the development of business-critical
components, which requires scale, sound execution, standard of
quality and up-front investments, which all create high entry
barriers. The business profile further benefits from Melrose's
diversification in light commercial air management systems and
electric power products. However, the group is exposed to cyclical
industries, faces customer concentration risks and has limited
services and aftermarket operations.

Consolidated Credit Profile Drives Rating: GKN's and GASL's ratings
reflect the consolidated credit profile for the group. Fitch's
business profile analysis and credit metrics, therefore,
incorporate non-GKN diversified operations and their financial
obligations as well as Melrose plc's debt and liquidity position.
As such, actual and forecast financial performance analyses are
based on the consolidated financial statements of Melrose.

Ratings Reflects Melrose Linkage: The 'BB+' rating of GKN reflects
its strong legal and operational ties with Melrose. The debt
structure incorporates upstream guarantees from certain GKN
entities to Melrose, and downstream guarantees from Melrose to
GKN's bonds. Melrose's committed bank facilities contain a
cross-default clause referencing any member of the group. There is
no legal ring-fencing impeding intragroup liquidity movement with
cash being channelled to Melrose as much as possible. Daily
operational management is delegated to GKN divisions' executives.
Nonetheless, Melrose has effective control of GKN's board and
remains responsible for setting the strategy and overseeing GKN's
performance.

GASL's IDR Notched Down: GASL's IDR is notched down once from
immediate parent GKN's. The top-down approach reflects strong
operational and strategic ties that are offset somewhat by moderate
legal ties. The downward notching is due to the lack of a formal
parent guarantee for liabilities not linked to the UK-defined
benefit pension schemes. In addition, the majority of GASL board
members are independent Directors. Nonetheless, local management
carries out the group's strategy for the aerospace sector. GASL is
strategic for and integrated within GKN Aerospace as its aerospace
& defence arm in the UK. GASL also relies on the cash pooling
system of the group for external liquidity needs.

DERIVATION SUMMARY

Fitch considers GKN a tier 1 aerospace and automotive supplier, but
mostly in manufacturing of components rather than complete systems.
The consolidated group's scale and solid market share in
end-markets, geographical diversification, and somewhat high
exposure to cyclical sectors compare well with that of Schaeffler
AG (BBB-/Negative), Dana incorporated (BB+/Negative) and MTU Aero
Engines AG (MTU, BBB/Negative). The group benefits from greater
business diversification than these peers and from lower customer
concentration than MTU.

Nonetheless, its business profile is considered weaker than that of
larger global tier 1 suppliers such as Rolls-Royce plc
(BBB-/Negative), General Electric Company (BBB/Stable) and
Continental AG (BBB/Stable). These peers typically benefit from
higher technology content, greater R&D capability and a larger
share of revenue sourced from service and replacement activities
than Melrose.

The consolidated group's FFO margin in 2019, which is the first
full-year of GKN assets' consolidation, has been weaker than MTU's
and Schaeffler's, but broadly in line with Dana's and
Rolls-Royce's. The potential benefits of the restructuring
initiatives are expected to bring cash generation in line with low
investment-grade peers. Fitch expects FFO leverage to remain
outside its sensitivities until at least end-2021, although
remaining in line with Dana's.

Fitch applied its Parent Subsidiary Linkage (PSL) methodology and
assessed that GKN can be rated on a consolidated basis. GASL's
rating is also based on Fitch's PSL methodology and is notched down
once from GKN's. No Country-Ceiling or operating environment
aspects affect the ratings.

KEY ASSUMPTIONS

Fitch's Key Assumptions Within Its Rating Case for the Issuer

  - Global vehicle production to decline about 20% in 2020,
    with only partial recovery in 2021, and low-single-digit
    growth over the medium term

  - Combined production of A350/A320/A321/B787 aircrafts to
    decline around 25% in 2020 and a gradual increase of
    production of B737 from June 2020

  - Aerospace and automotive revenue to decline more than 20% in
    2020, due to significantly lower industry demand

  - Higher price pressure from customers over the next two to
    three years

  - Margins at GKN Aerospace, GKN Automotive and Powder
    Metallurgy divisions are low in 2020 before beginning
    to improve in 2021

  - Aggregate working capital inflows of around EUR0.1 billion
    in 2020-2023

  - Average annual capex at 4.9% of sales in 2020-2023
    (4.7% in 2019)

  - No dividend paid in 2020, EUR100 million in 2021 and
    increasing to more than EUR250 million in 2023

