---

       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 23, 2020, Vol. 21, No. 191

                           Headlines



F R A N C E

CAB SOCIETE: Fitch Affirms B+ Rating on Senior Secured Debt
TECHNICOLOR USA: Moody's Rates $119MM Secured Term Loan 'Caa1'


I R E L A N D

ACCUNIA EUROPEAN I: Moody's Cuts Class F Notes to B3
BLUEMOUNTAIN FUJI V: Fitch Affirms B-sf Rating on Cl. F Notes
CAIRN CLO V: Moody's Lowers Rating on Class F-R Notes to B3
CAIRN CLO VI: Fitch Affirms B-sf Rating on Class F-R Debt
CLARINDA PARK: Moody's Affirms B1 Rating on Class E Notes

HARVEST CLO VII: Fitch Affirms B-sf Rating on Class F-R Notes
HARVEST CLO XII: Fitch Affirms B-sf Rating on Class F-R Notes
HARVEST CLO XVI: Moody's Confirms B2 Rating on Class F-R Notes
HARVEST CLO XXI: Moody's Confirms B2 Rating on Class F Notes
HAYFIN EMERALD II: Fitch Affirms BBsf Rating on Class E Notes

INVESCO EURO II: Fitch Affirms B-sf Rating on Class F Notes
INVESCO EURO III: Fitch Affirms B-sf Rating on Class F Notes
PROVIDUS CLO II: Fitch Affirms B-sf Rating on Class F Notes


L U X E M B O U R G

BREEZE FINANCE: Fitch Affirms CCC Rating on Class A Bonds
CRC BREEZE: Fitch Affirms CCC Rating on Class A Notes
LSF11 SKYSCRAPER: S&P Affirms Prelim 'B' ICR, Outlook Stable


N O R W A Y

PGS ASA: S&P Cuts ICR to 'SD' From 'CCC' on Principal Nonpayment


S E R B I A

LEPENKA: Bankruptcy Supervision Agency Invites Bids for Assets


S P A I N

LORCA TELECOM: Fitch Rates New EUR720MM Secured Notes 'BB(EXP)'
LORCA TELECOM: Moody's Rates New EUR720MM Secured Notes 'B1'


U N I T E D   K I N G D O M

ARCHANT: Creditors Back Company Voluntary Arrangement
BRITISH AIRWAYS: S&P Affirms 'BB' ICR, Outlook Negative
CARTWRIGHT GROUP: Enters Administration, 490 Jobs Affected
CLAVIS SECURITIES 2006-01: Fitch Affirms B Rating on 8 Tranches
INTERNATIONAL CONSOLIDATED AIRLINES: S&P Affirms 'BB' ICR

J CREW: To Permanently Close All Six of UK Stores
PINNACLE BIDCO: Fitch Cuts GBP430MM Senior Secured Notes to 'B-'
PREMIER OIL: ARCM Plans to Auction US$200MM Debt
SEADRILL PARTNERS: PwC LLP Raises Substantial Going Concern Doubt
WELLESLEY FINANCE: Taps Duff & Phelps to Draw Up CVA

WEST BROMWICH: Moody's Alters Outlook on Ba3 Ratings to Negative

                           - - - - -


===========
F R A N C E
===========

CAB SOCIETE: Fitch Affirms B+ Rating on Senior Secured Debt
-----------------------------------------------------------
Fitch Ratings has affirmed CAB Societe d'excercice liberal par
actions simplifiee's (CAB) senior secured debt at 'B+'/'RR3' with
enhanced recovery prospects at 57% (from 54% previously), following
completion of a EUR536 million term loan B (TLB) add-on. Fitch has
also affirmed CAB's Long-Term Issuer Default Rating (IDR) at 'B'.
The Outlook is Negative.

The TLB add-on is to partly finance the acquisition of CMA-Medina,
one of Belgium's leading private lab-testing laboratories groups,
and to repay a EUR90 million drawdown on CAB's revolving credit
facility (RCF) used to acquire a French private lab-testing network
Dyomedea. Upon completion of the acquisition of CMA-Medina expected
at end-October, the enlarged group will control leading market
shares both in France and Belgium in the private lab-testing
segment.

CAB's IDR remains materially constrained by its aggressive leverage
profile and financial policies, which are driven by an
opportunistic, albeit well-executed, business strategy. The
business additions would have a positive impact on CAB's operating
profile, which combined with more conservative funding expectations
than for previous acquisitions, could facilitate deleveraging
towards 8.0x on a funds from operations (FFO) adjusted basis in
2020 after accounting for the full-year impact of all acquisitions
conducted in 2020.

Nevertheless, Fitch maintains the Negative Outlook given expected
M&A activity in excess of EUR1 billion for 2020, the highest in
CAB's history, in combination with persistently low visibility and
unpredictability of the company's funding approach to future
growth.

KEY RATING DRIVERS

M&A Strategy Drives IDR: Given a highly fragmented European
lab-testing market, acquisitive growth will dominate CAB's business
strategy, with the quality of target assets and funding mix a
decisive rating driver. The 'B' IDR encapsulates its assumptions
around a disciplined selection of acquisition targets with strong
margin-accretive characteristics, rigorous integration and partial
equity co-funding in line with levels observed in the last two
years. Departure from the established business development strategy
resulting in increased execution risks, lax financial policies and
absence of deleveraging by 2021 will lead to a downgrade.

Excessive Leverage: CAB's highly opportunistic business strategy
has undermined deleveraging prospects, leading to periods of
excessive leverage in 2017-2019. The Negative Outlook reflects the
risk of a downgrade in the next 12 months if Fitch expects
FFO-adjusted leverage to remain well above 8.0x in the
medium-term.

Focus on Acquisition Economics: CAB's pending significant
acquisition of CMA-Medina is margin-accretive, which together with
a higher equity funding contribution, could allow for deleveraging
towards 8.0x on a pro-forma basis in 2020. Evidence of further
EBITDA-accretive, conservatively-funded M&A targets could
contribute to the Outlook being revised to Stable.

Aggressive Financial Policy: The Negative Outlook still reflects an
aggressive financial policy underlined by a string of largely
debt-funded acquisitions. CAB's decision to tolerate significantly
higher indebtedness over a prolonged period exposes lenders to high
credit risks. At the same time, Fitch does not expect cash leakage
in the form of dividends or other shareholder distributions despite
loosely structured senior loan documentation offering little
creditor protection.

Defensive Business Model: CAB's business model is defensive with
stable revenues and high and resilient operating margins. The
sector has a positive long-term demand outlook and high barriers to
entry where scale is an important factor of cost management. Given
its growing national coverage and a focused approach to M&A, CAB is
well-placed to continue capitalising on the favourable sector
fundamentals and deriving value from its buy-and-build strategy,
which should allow it to grow faster than the market. Concentration
risks due to narrow product diversification, and still large
exposure to France, are counter-balanced by high operating
profitability and strong cash flow generation.

Healthy Cash Flow Generation: Fitch projects CAB will generate
sustained solid free cash flow (FCF) margins in the low double
digits through 2023, which Fitch views as strong for the sector.
This is particularly evident against larger peers such as Synlab
Unsecured Bondco PLC with broadly similar FCF size and expected
mid-single digit FCF margins. High intrinsic profitability is also
evident in CAB's stronger FCF/total debt cover, which Fitch
projects at around 5%-7% in 2020-2023, against 2%-4% at Synlab and
other peers. Fitch also expects increasing FCF, as the business
gains scale, to become a meaningful source of funding for external
growth, contributing to leverage containment.

Coronavirus Rating-Neutral: Fitch projects a neutral rating impact
from COVID-19 in 2020 as CAB's intra-year performance suggests new
testing will fully compensate for a temporary loss of
routine-testing activity experienced during the lockdown period. It
may also provide a new stream of revenues and cash flows beyond
2020.

Stable Regulatory Framework: The triennial agreement between the
French Ministry of Health, the National Fund for Health Insurance
and the trade association of laboratory unions provides a steady
regulatory framework through 2022, supporting its projections of
stable sales and operating margins for CAB. Adverse regulatory
changes in the lab-testing sector may, however, have a negative
impact on CAB's cash flow predictability, and hence on ratings.

DERIVATION SUMMARY

CAB's defensive business risk with strong execution is underlined
in the company's superior operating, and cash flow, margins against
similarly rated peer Synlab Unsecured Bondco PLC (Synlab,
B/Stable), which supports the 'B' IDR. The Negative Outlook
reflects Fitch's view of the elevated leverage profile following
successive acquisitions in 2018-2020 and limited expected
deleveraging, suggesting a heightened financial risk profile for
CAB.

As a result of rapid acquisitive growth CAB's market position
continues to improve, raising the company's relevance in the French
lab-testing market. Although an enlarged CAB will remain less
diversified in geography and product portfolio than its larger
peers, Fitch expects lower integration risk from these acquisitions
with good visibility on contractual savings and synergies. This
means profitability and FCF generation should remain sustainably
strong and above those of Synlab and private peers.

CAB's FFO adjusted gross leverage will be remain well above 8.0x in
the next two years, which in isolation corresponds to a 'CCC'
financial risk profile. Excessive leverage is a feature shared by
CAB's peers, but deleveraging prospects for CAB are less visible
given its highly opportunistic M&A behaviour compared with Synlab's
clearer communication on business strategy and acquisition policy.

KEY ASSUMPTIONS

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

  - Sales growth of 35% in 2020, including full-year impact for
2019 acquisitions but excluding 2020 acquisitions;

  - Organic sales growth at 0.7% p.a. for 2021-2023, reflecting the
triennial agreement renewal in France;

  - Additional COVID-19 testing fully compensates routine activity
loss during lockdown months;

  - M&A of EUR1 billion per year in 2021-2023, using a mix of
additional debt, new equity and FCF;

  - EUR10 million of recurring expenses (above FFO) and general
expenses and EUR10 million of M&A-driven trade working capital
outflows a year until 2023; Fitch projects a larger trade working
capital outflow and recurring expenses in 2020 following
investments in new COVID-19 tests, lower-than-anticipated routine
testing and planned asset additions to close in 4Q20;

  - EBITDA margin improvement following planned business additions
and as low-risk synergies materialise on earlier acquisitions;

  - Capex at 2% a year until 2023; and

  - No dividend payments throughout the life of CAB's debt
facilities.

KEY RECOVERY RATING ASSUMPTIONS

Fitch follows a going-concern approach over balance-sheet
liquidation given the quality of CAB's network and strong national
market position:

  - Going-concern EBITDA of around EUR250 million for the enlarged
asset scope following the CMA-Medina acquisition. This reflects a
near break-even FCF position corresponding to a minimum level of
earnings after minorities that the business needs to generate to
cover its cash debt service, tax, maintenance capex and trade
working capital;

  - Distressed enterprise value (EV)/EBITDA multiple of 5.5x, which
reflects CAB's strong market position albeit with exposure to two
geographies only, including a dominant exposure to France still.
This implies a discount of 0.5x against Synlab's distressed
EV/EBITDA multiple of 6.0x;

  - Committed RCF of EUR120 million assumed to be fully drawn prior
to distress, in line with Fitch's criteria;

  - Structurally higher-ranking senior debt of around EUR25 million
at operating companies to rank ahead of RCF and TLB;

  - RCF and the increased TLB of EUR1.5 billion rank pari passu
with each other;

  - After deducting 10% for administrative claims from the
estimated post-distress EV, its waterfall analysis generates a
ranked recovery for the senior secured debt (including RCF and TLB)
in the 'RR3' band, indicating a 'B+' instrument rating. The
waterfall analysis output percentage on current metrics and
assumptions is 57% compared with 54% previously; the slight
increase in the expected senior secured debt recovery is due to
accretive-margin of recent acquisitions in combination with a
higher share of equity co-funding than in prior acquisitions.

RATING SENSITIVITIES

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

  - A larger scale, increased product/geographical diversification,
full realisation of contractual savings and synergies associated
with acquisitions and/or voluntary prepayment of debt from excess
cash flow, followed by:

  - FFO adjusted gross leverage (pro forma for acquisitions)
trending towards 6.0x on a sustained basis;

  - FFO fixed charge cover FFO fixed charge cover (pro forma for
acquisitions) trending towards 3.0x on a sustained basis.

