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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

          Wednesday, September 16, 2020, Vol. 21, No. 186

                           Headlines



F R A N C E

CASSINI SAS: S&P Lowers ICR to 'CCC' on Tight Liquidity


G E R M A N Y

MONEDO: Files for Insolvency in Hamburg District Court


I R E L A N D

ALME LOAN II: Fitch Affirms BB-sf Rating on Class E-RR Notes
ARBOUR CLO VI: Fitch Affirms B-sf Rating on Class F Notes
ARMADA EURO IV: Fitch Affirms B-sf Rating on Class F Notes
AURIUM CLO V: Fitch Affirms B-sf Rating on Class F Notes
BILBAO CLO I: Fitch Affirms BB-sf Rating on Class D Notes

BLACKROCK EUROPEAN X: S&P Assigns Prelim. B- Rating on F Notes
HENLEY CLO I: Fitch Affirms B-sf Rating on Class F Notes
MADISON PARK IX: Moody's Confirms B2 Rating on Class F Notes
MADISON PARK X: Moody's Confirms B2 Rating on Class F Notes
OAK HILL V: Moody's Lowers Rating on Class F Notes to B3

OZLME III: Moody's Confirms B2 Rating on Class F Notes
PENTA CLO 2: Fitch Affirms B-sf Rating on Class F Notes


N E T H E R L A N D S

DRYDEN 66: Fitch Affirms B-sf Rating on Class F Notes
E-MAC NL 2004-1: Fitch Affirms CCCsf Rating on Class D Notes
MAXEDA DIY: Fitch Assigns 'B(EXP)' LT IDR, Outlook Stable
MAXEDA DIY: Moody's Puts Caa1 CFR on Review for Upgrade
MAXEDA DIY: S&P Puts 'CCC+' ICR on CreditWatch Positive



S E R B I A

NOVA TVORNICA: IRBRS Opens Tender for Sale, Oct. 14 Deadline Set


S P A I N

MADRILENA RED: Fitch Cuts LT IDR to BB+, Outlook Stable


U N I T E D   K I N G D O M

30 JAMES: New Owner to Absorb Deposits Lost in Administration
BVI HOLDINGS: S&P Affirms 'B' Issuer Credit Rating, Outlook Neg.
MOTION MIDCO: S&P Cuts ICR to 'CCC+' on Expected Delayed Recovery
NEW LOOK: Landlords Back Company Voluntary Arrangement Proposal
PREMIER SHEET: Enters Administration Following Cash Flow Woes

VICTORIA'S SECRET: Next Agrees to Joint Venture for UK Business

                           - - - - -


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F R A N C E
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CASSINI SAS: S&P Lowers ICR to 'CCC' on Tight Liquidity
-------------------------------------------------------
S&P Global Ratings lowered its long-term issuer credit rating on
France-based Comexposium (Cassini SAS) and the issue ratings on its
debt to 'CCC' from 'B-' and removing the ratings from CreditWatch
negative where we placed them on June 10, 2020.

The negative outlook reflects the risk that, if the company does
not succeed in obtaining shareholder or lender support in the form
of new liquidity and covenant waivers in the next few months, it
could face a liquidity crisis.

The extension of the ban on gatherings of more than 5,000 people in
France continues to disrupt Comexposium's operations in 2020.

As a result of the increase in the number of COVID-19 cases in
France during the summer, the French government has extended the
ban on public gatherings of more than 5,000 people until the end of
October, compared with S&P's previous base-case assumption of the
beginning of September. While Comexposium is operating some trade
shows, albeit with lower attendance, in Asia, where it is allowed,
the company had to cancel or postpone a number of trade shows
initially scheduled in the third and fourth quarters of 2020. Among
them, the 2020 edition of the SIAL Paris has been postponed until
the next edition in 2022. This trade show is the company's biggest
in terms of total sales (16%) and gross profit (18%). All these
events are weakening Comexposium's credit metrics and we think the
group's capital structure has become unsustainable in the current
macroeconomic environment, unless the company receives support from
its shareholders or lenders.

S&P said, "Under our revised base case, we assume that a number of
major trade shows will not resume before the second half of 2021.

"Despite a favorable start to the year, with four of its top shows
organized (out of a total of 12), we now estimate that
Comexposium's revenue could decline by about 50%, to EUR140
million-EUR160 million in 2020, from about EUR320 million reported
in the statutory accounts in 2019. This will translate into
negative S&P Global Ratings-adjusted EBITDA (including costs and
losses from cancelled and delayed events) despite management's
comprehensive cost-cutting actions. S&P also forecasts free
operating cash flow will be negative in 2020 at about EUR80
million-EUR100 million, leading to weakening liquidity. Assuming
Comexposium's operating performance will not recover before the
second half of 2021, given the current social distancing measures
and safety concerns from exhibitors, the group's leverage will
likely remain very high in 2021, above 12x. Significant uncertainty
remains in our forecast, however."

Comexposium's liquidity position has become weak despite
management's measures to reduce cash burn.

Comexposium has about EUR75 million of cash on the balance sheet,
including the fully drawn EUR90 million revolving credit facility
(RCF) maturing in 2025, and about EUR12 million of advances
collected for future events that are eligible for a refund. Since
our last review in June, the company has taken further cost-saving
measures to preserve its liquidity position. The current cash burn
rate is between EUR5 million and EUR6 million per month (excluding
payment of cash interest on the term loan B (TLB) and revolving
credit facility). S&P said, "We estimate that the company is likely
to face a shortfall in liquidity within the next few months in the
absence of additional liquidity lines from its pool of banks or
from its shareholders. We understand the company is still in
discussions to secure a EUR40 million state guarantee loan with its
pool of banks, but there has not yet been an agreement." Finally,
the group will have to address the payment of put option
liabilities due in 2021.

The company is likely to breach its covenant for the next testing
period ending September 2020.

Given the rapid deterioration in Comexposium's earnings and
liquidity position, we estimate that the company will breach its
financial covenant target of 8.6x for the next testing period
ending September 2020. S&P understands that the company is
currently in discussions with its banks with the intention to
obtain a waiver.

Environmental, social, and governance (ESG) credit factors for this
credit rating change:

-- Health and safety

The negative outlook reflects the risk that, if the company does
not succeed in obtaining shareholder or lender support in the form
of new liquidity and covenant waivers in the next few months, it
could face a liquidity crisis.

S&P could lower the rating over the next few months if it sees an
increasing risk of a near-term payment crisis or default. This
could happen if:

-- The company does not receive new liquidity in the next few
months, raising the risk that it would be unable to service
interest payments on its debt; or

-- Comexposium breaches the covenant test in September 2020, and
fails to obtain a waiver or a reset well in advance of the testing
date; or

-- The company undertakes a debt restructuring, a distressed
exchange offer, or a debt buyback that it would view as distressed
and tantamount to a default.

S&P could revise the outlook to stable if Comexposium managed to
improve its liquidity profile such that it obtains a cash injection
from its shareholders or refinancing from its pool of banks in
order to help the company navigate the crisis.




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G E R M A N Y
=============

MONEDO: Files for Insolvency in Hamburg District Court
------------------------------------------------------
Shubham Sharma at Silicon Canals reports that one of Germany's
largest fintech startups Monedo has filed for insolvency.

The fintech's insolvency application was granted by the Hamburg
District Court that has also opened the preliminary insolvency
proceedings, Silicon Canals relates.

According to an official statement, on Sept. 7, the Hamburg
District Court also appointed restructuring professional Dr.
Christoph Morgen from the Germany-wide law firm Brinkmann &
Partner, as provisional insolvency administrator, Silicon Canals
discloses.  

"I plan to continue operations and have already started talks with
potential financiers.  It is my goal to bring the investor process,
which was started before the insolvency application and which
according to the Monedo management looks promising, to a successful
conclusion," Silicon Canals quotes provisional insolvency
administrator Dr. Christoph Morgen as saying.

Monedo was founded back in 2012 but was called Kreditch back then
-- rebranded to Monedo in March 2020.  Its primary goal was to
enable microcredits or microcredit loans but it later pivoted to
using algorithms for granting loans.

According to Silicon Canals, a report suggests that the company was
already struggling due to high default rates on the loans it
granted and was under heavy criticism for charging high interest
rates, which was apparently calculated due to its customers' low
credit worth.

Back in 2018, the startup had again almost gone bankrupt when its
value dropped from EUR200 million to almost zero when several
private individuals from India and Russia defaulted on repaying
their loans, Silicon Canals relays, citing Manager Magazin.

While the company managed to bag EUR45 million under the new name
Monedo, it was still unable to sustain its business, Silicon Canals
notes.  The coronavirus pandemic didn't help either, Silicon Canals
states.

Due to the pandemic, Spain and Poland, two of the company's largest
customer bases, passed new laws enabling borrowers to postpone
repayment of their debts, which meant Monedo would have to wait for
its returns, according to Silicon Canals.

Monedo is headquartered in Hamburg, Germany where it employs around
100 people.  Another 200 people work for it in subsidiaries, mainly
in Poland, Romania, Russia, Spain and Thailand.




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

ALME LOAN II: Fitch Affirms BB-sf Rating on Class E-RR Notes
------------------------------------------------------------
Fitch Ratings has affirmed ALME Loan Funding II DAC and removed the
class E-RR notes from Rating Watch Negative (RWN).

RATING ACTIONS

ALME Loan Funding II DAC

Class A-RR XS2086811333; LTAAAsf Affirmed; previously AAAsf

Class B-1-RR XS2086811929; LTAA+sf Affirmed; previously AA+sf

Class B-2-RR XS2088662817; LTAA+sf Affirmed; previously AA+sf

Class C-RR XS2086812653; LTAsf Affirmed; previously Asf

Class D-RR XS2086813206; LTBBB-sf Affirmed; previously BBB-sf

Class E-RR XS2086813974; LTBB-sf Affirmed; previously BB-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

Coronavirus Baseline Scenario Impact

Fitch removed the class E-RR notes from RWN and assigned a Negative
Outlook. The Outlook on the class D-RR notes is maintained as
Negative. This reflects the sensitivity analysis Fitch ran in light
of the coronavirus pandemic. Fitch notched down the ratings of all
assets of corporate issuers with Negative Outlooks (26% of the
portfolio) regardless of sector. The model-implied rating for the
class D-RR notes under the pandemic sensitivity test is below their
current rating.

The agency believes that the portfolio's negative rating migration
is likely to slow and a category-level downgrade is less likely in
the short term., as a result the class E has been removed from RWN
and affirmed with a Negative Outlook. The Negative Outlook on the
class D and E notes reflect the risk of credit deterioration over
the longer term, due to the economic fallout from the pandemic.

The Stable Outlook on the remaining tranches reflects the fact that
their ratings show resilience under the coronavirus baseline
sensitivity analysis.

Portfolio Performance; Surveillance

The transaction is still in its reinvestment period and the
portfolio is actively managed by the collateral manager. As of the
latest investor report available, the transaction was 59 bp above
par, and while all portfolio profile tests, coverage tests and most
collateral quality tests were passing, the Fitch weighted average
rating factor (WARF) test was not passing. As of the same report,
the transaction had no defaulted assets. Exposure to assets with a
Fitch-derived rating of 'CCC+' and below was 5.53% excluding
non-rated assets and 6.95% including non-rated assets as of
September 5, 2020.

'B'/'B-'Category Portfolio Credit Quality

Fitch assesses the average credit quality of obligors to be in the
'B'/'B-' category. The Fitch WARF calculated by Fitch as of
September 5, 2020 of the current portfolio is 34.30 (assuming
unrated assets are 'CCC') and the trustee-reported WARF is 34.02,
both above the maximum covenant of 34.00. Under the coronavirus
baseline scenario, the Fitch WARF would increase to 36.90.

High Recovery Expectations:

Senior secured obligations constitute 99.6% of the portfolio. Fitch
views the recovery prospects for these assets as more favorable
than for second-lien, unsecured and mezzanine assets. The
Fitch-calculated weighted average recovery rate (WARR) of the
current portfolio is 65.3%.

Portfolio Composition

The portfolio is well diversified across obligors, countries and
industries. The top 10 obligors' concentration is 16.8% and no
obligor represents more than 2.4% of the portfolio balance.
Semi-annual obligations constitute 39% of the portfolio but a
frequency switch has not occurred due to high interest coverage
ratios.

Deviation from Model-Implied Ratings

The model-implied rating for the class D-RR notes is 'BB+sf', below
its current rating of 'BBB-sf'. Fitch decided to deviate from the
model-implied rating because the model-implied ratings are only
driven by the back-loaded default timing and rising interest rate
scenario, which is unlikely given the current economic environment
associated with the COVID-19 crisis, in Fitch's view.

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 scenarios and the
front-, mid-, and back-loaded default timing scenarios, 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 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

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed Portfolio) that was customised to the portfolio limits 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 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 on
better-than-expected portfolio credit quality and deal performance,
leading to higher credit enhancement and excess spread available to
cover for losses in the remaining portfolio.

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 unexpected high levels of
defaults and portfolio deterioration. As the disruptions to supply
and demand due to COVID-19 become apparent for other sectors, 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 Downside Sensitivity

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before a halting recovery begins
in 2Q21. The downside sensitivity incorporates a single-notch
downgrade to all Fitch-derived ratings in the 'B' rating category
and a 0.85 recovery rate multiplier to all other assets in the
portfolio. For typical European CLOs this scenario results in a
rating category change for all ratings.

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


ARBOUR CLO VI: Fitch Affirms B-sf Rating on Class F Notes
---------------------------------------------------------
Fitch Ratings has affirmed Arbour CLO VI DAC and removed the class
E and F notes from Rating Watch Negative (RWN) and assigned them
Negative Outlooks.

RATING ACTIONS

Arbour CLO VI DAC

Class A-1 XS1971345779; LTAAAsf Affirmed; previously AAAsf

Class A-2 XS1971346314; LTAAAsf Affirmed; previously AAAsf

Class B XS1971347122; LTAAsf Affirmed; previously AAsf

Class C-1 XS1971348443; LTA+sf Affirmed; previously A+sf

Class C-2 XS1971349177; LTA+sf Affirmed; previously A+sf

Class D XS1971349763; LTBBB-sf Affirmed; previously BBB-sf

Class E XS1971350340; LTBB-sf Affirmed; previously BB-sf

Class F XS1971350696; LTB-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Arbour CLO VI Designated Activity Company is a cash flow
collateralised loan obligation (CLO) of mostly European leveraged
loans and bonds. The portfolio is actively managed by Oaktree
Capital Management (Europe) LLP.