  - GKN Wheels and Structure sold in 2021

  - No acquisitions for the next three years

RATING SENSITIVITIES

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

GKN

  - Consolidated FFO leverage below 2.5x (2019: 3.9x, 2020F:
    6.5x, 2021F: 4x)

  - Consolidated FFO margin above 8.5% (2019: 7.5%, 2020F: 5.1%,
    2021F: 8%)

  - Consolidated FCF margin above 2% (2019: 1%, 2020F: -0.2%,
    2021F: 2%)

  - Weak linkages between GKN and Melrose, with GKN consisting
    of at least the aerospace and automotive divisions, without
    material re-leveraging of GKN

GASL

  - Strengthening of the legal ties between GKN and GASL

  - An upgrade of GKN, although this is unlikely

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

GKN

  - Consolidated FFO leverage above 3.5x

  - Consolidated FFO margin below 7%

  - Consolidated FCF margin below 1%

  - Disposals of material assets without adequate deleveraging

GASL

  - Looser ties between GKN and GASL

  - Downgrade of GKN

LIQUIDITY AND DEBT STRUCTURE

Sound Liquidity: GKN has access to Melrose's liquidity. Liquidity
is ample with GBP152 million of readily available cash and cash
equivalent at end-2019, including Fitch adjustments of GBP165
million viewed as restricted to cover day-to-day operational needs,
and about GBP1 billion of headroom under a revolving credit
facility (RCF) at end-April 2020. This compares with limited
consolidated debt maturities over 2020 and 2021. Some FCF
absorption expected by Fitch in 2020 will weigh on liquidity but
Fitch expects a return to positive FCF generation beyond 2020. The
group's positive net trade receivables/payables position also makes
the impact on the liquidity position of production stoppage or
limited capacity utilisation more manageable.

Debt Structure: At end-2019, Melrose's debt comprised two bonds of
GBP450 million (maturing 2022) and GBP300 million (maturing 2032)
together with a multi-currency term loan (denominated GBP100
million and USD960 million, maturing in April 2021 with the option
to extend to April 2024 at the group's request) that is fully
drawn. The group also has a multi-currency RCF (denominated GBP1.1
billion, USD2 billion and EUR0.5 billion, maturing January 2023)
with headroom of about GBP1 billion remaining at end-April 2020.

SUMMARY OF FINANCIAL ADJUSTMENTS

Amortisation of intangible assets acquired in business combinations
and restructuring costs are viewed as an operating item by Fitch.
Impairment of goodwill is viewed as non-operating item by the
agency.

ESG CONSIDERATIONS

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the entity(ies),
either due to their nature or the way in which they are being
managed by the entity(ies).


NMC HEALTH: UAE Entity Plans to Apply for Restructuring Locally
---------------------------------------------------------------
Reuters reports that troubled hospital operator NMC Health's entity
in the United Arab Emirates (UAE), NMC Healthcare LLC, is
considering applying for restructuring and insolvency proceedings
locally, two sources familiar with the matter said.

The move comes three months after NMC Health Plc, the London-listed
holding company for the hospital group, went into administration in
April after months of turmoil over its finances, Reuters notes.

The two sources told Reuters that NMC Healthcare LLC was looking at
options to file under the jurisdiction of Abu Dhabi Global Markets
(ADGM), which has its own laws relating to insolvency and corporate
restructuring.

According to Reuters, one of the sources said such a move would
help create a framework for the recognition of debt claims while
the administrators of NMC Health Plc finalize the scheme of
arrangement with creditors.

A third source, as cited by Reuters, said the ADGM move is an
option to obtain protection from the court from any enforcement
proceedings from creditors, similar to Chapter 11 in the United
States.

NMC's implosion this year amid allegations of fraud and the
disclosure of more than US$4 billion in hidden debts has left some
UAE banks and overseas lenders nursing heavy losses and prompted
legal battles to try and recover money owed, Reuters relays.

The troubles began in December when short-seller Muddy Waters
raised concerns over the company's financial statements and were
compounded by doubts over the size of stakes of major shareholders,
including founder BR Shetty, Reuters recounts.


PAINTBOX BIRMINGHAM: Enters Administration, 140 Jobs at Risk
------------------------------------------------------------
Tamlyn Jones at BusinessLive reports that around 140 jobs are under
threat at Paintbox Birmingham after it fell into administration.