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

  - FFO adjusted gross leverage (pro forma for acquisitions)
trending below 8.0x by 2021

  - FFO fixed charge cover above 2.0x (pro forma for acquisitions)
on a sustained basis; and

  - FCF/total debt in mid-single digits and stable operating
performance.

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

  - Weak operating performance with neutral to negative
like-for-like sales growth and declining EBITDA margins due to a
delay in M&A integration, competitive pressures or adverse
regulatory changes;

  - Failure to show significant deleveraging towards 8.0x by 2021
(2019: 9.5x, pro-forma: 9.0x) on a FFO adjusted gross basis due to
lost discipline in M&A and an equity-biased financial policy;

  - FCF margin reduces towards mid-single digits such that
FCF/total debt declines to low single digits; and

  - FFO fixed charge cover below 2.0x (pro forma for acquisitions)
(2019: 2.1x, pro-forma: 2.2x) on a sustained basis.

LIQUIDITY AND DEBT STRUCTURE

Adequate Liquidity: At end July 2020 CAB had EUR80 million of cash
on their balance sheet (including EUR15 million that Fitch treats
as the minimum cash required in daily cash operation and
unavailable for debt service), and EUR10 million of a committed RCF
available. By end-September 2020, EUR90 million of the RCF will be
repaid, bringing the total available RCF to EUR100 million.

Routine testing has returned to normal levels while COVID-19
testing has significantly picked up. Fitch expects COVID-19 testing
activity to still increase in the coming months, which would allow
the business to maintain adequate liquidity for operational needs
in case of a second wave of COVID-19 infections and re-imposition
of some restrictions.

TLB and second lien debt are both bullet type and have long
maturity (2026 for both). Although the long timeframe lowers
refinancing risk, the concentrated funding may make refinancing
more challenging, especially if leverage remains high shortly ahead
of refinancing. The RCF matures in 2023, as its maturity, contrary
to the TLB's, was not extended at the time of additional funding
rounds.

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

CAB has an ESG Relevance Score of '4' for Social Impacts due to its
exposure to the French regulated medical market, which is subject
to pricing and reimbursement pressures. This is mitigated by the
2020-2022 triennial plan agreement, providing some market growth
and earnings visibility until December 2022. Adverse regulatory
changes in the lab-testing sector may, therefore, have a negative
impact on CAB's ratings.

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


TECHNICOLOR USA: Moody's Rates $119MM Secured Term Loan 'Caa1'
--------------------------------------------------------------
Moody's Investors Service assigned a Caa1 rating to both, the
$119.8 million senior secured term loan raised by Technicolor USA,
Inc., and the EUR349 million senior secured notes raised by Tech 6.
The ratings reflect the priority claim the New Money Tranches will
have before the current Term Loan and RCF lenders. Furthermore,
Moody's expectation that, on completion of the ongoing debt
restructuring transaction of Technicolor S.A. (Technicolor),
scheduled to be completed on September 22, 2020, the group's future
corporate family rating (CFR) will transition to a strongly
positioned Caa2.

The proposed restructuring is expected to result in a reduction in
the existing term loan B / RCF from EUR1,232 million to EUR572
million at the level of Technicolor S.A. The transaction will also
result in a change of the shareholder holding structure with the
lenders of the original term loan B and RCF becoming shareholders
of Technicolor S.A. alongside the existing shareholders.

Technicolor's existing Caa3 CFR, Ca-PD probability of default
rating (PDR) and Technicolor's existing instrument ratings remain
unchanged because of the upcoming restructuring transaction, which
on completion Moody's will likely consider as a distressed
exchange. Upon closing, Moody's will append the "LD" designation to
the PDR, which will be removed after three business days. The
designation results from its practice of interpreting circumstances
in which a debt holder accepts a compromise offering of a
diminished financial obligation as an indication of an untenable
debt capital structure. The "/LD" component would signal that a
"limited default" has occurred on the exchanged securities. The
debt exchange is specifically designed to reduce the debt and
interest expense burden and results in creditors recognizing
losses, which represents the occurrence of a deemed default.

RATINGS RATIONALE

The expectation of a future CFR, which will transition to Caa2, one
notch above the existing CFR upon completion of the restructuring,
reflects (1) the EUR356 million debt reduction (equal to 17.5% of
Technicolor's Moody's adjusted debt as of June 2020) leading to an
expected gross leverage of 10.6x (June 2020 pro-forma for the
transaction); (2) the expected improvement in the company's
liquidity thanks to the new money cash injection of EUR420 million;
and (3) Moody's expectation that Technicolor's EBITDA will
gradually recover during 2021 after the significant decline in H1
2020 caused by the coronavirus pandemic. In addition, the CFR will
continue to reflect Technicolor's scale and its leading market
shares in the Connected Home and Entertainment Services businesses
as well as its complementary geographical footprint and customer
portfolio.

Nevertheless, the future CFR positioning will likely remain
constrained by (1) the expectation of negative free cash flows in
the next 12 to 18 months; (2) the still weak, albeit improved,
EBITA/interest cover ratio expected to be below 1.0x in the next 12
to 18 months; (3) challenging market environment for Technicolor's
Production Services and DVD Services activities, owing to the
coronavirus pandemic; (4) execution risk around the company's plans
to reduce costs; and (5) Moody's expectation of limited covenant
headroom at the first testing date in June 2021.

Moody's expects Technicolor's sales and EBITDA to start to recover
in H2 2020 following a substantial decline experienced in the first
half of the current year. Supported by a gradual lifting of the
lockdowns caused by the coronavirus pandemic and the company's
continued restructuring efforts, which have been already bearing
its fruits as evidenced by improved profitability of the Connected
Home segment in H1 2020. Moody's expects Technicolor's EBITDA will
grow in the next 12 to 18 months reducing Moody's adjusted leverage
to around 9.0x by year end 2021 as the film industry resumes
production coupled with the expected strong movie release schedule
and a reopening of key cinema markets in the US.

At the same time the rating reflects the uncertainty around
recovery of the company's sales and earnings. In particular
Technicolor's most profitable Production Services segment, which
has been heavily hit in the course of H1 2020, will be susceptible
to renewed lockdowns around the world and further film release
delays should the coronavirus pandemic intensify. Following the new
money cash injection of EUR420 million, Moody's positively notes
Technicolor's improved liquidity position. In its base case Moody's
expects that cash on balance sheet as of end FY 2020 will be in the
range of EUR310-330 million, compared to EUR63 million as of June
2020. Moody's base case assumes a continued gradual recovery of
Technicolor's sales and profitability in 2021, but restrictive
social distancing measures around the world and obstacles in
implementation of its cost-saving initiatives are the key downside
risks to its base case.

The coronavirus outbreak is considered a social risk under Moody's
Environmental, Social and Governance (ESG) framework given the
substantial implications for public health and safety,
deteriorating global economic outlook, falling oil prices, and
asset price declines, which are creating a severe and extensive
credit shock across many sectors, regions and markets.

LIQUIDITY

The liquidity of Technicolor remains weak. As per June 2020
Technicolor had EUR63 million cash on balance sheet. Following the
New Money cash injection of EUR420 million (net of transaction
costs), the company repaid in July the US Bridge facility (EUR98
million in principal outstanding at June 30, 2020) as well as the
drawings under the ABL facility (EUR47 million outstanding at June
30, 2020). Technicolor has full availability under its $125 million
undrawn ABL line, maturity of which was extended to December 2023
and the option to draw an incremental uncommitted amount of EUR50
million under either Technicolor USA or Tech 6 SAS. The new
facilities have a maintenance net leverage covenant, which will be
tested semiannually with the first test being June 2021. At that
time, Moody's expects the headroom to be very limited, given its
expectation for a still weak second half 2020 and a good recovery
in the first half of 2021.

STRUCTURAL CONSIDERATIONS

The EUR457 million new financing is rated one notch above the
expected future CFR reflecting its senior priority in the
enforcement waterfall and the cushion provided by the reinstated
TLB/RCF. The Caa1 rating reflects the subordination to the group's
$125 million borrowing base facility.

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

Upward pressure on the ratings could arise if the company achieves
a sustainable recovery in profitability and free cash flow
generation, improving its liquidity position and resulting in
leverage reductions. Downward pressure on the ratings could arise
if (i) liquidity diminishes from post transaction levels; (ii)
Technicolor's operating performance weakens further; (iii) if the
company does not deleverage from its current levels.

LIST OF AFFECTED RATINGS

Issuer: Tech 6

Assignments:

BACKED Senior Secured Regular Bond/Debenture, Assigned Caa1

Outlook Actions:

No Outlook

Issuer: Technicolor USA, Inc.

Assignments:

Senior Secured Bank Credit Facility, Assigned Caa1

Outlook Actions:

No Outlook

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was Business and
Consumer Service Industry published in October 2016.

COMPANY PROFILE

Technicolor S.A. (Technicolor), headquartered in Paris, France, is
a leading provider of solutions and services for the Media &
Entertainment industries, deploying and monetizing next-generation
video and audio for the Media & Entertainment industries, deploying
and monetizing next-generation video and audio technologies and
experiences. The group operates in two business segments:
Entertainment Services and Connected Home. Technicolor generated
revenues of around EUR3.8 billion and EBITDA (company-adjusted) of
EUR324 million in 2019.




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

ACCUNIA EUROPEAN I: Moody's Cuts Class F Notes to B3
----------------------------------------------------
Moody's Investors Service taken a variety of rating actions on the
following notes issued by Accunia European CLO I B.V.:

EUR27,600,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030, Confirmed at Baa3 (sf); previously on Jun 3, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

EUR24,900,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2030, Downgraded to Ba3 (sf); previously on Jun 3, 2020 Ba2
(sf) Placed Under Review for Possible Downgrade

EUR11,100,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2030, Downgraded to B3 (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:

EUR283,700,000 Class A Senior Secured Floating Rate Notes due 2030,
Affirmed Aaa (sf); previously on May 15, 2019 Definitive Rating
Assigned Aaa (sf)

EUR20,000,000 Class B-1 Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on May 15, 2019 Definitive
Rating Assigned Aa2 (sf)

EUR27,400,000 Class B-2 Senior Secured Fixed Rate Notes due 2030,
Affirmed Aa2 (sf); previously on May 15, 2019 Definitive Rating
Assigned Aa2 (sf)

EUR27,100,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030, Affirmed A2 (sf); previously on May 15, 2019 Definitive
Rating Assigned A2 (sf)

Accunia European CLO I B.V., originally issued in August 2016 and
fully refinanced in May 2019, is a collateralised loan obligation
(CLO) backed by a portfolio of mostly high-yield senior secured
European and US loans. The portfolio is managed by ACCUNIA
FONDSMAEGLERSELSKAB A/S. The transaction's reinvestment period will
end in May 2021.

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

RATINGS RATIONALE

The rating downgrades on the Class E and F notes are primarily a
result of 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 rating confirmation on the Class D notes and rating
affirmations on the Class A, B-1, B-2 and C notes reflect the
expected losses of the notes continuing to remain consistent with
their current ratings.

Moody's analysed the CLO's portfolio as reported in the July 2020
and August 2020 trustee reports 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 of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated July 28, 2020 [1], the
WARF was 3305, compared to value of 2968 as per the trustee report
dated February 28, 2020 [2]. Securities with ratings of Caa1 or
lower currently make up approximately 4.1% of the underlying
portfolio [1]. In addition, the over-collateralisation (OC) levels
have weakened across the capital structure. According to the
trustee report of July 2020 the Class A/B, Class C, Class D, Class
E and Class F OC ratios are reported at 135.84%, 125.57%, 116.58%,
109.52% and 106.68% [1] compared to February 2020 levels of
137.57%, 127.16%, 118.07%, 110.91% and 107.99% [2] respectively.
Moody's notes that none of the OC tests are currently in breach and
the transaction remains in compliance with the following collateral
quality tests: Diversity Score, Weighted Average Recovery Rate
(WARR), Weighted Average Spread (WAS) and Weighted Average Life
(WAL).