KEY RATING DRIVERS

Stable Portfolio Performance: As per the latest trustee report, the
Fitch weighted average rating factor (WARF) stands at 32.50 and is
below its covenant of 33. The portfolio is above the target par by
0.17% and there are no default assets. The Fitch-calculated 'CCC'
category or below assets (including unrated names) represents 3.32%
of the portfolio against the limit of 7.50%, a slight decrease from
3.55% in April 2020. Assets with a Fitch-derived rating on Negative
Outlook is at 36.65% of the portfolio balance.

Coronavirus Baseline Sensitivity Analysis: The Negative Outlook on
the class E and F notes reflects the result of the sensitivity
analysis Fitch ran in light of the coronavirus pandemic. The agency
notched down the ratings for all assets with corporate issuers with
a Negative Outlook regardless of the sector. The agency views that
the portfolio's negative rating migration is likely to slow and a
category-level downgrade is less likely in the short term. As a
result, the class E and F notes have been removed from RWN and
affirmed with a Negative Outlook. The Negative Outlook reflects the
risk of credit deterioration over the longer term, due to the
economic fallout from the pandemic.

'B'/'B-' Portfolio Credit Quality: Fitch assesses the average
credit quality of obligors in the 'B'/'B-' category. The
Fitch-calculated WARF stands at 32.51 and would increase to 36.00
after applying the coronavirus stress.

High Recovery Expectations: Senior secured obligations comprise
96.01% of the portfolio. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets. Fitch's weighted average recovery rate of the
current portfolio is 65.42%.

Portfolio Composition: The portfolio is well diversified across
obligors, countries and industries. Exposure to the top 10 obligors
is 13.83% and no obligor represents more than 3.00% of the
portfolio balance. The largest industry is healthcare at 15.86% of
the portfolio balance, followed by business services at 11.25% and
computer and electronics at 7.82%. As of the last investor report,
the percentage of obligations paying less frequently than quarterly
is 44.54% of the aggregate collateral balance. However, no
frequency switch event has occurred as the class A/B interest
coverage test still exhibits significant headroom.

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 transactions were modelled using the
current portfolio and the current portfolio with a coronavirus
sensitivity analysis applied.

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, 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 voluntarily 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:

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 the 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 to the notes and
more 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 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
al so come under pressure. Fitch will update the sensitivity
scenarios in line with the views of its leveraged finance team.

Coronavirus Downside Sensitivity: Fitch has added a sensitivity
analysis that contemplates a more severe and prolonged economic
stress caused by a re-emergence of infections in the major
economies, before halting recovery begins in 2Q21. The downside
sensitivity incorporates a single-notch downgrade to all
Fitch-derived ratings in the 'B' rating category and a 0.85
recovery rate multiplier to all other assets in the portfolio. For
typical European CLOs this scenario results in a rating category
change for all ratings.

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


ARMADA EURO IV: Fitch Affirms B-sf Rating on Class F Notes
----------------------------------------------------------
Fitch Ratings has affirmed Armada Euro CLO IV and removed the class
E and F notes from Rating Watch Negative (RWN) and assigned them
Negative Outlooks.

RATING ACTIONS

Armada Euro CLO IV DAC

Class A XS2066869368; LTAAAsf Affirmed; previously AAAsf

Class B XS2066870291; LTAAsf Affirmed; previously AAsf

Class C XS2066870887; LTAsf Affirmed; previously Asf

Class D XS2066871422; LTBBB-sf Affirmed; previously BBB-sf

Class E XS2066873394; LTBB-sf Affirmed; previously BB-sf

Class F XS2066872404; LTB-sf Affirmed; previously B-sf

Class X XS2066869442; LTAAAsf Affirmed; previously AAAsf

TRANSACTION SUMMARY

Armada Euro CLO IV Designated Activity Company is a cash flow
collateralised loan obligation (CLO) of mostly European leveraged
loans and bonds. The portfolio is actively managed by Brigade
Capital Europe Management LLP.

KEY RATING DRIVERS

Stable Portfolio Performance

As per the latest trustee report, dated August 17, 2020, the Fitch
weighted average rating factor (WARF) stood at 34.15 and below its
covenant of 35, the portfolio was above target par by 7bp and no
defaulted assets have been reported. The Fitch-calculated 'CCC'
category or below assets (including unrated names) represented
6.99% of the portfolio against a limit of 7.5% and was an
improvement from 7.49% recorded in April 2020. Assets with a
Fitch-derived rating (FDR) on Outlook Negative represented 37.2% of
the portfolio balance.

Coronavirus Baseline Sensitivity Analysis

The Negative Outlook on the class E and F notes reflects the result
of the sensitivity analysis Fitch ran in light of the coronavirus
pandemic. The agency notched down the ratings for all assets with
corporate issuers with a Negative Outlook regardless of the sector.
The agency views that the portfolio's negative rating migration is
likely to slow down and category-level downgrade is less likely in
the short term, as a result the class E and F notes have been
removed from RWN, affirmed and assigned a Negative Outlook. The
Negative Outlook on the class E and F notes reflects the risk of
credit deterioration over the longer term, due to the economic
fallout from the pandemic.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch-calculated WARF stands at 34.15 and
would increase to 38.34 after applying the coronavirus stress.

High Recovery Expectations

Ninety-five per cent of the portfolio comprises senior secured
obligations. Fitch views the recovery prospects for these assets as
more favourable than for second-lien, unsecured and mezzanine
assets. Fitch's weighted average recovery rate of the current
portfolio is 68.07%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. Exposure to the top 10 obligors is 17.7% of the
portfolio balance and no obligor represents more than 3%. The
largest industry is business services at 14.53% of the portfolio
balance, followed by computer and electronics at 11.52% and
healthcare at 10.73%.

As of the last investor report, the percentage of obligations
paying less frequently than quarterly was 47.77% of the aggregate
collateral balance; however, no frequency switch event has occurred
as the class A/B interest coverage test still exhibits significant
headroom.

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 transactions were modelled using the current portfolio
and the current portfolio with a coronavirus sensitivity analysis
applied.

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, 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 voluntarily 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:

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 smaller 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 the 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
to the notes and more excess spread available to cover 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 the notes' credit
enhancement following amortisation does not compensate for a larger
loss expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As disruptions to
supply and demand due to coronavirus 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 view of its leveraged finance team.

Coronavirus Downside Sensitivity

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before halting recovery begins
in 2Q21. The downside sensitivity incorporates a single-notch
downgrade to all FDRs in the 'B' rating category and a 0.85
recovery rate multiplier to all other assets in the portfolio. For
typical European CLOs this scenario results in a category-rating
change for all ratings.

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


AURIUM CLO V: Fitch Affirms B-sf Rating on Class F Notes
--------------------------------------------------------
Fitch Ratings has taken multiple rating actions on Aurium CLO V
Designated Activity Company, including removing two tranches from
Rating Watch Negative (RWN) and changing the Outlook on one tranche
to Negative from Stable.

RATING ACTIONS

Aurium CLO V DAC

Class A XS1951297115; LTAAAsf Affirmed; previously AAAsf

Class B1 XS1951297461; LTAAsf Affirmed; previously AAsf

Class B2 XS1951297545; LTAAsf Affirmed; previously AAsf

Class C XS1951297974; Class LTAsf Affirmed; previously Asf

Class D XS1951298352; LTBBB-sf Affirmed; previously BBB-sf

Class E XS1951298600; LTBB-sf Affirmed; previously BB-sf

Class F XS1951298865 LTB-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

Aurium CLO V Designated Activity Company is a cash flow
collateralised loan obligation (CLO) of mostly European leveraged
loans and bonds. The transaction is in its reinvestment period and
the portfolio is actively managed by Spire Partners Ltd.

KEY RATING DRIVERS

Stable Portfolio Performance

As per the trustee report dated July 31, 2020, the aggregate
collateral balance was slightly above par by 3bp. The
trustee-reported Fitch weighted average rating factor (WARF) of
32.65 was in compliance with its test. Assets with a Fitch-derived
rating (FDR) of 'CCC' category or below represented 3.3% (there are
no unrated assets in the portfolio) of the portfolio, as per Fitch
calculation on September 5, 2020. Assets with a FDR on Negative
Outlook represented 38.6% of the portfolio balance.

Coronavirus Baseline Scenario Impact

The removal of RWN on class E and F notes and the Outlook revision
on the class D notes follow Fitch's sensitivity analysis on the
target portfolio for its coronavirus baseline scenario. While the
class E and F notes still show sizeable shortfalls, the agency
views that the portfolio's negative rating migration is likely to
slow and category-level downgrades on these tranches are less
likely in the short term. The Negative Outlook on all three
tranches reflects the risk of credit deterioration over the longer
term, due to the economic fallout from the pandemic. The remaining
tranches demonstrate the resilience of their ratings with cushions,
leading to their rating affirmation. Under its sensitivity analysis
Fitch notched down the ratings for all assets with corporate
issuers on Negative Outlook regardless of sector.

'B' Portfolio Credit Quality

Fitch assesses the average credit quality of obligors in the 'B'
category. The Fitch WARF of the current portfolio was 32.74, as per
Fitch's calculation, on September 5, 2020.

High Recovery Expectations

Approximately 97% of the portfolios comprise senior secured
obligations. Fitch views the recovery prospects for these assets as
more favourable than for second-lien, unsecured and mezzanine
assets. The Fitch weighted average recovery rate (WARR) of the
current portfolio was 65.14%, as per Fitch's calculation, on
September 5, 2020.

Diversified Portfolio

The portfolio is reasonably diversified across obligors, countries
and industries. Exposure to the top-10 obligors and the largest
obligor is 17.3% and 2.1%, respectively. The top-three industry
exposures accounted for about 46.2%, as per Fitch calculation. As
of July 31, 2020, no frequency switch event had occurred.

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
stressed portfolio) that was customised to the portfolio limits 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 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 on
better-than-expected portfolio credit quality and deal performance,
leading to higher credit enhancement and excess spread available to
cover for losses in the remaining portfolio.

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 unexpected high levels of
defaults and portfolio deterioration. As disruptions to supply and
demand due to COVID-19 become apparent for other sectors, 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 Downside Sensitivity

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before halting recovery begins
in 2Q21. The downside sensitivity incorporates a single-notch
downgrade to all FDRs in the 'B' rating category and a 0.85
recovery rate multiplier to all other assets in the portfolio. For
typical European CLOs this scenario results in a category-rating
change for all ratings.

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


BILBAO CLO I: Fitch Affirms BB-sf Rating on Class D Notes
---------------------------------------------------------
Fitch Ratings has affirmed Bilbao CLO I DAC (Bilbao I) and Bilbao
CLO II DAC (Bilbao II), except for Bilbao I's class D notes, which
remain on Rating Watch Negative (RWN). The class E notes from
Bilbao I and the class D notes from Bilbao II are removed from RWN
and assigned a Negative Outlook.


RATING ACTIONS

Bilbao CLO I DAC

Cl. X XS1804146659; LTAAAsf Affirmed; previously AAAsf

Cl. A-1A XS1804146733; LTAAAsf Affirmed; previously AAAsf

Cl. A-1B XS1804147038; LTAAAsf Affirmed; previously AAAsf

Cl. A-2A XS1804147384; LTAAsf Affirmed; previously AAsf

Cl. A-2B XS1804147624; LTAAsf Affirmed; previously AAsf

Cl. A1-C XS1804148358; LTAAAsf Affirmed; previously AAAsf

Cl. B XS1804148192; LTAsf Affirmed; previously Asf

Cl. C XS1804148432; LTBBB-sf Affirmed; previously BBB-sf

Cl. D XS1804148788; LTBBsf Rating Watch Maintained; previously BBsf


Cl. E XS1804148861; LTB-sf Affirmed; previously B-sf

Bilbao CLO II DAC

Class X XS1941068154; LTAAAsf Affirmed; previously AAAsf

Class A-1A XS1941071372; LTAAAsf Affirmed; previously AAAsf

Class A-1B XS1941072008; LTAAAsf Affirmed; previously AAAsf

Class A-2A XS1941072776; LTAAsf Affirmed; previously AAsf

Class A-2B XS1941073824; LTAAsf Affirmed; previously AAsf

Class B XS1941076926; LTA+sf Affirmed; previously A+sf

Class C XS1941078039; LTBBB-sf Affirmed; previously BBB-sf

Class D XS1941079193; LTBB-sf Affirmed; previously BB-sf

TRANSACTION SUMMARY

Both transactions are cash flow CLOs mostly comprising senior
secured obligations. Both transactions are in the reinvestment
period and the portfolios are actively managed by the asset
manager.

KEY RATING DRIVERS

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on each 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 of the
current ratings of class A to C and class X for both transactions
with cushions. This supports the affirmation with a Stable Outlook
for these tranches.

For the class D and E notes from Bilbao I and the class D notes
from Bilbao II, these tranches pass the current portfolio analysis
with cushion but show shortfalls in the coronavirus sensitivity
analysis. Fitch is maintaining the RWN for Bilbao I class D notes
given limited cushion shown for the current portfolio analysis and
hence are vulnerable to a single-notch downgrade within the same
rating category should the portfolio deteriorate even just
moderately.

The removal of RWN on the class E notes from Bilbao I and class D
notes from Bilbao II reflects its view that the portfolios'
negative rating migration is likely to slow and category-level
downgrade is less likely in the short term. The Negative Outlook
assigned to the ratings, however, reflects the risk of credit
deterioration over the longer term, due to the economic fallout
from the pandemic.

Stabilising Portfolio Performance

As per Fitch calculation, the portfolio weighted average rating
factor (WARF) of Bilbao I and Bilbao II is 34.3 and 34.4
respectively, and would increase by around 2.8bp and 3.3bp in the
coronavirus sensitivity analysis for the respective transactions.
Assets with a Fitch-derived rating (FDR) on Negative Outlook
represent 27% and 29% of the portfolio balance for Bilbao I and
Bilbao II respectively. Assets with a Fitch derived rating (FDR) of
'CCC' category or below, including unrated assets, are below 6% and
excluding unrated assets are below 5% in both transactions. Both
transactions are currently slightly below par and have no reported
defaults.