The Birmingham automotive supply company is still trading from its
base in Kings Norton while administrators from Alvarez & Marsal
explore options for the business, including seeking a potential
buyer, BusinessLive relates.

According to BusinessLive, joint administrator Paul Flint said:
"The UK automotive industry has faced significant challenges in
recent years, following a downturn in car orders which is now
compounded by covid-19.

"Paintbox Birmingham has invested around GBP6 million in its
state-of-the-art paint lines in recent years and, as a result,
delivers high-quality products to its customers in the automotive
and other sectors.

"We are hopeful of being able to find a solution which will secure
the company's future."


TUDOR ROSE 2020-1: DBRS Finalizes BB(low) Rating on Class F Notes
-----------------------------------------------------------------
DBRS Ratings GmbH finalized its provisional ratings on the
following notes issued by Tudor Rose Mortgages 2020-1 PLC (the
Issuer):

-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BB (high) (sf)
-- Class F at BB (low) (sf)
-- Class X1 at BB (high) (sf)

The final ratings assigned to the Class E and Class F notes differ
from the provisional rating of BB (sf) and B (sf) because of
tighter initial and step-up margins on Class E and Class F notes
and reduction to the swap rate in the final structure.

The transaction is collateralized by a portfolio of UK buy-to-let
residential mortgage loans sold by Morgan Stanley Principal
Funding, Inc. (the Seller) and granted by Axis Bank UK Ltd. (the
Originator).

The rating on the Class A notes addresses the timely payment of
interest and ultimate payment of principal by the final legal
maturity date in June 2048. The rating on the Class B notes
addresses the timely payment of interest when most senior and
ultimate payment of principal. The ratings on the remaining classes
address the ultimate payment of interest and principal.

The transaction features an amortizing liquidity reserve fund
(funded to 2.0% of the Class A and Class B notes' outstanding
balance). The reserve supports the payment of senior expenses,
Class A interest, and Class B interest (subject to the Class B
principal deficiency ledger (PDL) being not more than 10% of the
Class B notes' outstanding balance). Further credit enhancement is
provided through the nonliquidity reserve fund, which is equal to
2.0% of the closing balance of the collateralized notes (Class A,
B, C, D, E, F, and Z) minus the liquidity reserve fund.

Credit enhancement is calculated as the overcollateralization
provided by the portfolio and the nonliquidity reserve fund. At
closing, credit enhancement was at 15.7% for Class A, 10.0% for
Class B, 6.2% for Class C, 3.7% for Class D, 1.5% for Class E, and
0.5% for Class F.

As of May 31, 2020, the portfolio consisted of 1,038 loans extended
to 675 borrowers with an aggregate outstanding balance of GBP 303.1
million. The weighted-average (WA) seasoning of the portfolio was
at 2.6 years, with a WA remaining term-to-maturity of 18.8 years.
The WA indexed loan-to-value of the portfolio is at 69.8%. The
portfolio primarily comprises interest-only loans (99.6%), yielding
a WA coupon of 3.8%. The majority of loans (82.4%) are secured by
properties located in London and the South East. As of the cut-off
date, one borrower (two loans representing 0.2% of the total
balance) was under litigation and five loans (0.5%) were in
arrears. A small portion (0.9%) of the portfolio consists of
holiday lets, which are more likely to be affected by the travel
restrictions imposed due to Coronavirus Disease (COVID-19).

In response to the coronavirus, the Financial Conduct Authority
published guidance on March 20, 2020
(https://www.fca.org.uk/news/press-releases/new-guidance-mortgage-providers-lenders-coronavirus)
stating that mortgage borrowers facing financial difficulties due
to the coronavirus, including buy-to-let mortgage holders, are able
to seek payment moratoriums. As a result, most UK lenders are able
to agree to a temporary payment moratorium for borrowers of
buy-to-let loans provided they are up to date with their payments
and if their tenants are struggling to pay rent. On June 2, 2020,
this guidance was updated, this allowed borrowers who have not
taken payment holidays yet to apply for it and at the same time
also allowed borrowers with existing payment holidays, at the end
of their deferral period and that are unable to make payments, to
extend the moratorium or make partial payments. The current
guidance is applicable until October 31, 2020. As of June 8, 2020,
22.4% of the portfolio was on a payment holiday of up to three
months.