Moody's also notes that the transaction reports negative cash
exposure of around EUR 8.0m as per the July 2020 trustee report [1]
which could further erode key credit quality and OC metrics in case
assets might need to be sold unfavorably in light of current market
conditions to close out this position.

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 451.3 million,
a weighted average default probability of 25.97% (consistent with a
WARF of 3316 over a WAL of 5.16 years), a weighted average recovery
rate upon default of 45.1% for a Aaa liability target rating, a
diversity score of 48 and a weighted average spread of 3.78%.

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.

Moody's notes that the August 28, 2020 trustee report was published
at the time it was completing its analysis of the July 2020 data.
Key portfolio metrics such as WARF, diversity score, weighted
average spread and life, and OC ratios exhibit little change
between these dates, with no impact on its analysis. Compared to
the July 2020 trustee report [1], in the August 2020 trustee report
[3] no Discount Obligation and no Excess CCC/ Caa Adjustment Amount
is reported any longer; hence, Moody's incorporated this in its
analysis accordingly.

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.


BLUEMOUNTAIN FUJI V: Fitch Affirms B-sf Rating on Cl. F Notes
-------------------------------------------------------------
Fitch Ratings has affirmed BlueMountain Fuji EUR CLO V DAC. Its two
most junior tranches have been removed from Rating Watch Negative
(RWN) and while another tranche's Outlook has been revised to
Negative from Stable.

RATING ACTIONS

BlueMountain Fuji EUR CLO V DAC

Class A XS2073824851; LT AAAsf Affirmed; previously at AAAsf

Class B XS2073825403; LT AAsf Affirmed; previously at AAsf

Class C XS2073825742; LT Asf Affirmed; previously at Asf

Class D XS2073826120; LT BBB-sf Affirmed; previously at BBB-sf

Class E XS2073826559; LT BBsf Affirmed; previously at BBsf

Class F XS2073826633; LT B-sf Affirmed; previously at B-sf

Class X XS2073824778; LT AAAsf Affirmed; previously at AAAsf

TRANSACTION SUMMARY

BlueMountain Fuji EUR CLO V DAC 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 BlueMountain Fuji Management, LLC.

KEY RATING DRIVERS

Coronavirus Baseline Scenario Impact

The rating actions reflect a sensitivity analysis Fitch ran on the
target portfolio for its 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 X, A, B and C notes with
cushions. While the class D, E and F notes still show sizeable
shortfalls, the agency believes that the portfolio's negative
rating migration is likely to slow, making category-level
downgrades on these tranches less likely in the short term. As a
result, the class E and F notes have been removed from RWN. The
Negative Outlook on the class D, E and F reflect the risk of credit
deterioration over the longer term, due to the economic fallout
from the pandemic.

Weakening Portfolio Performance

As per the trustee report dated August 10, 2020, the aggregate
collateral balance was slightly below par by 29bp. The
trustee-reported Fitch weighted average rating factor (WARF) of
34.74 was in compliance with its test. Assets with a Fitch-derived
rating (FDR) of 'CCC' category or below represented 6.5% of the
portfolio (unrated assets represented 0.4% of the portfolio), as
per Fitch calculation on September 12, 2020. Assets with an FDR on
Negative Outlook represented 33.5% of the portfolio balance.

'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 was
34.86, as per Fitch's calculation, on September 12, 2020.

High Recovery Expectations

Approximately 99% 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 65.61%, as per Fitch's calculation, on
September 12, 2020.

Diversified Portfolio

The portfolio is reasonably diversified across obligors, countries
and industries. Exposure to the top-10 obligors and the largest
obligor is 12.7% and 2%, respectively. The top-three industry
exposures accounted for about 39.9%, as per Fitch calculation on
September 12, 2020. As of August 10, 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 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 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 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-level
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.


CAIRN CLO V: Moody's Lowers Rating on Class F-R Notes to B3
-----------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Cairn CLO V B.V.:

EUR8,000,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030, Downgraded to B3 (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:

EUR183,800,000 Class A-R Senior Secured Floating Rate Notes due
2030, Affirmed Aaa (sf); previously on Jul 20, 2017 Assigned Aaa
(sf)

EUR25,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2030, Affirmed Aa2 (sf); previously on Jul 20, 2017 Assigned Aa2
(sf)

EUR7,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2030,
Affirmed Aa2 (sf); previously on Jul 20, 2017 Assigned Aa2 (sf)

EUR20,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2030, Affirmed A2 (sf); previously on Jul 20, 2017
Assigned A2 (sf)

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

EUR15,000,000 Class D-R 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

EUR20,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030, Confirmed to Ba2 (sf); previously on Jun 3, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

Cairn CLO V B.V., issued in July 2015, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured European loans. The portfolio is managed by Cairn Loan
Investments LLP. The transaction's reinvestment period will end in
July 2021.

The actions conclude the rating review on the Class D-R, E-R and
F-R notes initiated on June 3, 2020.

RATINGS RATIONALE

The rating downgrade on the Class F-R notes is primarily a result
of the risks posed by credit deterioration, which have been
primarily prompted by economic shocks stemming from the coronavirus
outbreak.

The rating confirmations on the Class D-R and E-R notes and rating
affirmations on the Class A-R, B-1-R, B-2-R and C-R notes reflect
the expected losses of the notes continuing to remain consistent
with their current ratings. 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 of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated August 2020 [1], the
WARF was 3412, compared to value of 2971 in February 2020 [2].
Securities with ratings of Caa1 or lower currently make up
approximately 7.3% of the underlying portfolio. 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, Class E and Class F OC ratios are
reported at 138.6%, 126.6%, 119.0%, 110.2% and 107.1% compared to
February 2020 [2] levels of 139.4%, 127.3%, 119.7%, 110.9% and
107.7% 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 294.8 million,
a defaulted par of EUR 6.2 million, a weighted average default
probability of 25.0% (consistent with a WARF of 3348 over a
weighted average life of 4.7 years), a weighted average recovery
rate upon default of 45.2% for a Aaa liability target rating, a
diversity score of 44, a weighted average spread of 3.8% and a
weighted average coupon of 4.8%.

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 and swap provider,
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. However, as part of the base
case, Moody's considered spread and coupon levels higher than the
covenant levels because of the large difference between the
reported and 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.


CAIRN CLO VI: Fitch Affirms B-sf Rating on Class F-R Debt
---------------------------------------------------------
Fitch Ratings has affirmed Cairn CLO VI B.V., and removed two
tranches from Rating Watch Negative (RWN).

RATING ACTIONS

Cairn CLO VI B.V.

Class A-R XS1850309466; LT AAAsf Affirmed; previously at AAAsf

Class B-R XS1850309896; LT AAsf Affirmed; previously at AAsf

Class C-R XS1850310126; LT Asf Affirmed; previously at Asf

Class D-R XS1850310555; LT BBBsf Affirmed; previously at BBBsf

Class E-R XS1850310803; LT BBsf Affirmed; previously at BBsf

Class F-R XS1850310985; LT B-sf Affirmed; previously at B-sf

TRANSACTION SUMMARY

Cairn CLO VI B.V. is a cash flow collateralised loan obligation
(CLO) of mostly European leveraged loans and bonds. The transaction
is outside its reinvestment period and the portfolio is actively
managed by Cairn Loan Investments LLP.

KEY RATING DRIVERS

Stable Portfolio Performance

As per the trustee report dated August 17, 2020, the aggregate
collateral balance was slightly below par by 9bp. The
trustee-reported Fitch weighted average rating factor (WARF) of
34.20 was not in compliance with its test. Assets with a
Fitch-derived rating (FDR) of 'CCC' category or below represented
6.0% of the portfolio (there are no unrated assets in the
portfolio), as per Fitch's calculation on September 12, 2020.
Assets with a FDR on Negative Outlook represented 31.9% of the
portfolio balance.

Coronavirus Baseline Scenario Impact

Fitch carried out a sensitivity analysis on the target portfolio
for its 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-R, B-R, C-R and D-R notes with cushions.
The class E-R and F-R notes have marginal cushions in this
scenario. The agency believes that the portfolio's negative rating
migration is likely to slow and downgrades of these tranches are
less likely in the short term. As a result, the class E-R and F-R
notes have been removed from RWN and affirmed. The Negative
Outlooks reflect 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 WARF of the current portfolio was
34.71, as per Fitch's calculation, on September 12, 2020.

High Recovery Expectations

The whole portfolio comprises of 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
65.83%, as per Fitch's calculation, on September 12, 2020.

Diversified Portfolio

The portfolio is reasonably diversified across obligors, countries
and industries. Exposure to the top 10 obligors and the largest
obligor is 17.1% and 2.5%, respectively. The top three industry
exposures accounted for about 39.4%, as per Fitch's calculation. As
of August 17, 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 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 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 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.


CLARINDA PARK: Moody's Affirms B1 Rating on Class E Notes
---------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Clarinda Park CLO DAC:

EUR22,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due, 2029, Confirmed at Baa2 (sf); previously on Jun 3, 2020 Baa2
(sf) Placed Under Review for Possible Downgrade

EUR25,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due, 2029, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2
(sf) Placed Under Review for Possible Downgrade

EUR11,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2029, Confirmed at B1 (sf); previously on Jun 3, 2020 B1 (sf)
Placed Under Review for Possible Downgrade

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

EUR239,000,000 Class A-1 Senior Secured Floating Rate Notes due,
2029, Affirmed Aaa (sf); previously on May 15, 2019 Definitive
Rating Assigned Aaa (sf)

EUR52,000,000 Class A-2 Senior Secured Floating Rate Notes due,
2029, Affirmed Aa2 (sf); previously on May 15, 2019 Definitive
Rating Assigned Aa2 (sf)

EUR21,000,000 Class B Senior Secured Deferrable Floating Rate Notes
due, 2029, Affirmed A2 (sf); previously on May 15, 2019 Definitive
Rating Assigned A2 (sf)

Clarinda Park CLO DAC, originally issued in November 2016, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured/mezzanine European and US loans.
The portfolio is managed by Blackstone/GSO Debt Funds Management
Europe Limited. The transaction's reinvestment period will end in
November 2020.

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

RATINGS RATIONALE

The affirmations on the ratings on the Class A-1, A-2 and B notes
and also the confirmation on the ratings of the Class C, D and E
Notes are primarily a result of the expected losses of the notes
remain consistent with its 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 of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated August 2020 [1] the
WARF was 3273, compared to value of 2979 in January 2020 [2].
Securities with ratings of Caa1 or lower currently make up
approximately 6.13% of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened slightly across
the capital structure. According to the trustee report of August
2020 the Class A, Class B, Class C and Class D OC ratios are
reported at 137.65%, 128.38%, 119.93% and 111.58% [1] compared to
January 2020 levels of 137.94%, 128.66%, 120.18% and 111.81% [2]
respectively. Moody's notes that none of the OC tests are currently
in breach and the transaction remains in compliance with the
following collateral quality tests: Diversity Score, Weighted
Average Recovery Rate (WARR), Weighted Average Spread (WAS) and
Weighted Average Life (WAL).

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
performing par and principal proceeds balance of EUR401.56m, a
weighted average default probability of 24.98% (consistent with a
WARF of 3275), a weighted average recovery rate upon default of
45.59% for a Aaa liability target rating, a diversity score of 58
and a weighted average spread of 3.58%.

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 swap providers, using the
methodology "Moody's Approach to Assessing Counterparty Risks in
Structured Finance" published in June 2020. Moody's concluded the
ratings of the notes are not constrained by these risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the 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.

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.


HARVEST CLO VII: Fitch Affirms B-sf Rating on Class F-R Notes
-------------------------------------------------------------
Fitch Ratings has affirmed Harvest CLO VII DAC and removed the most
junior tranche from Rating Watch Negative (RWN).