'B' Portfolio Credit Quality

Fitch assesses the current portfolios credit quality in the 'B'
category for Bilbao I and Bilbao II.

High Recovery Expectations

Almost all of the portfolios comprise senior secured obligations.
Fitch views the recovery prospects for these assets as more
favourable than for second-lien, unsecured and mezzanine assets.
The Fitch weighted average recovery rate of the current portfolio
is 64.4% and 65% respectively for Bilbao I and Bilbao II.

Portfolio Composition

Both portfolios are reasonably diversified. For Bilbao I, the
exposure to the top-10 obligors and the largest obligor is at 18.1%
and 2.1% respectively. For Bilbao II, the exposure is 15.7% and
1.8% respectively. For both portfolios, the top three-industry
exposure is at about 34%. Semi-annual paying obligations represent
38% and 35% of the portfolio balance of Bilbao I and Bilbao II
respectively. However, no frequency event has occurred, due to high
interest coverage ratios.

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 transactions were modelled using the current portfolios
based on both the stable and rising interest-rate scenarios and the
front-, mid- and back-loaded default timing scenarios as outlined
in Fitch's criteria. In addition, Fitch also 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 but included all default timing
scenarios.

RATING SENSITIVITIES

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

The transactions feature a reinvestment period and the portfolios
are actively managed. At closing, Fitch used a standardised stress
portfolio (Fitch's stressed portfolio) that was customised to the
portfolio limits 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 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 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 the notes' 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 disruptions to
supply and demand due to COVID-19 become apparent for other
sectors, 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 Downside Sensitivity

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before halting recovery begins
in 2Q21. The downside sensitivity incorporates a single-notch
downgrade to all FDRs in the 'B' rating category and a 0.85
recovery-rate multiplier to all other assets in the portfolio. For
typical European CLOs this scenario results in a category-rating
change for all ratings.

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

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

DATA ADEQUACY

Most of the underlying assets have ratings or credit opinions from
Fitch and/or other Nationally Recognised Statistical Rating
Organisations and/or European Securities and Markets
Authority-registered rating agencies. Fitch has relied on the
practices of the relevant groups within Fitch and/or other rating
agencies to assess the asset portfolio information. Overall,
Fitch's assessment of the asset pool information relied on for the
agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


BLACKROCK EUROPEAN X: S&P Assigns Prelim. B- Rating on F Notes
--------------------------------------------------------------
S&P Global Ratings assigned preliminary credit ratings to the class
A to F European cash flow CLO notes issued by BlackRock European
CLO X DAC (BlackRock X). At closing the issuer will issue unrated
subordinated notes.

The preliminary ratings reflect S&P's assessment of:

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

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

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

-- The transaction's legal structure, which it expects to be
bankruptcy remote.

-- The transaction's counterparty risks, which it expects to be in
line with its counterparty rating framework.

-- Under the transaction documents, the rated notes will pay
quarterly interest unless there is a frequency switch event.

-- Following this, the notes will permanently switch to semiannual
payment.

-- The portfolio's reinvestment period will end approximately
three years after closing, and the portfolio's maximum average
maturity date will be eight years after closing.

  Portfolio Benchmarks
                                                      Current
  S&P Global Ratings weighted-average rating factor  2,957.62
  Default rate dispersion                              672.65
  Weighted-average life (years)                          5.03
  Obligor diversity measure                            115.91
  Industry diversity measure                            22.85
  Regional diversity measure                             1.33

  Transaction Key Metrics
                                                      Current
  Total par amount (mil. EUR)                             300
  Defaulted assets (mil. EUR)                               0
  Number of performing obligors                           130
  Portfolio weighted-average rating
  derived from our CDO evaluator                          'B'
  'CCC' category rated assets (%)                        8.99
  'AAA' weighted-average recovery (%)                   36.45
  Covenanted weighted-average spread (%)                 3.80
  Reference weighted-average coupon (%)                  4.00
   Loss mitigation loan mechanics

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

The purchase of loss mitigation loans is not subject to the
reinvestment criteria or the eligibility criteria. It receives no
credit in the principal balance definition, although where the loss
mitigation loan meets the eligibility criteria with certain
exclusions, it is accorded defaulted treatment in the par coverage
tests. The cumulative exposure to loss mitigation loans is limited
to 10% of target par.

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

To protect the transaction from par erosion, any distributions
received from loss mitigation loans that are either purchased with
the use of principal, or purchased with interest or amounts in the
collateral enhancement account, but which have been afforded credit
in the coverage test, will irrevocably form part of the issuer's
principal account proceeds and cannot be recharacterized as
interest.

S&P said, "We understand that at closing, the portfolio will be
well-diversified, primarily comprising broadly syndicated
speculative-grade senior secured term loans and senior secured
bonds. Therefore, we have conducted our credit and cash flow
analysis by applying our criteria for corporate cash flow
collateralized debt obligations. As such, we have not applied any
additional scenario and sensitivity analysis when assigning
preliminary ratings to any classes of notes in this transaction.

"In our cash flow analysis, we used the EUR300 million target par
amount, the covenanted weighted-average spread (3.80%), the
reference weighted-average coupon (4.00%), and the covenanted
weighted-average recovery rates as indicated by the collateral
manager. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category. Our
credit and cash flow analysis indicates that the available credit
enhancement for the class B and C notes could withstand stresses
commensurate with higher rating levels than those we have assigned.
However, as the CLO will be in its reinvestment phase starting from
closing, during which the transaction's credit risk profile could
deteriorate, we have capped our preliminary ratings assigned to the
notes.

"Our cash flow analysis also considers scenarios where the
underlying pool comprises 100% of floating-rate assets (i.e., the
fixed-rate bucket is 0%) and where the fixed-rate bucket is fully
utilized (in this case, 12.5%). In latter scenarios, the class F
cushion is -3.29%. Based on the portfolio's actual characteristics
and additional overlaying factors, including our long-term
corporate default rates and the class F notes' credit enhancement
(8.25%), we believe this class is able to sustain a steady-state
scenario, where the current market level of stress and collateral
performance remains steady. Consequently, we have assigned our
preliminary 'B- (sf)' rating to the class F notes, in line with our
criteria.

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

"Until the end of the reinvestment period on Oct. 15, 2023, the
collateral manager is allowed to substitute assets in the portfolio
for so long as our CDO Monitor test is maintained or improved in
relation to the initial ratings on the notes. This test looks at
the total amount of losses that the transaction can sustain as
established by the initial cash flows for each rating, and compares
that with the default potential of the current portfolio plus par
losses to date. As a result, until the end of the reinvestment
period, the collateral manager can, through trading, deteriorate
the transaction's current risk profile, as long as the initial
ratings are maintained.

"At closing, we expect that the transaction's documented
counterparty replacement and remedy mechanisms will adequately
mitigate its exposure to counterparty risk under our current
counterparty criteria.

"We expect the transaction's legal structure to be bankruptcy
remote, in line with our legal criteria.

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

The transaction securitizes a portfolio of primarily senior secured
leveraged loans and bonds, and will be managed by BlackRock
Investment Management (UK Ltd.).

In light of the rapidly shifting credit dynamics within CLO
portfolios due to continuing rating actions (downgrades,
CreditWatch placements, and outlook changes) on speculative-grade
corporate loan issuers, S&P is making qualitative adjustments to
its analysis when rating CLO tranches to reflect the likelihood
that changes to the credit profile of the underlying assets may
affect a portfolio's credit quality in the near term. This is
consistent with paragraph 15 of its criteria for analyzing CLOs. To
do this, S&P reviews the likelihood of near-term changes to the
portfolio's credit profile by evaluating the transaction's specific
risk factors, including, but not limited to, the percentage of the
underlying portfolio that comes from obligors that:

-- Are rated in the 'CCC' range;
-- Are currently on CreditWatch with negative implications;
-- Are rated with negative a negative outlook; or
-- Sit within a static portfolio CLO transaction.

Based on S&P's review of these factors, and considering the
portfolio concentration, it believes that the minimum cushion
between this CLO tranches' break-even default rates (BDRs) and
scenario default rates (SDRs) should be 1.0% (from a possible range
of 1.0%-5.0%).

As noted above, the purpose of this analysis is to take a
forward-looking approach for potential near-term changes to the
underlying portfolio's credit profile.

S&P said, "In addition to our standard analysis, to provide an
indication of how rising pressures among speculative-grade
corporates could affect our ratings on European CLO transactions,
we have also included the sensitivity of the ratings on the class A
to E notes to five of the 10 hypothetical scenarios we looked at in
our recent publication. The results shown in the chart below are
based on the actual weighted-average spread, coupon, and
recoveries.

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

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021. S&P said, "We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly."

  Ratings List

  Class   Prelim. rating   Prelim. amount (mil. EUR)
  A          AAA (sf)         183.75
  B          AA (sf)           23.25
  C          A (sf)            29.10
  D          BBB- (sf)         19.20
  E          BB- (sf)          11.10
  F          B- (sf)            8.85
  Sub notes  NR                23.52

  NR--Not rated.


HENLEY CLO I: Fitch Affirms B-sf Rating on Class F Notes
--------------------------------------------------------
Fitch Ratings has affirmed Henley CLO I DAC, and removed the class
E and F notes from Rating Watch Negative (RWN).

RATING ACTIONS

Henley CLO I DAC

Class A XS2008552999; LTAAAsf Affirmed; previously AAAsf

Class B-1 XS2008553377; LTAAsf Affirmed; previously AAsf

Class B-2 XS2008553708; LTAAsf Affirmed; previously AAsf

Class C XS2008555828; LTA+sf Affirmed; previously A+sf

Class D XS2008556123; LTBBB-sf Affirmed; previously BBB-sf

Class E XS2008555588; LTBB-sf Affirmed; previously BB-sf

Class F XS2008554342; LTB-sf Affirmed; previously B-sf

Class X XS2008552304; LTAAAsf Affirmed; previously AAAsf

TRANSACTION SUMMARY

The transaction is a cash flow CLO mostly comprising senior secured
obligations. The transaction is still within its reinvestment
period and is actively managed by Napier Park Global Capital Ltd.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

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 ratings of the class A, B and C notes with
cushions. The class D and E notes show shortfalls and the class F
notes show a marginal cushion at the current rating. The agency
believes that the portfolio's negative rating migration is likely
to slow and category-level downgrades on these tranches are less
likely in the short term. As a result, the class E and F notes have
been removed from RWN and affirmed. The Negative Outlooks on the
class D, E and F notes reflect the risk of credit deterioration
over the longer term, due to the economic fallout from the
pandemic.

Stable Portfolio Performance

The rating actions reflect the stabilisation of the portfolio's
performance. The transaction is above target par. As at September
5, 2020, the Fitch-calculated weighted average rating factor (WARF)
of the portfolio at 33.92, was slightly weaker than the
trustee-reported WARF of August 17, 2020 of 33.78, owing to rating
migration. According to Fitch's calculation, the 'CCC' or below
category assets represent 5.94%, which is within the maximum 'CCC'
limit of 7.50%. As per the trustee report, the Fitch WARF was
failing marginally. However, all other tests, including the
overcollateralisation and interest coverage tests, were passing.

B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B'/'B-'
range.

High Recovery Expectations

Senior secured obligations comprise 94.75% 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
61.49%.

Portfolio Composition

The top 10 obligors' concentration is 17.84% and no obligor
represents more than 2.45% of the portfolio balance. As per Fitch's
calculation, the largest industry is business services at 14.61% of
the portfolio balance and the three largest industries represent
31.68%, against limits of 17.50% and 40.00%, respectively.

As of the last trustee report, the percentage of obligations paying
less frequently than quarterly is around 46.9%. However, no
frequency switch event (FSE) has occurred and the class A/B
interest coverage ratio (ICR) still has significant headroom
compared with the ICR threshold of 120% for a FSE to occur.

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 stable and rising interest-rate scenarios and the
front-, mid- and back-loaded default timing scenarios as outlined
in Fitch's criteria.

In addition, 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, 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 voluntarily 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:

At closing, Fitch used a standardised stress portfolio (Fitch's
Stress Portfolio) that was customised to the portfolio limits as
specified in the transaction documents. Even if the actual
portfolio shows lower defaults and smaller 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 the 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 a better-than-expected portfolio credit
quality and deal performance, leading to higher credit enhancement
and excess spread available to cover for losses on the remaining
portfolio.

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 an unexpected 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 view of its Leveraged Finance team.

Coronavirus Downside Scenario

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before halting recovery begins
in 2Q21. The downside sensitivity incorporates the following
stresses: applying a notch downgrade to all Fitch-derived ratings
in the 'B' rating category and applying a 0.85 recovery rate
multiplier to all other assets in the portfolio. For typical
European CLOs this scenario results in a rating category change for
all ratings.

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


MADISON PARK IX: Moody's Confirms B2 Rating on Class F Notes
------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Madison Park Euro Funding IX DAC:

EUR20,350,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR24,200,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR12,100,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2030, 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:

EUR220,321,000 Class A-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Jul 6, 2017 Definitive
Rating Assigned Aaa (sf)

EUR31,579,000 Class A-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aaa (sf); previously on Jul 6, 2017 Definitive Rating
Assigned Aaa (sf)

EUR69,300,000 Class B Senior Secured Floating Rate Notes due 2030,
Affirmed Aa2 (sf); previously on Jul 6, 2017 Definitive Rating
Assigned Aa2 (sf)

EUR28,600,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030, Affirmed A2 (sf); previously on Jul 6, 2017 Definitive
Rating Assigned A2 (sf)

Madison Park Euro Funding IX DAC, issued in July 2017, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Credit Suisse Asset Management Limited. The
transaction's reinvestment period will end in July 2021.

RATINGS RATIONALE

The action concludes the rating review on the Class D, E and F
notes initiated on June 3, 2020.

The confirmations of the ratings on the Class D, E and F notes, and
the affirmations of the ratings on the Class A-1, A-2, B and C
notes are primarily a result of the expected losses on these notes
remaining consistent with their current ratings despite the risks
posed by credit deterioration and loss of collateral coverage
observed in the underlying CLO portfolio, which have been primarily
prompted by economic shocks stemming from the coronavirus outbreak.
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.