Most loans pay a fixed rate of interest, with the most common reset
frequency (75.9%) being five years. In comparison, the notes pay an
interest rate linked to daily compounded Sonia, leading to interest
rate risk that will be mitigated using an interest rate swap
agreement between the Issuer and BNP Paribas. Based on DBRS
Morningstar's BNP Paribas rating of AA (low) and the collateral
posting provisions included in the documentation, DBRS Morningstar
considers the risk of such counterparty to be consistent with the
ratings assigned, in accordance with its "Derivative Criteria for
European Structured Finance Transactions" methodology.

The Issuer account bank is Elavon Financial Services, D.A.C., UK
Branch. Based on the account bank's private ratings and the
replacement provisions included in the transaction documents (the
replacement time frame is longer than what is expected as per the
methodology, mitigated by a higher rating trigger), DBRS
Morningstar considers the risk of such counterparty to be
consistent with the ratings assigned.

DBRS Morningstar is of the opinion that the representation and
warranties outlined in the draft transaction documents are weak. In
the case of a material breach of any of the representations or
warranties by the Seller on the closing date, if not remedied
within 30 business days, the Issuer's only remedy will be a claim
to damages. Such claims are limited to 5.0% of the current balance
of the relevant mortgage loan, with a minimum of claim level of GBP
5,000 per mortgage loan. If the Issuer wishes to make a claim, it
must do so by sending a notice on or before 24-months from the
closing date. Furthermore, a lot of representation and warranties
in the draft transaction documents provided by the Seller are based
on knowledge qualifiers (until issuer becomes aware).

DBRS Morningstar based its ratings primarily on the following
analytical considerations:

-- The transaction's capital structure, including the form and
sufficiency of available credit enhancement.

-- The credit quality of the mortgage loan portfolio and the
ability of the parties to perform servicing and collection
activities.

-- The portfolio default rate (PD), loss given default (LGD), and
expected loss (EL) assumptions DBRS Morningstar calculated using
the European RMBS Insight Model.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay the noteholders according to the terms and
conditions of the notes. The transaction cash flows were analyzed
using Intex DealMaker.

-- The consistency of the transaction's legal structure with the
DBRS Morningstar "Legal Criteria for European Structured Finance
Transactions" methodology and the presence of legal opinions
addressing the assignment of the assets to the Issuer.

-- The relevant counterparties, as rated by DBRS Morningstar, are
appropriately in line with DBRS Morningstar legal criteria to
mitigate the risk of counterparty default or insolvency.

-- The structural mitigants in place to avoid potential payment
disruptions caused by operational risk, such as downgrade and
replacement language in the transaction documents.

In DBRS Morningstar's cash flow results, Classes A to F showed some
tranche write-down for the target rating scenarios when applying
20% constant prepayment rate from day one and back-loaded default
timing. However, lender data showed that, due to combination of the
low teaser rate and the applicability of early repayment charges
(ERC) while loans are in a fixed-rate teaser period, historically,
prepayment rates have been low during the fixed teaser period and
then have increased substantially around the reversion date, when
loans reset to a higher interest rate and no ERCs are applicable.
Since most of the loans are currently in the teaser period, the
scenarios where prepayments are assumed to be 20% from day one was
deemed remote. Instead, DBRS Morningstar tested a lower 15%
constant prepayment rate from day one. DBRS Morningstar also ran
additional cash flow sensitivities to test prepayment behavior as
indicated by historical data (i.e., low prepayment during
fixed-rate periods and high prepayments around the reversion date)
to assign its ratings.

The Class X1 notes would have achieved a higher rating using the
cash flow assumptions outlined in DBRS Morningstar's "European RMBS
Insight Methodology" and "European RMBS Insight: UK Addendum".
However, the rating of the Class X1 notes was limited because the
Class X1 notes are very sensitive to the level of payment holidays
in the portfolio, prepayment rates, and default timings since the
payment of interest and principal relies on the level of excess
spread.

The Coronavirus Disease (COVID-19) and the resulting isolation
measures have caused an economic contraction, leading to sharp
increases in unemployment rates and income reductions for many
borrowers. DBRS Morningstar anticipates that delinquencies may
arise in the coming months for many RMBS transactions, some
meaningfully. The ratings are based on additional analysis and
additional adjustments to expected performance as a result of the
global efforts to contain the spread of the coronavirus. For this
transaction, DBRS Morningstar has assumed a moderate decline in
residential property prices and considered extended payment
holidays in its cash flow analysis.

Notes: All figures are in British pound sterling unless otherwise
noted.



                           *********


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

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

Copyright 2020.  All rights reserved.  ISSN 1529-2754.

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