RATING ACTIONS

Harvest CLO VII DAC

Class A-R XS1533920309; LT AAAsf Affirmed; previously at AAAsf

Class B-R XS1533921455; LT AAsf Affirmed; previously at AAsf

Class C-R XS1533918667; LT Asf Affirmed; previously at Asf

Class D-R XS1533917693; LT BBBsf Affirmed; previously at BBBsf

Class E-R XS1533917263; LT BBsf Affirmed; previously at BBsf

Class F-R XS1533919475; LT B-sf Affirmed; previously at B-sf

TRANSACTION SUMMARY

Harvest CLO VII DAC is a cash flow collateralised loan obligation
(CLO). Net proceeds from the notes issue were used to purchase a
EUR300 million portfolio of mostly euro-denominated leveraged loans
and bonds. The transaction was reset in April 2017, and the
reinvestment period expires on April 2021. The portfolio is
actively managed by Investcorp Credit Management EU Limited.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The rating actions are a result of a sensitivity analysis Fitch ran
in light of the coronavirus pandemic. For the sensitivity analysis,
Fitch notched down the ratings for all assets with corporate
issuers on Negative Outlook regardless of sector. Under this
scenario, the class F-R notes show a shortfall, while the class E-R
is only passing with a small cushion.

Fitch views that the portfolio's negative rating migration is
likely to slow, making a category-rating downgrade on the class F-R
notes less likely in the short term. As a result, the F-R notes
have been affirmed and removed from RWN. The Negative Outlook on
both the class E-R and F-R notes reflects the risk of credit
deterioration over the longer term, due to the economic fallout
from the pandemic. The Stable Outlooks on the remaining tranches
reflect the resilience of their ratings under the coronavirus
baseline sensitivity analysis.

Mixed Portfolio Performance

As of the latest investor report dated July 31, 2020 the
transaction was 1.98% below par and all portfolio profile tests,
coverage tests and most collateral quality tests were passing,
except for the Fitch weighted average rating factor (WARF), Fitch
minimum weighted average recovery rate (WARR) and Fitch 'CCC' test.
As of the same report the transaction had one defaulted asset with
an exposure around GBP???600,000. Exposure to assets with a
Fitch-derived rating (FDR) of 'CCC+' and below was 8.32%. Assets
with a FDR on Negative Outlook represented 22.25% of the portfolio
balance.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors in the
'B'/'B-' category. The Fitch-calculated WARF as of September 12,
2020 was 34.35 (assuming unrated assets are 'CCC'), and the
trustee-reported Fitch WARF was 34.15, both above the maximum
covenant of 33. After applying the coronavirus stress, the Fitch
WARF would increase by 3.19.

High Recovery Expectations

Around 98% 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.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top-10 obligors represent 17.54% of the portfolio
balance with no obligor accounting for more than 2.46%. Around 30%
of the portfolio consists of semi-annual obligations but a
frequency switch has not occurred due to the transaction's 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 scenarios and the
front-, mid-, and back-loaded default timing scenarios 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 but
included 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:

Upgrades may occur in case of a better-than-expected portfolio
credit quality and deal performance, leading to higher credit
enhancement (CE) and excess spread available to cover for losses in
the remaining portfolio except for the class A-R notes, which are
already at the highest 'AAAsf' rating. If asset prepayment is
faster than expected and outweighs the negative pressure of the
portfolio migration, this may increase CE and, potentially, add
upgrade pressure on the rated notes.

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

Downgrades may occur if the build-up of CE following amortisation
does not compensate for a larger loss than initially assumed due to
unexpectedly high levels of defaults and portfolio deterioration.
As disruptions to supply and demand due to the pandemic become
apparent, loan ratings in those vulnerable sectors will 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.

HARVEST CLO XII: Fitch Affirms B-sf Rating on Class F-R Notes
-------------------------------------------------------------
Fitch Ratings has affirmed Harvest CLO XII DAC and removed the most
junior tranche from Rating Watch Negative (RWN).

RATING ACTIONS

Harvest CLO XII DAC

Class A-1R XS1692039206; LT AAAsf Affirmed; previously at AAAsf

Class B-1R XS1692040980; LT AAsf Affirmed; previously at AAsf

Class B-2R XS1692041525; LT AAsf Affirmed; previously at AAsf

Class C-R XS1692042259; LT Asf Affirmed; previously at Asf

Class D-R XS1692043067; LT BBBsf Affirmed; previously at BBBsf

Class E-R XS1692043737; LT BBsf Affirmed; previously at BBsf

Class F-R XS1692044388; LT B-sf Affirmed; previously at B-sf

TRANSACTION SUMMARY

Harvest CLO XII DAC is a cash flow collateralised loan obligation
(CLO). Net proceeds from the notes issue were used to purchase a
EUR402.5 million portfolio of mostly euro-denominated leveraged
loans and bonds. The transaction was reset in October 2017, and the
reinvestment period expires in November 2021. The portfolio is
actively managed by Investcorp Credit Management EU Limited.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The rating actions are a result of a sensitivity analysis Fitch ran
in light of the coronavirus pandemic. For the sensitivity analysis,
Fitch notched down the ratings for all assets with corporate
issuers on Negative Outlook regardless of sector.

Under this scenario, the class E-R and F-R notes were only passing
with a small cushion. Fitch views that the portfolio's negative
rating migration is likely to slow, making a category-rating
downgrade of the F-R notes less likely in the short term. As a
result, the class F-R notes have been affirmed and removed from
RWN. The Negative Outlook on both the class E-R and F-R notes
reflects the risk of credit deterioration over the longer term, due
to the economic fallout from the pandemic. The Stable Outlooks on
the remaining tranches reflect the resilience of their ratings
under the coronavirus baseline sensitivity analysis.

Mixed Portfolio Performance

As of the latest investor report dated August 7, 2020 the
transaction was 0.83% below par and all portfolio profile tests,
coverage tests and most collateral quality tests were passing,
except for the Fitch weighted average rating factor (WARF), Fitch
minimum weighted average recovery rate (WARR) and Fitch 'CCC' test.
As of the same report the transaction had no defaulted assets.
Exposure to assets with a Fitch-derived rating (FDR) of 'CCC+' and
below was 8.09%. Assets with FDRs on Negative Outlook represented
18.16% of the portfolio balance.

'B'/'B-' Portfolio Credit Quality

Fitch assesses the average credit quality of the obligors in the
'B'/'B-' category. The Fitch-calculated WARF as of September 12,
2020 was 34.88 (assuming unrated assets are 'CCC'), and the
trustee-reported Fitch WARF was 34.63, both above the maximum
covenant of 33.5. After applying the coronavirus stress, the Fitch
WARF would increase by 2.93.

High Recovery Expectations

Around 98% 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.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. The top-10 obligors represent 14.59% of the portfolio
balance with no obligor accounting for more than 1.85%. Around 42%
of the portfolio consists of semi-annual obligations but a
frequency switch has not occurred due to the transaction's 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 scenarios and the
front-, mid-, and back-loaded default timing scenarios 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 but
included 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:

Upgrades may occur in case of a better-than-expected portfolio
credit quality and deal performance, leading to higher credit
enhancement (CE) and excess spread available to cover for losses in
the remaining portfolio except for the class A-R notes, which are
already at the highest 'AAAsf' rating. If asset prepayment is
faster than expected and outweighs the negative pressure of the
portfolio migration, this may increase CE and, potentially, add
upgrade pressure on the rated notes.

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

Downgrades may occur if the build-up of CE following amortisation
does not compensate for a larger loss than initially assumed due to
unexpectedly high levels of defaults and portfolio deterioration.
As disruptions to supply and demand due to the pandemic become
apparent, loan ratings in those vulnerable sectors will 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.


HARVEST CLO XVI: Moody's Confirms B2 Rating on Class F-R Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Harvest CLO XVI DAC:

EUR27,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at Baa3 (sf); previously on Jun 3, 2020
Baa3 (sf) Placed Under Review for Possible Downgrade

EUR24,000,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020
Ba2 (sf) Placed Under Review for Possible Downgrade

EUR12,500,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2
(sf) Placed Under Review for Possible Downgrade

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

EUR3,000,000 (current outstanding amount EUR 375,000) Class X
Senior Secured Floating Rate Notes due 2031, Affirmed Aaa (sf);
previously on Oct 15, 2018 Definitive Rating Assigned Aaa (sf)

EUR273,000,000 Class A-R Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Oct 15, 2018 Definitive
Rating Assigned Aaa (sf)

EUR22,000,000 Class B-1R Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Oct 15, 2018 Definitive
Rating Assigned Aa2 (sf)

EUR20,000,000 Class B-2R Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Oct 15, 2018 Definitive Rating
Assigned Aa2 (sf)

EUR31,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2031, Affirmed A2 (sf); previously on Oct 15, 2018
Definitive Rating Assigned A2 (sf)

Harvest CLO XVI DAC, initially issued in September 2016 and
refinanced in October 2018, is a collateralised loan obligation
(CLO) backed by a portfolio of mostly high-yield senior secured
European loans. The portfolio is managed by Investcorp Credit
Management EU Limited. The transaction's reinvestment period will
end in April 2023.

RATINGS RATIONALE

The rating confirmations on the Class D-R, E-R and F-R notes and
rating affirmations on the Class X, A-R, B-1R, B-2R and C-R notes
reflects 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 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 of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated July 2020 the WARF was
3344 [1], compared to value of 3153 [2] as of April 2020.
Securities with ratings of Caa1 or lower currently make up
approximately 5.6% [1] of the underlying portfolio. In addition the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of July 2020 [1] the
Class A/B, Class C, Class D, Class E and Class F OC ratios are
reported at 138.1%, 125.7%, 116.6%, 109.6% and 106.2% compared to
April 2020 [2] levels of 139.4%, 126.9%, 117.7%, 110.6% and 107.2%
respectively.

Moody's notes that none of the OC tests are currently in breach and
the transaction remains in compliance with the following collateral
quality tests: Diversity Score, Weighted Average Recovery Rate
(WARR), Weighted Average Spread (WAS) and Weighted Average Life
(WAL). However, the WARF test is not passing as per the August
trustee report [1].

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 EUR437.8 million,
a weighted average default probability of 27.6% (consistent with a
WARF of 3345 over a weighted average life of 5.8 years), a weighted
average recovery rate upon default of 45.7% for a Aaa liability
target rating, a diversity score of 55 and a weighted average
spread of 3.6%.

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.

Moody's notes that the August 2020 trustee report was published at
the time it was completing its analysis of the July 2020 data. Key
portfolio metrics such as WARF, diversity score, weighted average
spread and life, and OC ratios exhibit little or no change between
these dates.

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:

Therating action took into consideration the notes' exposure to
relevant counterparties, such as account bank and swap provider(s),
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 behaviours; 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.

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels. However, as part of the base
case, Moody's considered spread and coupon levels higher than the
covenant levels because of the large difference between the
reported and 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.


HARVEST CLO XXI: Moody's Confirms B2 Rating on Class F Notes
------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Harvest CLO XXI DAC:

EUR23,600,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Baa3 (sf); previously on Jun 3, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

EUR24,400,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at Ba2 (sf); previously on Jun 3, 2020 Ba2 (sf)
Placed Under Review for Possible Downgrade

EUR9,400,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2031, Confirmed at B2 (sf); previously on Jun 3, 2020 B2 (sf)
Placed Under Review for Possible Downgrade

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

EUR210,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Mar 22, 2019 Definitive
Rating Assigned Aaa (sf)

EUR30,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aaa (sf); previously on Mar 22, 2019 Definitive Rating
Assigned Aaa (sf)

EUR38,400,000 Class B-1 Senior Secured Floating Rate Notes due
2031, Affirmed Aa2 (sf); previously on Mar 22, 2019 Definitive
Rating Assigned Aa2 (sf)

EUR6,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031,
Affirmed Aa2 (sf); previously on Mar 22, 2019 Assigned Aa2 (sf)

EUR28,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031, Affirmed A2 (sf); previously on Mar 22, 2019 Definitive
Rating Assigned A2 (sf)

Harvest CLO XXI DAC, issued in March 2019, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured European loans. The portfolio is managed by Investcorp
Credit Management EU Limited. The transaction's reinvestment period
will end in October 2023.