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 in the proportion of securities from
issuers with ratings of Caa1 or lower. According to the trustee
report dated August 2020 [1], the WARF was 3526 compared to a value
of 3097 as of March 2020 [2], which exceeds the reported covenant
level of 3036 [1]. Securities with ratings of Caa1 or lower
currently make up approximately 8.8% of the underlying portfolio
[1]. In addition, the over-collateralisation (OC) levels have
weakened across the capital structure. According to the trustee
report of August 2020 [1] the Class A/B, Class C, Class D and Class
E OC ratios are reported at 133.6%, 122.7%, 115.9% and 108.8%
compared to March 2020 [2] levels of 137.3%, 126.1%, 119.2% and
111.8% 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 August
trustee report [1]. Furthermore, the portfolio contains defaulted
assets representing approximately 2.0% of the aggregate principal
balance.

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 431.8 million,
a defaulted par of EUR 9.8 million, a weighted average default
probability of 26.3% (consistent with a WARF of 3531 over a
weighted average life of 4.6 years), a weighted average recovery
rate upon default of 45.2% for a Aaa liability target rating, a
diversity score of 56 and a weighted average spread of 3.7%.

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 coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. 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
August 2020.

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, 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: (1) the manager's investment strategy
and behaviour; and (2) divergence in the legal interpretation of
CDO documentation by different transactional parties because of
embedded ambiguities.

Additional uncertainty about performance is due to the following:

  -- 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.

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

  -- 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.


MADISON PARK X: Moody's Confirms B2 Rating on Class F Notes
-----------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Madison Park Euro Funding X DAC:

EUR16,030,000 Class D-1 Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020
Baa2 (sf) Placed Under Review for Possible Downgrade

EUR7,370,000 Class D-2 Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020
Baa2 (sf) Placed Under Review for Possible Downgrade

EUR24,750,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR12,150,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2030, 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:

EUR253,500,000 Class A-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Jan 18, 2018 Assigned Aaa
(sf)

EUR21,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aaa (sf); previously on Jan 18, 2018 Assigned Aaa (sf)

EUR22,000,000 Class B-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on Jan 18, 2018 Assigned Aa2
(sf)

EUR32,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aa2 (sf); previously on Jan 18, 2018 Assigned Aa2 (sf)

EUR17,820,000 Class C-1 Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed A2 (sf); previously on Jan 18, 2018
Assigned A2 (sf)

EUR10,530,000 Class C-2 Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed A2 (sf); previously on Jan 18, 2018
Assigned A2 (sf)

Madison Park Euro Funding X DAC, issued in January 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Credit Suisse Asset Management Limited. The
transaction's reinvestment period will end in July 2022.

The action concludes the rating review on Classes D, E and F notes
initiated on June 03, 2020.

RATINGS RATIONALE

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 actions reflect the expected
losses of the notes continue to remain consistent with their
current ratings despite the risks posed by credit deterioration and
loss of collateral coverage observed in the underlying CLO
portfolio, which have been primarily prompted by economic shocks
stemming from the coronavirus outbreak. Moody's has taken into
account the CLO's latest portfolio as well as the full set of
structural features of the transaction.

The deterioration in credit quality of the portfolio is reflected
in an increase in Weighted Average Rating Factor (WARF). According
to the trustee report dated August 2020 [1], the WARF was 3416,
compared to value of 3052 in January 2020 [2]. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of August 2020 [1] the
Class A/B, Class C, Class D and Class E OC ratios are reported at
133.5%, 122.9%, 115.3% and 108.3% compared to January 2020 [2]
levels of 136.8%, 125.9%, 118.2% and 110.9% respectively.

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 441.6 million,
a weighted average default probability of 28.6% (consistent with a
WARF of 3475 over a weighted average life of 5.78 years), a
weighted average recovery rate upon default of 44.7% for a Aaa
liability target rating, a diversity score of 59and 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 coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. 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.

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, 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 note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by: (1) the manager's investment strategy and behaviour;
and (2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded
ambiguities.

Additional uncertainty about performance is due to the following:

  -- 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.

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

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.


OAK HILL V: Moody's Lowers Rating on Class F Notes to B3
--------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Oak Hill European Credit Partners V Designated
Activity Company:

EUR12,900,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2030, Downgraded to B3 (sf); previously on Jun 3, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

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

EUR23,700,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR30,400,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

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

EUR260,800,000 Class A-1-R Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Nov 21, 2019 Assigned Aaa
(sf)

EUR10,600,000 Class A-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aaa (sf); previously on Nov 21, 2019 Affirmed Aaa (sf)

EUR47,600,000 Class B-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on Nov 21, 2019 Affirmed Aa2
(sf)

EUR12,200,000 Class B-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aa2 (sf); previously on Nov 21, 2019 Affirmed Aa2 (sf)

EUR25,900,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030, Affirmed A2 (sf); previously on Nov 21, 2019 Affirmed A2
(sf)

Oak Hill European Credit Partners V Designated Activity Company is
a cash-flow CLO transaction, originally issued in January 2017 and
refinanced in November 2019, is backed by a portfolio of mostly
high-yield senior secured European loans. The portfolio is managed
by Oak Hill Advisors (Europe), LLP. The transaction's reinvestment
period will end in February 2021.

The action concludes the rating review on the Class D, E and F
notes announced on June 3 2020.

RATINGS RATIONALE

The affirmations on the ratings of the Class A-1-R, A-2, B-1, B-2
and C notes and also the confirmations on the ratings of the Class
D and E notes are primarily a result of the expected losses of the
notes remaining consistent with their current ratings despite the
risks posed by credit deterioration and loss of collateral coverage
observed in the underlying CLO portfolio, which have been primarily
prompted by economic shocks stemming from the coronavirus
outbreak.

The downgrade to the rating on the Class F note is due to the risks
posed by credit deterioration and loss of collateral coverage
observed in the underlying CLO portfolio, which have been primarily
prompted by economic shocks stemming from the coronavirus
outbreak.

The credit quality has deteriorated as reflected in the increase in
the weighted average rating factor (WARF) and an increase in the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated August 2020 [1], the
WARF was 3565, compared with 3031 in the February 2020 report [2].
Securities with ratings of Caa1 or lower currently make up
approximately 9.05% of the underlying portfolio, versus 4.85% in
February 2020. In addition, the over-collateralisation (OC) levels
have weakened across the capital structure. According to the
trustee report of August 2020 [1], the Class A/B, Class C, Class D
and Class E OC ratios are reported at 135.1%, 125.3%, 117.5% and
108.8% compared to February 2020 report [2] levels of 137.6%,
127.7%, 119.7% and 110.9% respectively.

In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements.

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 A-1-R, A-2, B-1, B-2, C, D and E notes continue to
reflect the expected losses of the 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 447.46 million
and defaulted assets of EUR 8.68 million, a weighted average
default probability of 27.36% (consistent with a WARF of 3562 over
a weighted average life of 4.93 years), a weighted average recovery
rate upon default of 45.42% for a Aaa liability target rating, a
diversity score of 53 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 coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. 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.

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, 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 note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by: (1) the manager's investment strategy and behaviour;
and (2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded
ambiguities.

Additional uncertainty about performance is due to the following:

  -- 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.

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

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.


OZLME III: Moody's Confirms B2 Rating on Class F Notes
------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by OZLME III Designated Activity Company:

EUR21,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR22,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR12,000,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2030, 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:

EUR225,000,000 Class A-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Feb 2, 2018 Definitive
Rating Assigned Aaa (sf)

EUR10,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aaa (sf); previously on Feb 2, 2018 Definitive Rating
Assigned Aaa (sf)

EUR35,500,000 Class B-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on Feb 2, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR20,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aa2 (sf); previously on Feb 2, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR26,500,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030, Affirmed A2 (sf); previously on Feb 2, 2018 Definitive
Rating Assigned A2 (sf)

OZLME III Designated Activity Company, issued in January 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured European loans. The portfolio is
managed by Sculptor Europe Loan Management Limited. The
transaction's reinvestment period will end in February 2022.

The action concludes the rating review on the Class D, E and F
notes initiated on June 3, 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.

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and the
rating affirmations on the Class A-1, A-2, B-1, B-2 and C notes
reflect the expected losses of the notes continuing to remain
consistent with their current ratings despite the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus outbreak. Moody's
analysed the CLO's latest portfolio and took into account recent
trading activities as well as the full set of structural features.

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. The transaction is currently failing its WARF test, with a
Trustee-reported [1] WARF of 3359 against a trigger level of 3072
compared to a February 2020 [2] Trustee-reported WARF value of
2896. Securities with adjusted default probability ratings of Caa1
or lower currently make up approximately 22% of the underlying
portfolio. Trustee-reported Caa obligations stand at 7.0% against a
7.5% limit.

Over-collateralisation (OC) levels have weakened across the capital
structure. According to the Trustee report of August 2020 [1] the
Class A/B, Class C, Class D, Class E and Class F OC ratios are
reported at 136.38%, 124.98%, 117.22%, 110.05% and 106.50% compared
to February 2020 [2] levels of 137.70%, 126.19%, 118.35%, 111.12%
and 107.53% 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).

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 394.99
million, defaulted par of EUR 3.8 million, a weighted average
default probability of 28.06% (consistent with a WARF of 3380 over
a weighted average life of 5.90 years), a weighted average recovery
rate upon default of 45.45% for a Aaa liability target rating, a
diversity score of 58 and a weighted average spread of 3.64%.

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 coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak global economic activity and
a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regard the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, 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 note,
in light of uncertainty about credit conditions in the general
economy. In particular, the length and severity of the economic and
credit shock precipitated by the global coronavirus pandemic will
have a significant impact on the performance of the securities. CLO
notes' performance may also be impacted either positively or
negatively by 1) the manager's investment strategy and behaviour
and 2) divergence in the legal interpretation of CDO documentation
by different transactional parties because of embedded
ambiguities.

Additional uncertainty about performance is due to the following:

  -- 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.

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

  -- 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.


PENTA CLO 2: Fitch Affirms B-sf Rating on Class F Notes
-------------------------------------------------------
Fitch Ratings has taken multiple rating action on Penta CLO 2,
including upgrading class B and C notes.

RATING ACTIONS

Penta CLO 2 B.V.

Class A-R XS1645089431; LT AAAsf Affirmed; previously at AAAsf

Class B-R XS1645089605; LT AA+sf Upgrade; previously at AAsf

Class C-R XS1645090108; LT A+sf Upgrade; previously at Asf

Class D-R XS1645090520; LT BBBsf Affirmed; previously at BBBsf

Class Class E XS1225775201; LT BBsf Affirmed; previously at BBsf

Class F XS1225775383; LT B-sf Affirmed; previously at B-sf

TRANSACTION SUMMARY

The transaction exited its reinvestment period in August 2019 and
is actively managed by Partners Group UK Management LLP.

KEY RATING DRIVERS

Transaction Deleveraging

The upgrades reflect the deleveraging of the transaction since it
exited its reinvestment period in August 2019. The class A-R notes
have paid down EUR29 million, raising credit enhancement to 47.8%
from 41.6%. The weighted average life (WAL) test has continued to
be breached with a current WAL of 4.26 years against a current WAL
test of 4.15 years as of July 23, 2020. This WAL test breach has
constrained reinvesting the sale proceeds of credit-risk or
credit-improved assets and/or unscheduled principal proceeds since
September 2019.

Portfolio Performance Hit by Pandemic

The transaction's performance has been deteriorating as a
consequence of the current economic environment associated with the
pandemic but is compensated by the amortisation of the class A-R
notes. It is passing all the coverage tests, collateral quality
test (other than WAL and weighted average rating factor (WAR)F
test) and portfolio profile tests (except 'CCC' concentration
failing by 235bp as per Fitch's calculation). The portfolio is 2.8%
below its target par. It is exposed to EUR9 million of defaulted
assets.

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. They represent 30% of the portfolio.
This scenario shows resilience of the current ratings of all the
rated notes except for the class E and F notes. The Outlook of
these two tranches was revised to Negative from Stable to reflect
the risk of credit deterioration over the long term due to the
economic fallout from the pandemic.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. The Fitch WARF of the current portfolio is
37.09. After applying its coronavirus baseline stress, the WARF
would increase to 40.18.

High Recovery Expectations

Senior secured obligations comprise 97.8% of the portfolios. 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 62.47%.

Diversified Portfolio Composition

Despite amortisation the portfolio remains well-diversified across
obligors, countries and industries. The top-10 obligors represent
18.38% of the portfolio balance and no obligor represents more than
2.2%. The largest industry is business services at 17.6% of the
portfolio balance, followed by healthcare at 11.8% and computers
and electronics at 11%.

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 scenarios and the
front-, mid- and back-loaded default timing scenarios 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 but included all default timing scenarios.

Deviation from Model-Implied Ratings

The model-implied ratings for the class D and E notes are 'BBB+sf'
and 'BB+sf', above their respective current rating of 'BBBsf' and
'BBsf'. Fitch decided to deviate from these model-implied ratings
to reflect risk of credit deterioration over the long term due to
the economic fallout from the pandemic since they do not show
substantial cushion under its coronavirus baseline scenario.

RATING SENSITIVITIES

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

  - A reduction of the mean default rate (RDR) by 25% at all rating
levels and an increase in the recovery rate (RRR) by 25% at all
rating levels would result in an upgrade of up to five notches
across the structure.

  - 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 and excess spread available to
cover for losses in the remaining portfolio. If the asset
prepayment speed is faster than expected and outweighs the negative
pressure of the portfolio migration, this may increase credit
enhancement and potentially add upgrade pressure to the 'AA+sf'
rated notes.

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

  - An increase of the mean RDR by 25% at all rating levels and a
decrease of the RRR by 25% at all rating levels will result in
downgrades of up to four notches across the structure.

  - 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 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 view of its Leveraged Finance team.

Coronavirus Downside Scenario

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
cut by 15%. This scenario would not affect the class A-R notes and
result in downgrades of up to four notches for the other notes.

DATA ADEQUACY

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

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




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

DRYDEN 66: Fitch Affirms B-sf Rating on Class F Notes
-----------------------------------------------------
Fitch Ratings has affirmed Dryden 59 Euro CLO 2017 B.V. and Dryden
66 Euro CLO 2018 B.V., and removed the class E and F notes in each
transaction from Rating Watch Negative (RWN) and assigned them
Negative Outlooks.

RATING ACTIONS

Dryden 66 Euro CLO 2018 B.V.

Class A XS1908334292; LTAAAsf Affirmed; previously AAAsf

Class B-1 XS1908334458; LTAAsf Affirmed; previously AAsf

Class B-2 XS1908334706; LTAAsf Affirmed; previously AAsf

Class C XS1908335000; LTAsf Affirmed; previously Asf

Class D XS1908335349; LTBBB-sf Affirmed; previously BBB-sf

Class E XS1908335695; LTBB-sf Affirmed; previously BB-sf

Class F XS1908337394; LTB-sf Affirmed; previously B-sf

Dryden 59 Euro CLO 2017 B.V.

Class A XS1770930177; LTAAAsf Affirmed; previously AAAsf

Class B XS1770930680; LTAAsf Affirmed; previously AAsf

Class C XS1770931068; LTAsf Affirmed; previously Asf

Class D XS1770931225; LTBBB-sf Affirmed; previously BBB-sf

Class E XS1770931571; LTBB-sf Affirmed; previously BB-sf

Class F XS1770931654; LTB-sf Affirmed; previously B-sf

TRANSACTION SUMMARY

The transactions are cash flow CLOs mostly comprising senior
secured obligations. They are still within their reinvestment
periods and are actively managed by their collateral manager.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

Fitch has assigned the class E and F notes of both transaction
Negative Outlooks as a result of a sensitivity analysis it ran in
light of the coronavirus pandemic. The agency notched down the
ratings for all assets with corporate issuers with a Negative
Outlook (43.2% and 40.6% of the Dryden 59 and 66 portfolios,
respectively) regardless of the sectors. The model-implied ratings
for the affected tranches under the coronavirus sensitivity test
are below the current ratings.

The class E and F notes were previously on RWN. For both classes,
the shortfalls are still sizeable. However, the agency believes the
portfolio's negative credit migration is likely to slow and
category-level downgrades on these tranches as less likely in the
short term.

The Stable Outlook on the remaining tranches reflect the fact that
the respective tranche's ratings show resilience under the
coronavirus baseline sensitivity analysis with a cushion.

Portfolio Performance; Surveillance

Both transactions are still in their reinvestment periods and the
portfolios are actively managed by the collateral manager. As of
the latest investor reports available, both transactions were below
pa,r by 92bp and 83bp for Dryden 59 and 66, respectively. While all
portfolio profile tests, coverage tests and most collateral quality
tests were passing, the Fitch weighted average rating factor (WARF)
test was not passing for either transaction (34.67 for Dryden 59
and 34.20 for Dryden 66 versus a minimum Fitch WARF of 34.00 for
both). As of the same report, the transactions had EUR10.5 million
and EUR8.5 million in defaulted assets for Dryden 59 and 66,
respectively. Exposure to assets with a Fitch derived rating of
'CCC+' and below is 5.18% and 5.70% excluding non-rated assets, and
5.82% and 6.33% including non-rated assets, for Dryden 59 and 66,
respectively.

Asset Credit Quality

'B'/'B-' Category Portfolio Credit Quality: Fitch assesses the
average credit quality of the obligors to be in the 'B'/'B-'
category. The Fitch WARF of the current portfolio is 34.98 and
34.52 (assuming unrated assets are 'CCC'), and the trustee-reported
Fitch WARF was 34.67 and 34.20 for Dryden 59 and 66, respectively,
both above the maximum covenant of 34.00. After applying the
coronavirus stress, the Fitch WARF would increase by 4.35 and
3.76.

Asset Security

High Recovery Expectations: Over 90% of the portfolios comprise
senior secured obligations. Fitch views the recovery prospects for
these assets as more favourable than for second-lien, unsecured and
mezzanine assets.

Portfolio Composition

The portfolios are well diversified across obligors, countries and
industries. The top 10 obligor concentration is 19.84% and 22.55%,
and no obligor represents more than 2.80% and 2.91% of the Dryden
59 and 66 portfolio balances. Semi-annual obligations make up53%
and 49% of the Dryden 59 and 66 portfolios but a frequency switch
has not occurred due to the high interest coverage ratios.

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

RATING SENSITIVITIES

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

At closing, Fitch used a standardised stress portfolio (Fitch's
Stressed Portfolio) that was customised to the portfolio limits 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 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 on
better-than-expected portfolio credit quality and deal performance,
leading to higher credit enhancement and excess spread available to
cover for losses in the remaining portfolio.

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 becomes 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, B, C, and D
notes, whereas credit enhancement for the class E and F notes may
be eroded quickly with a deterioration of the portfolio.

Coronavirus Downside Sensitivity

Fitch has added a sensitivity analysis that contemplates a more
severe and prolonged economic stress caused by a re-emergence of
infections in the major economies, before halting recovery begins
in 2Q21. The downside sensitivity incorporates the following
stresses: applying a notch downgrade to all Fitch-derived ratings
in the 'B' rating category and applying a 0.85 recovery rate
multiplier to all other assets in the portfolio. For typical
European CLOs this scenario results in a rating category change for
all ratings. 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.

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

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

DATA ADEQUACY

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

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

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.


E-MAC NL 2004-1: Fitch Affirms CCCsf Rating on Class D Notes
------------------------------------------------------------
Fitch Ratings has affirmed E-MAC NL 2004-1 B.V., E-MAC NL 2005-III
B.V. and E-MAC NL 2006-II B.V. as listed.

RATING ACTIONS

E-MAC NL 2004-1 B.V.

Class A XS0188806870; LT Bsf Affirmed; previously at Bsf

Class B XS0188807506; LT Bsf Affirmed; previously at Bsf

Class C XS0188807928; LT Bsf Affirmed; previously at Bsf

Class D XS0188808819; LT CCCsf Affirmed; previously at CCCsf

E-MAC NL 2006-II B.V.

Class A XS0255992413; LT Bsf Affirmed; previously at Bsf

Class B XS0255993577; LT Bsf Affirmed; previously at Bsf

Class C XS0255995358; LT Bsf Affirmed; previously at Bsf

Class D XS0255996166; LT CCCsf Affirmed; previously at CCCsf

Class E XS0256040162; LT CCCsf Affirmed; previously at CCCsf

E-MAC NL 2005-III B.V.

Class A XS0236785431; LT Bsf Affirmed; previously at Bsf

Class B XS0236785860; LT Bsf Affirmed; previously at Bsf

Class C XS0236786082; LT Bsf Affirmed; previously at Bsf

Class D XS0236786595; LT CCCsf Affirmed; previously at CCCsf

Class E XS0236787056; LT CCCsf Affirmed; previously at CCCsf

TRANSACTION SUMMARY

The E-MAC transactions are seasoned true-sale securitisations of
Dutch residential mortgage loans originated by GMAC-RFC Nederland
B.V. The successor company, CMIS Nederland B.V., is servicer.

KEY RATING DRIVERS

Asset Maturity Risks

In all three transactions, Fitch identified assets with maturity
dates exceeding those of the notes. These amounts range between
0.2% and 0.7% of the current pool. Note amortisation in these
transactions is currently pro-rata given satisfactory performance.
In a benign environment it is possible for the transactions to
amortise pro-rata until note maturity. This implies a loss in all
collateralised tranches equal to the balance of the loans that
mature after the notes.

Fitch also notes a number of loans, representing between 0.5% and
2% of the pool balance, maturing within the two years up until
notes' legal final maturity. The majority are interest-only (IO)
loans. These loans may not have time to work out before the notes'
final maturity date in case of default.

Given the elevated risk to note default if asset performance
remains stable, and the magnitude of loans maturing within two
years up until notes' legal final maturity, Fitch has capped the
rating of the class A to C notes at 'Bsf'. Fitch considers the
class D notes bear a higher default risk as the notes may even
suffer losses in case of sequential amortisation with back-loaded
defaults and therefore capped these notes at 'CCCsf'. Fitch will
review the caps once all assets with maturity beyond the notes'
legal final maturity exited the respective pools.

Extension Margins Accruals Cap Excess Spread Notes' Ratings

The excess spread notes in 2005-III and 2006-II have been affirmed
at 'CCCsf'. Principal redemption of these notes ranks subordinate
to the payment of extension margins on the notes in the revenue
waterfall. As the extension margin amounts have been accruing and
remain unpaid, the principal repayment of these notes via excess
spread is unlikely. As long as these amounts keep building up,
Fitch has capped the rating at 'CCCsf'. The only possibility that
remains for class E notes to fully amortise would be through the
release of the reserve fund if it builds up after significant
performance deterioration (90+ arrears above 2%) and the built-up
amounts are then released after an improvement in performance (90+
arrears fall below 2%).

Stable Performance Leads to Pro-Rata Amortisation (Asset
Analysis/Liability Analysis)

Arrears have increased in recent months, but there is still a
buffer to the pro-rata trigger at 1.5%, particularly for 2004-1 and
2006-II with arrears of more than two months at 0.6% and 0.3% in
July 2020 up from 0.3% and levels below 0.3% in April 2020,
respectively. For 2005-III, the arrears increased to 1.3% (July
2020) from 0.9% in April 2020. Similarly, the rate at which losses
are building-up remains low with cumulative realised losses below
1% for all three transactions.

The three transactions are currently amortising pro-rata. E-MAC NL
2005-III had been paying sequentially at some points in 2015 to
2018, but has reverted since April 2018, reducing the credit
enhancement built-up for the senior notes as per the amortisation
mechanism in the documentation.

Alternative Scenario

Fitch has identified additional stress scenarios to be applied in
conjunction with its European RMBS Rating Criteria in response to
the coronavirus outbreak (see: EMEA RMBS: Criteria Assumptions
Updated due to Impact of the Coronavirus Pandemic). The agency
considered these additional stresses for the rating analysis.

The repayment of the class A to D notes is dependent on the timing
of losses, which determines when the switch of the notes'
amortisation to sequential occurs and on the prepayment of
long-dated assets. The alternative COVID-19 scenario does not lead
to weaker ratings. For the same reason, Fitch has not made any
arrears adjustment.

RATING SENSITIVITIES

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

  - Prepayment of the assets with maturity after the notes'
maturity could lead to repayment of the class A to C notes in
full.

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

  - Long-dated assets outstanding until notes' maturity could lead
to downgrades of the class A to C notes.

Coronavirus Downside Scenario Sensitivity:

As outlined in "Fitch Ratings Coronavirus Scenarios: Baseline and
Downside Cases", Fitch considers a more severe downside coronavirus
scenario for sensitivity purposes whereby a more severe and
prolonged period of stress is assumed with a halting recovery from
2Q21. Under this scenario, Fitch's analysis uses a 15% weighted
average foreclosure frequency increase and a 15% decrease in the
weighted average recovery rate. This scenario would not lead to a
downgrade of the notes.

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

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

DATA ADEQUACY

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

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

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

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entities, either due to their nature
or to the way in which they are being managed by the entities.


MAXEDA DIY: Fitch Assigns 'B(EXP)' LT IDR, Outlook Stable
---------------------------------------------------------
Fitch Ratings has assigned Maxeda DIY Holding B.V. an expected
Long-Term Issuer Default Rating (IDR) of 'B(EXP)'. The Outlook is
Stable.

Fitch has also assigned Maxeda DIY Holding B.V.'s planned EUR400
million senior secured notes an expected senior secured debt rating
of 'B+(EXP)'/'RR3'.

The assignment of final ratings will be contingent on effective
bond issuance and refinancing of existing debt in line with the
terms presented to Fitch. The assignment of the final instrument
ratings is also contingent on final documents conforming to
information already received.

The 'B(EXP)' rating reflects Maxeda's limited size but leading
position in the DIY retail market in the Benelux countries, and
resilience of its business model, including consumers shifting
expenditures towards DIY while staying at home since the
coronavirus pandemic started. Fitch expects Maxeda to generate
positive free cash flow (FCF), driven by sustained sales growth,
lower promotion costs and working capital improvement. Maxeda has
already used some of its cash to repay debt, showing some
commitment to deleveraging. However, leverage is high for the
rating, and a prudent financial policy combined with continued
deleveraging are key to the future rating trajectory.

The Stable Outlook reflects moderate execution risks, as Maxeda's
turnaround plan is reaching completion, and improving credit
metrics due to the resilience of the DIY sector in uncertain
macroeconomic conditions.

KEY RATING DRIVERS

Market Leader in Benelux: The rating reflects Maxeda's leading
position in the DIY market in Belgium and the Netherlands, with
43.9% and 25.3% market share, respectively as of July 2020. The
company operates a network of almost 350 stores located in prime
retail locations, and benefits from strong brand awareness,
creating a barrier to entry for new competitors. Fitch believes
online penetration of the DIY market will remain limited compared
to other non-food retail sectors, such as apparel, driven by
greater technical complexity of the product offering.

Resilient DIY Market: The coronavirus pandemic has led to strong
like-for-like growth of revenues for DIY retailers. Maxeda
experienced a 27% surge in sales in the Netherlands during 1H20,
and 5% in Belgium despite one-month store closure. Maxeda continued
to generate high growth in July and August as the situation partly
normalised. In its view, only part of this growth comes from
structural changes in consumer behaviour. Fitch expects revenues
will contract in FY21, but remain slightly above FY19. Fitch
estimates that Maxeda will be able to generate low single digit
like-for-like sales after the pandemic as DIY remains appealing to
consumers.

Satisfactory Format Diversification: The company focuses on two
countries, but benefits from some diversification thanks to its
three store formats (city stores, mid box and big box) operated
through three brands (Praxis in the Netherland, Brico and
BricoPlanit in Belgium). These stores offer a relatively large
product portfolio, including private labels. Maxeda has also
invested in omni-channel capabilities in recent years, notably
through the creation of a dedicated e-distribution centre. Fitch
estimates that online sales growth will outpace brick and mortar,
but remain small compared to the overall business.