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

RATINGS RATIONALE

The rating confirmations on the Class D, E and F notes and 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, 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 of the
proportion of securities from issuers with ratings of Caa1 or
lower. According to the trustee report dated July 2020, the WARF
was 3174[1], compared to value of 2914[2] in February 2020.
Securities with ratings of Caa1 or lower currently make up
approximately 5.5% of the underlying portfolio. In addition, the
over-collateralisation (OC) levels have weakened across the capital
structure. According to the trustee report of July 2020 the Class
A/B, Class C, Class D, Class E and Class F OC ratios are reported
at 139.88%[1], 127.34%[1], 118.40%[1], 110.38%[1] and 107.58%[1]
compared to February 2020 levels of 140.68%[2], 128.07%[2],
119.07%[2], 111.01%[2], 108.19%[2] respectively. Moody's notes that
none of the OC tests are currently in breach and the transaction
remains in compliance with the following collateral quality tests:
Diversity Score, Weighted Average Recovery Rate (WARR), Weighted
Average Spread (WAS) and Weighted Average Life (WAL).

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 397.8 million,
a weighted average default probability of 27.0% (consistent with a
WARF of 3215 over a weighted average life of 6.11 years), a
weighted average recovery rate upon default of 45.6% for a Aaa
liability target rating, a diversity score of 52 and a weighted
average spread of 3.72%.

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.

Moody's notes that the August 2020 trustee report was published at
the time it was completing its analysis of the July 2020 data. Key
portfolio metrics such as WARF, diversity score, weighted average
spread and life, and OC ratios exhibit little or no change between
these dates.

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 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 and swap providers,
using the methodology "Moody's Approach to Assessing Counterparty
Risks in Structured Finance" published in June 2020. Moody's
concluded the ratings of the notes are not constrained by these
risks.

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

This transaction is subject to a high level of macroeconomic
uncertainty, which could negatively affect the ratings on the 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;
(2) divergence in the legal interpretation of CDO documentation by
different transactional parties because of embedded ambiguities;
and (3) the additional expected loss associated with hedging
agreements in this transaction which may also impact the ratings
negatively.

Additional uncertainty about performance is due to the following

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

  -- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels. However, as part of the base
case, Moody's considered spread and coupon levels higher than the
covenant levels because of the large difference between the
reported and 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.


HAYFIN EMERALD II: Fitch Affirms BBsf Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has affirmed Hayfin Emerald CLO II DAC and removed
the class E notes from Rating Watch Negative (RWN).

RATING ACTIONS

Hayfin Emerald CLO II DAC

Class A-1 XS1962604986; LT AAAsf Affirmed; previously at AAAsf

Class A-2 XS1962605520; LT AAAsf Affirmed; previously at AAAsf

Class B-1 XS1962606254; LT AAsf Affirmed; previously at AAsf

Class B-2 XS1962606841; LT AAsf Affirmed; previously at AAsf

Class C XS1962607575; LT Asf Affirmed; previously at Asf

Class D XS1962608110; LT BBBsf Affirmed; previously at BBBsf

Class E XS1962609357; LT BBsf Affirmed; previously at BBsf

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

Stable Portfolio Performance

The rating actions reflect the stabilisation of the portfolio's
performance. The transaction is above target par. As at September
12, 2020, the Fitch-calculated weighted average rating factor
(WARF) of the portfolio was 34.36, slightly weaker than the
trustee-reported WARF of August 17, 2020 of 33.68, owing to rating
migration and considering the unrated assets in the portfolio as
'CCC'. According to Fitch's calculation, 'CCC' or below category
assets represent 3.18% (excluding unrated names) and 5.84%
(including unrated assets) as against the 7.50% limit. As per the
trustee report, the Fitch WARR was failing marginally. However, all
other tests, including the overcollateralisation and interest
coverage tests, were passing.

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 ratings of all the classes with cushions except
for the class E notes, which still show some shortfall. The agency
believes that the portfolio's negative rating migration is likely
to slow and a downgrade of this tranche is less likely in the short
term. As a result, Fitch has removed the class E notes from RWN
affirmed their rating. Their 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 places the average credit quality of obligors in the 'B'/'B-'
range.

High Recovery Expectations

Senior secured obligations comprise 97.79% 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
65.03%.

Portfolio Composition

The top 10 obligors' concentration is 16.77% and no obligor
represents more than 1.97% of the portfolio balance. As per Fitch
calculation the largest industry is business services at 18.06% of
the portfolio balance and the three-largest industries represent
37.83%, against limits of 15.00% and 40.00%, respectively.

As of the last trustee report, the percentage of obligations paying
less frequently than quarterly is around 43.1%. 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 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.

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.
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.


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

RATING ACTIONS

Invesco Euro CLO II DAC

Class A XS2002496821; LT AAAsf Affirmed; previously at AAAsf

Class B-1 XS2002497639; LT AAsf Affirmed; previously at AAsf

Class B-2 XS2002498363; LT AAsf Affirmed; previously at AAsf

Class C XS2002498959; LT Asf Affirmed; previously at Asf

Class D XS2002499684; LT BBB-sf Affirmed; previously at BBB-sf

Class E XS2002500283; LT BB-sf Affirmed; previously at BB-sf

Class F XS2002500366; LT B-sf Affirmed; previously at B-sf

Class X XS2002496664; LT AAAsf Affirmed; previously at AAAsf

TRANSACTION SUMMARY

Invesco Euro CLO II DAC is a securitisation of mainly senior
secured obligations with a component of senior unsecured, mezzanine
and second-lien loans. The portfolio is actively managed by Invesco
European RR L.P.

KEY RATING DRIVERS

Stable Portfolio Performance: As per the latest trustee report,
dated August 5, 2020, the Fitch weighted average rating factor
(WARF) stood at 33.45 and was below its covenant of 34.00, the
portfolio was above the target par by 0.35% and there were no
defaulted assets. The Fitch-calculated 'CCC' category or below
assets (including unrated names) represented 4.54% of the portfolio
against the limit of 7.50% and was an improvement from 5.33%
recorded in May 2020. Assets with a Fitch derived rating (FDR) on
Negative Outlook represented 38% 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 believes
that the portfolio's negative rating migration is likely to slow
and category-level downgrades are 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 33.33 and would increase to 36.88
after applying the coronavirus stress.

High Recovery Expectations: Senior secured obligations comprise
98.6% 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 66.66%.

Portfolio Composition: The portfolio is well diversified across
obligors, countries and industries. Exposure to the top 10 obligors
is 19.29% and no obligor represents more than 3.00% of the
portfolio balance. The largest industry is business services at
16.81% of the portfolio balance, followed by computer and
electronics at 9.35% and banking and finance at 8.62%. As of the
latest investor report, the percentage of obligations paying less
frequently than quarterly was 45.20% of the aggregate collateral
balance. However, no frequency switch event has occurred as the
class A/B interest coverage test still has 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 transaction was 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
Stressed 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 Stressed 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.


INVESCO EURO III: Fitch Affirms B-sf Rating on Class F Notes
------------------------------------------------------------
Fitch Ratings has affirmed Invesco Euro CLO III DAC, and removed
the class E and F notes from Rating Watch Negative (RWN) as
detailed.

RATING ACTIONS

Invesco Euro CLO III DAC

Class A XS2072089902; LT AAAsf Affirmed; previously at AAAsf

Class B-1 XS2072090587; LT AAsf Affirmed; previously at AAsf

Class B-2 XS2072091478; LT AAsf Affirmed; previously at AAsf

Class C XS2072092013; LT Asf Affirmed; previously at Asf

Class D XS2072092799; LT BBB-sf Affirmed; previously at BBB-sf

Class E XS2072093334; LT BB-sf Affirmed; previously at BB-sf

Class F XS2072093508; LT B-sf Affirmed; previously at B-sf

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 its collateral manager.

KEY RATING DRIVERS

Coronavirus Baseline Sensitivity Analysis

The removal of the class E and F notes from RWN reflects its view
that the portfolio's negative rating migration is likely to slow
and a category-level downgrade is less likely in the short term.
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, following Fitch's sensitivity
analysis of the coronavirus pandemic.

In its sensitivity analysis for the pandemic, Fitch notched down
the ratings for all assets of corporate issuers with a Negative
Outlook regardless of sector. The portfolio includes almost
EUR153.6 million of assets with a Fitch-derived rating (FDR) on
Negative Outlook, which amounts to 37.35% of the transaction's
portfolio balance. The Fitch weighted average rating factor (WARF)
increases to 37.04 after the coronavirus baseline sensitivity
analysis.

The Stable Outlooks on the remaining tranches reflect the notes'
resilience to its base case for the pandemic.

'B'/'B-' Credit Quality

Fitch assesses the average credit quality of obligors in the
'B'/'B-' category. As of 5 September 2020, the Fitch-calculated
'CCC' and below category assets represented 4.62% of the portfolio
and including unrated assets, 4.87%. The latter may be privately
rated by another rating agency and may be considered 'B-' by the
manager for the purpose of calculating the WARF, subject to certain
conditions. The Fitch-calculated WARF of the current portfolio is
33.44.

High Recovery Expectations

The portfolio comprises senior secured obligations. Fitch views the
recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch-calculated
weighted average recovery rate of the current portfolio is 65.75%.

Diversified Portfolio

The portfolio is well-diversified across obligors, countries and
industries. Exposure to the top 10 obligors is 19.88% of the
portfolio balance and no obligor represents more than 2.45% of the
portfolio balance. The largest industry is business services at
15.43% of the portfolio balance, followed by banking and finance at
10.16% and computer and electronics at 9.28%.

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.

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,
given the portfolio credit quality may still deteriorate, not only
by natural credit migration, but also by reinvestments. After the
end of the reinvestment period, upgrades may occur in case of a
better-than-initially expected portfolio credit quality and deal
performance, leading to higher credit enhancement for the notes and
excess spread available to cover for losses 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 for the
notes following amortisation does not compensate for a higher loss
expectation than initially assumed due to an unexpectedly high
level of default and portfolio deterioration. As disruptions to
supply and demand due to coronavirus for other sectors become
apparent, loan ratings in such sectors would also come under
pressure.

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 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

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 were material to
this 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.

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 Fitch groups and/or other rating agencies
to assess the asset portfolio information.

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

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.


PROVIDUS CLO II: Fitch Affirms B-sf Rating on Class F Notes
-----------------------------------------------------------
Fitch Ratings has affirmed Providus CLO II DAC. The class E and F
notes have been removed from Rating Watch Negative (RWN) and
assigned Negative Outlooks.

RATING ACTIONS

Providus CLO II DAC

Class A XS1905535156; LT AAAsf Affirmed; previously at AAAsf

Class B-1 XS1905535743; LT AAsf Affirmed; previously at AAsf

Class B-2 XS1905536634; LT AAsf Affirmed; previously at AAsf

Class C XS1905537012; LT Asf Affirmed; previously at Asf

Class D XS1905537442; LT BBB-sf Affirmed; previously at BBB-sf

Class E XS1905537368; LT BB-sf Affirmed; previously at BB-sf

Class F XS1905537525; LT B-sf Affirmed; previously at B-sf

TRANSACTION SUMMARY

Providus CLO II DAC is a cash-flow securitisation of mainly senior
secured obligations. The portfolio is actively managed by Permira
Debt Managers Group Holdings Limited.

KEY RATING DRIVERS

Stable Portfolio Performance

As per the latest trustee report, dated July 31, 2020, the Fitch
weighted average rating factor (WARF) stood at 33.6 and was below
its covenant of 34, the portfolio was above target par by 0.01% and
there were no defaulted assets. The Fitch-calculated 'CCC' category
or below assets (including unrated names) represented 7.61% of the
portfolio and was an improvement from 8.85% recorded in April 2020.
Assets with a Fitch derived rating (FDR) on Outlook Negative
represented 31.19% 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.
Fitch believes that the portfolio's negative rating migration is
likely to slow 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 and affirmed. 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 currently stands at
34.14 and would increase to 37.34 after applying the coronavirus
stress.

High Recovery Expectations

Nearly all 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
68.73%.

Portfolio Composition

The portfolio is well-diversified across obligors, countries and
industries. Exposure to the top-10 obligors is 16.76% and no
obligor represents more than 3% of the portfolio balance. The
largest industry is business services at 20.42% of the portfolio
balance, followed by computer and electronics at 16.62% and
healthcare at 16.07%. As of the latest investor report, the
percentage of obligations paying less frequently than quarterly was
35.19% 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 transaction was 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 used a standardised stress portfolio (Fitch's
stress portfolio) 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
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 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 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.




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

BREEZE FINANCE: Fitch Affirms CCC Rating on Class A Bonds
---------------------------------------------------------
Fitch Ratings has affirmed Breeze Finance S.A., (Breeze III)'s
class A bonds at 'CCC' and class B bonds at 'CC'. The bonds were
issued to acquire a portfolio of wind farms in France and Germany.

RATING RATIONALE

The ratings reflect that cash in the debt service reserve account
(DSRA) may be insufficient to service the bonds until maturity,
indicating that default has become a real possibility. Most of the
revenues are derived from fixed feed-in tariffs. However, the wind
yield has been dramatically below the initial expectations over the
years, which is the main driver of the poor performance. Moreover,
Fitch expects unplanned maintenance to become more frequent as the
turbines age, triggering higher operational costs and reducing the
turbine's availability.

The bonds' equally sized semi-annual principal repayments, ignoring
summer and winter wind seasonality, mean that there is less cash
available for the autumn debt service, weakening the debt
structure. The class B DSRA is depleted and the class A DSRA is
partially depleted. These reserves are unlikely to be replenished
given that their refunding is subordinated to the repayment of the
entire balance of deferrals on the class B bonds. Fitch perceives a
default as probable for the class B notes.

From a probability of default perspective, a partial early
repayment of the bonds, agreed in the context of a potential
restructuring of the portfolio, could lead to an acceleration of
the timing of what is currently viewed as a probable default.

The outbreak of coronavirus and related government containment
measures worldwide create an uncertain global environment for the
power sector. While Breeze Finance SA performance data through most
recently available issuer data may not have indicated impairment,
material changes in revenue and cost profile are occurring across
the power sector and will continue to evolve as economic activity
and government restrictions respond to the ongoing situation.
Fitch's ratings are forward-looking in nature, and Fitch will
monitor developments in the sector as a result of the coronavirus
outbreak for their severity and duration, and incorporate revised
base and rating case qualitative and quantitative inputs based on
expectations for future performance and assessment of key risks.

KEY RATING DRIVERS

Aging Turbines Trigger More Maintenance - Operation Risk: Weaker

Historically, turbine availability has been high (96.1% historical
average). Breeze Finance SA has also improved cost control, after
initially underestimating the budget prior to entering into the
transaction. However, Fitch considers that a decrease in
availability in the coming years is likely, given that the turbines
are aging and will need more maintenance. At the same time,
operating costs are expected to increase.

Initial Wind Estimates Largely Overestimated - Volume Risk: Weaker

The external initial wind study grossly overestimated Breeze
Finance SA's wind resources. Fitch now considers historical data as
a more reliable basis for its volume projections, as a result of
the actual wind yield repeatedly falling short of expectations.

Merchant Exposure after FIT periods - Price Risk: Midrange

The wind farms are remunerated through fixed feed-in-tariffs (FIT)
embedded in the German and French energy regulations. German
tariffs are set for 20 years and French tariffs for 15 years. This
leaves the project with a steadily growing degree of exposure to
merchant pricing in the last years before debt maturity. After the
end of the FIT, the wind farms receive merchant revenues until the
end of the asset life.

Partially Depleted DSRA on Class A - Debt Structure: Midrange

Large Amounts of Deferrals on Class B - Debt Structure: Weaker

The class A bonds rank senior, are fully amortising and also have a
fixed interest rate. However, equally sized semi-annual principal
repayments ignoring summer and winter wind seasonality weaken the
structure. The low volumes have affected the project's liquidity,
and it remains tight. Fitch does not expect it to materially
improve. There have been several drawdowns on the DSRA, meaning
that debt service can be maintained to an extent during weak wind
seasons, but the reserve is eroded at EUR10.5 million versus the
initial balance of EUR14.1 million. Full replenishment of this
reserve is very unlikely, as it is subordinated to the repayment of
the entire balance of deferrals on the class B bonds. Additional
drawings on the class A DSRA would further affect the debt
structure.

The class B DSRA is depleted and large amounts of scheduled
payments on the class B bonds have been repeatedly deferred over
the years. Although some deferrals have been able to be
occasionally repaid, Fitch expects that further deferrals will
accrue over the coming years. They may be repaid until the class A
bonds reach their maturity, but the subordination to the class A
makes this scenario unlikely.

Financial Profile

Fitch's rating case results in average and minimum annual DSCRs of
0.89x and 0.80x, respectively, for 2020-2023, rising to an average
of 1.31x when viewed over the period until maturity, for the class
A bonds and highlight that there is little financial cushion. This
is because the equally sized semi-annual principal repayments
ignoring summer and winter wind seasonality leave less cash
available for the autumn debt service, even where the annual DSCR
is greater than 1x. This increases the likelihood of further
drawdowns on the class A DSRA, which is already partially depleted.
Fitch concludes that there may not be sufficient cash in the
reserve to service the class A until maturity. This positions the
rating at 'CCC'.

The balance of total deferrals on the class B bonds currently
stands at around 59% of the notional, which indicates a clearly
probable default. However, Breeze Finance SA can defer the payments
of the class B bonds until 2027, when the class A matures, and the
credit risk profile of the class B bonds corresponds to a 'CC'
rating.

PEER GROUP

Like Breeze Finance SA, CRC Breeze Finance SA consists of a
portfolio of onshore wind farms located in Germany, and to a lesser
extent in France. As a result, they share the same regulatory
framework, with fixed FIT. They have equally suffered from severe
overestimation of their wind resources and from the subsequent
underperformances as a result. Additionally, the seasonality of
wind yield combined with equal semi-annual principal repayments has
led to shortfalls at the autumn payment dates. This has resulted in
deferrals on the class B and drawings on the class A DSRA for both
transactions.


Compared with Breeze Finance SA, whose class B bonds mature in
2027, CRC Breeze Finance SA's scheduled maturity is 2016 and
payments can be deferred until the class A bonds reach their
maturity in 2026. However, Fitch does not see a significant benefit
in this feature for CRC Breeze Finance SA, as the high number of
deferrals and their subordination to the class A are coupled with a
full depletion of the class B DSRA. This means that a full
repayment of the class B bonds remains unlikely. Fitch believes
that the ratings of the two transactions should be aligned as a
result, at 'CCC' for the class A and 'CC' for the class B.

RATING SENSITIVITIES

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

  - Class A: weak wind conditions, a material decline in
availability or a lasting increase in operating costs triggering
further significant drawdowns on the class A DSRA. Proposal put to
the bondholders with a material reduction in the terms of the
bonds.

  - Class B: default becoming imminent or inevitable. Proposal put
to the bondholders to partially repay class B bonds. Proposal put
to the bondholders with a material reduction in the terms of the
bonds.

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

An upgrade of either class appears unlikely at this point.

TRANSACTION SUMMARY

Breeze Finance SA is a Luxembourg SPV that issued three classes of
notes on 19 April 2007 for an aggregate issuance amount of EUR455
million to finance the acquisition of a portfolio of wind farms
located in Germany and France, as well as establishing various
reserve accounts. The notes are repaid from the cash flow generated
by the sale of the energy produced by the wind farms, mainly under
regulated tariffs.

CREDIT UPDATE

Performance Update

Breeze Finance SA partially repaid accumulated interest deferrals
on class B bonds due to the good performance in 2019 and 1H20.
Class A DSRA was not drawn down in recent debt service repayments.
Fitch expects further drawdowns on the reserve, which is currently
funded to approximately 75% of the target balance.

COVID-19 Not Affecting Operations

The portfolio did not suffer any major impact from the COVID-19
pandemic. In some locations, adjustments were made to adapt to the
lockdown in terms of logistic and worker availability, although
there were no events that affected the portfolio operations.

Potential Restructuring

The projec'st sponsors are in discussions for a potential
restructuring of the transaction. An exclusivity period has been
granted to Statkraft AS - a Norwegian state-owned entity - which is
considering acquiring the project in combination with the early
redemption of all classes of bonds.

No binding agreement in relation to the sale has been signed, and
Statkraft AS is now completing the due diligence process. The
transaction remains subject to the negotiation of documentation and
approvals from Statkraft AS, the project's sponsors, the
bondholders and other parties.

FINANCIAL ANALYSIS

Fitch Cases

Fitch's base and rating cases are based on historical average
revenues. This assumption changes over time in Fitch's reviews, as
the project yields more historical data. Fitch's rating case also
includes an additional 15% stress on costs.

Due to the COVID-19 pandemic affecting market prices, Fitch has
assumed a reduction in market prices forecast for 2020 and 2021
applied to the wind farms where their respective FIT periods have
expired. A full recovery to pre-COVID-19 market prices is assumed
from 2022 onwards.

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).


CRC BREEZE: Fitch Affirms CCC Rating on Class A Notes
-----------------------------------------------------
Fitch Ratings has affirmed CRC Breeze Finance S.A., (Breeze II)'s
class A notes at 'CCC' and class B notes at 'CC'. The notes were
issued to purchase a portfolio of wind farms in France and Germany

RATING RATIONALE

The ratings reflect that there may be insufficient cash in the debt
service reserve account (DSRA) to service the bonds until maturity,
indicating that default has become a real possibility. Revenue
under-performance has continued as a result of wind yield being
consistently below expectations, despite benefiting from fixed
feed-in tariffs. Fitch expects continued cash flow pressure due to
a rise in operating and maintenance costs and a decrease in turbine
availability as the assets age.

The bonds' equally sized semi-annual principal repayments in any
given year do not consider summer and winter wind seasonality,
which results in less cash being available for the autumn debt
service. The class B bonds' DSRA has no funds and the class A
bonds' DSRA is partially depleted. Its forecasts indicate that
neither DSRA will be replenished as flows into them are
subordinated to the repayment of the class B bond deferrals,
currently approximately EUR18 million (around 36% of the original
class B notional). Fitch perceives a default as probable for the
class B notes.

From a probability of default perspective, a material reduction in
the terms of the bonds, agreed in the context of a potential
restructuring, could lead to an acceleration of the timing of a
default.

The outbreak of coronavirus and related government containment
measures worldwide create an uncertain global environment for the
power sector. While CRC Breeze Finance's performance data through
most recently available issuer data may not have indicated
impairment, material changes in revenue and cost profile are
occurring across the power sector and will continue to evolve as
economic activity and government restrictions respond to the
ongoing situation. Fitch's ratings are forward-looking in nature,
and Fitch will monitor developments in the sector as a result of
the coronavirus outbreak for their severity and duration, and
incorporate revised base and rating case qualitative and
quantitative inputs based on expectations for future performance
and assessment of key risks.

KEY RATING DRIVERS

Aging Turbines Trigger More Maintenance - Operation Risk: Weaker

Historically turbine availability has been high, at or even
slightly exceeding Fitch's expectation of 96.5%. CRC Breeze Finance
has also demonstrated better cost control in recent years after
initially underestimating the budget prior to entering into the
transaction. However, Fitch considers that a decrease in
availability in the coming years is likely, given that the turbines
are aging and will need more maintenance, and this has been
reflected in Fitch's Rating Case. At the same time, operating costs
are expected to increase.

Initial Wind Estimates Largely Overestimated - Volume Risk: Weaker

The initial wind study grossly overestimated CRC Breeze Finance's
wind resources. A new study displaying lower wind forecasts was
prepared in 2010, which revised the wind forecast down by 17%.
However, the actual wind yield is also lower than the revised wind
estimates. Fitch now considers historical data as a more reliable
basis for its volume projections, as a result of the actual wind
yield repeatedly falling short of expectations.

Limited Exposure to Merchant Pricing - Price Risk: Midrange

The wind farms are remunerated through fixed feed-in-tariffs
embedded in German and French energy regulations. German tariffs
are set for 20 years and French tariffs for 15 years. This leaves
the project with a degree of exposure to merchant pricing, at
approximately 10% of the portfolio's generation capacity during the
last three to four years, increasing to more than 20% at the last
payment date.