High Leverage: Fitch forecasts FFO adjusted leverage to stabilise
at around 6.0x, which is high for the assigned rating. This leaves
limited rating headroom at the 'B' level, for example in the event
of any operational deviation or more severe macroeconomic
conditions than expected affecting demand. This is offset, in its
view, by Maxeda's sustainable business model and limited embedded
execution risks in the group's strategy.

Profitability to Improve: Fitch expects Fitch-adjusted EBITDA
margin to improve towards around 7.5% over the next three years,
around 100bp above FY19 based on management's ability to tightly
manage costs, while like-for-like sales growth allows for adequate
fixed costs absorption. Maxeda's profitability is solid relative to
close sector peers, such as Kingfisher PLC, and for the assigned
'B' IDR.

Free Cash Flow Generation to turn Positive: Fitch forecasts FCF
margin to turn positive from FY20 as Maxeda improves its FFO
margin, stabilises the amount of capital expenditure and benefits
from the completion of the conversion of Formido into Praxis
stores. Fitch also estimates that Maxeda's cash flows will benefit
from its newly implemented inventory management programme, reducing
cash flow volatility, as reflected in the rating.

Franchise Allows Expansion with Lower Risk: Maxeda operates retail
locations through a combination of directly owned stores (65%) and
franchisees (35%). Fitch believes that franchise agreements will
remain important to expand Maxeda's footprint at limited cost over
the next four years. Maxeda provides some guarantees to its
franchisees, but Fitch assesses limited risks as the management has
streamlined its franchisee network in recent years, and guarantees
represent buyback of inventories that could be used in directly
owned stores. The company has sublease agreements with some of its
franchisees, although these are considered a limited risk relative
to the size of the company.

DERIVATION SUMMARY

Maxeda's closest peer is Mobilux 2 SAS (BUT; B/Negative), the
French furniture and decoration retailer. Both companies have a
satisfactory business profile for the 'B' category, with market
leading positions in concentrated geographies. Fitch expects Maxeda
to generate higher EBITDA and FCF margins than BUT. Leverage for
both companies is high and comparable, following its expectation of
FFO adjusted net leverage at 6.0x in February 2022 for Maxeda,
compared to 5.7x in June 2022 for BUT. The differing Outlooks
reflect its expectation that the DIY category may be more resilient
than the furniture market in an uncertain economic environment.

Maxeda is rated one notch above The Very Group (B-/Stable), which
has similar size and profitability, despite more dynamic sales
expectations for The Very Group due to its prominent exposure to
online retail. However, Fitch expects Maxeda to have FFO adjusted
net leverage around 1.0x below The Very Group, which accounts for
the one-notch difference.

Kingfisher plc, the largest DIY group in UK and the second-largest
in France (behind Groupe Adeo), has sales almost 10x larger than
Maxeda's, leading to benefits from scale, market presence and brand
diversification, which provide some competitive advantages,
underpinning its 'BBB-' rating. Profitability is comparable between
these two DIY retailers, although leverage (measured as FFO
adjusted net leverage) is materially higher for Maxeda (5.5x- 6.0x)
than for Kingfisher (expected to remain below 4.0x in FY20 and
FY21).

KEY ASSUMPTIONS

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

  - Sales increasing by 8.2% in FY20, then reducing towards around
EUR1.4 billion in FY21 and 1.5% to 2.0% like-for-like growth
thereafter;

  - Stores network development in line with management case

  - Fitch-adjusted EBITDA margin peaking at 9.6% in FY20, then
stabilising around 7.5%

  - Capex of EUR40 million per year

  - Working capital improvement of EUR33 million in FY20, then
stabilising around mid to low-single digit cash inflow from working
capital as Maxeda continues to improve inventory management

  - EUR14 million of cash considered restricted by Fitch due to
intra-year working capital requirements

Key Recovery Assumptions

Fitch assumes that Maxeda would be considered a going concern in
bankruptcy and that it would be reorganised rather than liquidated.
Fitch has assumed a 10% administrative claim in the recovery
analysis.

In its bespoke going-concern recovery analysis Fitch considers an
estimated post-restructuring EBITDA available to creditors of
around EUR70 million. This is sufficient to pay interest (projected
at around EUR30 million), cash taxes (EUR10 million) and
maintenance capex (EUR25 million) representing a 22% discount
compared to FY19 Fitch-adjusted EBITDA.

Fitch has applied a distressed enterprise value/EBITDA multiple of
5.0x, in line with comparable businesses such as BUT.

Based on the debt waterfall the expected EUR65 million revolving
credit facility (RCF) would rank super senior to the EUR400 million
planned senior secured notes. Therefore, after deducting 10% for
administrative claims, its waterfall analysis generates a ranked
recovery for the senior secured bonds in the 'RR3' band, indicating
a 'B+' instrument rating. The waterfall analysis output percentage
on current metrics and assumptions is 63%.

RATING SENSITIVITIES

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

  - Further improvement in scale and diversification together with
better visibility on macroeconomic conditions that would lead to an
FFO margin above 5% and FCF margin above 3% on a sustained basis

  - FFO fixed charge cover sustained above 2.0x

  - FFO adjusted gross leverage below 5.0x (net: 4.5x) on a
sustained basis

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

  - A significant deterioration in revenue and profitability
reflecting, for example, an increasingly competitive operating
environment, a new period of prolonged lockdown and/or meaningful
delays in economic recovery after the pandemic

  - FFO fixed charge cover below 1.5x on a sustained basis

  - FFO adjusted gross leverage sustainably above 6.5x (net: 6.0x)

  - FFO margin sustainably below 3%

  - Evidence that liquidity is tightening due to operational
underperformance, large working-capital outflows, or distribution
to shareholders

ESG Considerations

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

LIQUIDITY AND DEBT STRUCTURE

Satisfactory Liquidity: As of August 2, 2020 (1H20), Maxeda had
EUR162 million Fitch-defined readily available cash (excluding
EUR14 million for working-capital purposes) and an undrawn EUR50
million RCF. However, this high cash position includes a material
working-capital inflow of EUR145 million boosted by favourable
suppliers' payment terms, tightened inventories and deferred tax
payments. Fitch expects that working capital will normalise by
February 2021, which combined with an expected EUR35 million gross
debt repayment upon refinancing and debt refinancing costs, may
require some temporary drawings under the RCF under Fitch's
projections

Maxeda will have no near-term maturities following the debt
refinancing, including the issuance of EUR400 million senior
secured notes and implementation of a new EUR65 million RCF. Fitch
forecasts enhanced financial flexibility over the next four years,
as the company generates positive FCF and its RCF remains undrawn.
Fitch expects that Maxeda will maintain a prudent financial policy
with no envisaged shareholder distributions or M&A activity.


MAXEDA DIY: Moody's Puts Caa1 CFR on Review for Upgrade
-------------------------------------------------------
Moody's Investors Service placed the Caa1 corporate family rating
and Caa1-PD probability of default rating (PDR) of Maxeda DIY
Holding B.V., as well as the Caa1 rating on the existing guaranteed
senior secured notes issued by Maxeda on review for upgrade.
Concurrently, Moody's has assigned a B2 rating to Maxeda's proposed
EUR400 million senior secured notes due 2026. The outlook has been
changed to ratings under review from negative.

"The decision to place Maxeda's ratings on review for upgrade and
assign a B2 rating to its proposed notes mainly reflects the
improved credit metrics and liquidity position of the group,
following recently strong operating results and considering its
announced refinancing transaction," said Francesco Bozzano,
Assistant Vice President-Analyst and Moody's lead analyst on
Maxeda.

The rating assigned to the proposed notes assumes that the issuance
will be successfully completed and that the final transaction
documents will not be materially different from draft legal
documentation reviewed by Moody's to date. It also assumes that
these agreements are legally valid, binding and enforceable.

RATINGS RATIONALE

The review for upgrade on existing ratings and assignment of a B2
rating to the proposed notes reflect Maxeda's improved credit
metrics and liquidity position, following the solid operating
performance of the company in the current fiscal year ending
January 2021 (fiscal 2020) with consumers having increased their
spending on home improvement projects. The rating actions also
consider the proposed refinancing transaction, which includes the
issuance of EUR400 million senior secured notes due 2026 and the
extension to March 2026 of its existing super senior revolving
credit facility (RCF), which has also been upsized to EUR65
million.

Recent trading has resulted in improved cash flow generation and an
increase in Maxeda's cash balance, which the company partly used
during Q2 of fiscal 2020 to reduce its gross debt and repay the
drawings under its RCF. While retail is one of the sectors most
sensitive to consumer demand and sentiment, Do It Yourself (DIY)
retailers have benefitted from the effects of social distancing
induced by the coronavirus outbreak. Maxeda experienced strong
financial performance during H1 of fiscal 2020, as consumers stayed
at home more and because they were unable to travel, increased
their DIY and home improvement products spending.

Moody's considers that the stronger cash flow generation so far in
fiscal 2020 reflects, at least to an extent, the anticipation of
home improvement projects and certain non-recurring elements (e.g.
tax deferrals) and expects a normalization of the company's trading
and working capital in the coming quarters. Still, Moody's expects
Maxeda's fiscal 2021 sales to be at least in line with and EBITDA
to be about 10% higher than fiscal 2019, as in fiscal 2020 the
company successfully concluded the transformation of Formido stores
into Praxis. Moody's also considers the risks on Maxeda's operating
performance related to the still-weak macroeconomic environment
expected in Europe in 2021.

Proceeds from the proposed notes issuance, along with some cash,
will be used to fully repay Maxeda's existing senior secured notes
due 2022 while the proposed notes will also extend the company's
debt maturity profile. Post-refinancing, Maxeda's financial debt
will amount to EUR400 million, a lower amount than the around
EUR490 million it had at the end of fiscal 2019. Moody's projects
the company's leverage (i.e. Moody's-adjusted gross debt/ EBITDA)
will be around 5x in fiscal 2021.

The conclusion of the review for upgrade is dependent on the
company's successful completion of the announced refinancing
transaction. If Maxeda successfully refinances its debt and RCF,
Moody's would likely upgrade its CFR to B2 and change the outlook
to stable. However, Moody's believes that Maxeda's rating will be
weakly positioned in the B2 rating category due to a still-low
EBITDA margin of around 14% in fiscal 2021, interest cover
(EBIT/interest) of around 1.4x and the uncertainty around the
future growth of the DIY sector once the positive effects of the
pandemic recede.

Post-refinancing, Maxeda's liquidity will be adequate, supported by
a cash balance that Moody's projects will be around EUR30 million
at the end of fiscal 2020, full access to a EUR65 million RCF and
positive annual free cash flow of around EUR15-20 million. As part
of the refinancing, the company is also extending its RCF maturity
to March 2026. Maxeda can experience sizeable working capital
swings during the year, which Moody's expects the company to cover
with its available liquidity sources. Maxeda's RCF includes a
springing net senior secured leverage covenant. Under this
covenant, which is tested on a quarterly basis when drawings are
equal or above 40% of the RCF's total size, net senior secured
leverage should be less than 5.5x. Under the proposed
documentation, a breach of the covenant would lead to a draw stop
and not to an event of default. Moody's expects the company to
maintain ample headroom on the covenant.

STRUCTURAL CONSIDERATIONS

The B2 rating assigned to the proposed EUR400 million senior
secured notes reflects (1) the upstream guarantees and share
pledges from material subsidiaries of the group, and (2) pledges on
certain movable assets of the group. The B2 rating also takes into
account the presence of a super senior revolving credit facility in
the structure and sizeable trade payables claims at the level of
operating subsidiaries.

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

Prior to the review for upgrade, the factors for an
upgrade/downgrade were as follows:

Upward pressure on the ratings could be exerted as a result of a
material improvement in the company's liquidity. A higher rating
would also require the company to achieve a Moody's-adjusted
leverage below 6.0x and the generation of positive free cash flow.

Downward pressure could be exerted on the ratings if free cash flow
remains negative, which could arise from prolonged operational
disruption caused by the coronavirus, and which could further
deteriorate the company's liquidity. Moody's could also consider a
downgrade if, in the next 12 to 18 months, Maxeda's financial
leverage fails to decrease below 7.0x or there are indications that
the company will be challenged to refinance its RCF and 2022 debt
maturities on a timely basis.

LIST OF AFFECTED RATINGS

Issuer: Maxeda DIY Holding B.V.

Assignment:

Backed Senior Secured Regular Bond/Debenture, Assigned B2

On Review for Upgrade:

Probability of Default Rating, Placed on Review for Upgrade,
currently Caa1-PD

Corporate Family Rating, Placed on Review for Upgrade, currently
Caa1

Backed Senior Secured Regular Bond/Debenture, Placed on Review for
Upgrade, currently Caa1

Outlook Action:

Outlook, Changed to Ratings Under Review from Negative

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Retail Industry
published in May 2018.

COMPANY PROFILE

Maxeda, domiciled in Amsterdam, the Netherlands, is a DIY retailer
that operates in the Netherlands, Belgium and Luxembourg, via
various offline and online formats. Its offline network comprises
348 stores, of which 227 are its own stores. For fiscal 2019, the
company reported revenue of EUR1.4 billion.


MAXEDA DIY: S&P Puts 'CCC+' ICR on CreditWatch Positive
-------------------------------------------------------
S&P Global Ratings placed its 'CCC+' long-term issuer credit rating
on Benelux-based Maxeda DIY Group B.V. (Maxeda) on CreditWatch with
positive implications. S&P also assigned its preliminary 'B-'
rating to the proposed EUR400 million senior secured notes.

Maxeda intends to refinance all its existing senior secured notes
by issuing senior secured instruments comprising notes of EUR400
million and a revolving credit facility (RCF) of up to EUR65
million. The RCF will be undrawn at the refinancing's closing.

The CreditWatch placement reflects that S&P would likely upgrade
Maxeda by one notch to 'B-' if the refinancing is successful and on
terms that are largely commensurate with its base case.

If executed on time, the proposed refinancing will resolve the
group's short-term refinancing risk and shore up liquidity, while
having a positive effect on the group's leverage.