Partially Depleted DSRA on Class A - Debt Structure: Midrange

Large Amounts of Deferrals on Class B - Debt Structure: Weaker

The class A bonds rank senior, are fully amortising and have a
fixed interest rate. However, the structure is weakened by equally
sized semi-annual principal repayments together with the potential
leakage of cash to pay semi-annual class B payments ignoring wind
seasonality. The low volumes have affected the project's cash
generation, and liquidity remains tight. Fitch does not expect it
to materially improve. There have been several drawdowns on the
DSRA meaning that debt service can still be maintained to an extent
during weak wind seasons but the reserve is significantly eroded,
at EUR 6.5 million versus the initial balance of EUR13.3 million. A
replenishment of this reserve is very unlikely, as it is
subordinated to the repayment of the entire balance of deferrals on
the class B bonds. Additional drawings on the class A DSRA would
further affect the debt structure.

The class B DSRA is depleted and large amounts of scheduled
payments on the class B bonds have been repeatedly deferred over
the years. In May 2020, the total accumulated amount of class B
principal deferrals was approximately EUR18 million, which may be
repaid until the class A bonds reach their maturity, but the
subordination to the class A makes this scenario unlikely.

Financial Profile

Fitch's rating case results in average and minimum DSCRs of 0.92x
and 0.71x, respectively, for the class A bonds and highlight that
there is no financial cushion. The equally sized semi-annual
principal repayments ignoring summer and winter wind seasonality
mean that there is less cash available for the autumn debt service.
This increases the likelihood of further drawdowns on the class A
DSRA, already partially depleted. Fitch concludes that there may
not be sufficient cash in the reserve to service the class A until
maturity. This positions the rating at 'CCC'.

The balance of principal deferrals on the class B bonds currently
stands at around 36% of the notional, which indicates a clearly
probable default. However, CRC Breeze Finance SA can defer the
payments of the class B bonds until 2026, when the class A matures,
and the credit risk profile of the class B bonds corresponds to a
'CC' rating.

PEER GROUP

Like Breeze Finance SA, CRC Breeze Finance SA consists of a
portfolio of onshore wind farms located in Germany and to a lesser
extent, in France. As a result, they share the same regulatory
framework, with fixed feed-in-tariffs. They have equally suffered
from considerable over-estimation of their wind resources.
Additionally, the seasonality of wind yield, combined with equal
semi-annual principal repayments, has led to shortfalls at the
autumn payment dates. This has resulted in deferrals on the class B
notes and drawings on the class A notes' DSRA for both
transactions.

Compared with Breeze Finance SA, whose class B bonds mature in
2027, CRC Breeze Finance SA class B's scheduled maturity was 2016
but payments can be deferred until the class A bonds reach their
maturity in 2026. However, Fitch does not see this as a significant
benefit for Breeze Finance SA as the high number of deferrals,
their subordination to the class A notes and the fully depleted
class B notes' DSRA mean a full repayment of the class B bonds
remains unlikely. Fitch believes that the ratings of the two
transactions should be aligned as a result, at 'CCC' for the class
A notes and 'CC' for the class B notes.

RATING SENSITIVITIES

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

Class A: weak wind conditions, a material decline in availability
or a lasting increase in operating costs triggering further
significant drawdowns on the class A DSRA.

Class B: default becoming imminent or inevitable. Restructuring
proposal put to the bondholders to materially reduce the terms of
class B bonds.

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

An upgrade of either class at this point appears unlikely.

CREDIT UPDATE

Performance Update

There were no drawdowns under the DSRA during the last year given
the good levels of production during last winter and strong cost
control, but Fitch expects further drawdowns. The current class A
reserve balance is below 50% of the target balance.

COVID-19 Not Affecting Operations
The portfolio has not suffered any major impact from the COVID-19
pandemic. In some location's adjustments were made to adapt to the
lockdown in terms of logistic and worker availability, although
there were no events that affected the portfolio operations.

FINANCIAL ANALYSIS

Fitch Cases

Fitch's base and rating cases are based on historical average
revenues. This assumption changes over time in Fitch's reviews, as
the project yields more historical data. Fitch's rating case also
includes an additional 15% stress on costs.
Fitch's cases do not factor in a reduction in market prices
forecast due to the COVID-19 pandemic, as the portfolio is not
exposed to market risk during 2020-2021.

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).


LSF11 SKYSCRAPER: S&P Affirms Prelim 'B' ICR, Outlook Stable
------------------------------------------------------------
S&P Global Ratings affirmed its preliminary 'B' rating on
construction chemicals company LSF11 Skyscraper Holdco S.a.r.l and
assigning a preliminary '3' (60%) recovery rating to the proposed
euro-denominated TLB add-on.

With additional gross debt, Skyscraper has less leeway to achieve
its operational targets.

The stable outlook reflects S&P's expectation that Skyscraper will
continue to deliver its business strategy and gradually improve
profitability, restoring leverage below 6.5x through 2021, seen as
commensurate with the rating, while maintaining solid cash flow
conversion.

S&P said, "While the proposed TLB add-on of EUR300 million is
moderate compared with the EUR1.485 billion already issued in July,
we expect it will increase adjusted debt to EBITDA to 6.9x in 2020
from 6.6x under our previous base case. EUR100 million of proceeds
from the add-on are earmarked for general corporate purposes and
for replacing existing cash management lines at local entities. The
remaining EUR200 million will refinance part of the U.S.
dollar-denominated TLB tranche, which has a higher interest rate.
We view the proposed refinancing as leverage neutral.

"The transaction also means that the company will need to gradually
increase adjusted EBITDA above EUR300 million, in line with our
current base case, for its credit metrics to remain commensurate
with the current rating. In our view, a sustained recovery in
global construction demand and the successful implementation of
Skyscraper's several operational initiatives will be key in meeting
these milestones in the coming months. We understand that the
company has achieved close to EUR15 million in cost savings as of
August 2020, out of the EUR30 million initially targeted for the
year. We continue to view some inherent execution risk in the
company's transition to a stand-alone entity.

"The final ratings will depend on our receipt and satisfactory
review of all final documentation and final terms of the
transaction."

The preliminary ratings should therefore not be construed as
evidence of the final ratings. The ratings will be converted to
final provided that final terms and conditions of the structure are
in line with S&P's preliminary assumptions. Potential changes
include, but are not limited to, changes in the acquisition's
perimeter, utilization of the proceeds, maturity, size and
conditions of the facilities, financial and other covenants,
security, and ranking. The rating conversion to final will also
require S&P's review of full audited accounts when available.

S&P said, "The stable outlook reflects our expectation that
Skyscraper will continue to deliver its business strategy and
gradually improve profitability. It also takes into account that
leverage -- after peaking at 6.9x in 2020 due to weak demand in the
construction market and including the add-on -- will likely drop
toward 6.5x in 2021 and below thereafter. This will be driven by
EBITDA growth in 2021 underpinned by gradual realization of the
cost-savings program and a moderate increase in volumes or unit
prices realized across the group, supported by gradual recovery of
construction markets. Furthermore, we expect the company will
maintain its solid cash flow conversion by maintaining free
operating cash flow (FOCF) to debt at least above 5%. Given the
even higher starting leverage, we estimate rating leeway is limited
as we approach the transaction's close, relying largely on
improvement trends."

S&P could lower the preliminary rating in the absence of a gradual
improvement in organic EBITDA above EUR300 million. This could
occur if carve-out-related cost savings and the benefits from
operational initiatives were delayed or demand from the
construction market materially deteriorated. Such a scenario would
likely result in a marked cut in reported FOCF to below EUR50
million, translating into potential pressure on liquidity, and in
adjusted debt to EBITDA sustainably above 6.5x. Rating pressure
could also stem from the private equity sponsor's adoption of a
more aggressive financial policy, as shown, for example, by
shareholder distributions or large debt-funded acquisitions.

Rating upside is fairly remote given the starting leverage level.
An upgrade would require a strong record of EBITDA improvement
driven by improving market fundamentals--construction demand,
market shares, and raw material prices--and faster realization of
carve-out cost savings and operational initiatives. It would also
require a strong and explicit commitment from the private equity
owner to maintain adjusted debt to EBITDA below 5x.




===========
N O R W A Y
===========

PGS ASA: S&P Cuts ICR to 'SD' From 'CCC' on Principal Nonpayment
----------------------------------------------------------------
S&P Global Ratings lowered its long-term issuer credit rating on
Norwegian based oilfield services company PGS ASA to 'SD'
(selective default) from 'CCC'.

S&P views the extension of PGS's maturity for its RCF as a
distressed exchange given the company's weak liquidity position.
On Sept. 18, 2020, PGS agreed to extend the maturity of its $135
million RCF by one week. As of June 30, 2020, the company had about
$170 million cash on the balance sheet (excluding $75 million that
it is obliged to maintain as per the RCF covenant), compared with
maturities of about $140 million by the end of September. This
extension should also be considered in the wider context of the
negotiations between the company and its lenders amid a severe
downturn in the seismic industry.

Negotiations with lenders could lead to a new capital structure.
S&P said, "We understand PGS aims to quickly secure a new capital
structure that is more in line with the company's weak performance.
The new structure might include a new maturity profile. As of June
30, 2020 the company's capital structure included reported net debt
of $900 million. Under our base-case scenario, we expect adjusted
debt to EBITDA well above 6x in the coming quarters, a level we
consider unsustainable."

S&P said, "We could raise the rating to as high as 'CCC+' once an
agreement on the capital structure has been completed, assuming we
don't foresee a path to default and view the company's new
liquidity position as comfortable.   Once the company completes the
restructuring or comes to an agreement with its lenders, we will
reassess the ratings based on the new capital structure and debt
maturity profile."




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

LEPENKA: Bankruptcy Supervision Agency Invites Bids for Assets
--------------------------------------------------------------
SeeNews reports that Serbia's Bankruptcy Supervision Agency is
inviting bids for the sale of assets of insolvent paper and
cardboard producer Lepenka, it said.

The Bankruptcy Supervision Agency said in a statement on Sept. 21
the estimated value of the assets of Lepenka is RSD541.1 million
(US$5.4 million/EUR4.6 million) and interested investors will be
able to place their bids until Oct. 30, SeeNews relates.

According to SeeNews, the agency said the list of assets put up for
sale includes the production factory and offices in Novi Knezevac,
equipment and current assets.

A deposit of RSD108.2 million is required to participate in the
bidding, SeeNews notes.

Lepenka was declared bankrupt in June 2017, SeeNews recounts.




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

LORCA TELECOM: Fitch Rates New EUR720MM Secured Notes 'BB(EXP)'
---------------------------------------------------------------
Fitch Ratings has assigned Lorca Telecom Bondco, S.A.U.'s senior
secured notes of EUR720 million an expected rating of
'BB(EXP)'/RR2/73%. The issuer is a subsidiary of Lorca Holdco
Limited (Lorca; B+(EXP)/Stable), which is the investment vehicle of
a private equity sponsor consortium bidding for the takeover of
Masmovil Ibercom S.A (MM; BB-/Rating Watch Negative; RWN). The bid
was approved by the Spanish securities regulator CNMV on 29 July
2020.

The notes will be structured as senior secured obligations, will
benefit from the same collateral and guarantee package and rank
pari passu with Lorca's term loan B, which was upsized to EUR2.2
billion in August 2020 and is rated 'BB(EXP)'/RR2. The amount of
notes issuance, together with the upsized term loan B, is in line
with Fitch's expectation for the assumed capital structure of
EUR3.0 billion secured debt to finance the acquisition bid price
and refinance MM's existing debt in full.

The assignment of final ratings to the senior secured notes and the
(Lorca Finco Plc) term loan B is contingent on the receipt of final
documents conforming to information already reviewed.

KEY RATING DRIVERS

Solid Operating Profile: MM has constructed the country's
second-largest fibre to the home (FTTH) network in a country with
Europe's most advanced levels of fibre build. It has done this by
combining traditional build capex with a series of partnership
agreements encompassing shared ownership (or network swaps), hybrid
indefeasible rights of use (long-term fibre leases)/bitstream
access and creating joint ventures with infrastructure funds.

It has taken a similar approach in mobile, combining owned capex
with a series of national roaming agreements, and achieved
market-leading scale and network quality in both fixed and mobile.
Key operating performance indicators and financial results have
been strong and consistent with growth targets. In other
circumstances, the business profile and cash flow visibility
provide scope for a higher rating, subject to the capital
structure.