Maxeda expects to raise senior secured notes of up to EUR400
million and a super senior RCF of up to EUR65 million. It intends
to fully repay the currently outstanding EUR435 million senior
secured notes due in 2021 and the existing RCF, which remains
undrawn. S&P said, "We expect the senior secured notes to have a
maturity of six years. As a result, after the transaction, the
group's next bullet debt repayment will fall after 2025. This would
effectively remove Maxeda's exposure to short-term refinancing
risk, which was a key contributing factor to our downgrade to
'CCC+' at the onset of COVID-19 lockdown measures because we had
limited visibility on the group's ability to access the capital
markets. In addition, as part of the refinancing transaction, the
group will use EUR50 million of cash on the balance sheet to bring
down the total gross debt. The transaction would therefore have a
positive effect on the group's S&P Global Ratings-adjusted credit
metrics. We expect Maxeda's reported debt--excluding finance
leases--to fall to EUR400 million post transaction from EUR470
million at the end of the fiscal year ending Jan. 31, 2019
(FY2019)."

Since Benelux governments introduced social distancing measures to
combat the COVID-19 pandemic, Maxeda has performed robustly,
benefitting from increased demand for home improvement and DIY
products, especially small home repairs.   Maxeda managed to keep
all of its stores open in the Netherlands throughout the COVID-19
crisis and restricted store closures in Belgium to just one month.
As a result, the group capitalized on higher demand, reporting
strong growth throughout the COVID-19 outbreak. Year-to-date
revenue growth as of July 2020 was 12%, significantly stronger than
our previous expectations of 10% to 15% decline. Furthermore, S&P
saw improvements in gross margins as the group lowered discounts to
capitalize on the higher demand. The group has also maintained
strong operating cost discipline during the COVID-19 pandemic,
especially regarding marketing expense and labor costs, albeit
slightly offset by higher store cost due to COVID-19 related safety
and security measures. S&P said, "We observed solid EBITDA margin
expansion in year-to-date July 2020, with EBITDA margins increasing
by 3-4 percentage points compared to the same period last year. We
foresee the positive trend in the DIY market to continue for at
least another quarter as people remain indoors, so we forecast
revenue growth of 6.5%-7.5% and adjusted EBITDA margins of about
13.5%-14.5% for FY2020, up from 12.4% in FY2019."

S&P said, "Once demand normalizes in 2021, we expect Maxeda to
report like-for-like revenue decline followed by growth of about
2%-3% thereafter.   As social distancing measure eases and people
resume their day-to-day activity, we forecast a partial
normalization of demand in 2021. As such, we expect revenue decline
of about 2%-3% in 2021 following an exceptionally strong 2020, with
a revenue base remaining higher than in 2019. Consumers will likely
reduce their discretionary spending given the volatile
macroeconomic environment and the mounting uncertainty around the
severity and duration of the pandemic. Mitigating this, we see the
possibility that the pandemic may lead to structurally increased
demand for the DIY segment, since we anticipate that the number of
people working from home is likely to increase, increasing demand
for equipment and furniture. We expect a decline in profitability
FY2022 against FY2021 levels, but we still assume a higher EBITDA
in absolute terms compared to pre-pandemic levels. A more
discount-led market should put pressure on margins, but this should
be partly offset by fewer one-offs than in previous years,
supporting our adjusted EBITDA and free cash flow expectations. We
acknowledge that the group has completed its heavy restructuring
programs, which should result in gradually increasing profitability
and lower exceptional costs compared to historical levels.

"Uncertainties regarding the COVID-19 pandemic are clouding
earnings visibility.   We acknowledge a high degree of uncertainty
about the evolution of the coronavirus pandemic. The consensus
among health experts is that the pandemic may now be at, or past,
its peak in some regions but will remain a threat until a vaccine
or effective treatment is widely available, which may not occur
until the second half of 2021. We are using this assumption in
assessing the economic and credit implications associated with the
pandemic. As the situation evolves, we will update our assumptions
and estimates accordingly. We note that Maxeda was among the few
retailers to report positive growth during the lockdown period,
largely because DIY stores were seen as essential and therefore
remained opened or closed only temporarily. Therefore, in a
scenario of further restrictions, the effect on Maxeda could be
more positive than on retail peers. That said, the economic
implications and, in particular, durably higher unemployment rates
and lower purchasing power are likely to weigh on Maxeda's business
environment. Furthermore, even if demand for the DIY segment
becomes structurally higher, we do not expect spikes in demand
comparable with the one we have witnessed over the past six
months.

"We aim to resolve the CreditWatch when the proposed refinancing is
complete and we have reviewed the final terms of the transaction
and the final debt documentation. We will also withdraw our ratings
on the existing debt once the refinancing transaction is complete.

"We will likely raise our long-term issuer credit rating on Maxeda
to 'B-' if it successfully completes the refinancing within the
next 90 days, repays existing debt, and thereby extends its
weighted-average debt maturities on terms that are generally in
line with our base case.

"Although less likely, failure or delays in completing the proposed
refinancing would likely prompt us to review our rating on Maxeda.
We could take a negative action on the group and withdraw our
preliminary ratings on the proposed debt.

"We could also remove the rating from CreditWatch and affirm it at
'CCC+' if the final transaction terms differ materially from our
base case, or if our expectation of reported free operating cash
flow or our earnings before debt, interest, tax, debt,
amortization, and rent coverage ratio are weaker than we anticipate
in our base case."




===========
S E R B I A
===========

NOVA TVORNICA: IRBRS Opens Tender for Sale, Oct. 14 Deadline Set
----------------------------------------------------------------
Stefan Radulovikj at SeeNews reports that the
Investment-Development Bank (IRBRS) of Bosnia's Serb Republic said
it opened a tender for the sale of bankrupt automotive filter
manufacturer Nova Tvornica Precistaca for BAM7.99 million (US$4.9
million/EUR4.1 million).

IRBRS is selling 7,994,975 shares of the company, which represent
100% of Nova Tvornica Precistaca's share capital, the bank said in
a tender notice published on Sept. 11, SeeNews relates.

The Investment-Development Bank is the sole owner of Nova Tvornica
Precistaca, as the shares are included in the portfolio of the Serb
Republic's Share Fund, SeeNews notes.

State bodies, organizations and enterprises from Bosnia that are
more than 25% state-owned are not eligible for participation in the
tender, SeeNews states.  Those that have not settled tax
liabilities are also not allowed to take participation, SeeNews
discloses.

According to SeeNews, the deadline for submitting bids is Oct. 14.


In 2009, the Serb Republic government bought Nova Tvornica
Precistaca for some BAM3 million to prevent it from entering
liquidation proceedings, SeeNews recounts.  The filter manufacturer
has been struggling to attract investors ever since, SeeNews notes.


Nova Tvornica Precistaca is located in Rogatica, in the Serb
Republic.




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

MADRILENA RED: Fitch Cuts LT IDR to BB+, Outlook Stable
-------------------------------------------------------
Fitch Ratings has downgraded Spanish gas distributor Madrilena Red
de Gas, S.A.U.'s (MRG) Long-Term Issuer Default Rating (IDR) to
'BB+' from 'BBB-' and removed it from Rating Watch Negative (RWN).
The Outlook is Stable. Fitch has also downgraded Madrilena Red de
Gas Finance BV's senior unsecured rating to 'BBB-' from 'BBB' and
removed it from RWN.

The downgrade reflects its expectations of MRG's higher tolerance
for leverage after the company's updated business plan for
2021-2023 showed downwardly revised regulatory revenue and
dividends leading to a funds from operations (FFO) net leverage
sustainably above its 7.0x negative sensitivity for the 'BBB-'
rating.

The Stable Outlook reflects high revenue predictability following
the approval of the regulatory framework up to 2026, limited impact
from the coronavirus crisis and subdued growth capex.

KEY RATING DRIVERS

Increased Leverage Tolerance: MRG's proposed dividend distributions
reflect a higher leverage tolerance despite a declining trend in
regulatory remuneration expected for 2021-2026. The proposed
dividends will lead to an FFO net leverage of 7.5x-7.7x, which is
higher than its 7.0x trigger and no longer commensurate with a
'BBB-' IDR. In its view the company's strategy continues to
prioritise shareholder remuneration over growth and deleveraging.

Declining Revenue Path: Fitch expects MRG's revenues to decline
around 5% over 2020-2023 based on the preliminary remuneration
adjustment calculated for the company by National Commission of
Markets and Competition (CNMC). Mature markets where MRG operates
provide limited scope for organic growth to mitigate declining
revenues, in turn impacting profitability in the medium term. Fitch
forecasts MRG's EBITDA to decline to around EUR100 million by 2026
(EUR137 million forecast for 2020). Reduced revenues, weaker
profitability and low growth potential support the rating
downgrade.

Pending Final Revenue Adjustment: MRG's updated plan includes a
gradually increasing negative adjustment up to EUR34 million by
2026 that was preliminarily calculated by CNMC in January 2019 and
which is the worst-case scenario for revenue reduction. MRG has
delivered the historical information of connection points and
demand requested by CNMC for the final calculation and some upside
may be expected. Irrespective of the final regulatory discount
Fitch expects MRG to adjust dividends to keep leverage in line with
the revised metrics shown in its business plan. Fitch expects CNMC
to announce the final remuneration before year-end.

Minimal Impact from Coronavirus: MRG has reported normal operations
during the coronavirus outbreak. Its regulatory framework has
limited exposure to volume risk, which is further mitigated by the
dominance of domestic customers in MRG's exposure. Impact on 2020
remuneration from the pandemic is estimated around EUR2 million,
which is associated with weaker industrial demand (assuming no
additional lockdowns in the region of Madrid by 2H20). MRG
conservatively forecasts some volatility in working capital with
EUR5 million of cash absorption driven by the gas system deficit
due to lower tolls billing.

Strategic Focus on Efficiency: MRG's updated plan continues to
focus on cost efficiency with an emphasis on operating expenditure
optimisation (customer service, digitalisation, leakage reduction)
and network saturation in the current area of operations and
adjacent municipalities. Regulatory incentives related to the
promotion of natural gas for vehicles and the use of less polluting
fuels provide some additional, although not material, growth
opportunities (i.e. conversion of LPG points and replacement of
polluting fossil boilers) due to MRG's bias towards residential
customers.

Non-Compliance with Prudential Ratios: Fitch sees increased
regulatory scrutiny over the financial health of regulated
companies as reflected in the new set of non-binding financial
ratios set out by the CNMC. According to its estimates, MRG fails
to meet all them for each year up to 2023. This would lead to
around EUR1 million cash penalties from 2024.

Uplift to Senior Unsecured Debt Rating: Under Fitch's methodology,
Fitch applies a one-notch uplift to the senior unsecured rating
from the Long-Term IDR when there is a large share of regulated
network earnings, which is the case for MRG, to reflect its
expectations of above-average recoveries. Therefore, MRG' Finance
BV's instruments are rated at 'BBB-'.

DERIVATION SUMMARY

MRG has a solid business profile comparable with that of Spanish
gas distributor Redexis Gas, S.A., but MRG is larger, has no
exposure to regional transmission, and is concentrated in the
Madrid region. MRG is worse placed than the Italian distribution
system operator Italgas S.p.A. (BBB+/Stable), due to the long
record of a fully independent regulator in Italy and Italgas's much
larger size, which creates more room for efficiencies. MRG's
leverage ratios are 1.3x higher than those forecast for Italgas.

E-netz Suedhessen AG, (formerly ENTEGA Netz; BBB/Positive), a small
gas and electricity German distribution systems operator, compares
favourably with MRG, notwithstanding its smaller size. The rating
differential is mainly due to E-netz's lower leverage (around 3.0x
difference in FFO net leverage), while debt capacity for both
companies is similar. Another peer is the Slovak gas player SPP
-distribucia, a.s. (SPPD; A-/Stable). SPPD's IDR is constrained by
parent-and-subsidiary linkage considerations. Its Standalone Credit
Profile (SCP) is assessed at 'a', due to a conservative capital
structure. It has FFO adjusted net leverage under 3.0x.

KEY ASSUMPTIONS

  - Revenues based on the current regulatory framework until
December 2020; revenues from 2021 based on the final methodology
approved in circular 4/2020 (March 31, 2020) and published in the
Official Spanish Gazette (BOE) (April 3, 2020);

  - Expected average annual EBITDA of about EUR128 million in
2020-2023;

  - Growth in gas natural distribution supply points of about 0.2%
a year until 2023;

  - EUR2 million impact on remuneration from weaker industrial
demand in 2020 (-10% decline).

  - Average annual capex of around EUR10 million in 2020-2023

  - Free cash flow (FCF) net of both debt drawdowns and
acquisitions (cash available after debt service as per company's
reporting) is distributed to shareholders, but within the limit of
its negative leverage sensitivity for 'BB+' IDR rating.

RATING SENSITIVITIES

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

  - Stronger cash flow generation, for example, due to lower cash
dividends, leading to FFO net leverage below 7.0x and FFO interest
coverage above 2.5x on a sustained basis.

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

  - Weaker cash flow generation, for example, due to regulatory
change, major debt-funded acquisitions or non-flexible dividends,
leading to FFO net leverage above 7.7x and FFO interest coverage
below 2.0x on a sustained basis.

LIQUIDITY AND DEBT STRUCTURE

Adequate Liquidity: As of June-2020, MRG had cash and cash
equivalents of EUR74 million and undrawn revolving credit
facilities (RCF) totalling EUR75 million maturing in April 2022
(reduced from EUR200 million in March 2020) and no meaningful debt
maturities until December 2023. The RCF is available for operating
purposes, while the cash generated after debt service is fully
dedicated to dividend distribution. MRG's liquidity profile is
deemed sufficient to meet financial and operational needs until
December 2023, when the company's EUR275 million bond matures.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

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




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

30 JAMES: New Owner to Absorb Deposits Lost in Administration
-------------------------------------------------------------
Zoe Monk at Boutique Hotelier reports that Legacy Hotels & Resorts,
who rescued the Liverpool hotel from administration in June, has
secured a deal with administrators Moorfields to rescue 127
weddings and 95 spa days, as well as more than 660 bedroom
reservations, ensuring guests who paid deposits or balances in full
on or before April 15 will have their booking honoured.

30 James Street hotel reopened at the end of July after the
administrators appointed the new operators, Legacy Hotels, who also
operate the Pullman Hotel on the waterfront and are opening a
Novotel at the new Paddington Village, Boutique Hotelier relates.

The 63-bedroom Liverpool hotel went into administration during
lockdown as its owners Signature Living fell into financial
trouble, Boutique Hotelier discloses.


BVI HOLDINGS: S&P Affirms 'B' Issuer Credit Rating, Outlook Neg.
----------------------------------------------------------------
S&P Global Ratings affirmed its 'B' issuer credit rating on
London-based BVI Holdings Mayfair Ltd. and its 'B' issue-level
rating on its secured debt. S&P's '3' recovery rating on the
secured debt remains unchanged.

S&P said, "We view the recent term loan add-on as credit neutral
because we recognize both the improvement in the company's
liquidity as well as the modest increase in its gross debt
leverage. BVI's revolving credit facility was fully drawn during
the first quarter. The add-on will enable the company to fully
repay its revolver balance and retain the cash reserves from its
revolver draw. Because we don't expect BVI to use these funds for
aggressive activities, we anticipate that its liquidity will remain
stronger amid the currently elevated uncertainty stemming from the
coronavirus pandemic. Still, we view the transaction as modestly
increasing the company's gross debt leverage. Due to its
financial-sponsor ownership, we do not measure BVI's debt on a net
basis.

"We expect the company's sales, earnings, and cash flow to rebound
in the second half of 2020 and into 2021 following the relatively
fast recovery in elective procedure volume that began during the
latter half of the second quarter. We expect BVI's full-year 2020
results to reflect the trough in its procedure volumes during the
second quarter due to the pandemic and anticipate that its volumes
will likely remain below pre-COVID levels in 2020 and possibly into
2021. In addition, we anticipate that the company's leverage will
be over 10x in 2020 before declining below 8x in 2021. Furthermore,
we expect BVI to report a cash flow deficit for 2020, though we
forecast a sequential improvement in its revenue and cash flow in
the second half of the year as patients begin returning for
ophthalmological surgeries due to the limited ability to defer
these procedures. We view the treatment of cataract disease as
nondiscretionary due to its effects on a patient's quality of life
and--in some cases--the risk of blindness if ophthalmological
surgery is delayed. We believe the pace of the recovery will depend
on the surgeons' and facilities' capacity to perform additional
procedures.

"The longer the coronavirus pandemic persists the more likely the
company's volumes will remain suppressed. If the duration and
severity of the pandemic are worse than we currently project, we
believe BVI may potentially underperform our base-case projection
for a free operating cash flow (FOCF)-to-debt ratio of more than
2.5% in 2021. Although we don't expect additional country-wide
astay-at-home orders, local surges in the number of COVID-19
diagnoses or lingering patient fears about entering health care
facilities may materially suppress the company's procedure volume
for the rest of 2020 and into 2021. In addition, the ongoing global
economic recession and increase in the uninsured population may
reduce the affordability of some of the company's higher-end
products, such as its premium intraocular implant lenses (IOLs),
which health care insurance plans do not typically reimburse and
patients usually pay for out of pocket.

"The negative outlook reflects the risk that we could lower our
rating on BVI over the next 12 months if its credit measures and
cash flow generation remain weak for an extended period of time.
This could occur if the pandemic lasts longer or is more severe
than we currently expect. Our base-case scenario assumes the
company will report double-digit leverage and a cash flow deficit
in 2020 before reducing its leverage below 8x in 2021. Furthermore,
we expect that BVI's leverage will trend toward 7x on a sustainable
basis as it maintains positive free cash flow generation and a
FOCF-to-debt ratio of at least 2.5%.

"We could lower our rating on BVI if its cash deficits in the
second half of 2020 are higher than we currently forecast and we
see limited prospects for improvement in 2021 due to a prolonged
delay in elective procedures globally such that we expect its
FOCF-to-debt to remain below 2.5% in 2021 and no longer see a clear
path to reduce leverage to the 7x area on a sustained basis.

"We could revise our outlook on BVI to stable if, despite the
global headwinds, we are confident it will reduce its leverage to
7x and improve its FOCF-to-debt ratio above 2.5% in 2021 and expect
it to sustain or improve these measures. We believe the trajectory
of the pandemic and patient behavior will be important elements in
determining whether the company will be able to achieve these
targets."


MOTION MIDCO: S&P Cuts ICR to 'CCC+' on Expected Delayed Recovery
-----------------------------------------------------------------
S&P Global Ratings lowered the issuer credit rating on attractions
and theme park operator Motion Midco (Merlin Entertainment) to
'CCC+' from 'B'. S&P also lowered the issue rating on the existing
senior secured debt to 'CCC+' from 'B' and on the senior notes to
'CCC-' from 'CCC+'. S&P has removed the ratings from CreditWatch.

The stable outlook reflects S&P's view that the group's GBP365
million cash, GBP400 million revolving credit facility (RCF)
availability, and ample covenant headroom provide it with adequate
liquidity to operate over the next 12-18 months while continuing
development work in its planned new Legoland parks.

A protracted and slow recovery from COVID-19 effects will increase
Merlin's leverage to levels typically associated with an
unsustainable capital structure, for an extended period.

S&P said, "Our revised forecast as to how long it will take Merlin
to recover to pre-COVID levels of operation--and the resultant
weaker-for-longer credit metrics under our S&P base case
assumptions--primarily drives this rating action. In our last
rating publication in April 2020, we anticipated the demand for
Merlin's attractions to return to about 90% of normal toward the
end of 2020." This assumption was broadly in line with the group's
downside scenario assessment, given the developing nature of the
pandemic at the time. However, in light of the time involved to
reopen all its attractions, the initial trading trends at its
reopened sites, and instances of secondary spikes have caused us to
doubt that Merlin will achieve a normalized steady-state this year
or next. Indeed, given various government measures to control the
spread of the virus, along with continued macroeconomic pressures
and ongoing fragile consumer sentiment, it could be several years
before Merlin returns to the 67 million visitors it attracted in
2019.

S&P said, "Merlin entered 2020 with a highly leveraged capital
structure and, under our revised S&P Global Ratings base-case
assumptions, we forecast the group's credit metrics will be weaker
for longer.   Merlin entered the pandemic with relatively high S&P
Global Ratings-adjusted leverage of 7.9x (12.6x including
preference shares) resulting from a sizable debt-financed
public-to-private transaction. Lower visitor numbers and material
fixed cost base (about 50% of the total cost base) will push
leverage beyond 12x (20x including preference shares) at least
until 2021 under our base case. This high leverage, when combined
with our forecast for negative FOCF in the next two years, places
pressure on the group's capital structure in the medium term. While
we do not anticipate any immediate default risk in the next 12
months, the current rating incorporates our view that Merlin will
be dependent on favorable business development (particularly
customers desiring to return to outdoor attractions) to maintain a
sustainable capital structure."

Merlin's available liquidity will be sufficient to meet its
operational needs and financing costs, as well as development
capital expenditure (capex) for Legoland New York and South Korea.
Merlin's EUR500 million bond placement in April 2020 improved its
liquidity buffer while it navigated the effects of lockdown.
Reduced revenue, a fixed cost base, a higher interest burden, and
capex contributed to negative FOCF in the first six months of the
year. Merlin currently has a cash balance of GBP365 million and
full availability under its GBP400 million revolver. S&P assesses
the group's liquidity as adequate to meet its operating and capex
needs and note there are no near-term maturities. Capex needs in
the next 18 months include an additional GBP150 million to complete
the development works at Legoland New York and South Korea, which
the group is moving ahead with under its long-term growth
strategy.

Merlin is owned principally by a consortium of financial sponsors
and a strategic owner including KIRKBI, Blackstone, and CPPIB. The
consortium, having closed the acquisition of Merlin in late 2019,
has a long-term investment horizon; it contributed about GBP2.6
billion of cash and rolled equity to acquire Merlin in 2019. S&P
views positively the consortium's significant equity investment
commitment in the group. However, given the adequate liquidity
within the group, and overall relatively aggressive financial
policy associated with typical financial-sponsorship companies, S&P
does not believe the sponsors will need to materially address the
group's capital structure in the near term.

Environmental, social, and governance (ESG) credit factors for this
credit rating change:

-- Health and safety

S&P said, "The stable outlook reflects our view that the group's
GBP365 million of cash, GBP400 million RCF availability, and ample
covenant headroom provides it with sufficient liquidity to operate
over the next 12-18 months, while continuing the development work
on its planned new Legoland parks. It also incorporates our
assumption that the group's revenues will recover to 75%-85% of its
2019 base in 2021 partly supported by the opening of Legoland New
York in that year. Lastly, the outlook reflects our expectation of
no default events for Merlin in the next 12 months.

"We could lower the rating if the group's credit metrics
deteriorated further, beyond our base-case forecast, resulting in
increased stress on the capital structure or liquidity position in
the next 12 months. This could occur, for example, from a prolonged
lockdown of the group's attractions or a more adverse recessionary
and consumer environment than expected, resulting in a slower or
muted recovery. This could increase the likelihood of specific
default events over time, such as debt restructuring, debt purchase
below par, or material liquidity shortfall.

Ratings upside could build if, in S&P's view:

-- There is a sufficient track record of stable macroeconomic and
operating environments, underpinned by consumer confidence to spend
and a willingness to enjoy outdoor attractions despite social
distancing measures;

-- The capital structure proved sustainable in the longer term,
with a clear path to FOCF generation.

-- There was no liquidity pressure or risk of covenant breach
within the next 12 months; and

-- There was no risk of default events occurring including, but
not limited to, a purchase of the group's debt below par, a debt
restructuring, or interest forbearance.


NEW LOOK: Landlords Back Company Voluntary Arrangement Proposal
---------------------------------------------------------------
Laura Onita at The Telegraph reports that struggling fashion chain
New Look has convinced landlords to approve a blanket switch to pay
rent based on revenues for individual branches in a move that could
set "a powerful precedent".

The firm launched a company voluntary arrangement (CVA) -- a
controversial form of insolvency -- last month to push through the
changes, The Telegraph recounts.

The fate of the chain and its more than 11,000 employees was
contingent on three quarters of its creditors, including property
owners, backing the proposals, otherwise it would have gone bust,
The Telegraph notes.

Chief executive Nigel Oddy thanked them for giving the plan the
green light, although the company did not disclose how many voted
in favour, The Telegraph states.

Rent for 402 shops will now be based on turnover with the remaining
68 stores paying no rent, The Telegraph discloses.

The agreement comes two years after New Look's last CVA to shut
struggling stores, which won the approval of almost all creditors
including landlords, The Telegraph recounts.  This time around,
some creditors were more hostile to the plans, The Telegraph
notes.

According to The Telegraph, an executive close to the process said
that the debate should not be about turnover-based rents.  

"The debate is the financial viability of many businesses and the
fact that most of these properties are now not worth anything like
what they were worth.  There is a lot of pain being taken by a lot
of people," the source, as cited by The Telegraph, said.

Rivals including Mike Ashley's Frasers empire and All Saints have
also been asking landlords about a switch but on a case-by-case
basis, The Telegraph states.  

Melanie Leech, chief executive at the British Property Federation,
said the process was a misuse of CVAs, The Telegraph notes.

"CVAs were designed to support businesses in genuine distress. We
support this rescue culture, but the result clearly demonstrates
how the process is now wrongfully being used as a weapon by
businesses to rip up leases permanently."

Existing debt, coupled with future costs and an accelerated shift
from bricks-and-mortar to online, forced New Look to seek a deal
with lenders, The Telegraph relates.

Lenders will now inject a further GBP40 million into the business
to steady the ship, The Telegraph discloses.  Its backers include
Brait, the South African investment vehicle which originally bought
the fashion brand for GBP780 million in 2015, The Telegraph says.


PREMIER SHEET: Enters Administration Following Cash Flow Woes
-------------------------------------------------------------
Jon Robinson at Insider Media reports that Premier Sheet Metal
(Coventry) Ltd., the Warwickshire company which made the 2012
London Olympic torch, has gone into administration.

Premier Sheet Metals, which is based in Exhall, produces sheet
metal parts for the automotive sector.

The business blamed "conditions within the automotive sector which
were further compounded by the onset of Covid-19", Insider Media
relays, citing BBC News.

According to Insider Media, the spokesman added: "Following a
review of the company's financial position and cashflow
requirements by the company's advisors, it became apparent that
Premier Sheet Metal (Coventry) Ltd could not generate sufficient
sales and in turn cash flow to enable it to continue to trade.

"Therefore, very regrettably, and after a period of over 25 years
of trading, the decision was taken to commence the process of
placing Premier Sheet Metal (Coventry) Limited into liquidation."


VICTORIA'S SECRET: Next Agrees to Joint Venture for UK Business
---------------------------------------------------------------
Business Sale reports that fashion retailer Next has agreed to a
joint venture deal for the UK business of lingerie brand Victoria's
Secret.

The joint venture, dubbed "JV", was announced by L Brands, the US
parent company of Victoria's Secret, Business Sale discloses.

The joint venture is still subject to regulatory approval, Business
Sale notes.  If passed, Next Plc will acquire the majority of
Victoria's Secret's assets and will be the majority shareholder,
with 51% to 49% for Victoria's Secret, Business Sale states.  At
the time of its last available financial accounts, for the year
ending February 2019, Victoria's Secret UK's assets were valued at
GBP116 million, Business Sale relays.

Victoria's Secret entered administration in June, with
administrators Deloitte citing the impact of the COVID-19 pandemic
on the UK high street, Business Sale recounts.  However, the
company had significant troubles pre-dating the pandemic,
registering operating losses of GBP170 million for the year ending
February 2019, Business Sale notes.

The company has been impacted by changing tastes and has often been
accused of sexism and a lack of diversity in its fashion shows and
campaigns, according to Business Sale.  Its 2019 show was cancelled
due to low television ratings, while L Brands has previously said
the subsidiary needs to "evolve", Business Sale states.

At the time, Victoria's Secret UK operated 25 leasehold sites and
employed around 800 staff, most of whom had been placed on furlough
at the time of the administration, Business Sale discloses.
Following the administration, Company CEO Stuart Burgdoerfer said
administrators would "seek to restructure the UK lease terms,
explore options for a sale of that portion of the business, or
other alternatives", Business Sale relays.

According to Business Sale, the joint venture will operate all of
Victoria's Secret's UK and Ireland stores, subject to the agreement
of terms with landlords, while the UK online business, currently
operated by Victoria's Secret US, will be folded into the JV in
spring of next year.



                           *********


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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