Orange Network Agreement: In October 2019, MM announced a
significant expansion of its network sharing arrangements with
Orange S.A. (BBB+/Stable). The agreement covers all envisaged
future 5G mobile needs, with its national roaming agreement
extended to 2028 (with the option to extend to 2033). The expansion
of its FTTH agreement effectively converts bitstream access
covering 5.2 million business units to a hybrid fibre
coinvestment/bitstream access model, including the option to
acquire the business units under an indefeasible right of use in
2030.

The agreement increases MM's owned fibre network to 14.2 million
homes passed by 2020 and the company expects to achieve opex
savings of EUR30 million by 2020 and full run-rate savings of EUR40
million from 2021. Incremental capex of EUR180 million will be
spread over four years.

Lyca Acquisition: MM closed the acquisition of Lycamobile Espana in
June 2020. The virtual mobile network operator (MVNO) has 1.5
million subscribers and posted revenue of EUR132 million, EBITDA of
EUR45 million in 2019 and a margin of 34%. MM is paying EUR361
million for the high-margin MVNO and expects to generate synergies
of EUR30 million. Fitch views the transaction as a sound investment
and one that immediately increases its mobile base to 9.6 million
subscribers from 8.0 million, based on 1Q20 mobile subscribers,
proforma for the deal. Synergies will mainly come from moving
Lyca's customers on to the MM network and are deliverable, in
Fitch's view.

2021 Leverage, Free Cash Flow Profile: Assuming the bid goes ahead,
Fitch expects Lorca to have funds from operations (FFO) net
leverage of 4.5x by 2021, falling to 3.9x by 2022. With the company
continuing to invest relatively high levels of capex through to
2021 the business is expected to turn Fitch-defined free cash flow
(FCF) positive in 2022. Forecast metrics for 2021 combining
heightened leverage and the absence of FCF are consistent with a
'B+' rating.

Deleveraging capacity will benefit from Lyca synergies, along with
efficiencies from the various partnership agreements. Upward rating
pressure, whether an upgrade or Outlook revision, may be expected,
subject to 2022 planned performance remaining on track as 2021
progresses.

Established Market Challenger: Fitch views MM as an established
challenger operator in the Spanish telecoms market, which has built
scale through a series of acquisitions and consistent organic
growth. MM is in a good position to offer fixed and mobile
convergent services through a flexible network strategy. At
end-June 2020, the company had nine million mobile subscribers and
an 18% share of the residential mobile market. Fitch estimates that
MM's share of mobile service revenue was 10% at end-2019. In fixed
broadband, its 1.5 million users represent a 10% share, a figure
that is growing as MM consistently acquires the majority of market
net additions.

Competitive but Rational Market: The Spanish telecoms market is
competitive but rational. MM is the challenger to the three leading
companies, Telefonica, Orange and Vodafone Group Plc (BBB/Stable),
all of which have similar subscriber market shares. MM's tariff
structures do not materially undercut the competition. Fitch views
MM's commercial strategy as being more similar to that of Poland's
PLAY (P4 Sp. z o.o.) than the disruptive behaviour seen previously
in France and more recently Italy. In this respect, Fitch views
Spain's competitive environment as more similar to the UK's in
terms of intensity.

Network Strategy: MM takes a hybrid approach to network and service
coverage, combining a significant amount of its own network build
and access to other mobile networks, with regulated wholesale and
commercial agreements, and network-sharing in fixed. Its mobile
network covers 98.5% of the population (fully upgraded to 4G) while
mobile national roaming agreements with two of the other three
mobile network operators provide full coverage.

Its fixed operations provide ultra-high-speed broadband access to
25.2 million homes (of which 13.8 million at end-June 2020 were on
its owned network compared with 6.1 million at end-2018). The
company aims to expand its network to gain access to all of the
country's 28 million premises with FTTP by 2024. These plans have
been significantly upgraded in the past year.

Fitch views the regulatory environment around fibre investment as
positive with regulated access to Telefonica's network and ducts at
attractive rates, along with the promotion of co-investment and
network sharing. MM has taken advantage of these dynamics with a
hybrid strategy, which aims to provide access in different regions
via the most efficient cost structure available. It has gained
significant subscriber momentum in broadband taking almost all the
market net additions in 2018, based on data from the Spanish
telecoms regulator.

Lorca Debt Recoveries: Fitch has adopted a going-concern approach
with respect to expected recovery ratings in relation to the Lorca
financing package. Fitch assumes a post-distress EBITDA of EUR565
million leading to a post-distress enterprise value of around
EUR2.5 billion, based on a distressed EV multiple of 5x and
administrative charge of 10%. A capital structure that assumes
EUR3.0 billion of senior secured debt, comprising EUR2.2 billion
term loan B and EUR720 million notes, and that the EUR500 million
pari passu revolving credit facility (RCF) is fully drawn results
in recoveries of 73%, a recovery rating of RR2 and instrument
rating of 'BB(EXP)'.

DERIVATION SUMMARY

In operational terms, MM is comparable, albeit at an earlier stage
in its business life cycle, with a peer group that includes Swiss
operator Sunrise Communications Group AG (BBB-/RWN), and
Fitch-rated European cable operators, which are largely grouped
around the 'BB-'/'B+' level. MM has similar revenue scale to most
in the peer group but slightly lower EBITDA margins and higher
investment needs given the investment in connecting fibre
subscribers. It has far higher growth potential than most in the
peer group for whom markets are largely saturated. Fitch expects
MM's challenger business model in a market that continues to offer
growth in penetration and subscribers to lead to strong FCF
generation and good deleveraging capacity.

KEY ASSUMPTIONS

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

  - Revenue growth of 7.5% in 2020 and 12% in 2021

  - Adjusted EBITDA margin (pre-IFRS 16) to improve to 28.8% in
2020 and 34.9% in 2021 driven by acquisition synergy and cost
savings from new wholesale agreements

  - Negative working capital of EUR174 million-EUR183 million in
2020-2022 reflecting the payment instalments to fibre
co-investments with other operators

  - Capex/sales ratio to remain high at 34% and 22% in 2020 and
2021, respectively, before decreasing to the mid-teens when fibre
network investment has been largely completed

Key Recovery Rating Assumptions for Lorca Holdco Limited

  - Fitch uses a going-concern approach in its recovery analysis,
assuming that the company would be considered a going-concern in
the event of a bankruptcy

  - A 10% administrative claim

  - Post-restructuring going-concern EBITDA estimated at EUR565
million, 20% below its 2021 forecast EBITDA, reflecting distress
caused by failure of subscriber gains

  - Fitch uses an enterprise value (EV) multiple of 5.0x to
calculate a post-restructuring valuation

  - Recovery prospects are 73% for the EUR 3 billion senior secured
debt at Lorca Finco PLC, which consists of

EUR2.2 billion term loan B and EUR800 million senior secured notes.
Ranking pari passu to the senior secured debt, Fitch assumes a
fully drawn RCF of EUR500 million.

RATING SENSITIVITIES

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

  - FFO net leverage below 4.3x on a consistent basis.

  - Cash from operations (CFO) less capex as a percentage of gross
debt consistently at or above 4%.

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

FFO net leverage above 5.3x on a consistent basis.

  - CFO less capex as of a percentage of gross debt consistently at
or below 1%.

LIQUIDITY AND DEBT STRUCTURE

Comfortable Liquidity: At end-June 2020, MM had a cash balance of
EUR248 million. Assuming the LBO bid goes ahead, Lorca's liquidity
will be supported by a EUR500 million RCF fully undrawn in the new
capital structure. Additionally, Fitch expects the business to be
cash generative from 2022. The Lorca secured term loan and notes
have long-dated maturity and due in 2027.

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.


LORCA TELECOM: Moody's Rates New EUR720MM Secured Notes 'B1'
------------------------------------------------------------
Moody's Investors Service assigned a B1 rating to Lorca Telecom
Bondco, S.A.U.'s EUR720 million new guaranteed senior secured notes
due 2027. Lorca Telecom Bondco, S.A.U. is a wholly owned subsidiary
of Lorca Holdco Limited, the ultimate parent of Masmovil Ibercom,
S.A. (Masmovil), the fourth largest telecom operator in Spain. The
outlook is stable.

Proceeds from the proposed notes will be used to finance the
takeover offer of Masmovil by a consortium of private equity funds
and to refinance existing bank debt.

RATINGS RATIONALE

The B1 rating on the proposed senior secured notes is in line with
the group's B1 corporate family rating (CFR) assigned to Lorca
Holdco Limited.

The B1 CFR reflects: (1) the strategic rationale of the recently
announced network related transactions, which increase capex
efficiencies reducing cash investments, and enhance the scale and
competitive position of Masmovil; (2) Masmovil's track record of
revenue growth; (3) the quality of the company's management and the
successful execution of its challenger strategy in Spain since its
establishment in 2006; (4) its objective to grow its fixed telecom
business, while maintaining strong growth in mobile, partially
underpinned by its fibre-to-the-home (FTTH) co-investment and
wholesale agreements; (5) its smart non-disruptive price strategy,
which takes advantage of an increasingly polarized market (low-end
price-sensitive and premium customers); and (6) its efficient cost
structure supported by network related contracts that allow
Masmovil to benefit from owner-economics and achieve EBITDA margins
approaching 30% in 2020.

The credit profile is constrained by: (1) the relatively high
Moody's adjusted gross leverage at transaction closing of 5.6x; (2)
Moody's expectation of negative free cash flow generation through
2021; (3) the increasingly competitive operating environment in
Spain, which raises some uncertainties in relation to the revenue
growth beyond 2021; (4) its position as the fourth-largest company
in the Spanish telecom market and its moderate scale; (5)
significant reliance on wholesale agreements resulting from the
hybrid (owned, co-shared and access to third-party infrastructure)
network business model, which also increases the complexity of the
analysis of Masmovil's operating and financial profile; (6) the
lack of rich TV content in its offering; (7) exposure to the three
bigger Spanish operators striving to defend market shares; and (8)
event risk given its acquisitive track record, with a history of
material debt-financed M&A.

LIQUIDITY

Masmovil's liquidity is adequate, supported by an estimated cash
balance of EUR248 million as of June 2020 and a EUR500 million
revolving credit facility (RCF) due 2027 assigned at Lorca Finco
PLC which will remain undrawn. The RCF has a springing leverage
covenant at 8.0x, tested when drawings exceed 40%. Following the
repayment of the existing debt and the issuance of the new notes,
the company will not have any debt maturities until 2027.

STRUCTURAL CONSIDERATIONS

Lorca Holdco Limited's probability of default rating of B1-PD is in
line with the CFR, reflecting the use of a family recovery rate of
50%. The B1 rating on the new notes, issued by Lorca Telecom
Bondco, S.A.U., the first lien term loan B and the first lien
revolving credit facility, issued by Lorca Finco PLC are in line
with the B1 CFR, given that these represent the vast majority of
financial debt in the new capital structure. All the debt ranks
pari passu and benefits from the same security package, which
mainly consists of share pledges.

RATIONALE FOR STABLE OUTLOOK

Due to the high starting leverage post transaction, Masmovil's B1
rating is initially weakly positioned in the category, with limited
headroom for deviation relative to Moody's expectations.

The stable outlook on the ratings reflects Moody's expectation that
the company will de-lever towards 4.4x by 2021, driven by EBITDA
growth and that EBITDA margins (Moody's adjusted) will improve
towards 35% over the next two years.

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

Upward rating pressure could be exerted over time if the company
delivers on its business plan with an improved operating
performance and revenue trends while it demonstrates a conservative
financial policy driving sustained deleveraging, such that its
Moody's-adjusted gross debt/EBITDA falls sustainably below 3.75x
and its free cash flows/debt ratio significantly improves.

Downward rating pressure could emerge if: (1) Masmovil's operating
performance deteriorates leading to weaker credit metrics, such as
Moody's-adjusted gross debt/EBITDA sustainably above 4.75x; (2) the
company conducts large debt-funded M&A or shareholder
distributions; or (3) liquidity deteriorates significantly.

LIST OF AFFECTED RATINGS

Issuer: Lorca Telecom Bondco, S.A.U

Assignment:

Backed Senior Secured Regular Bond/Debenture, Assigned B1

Outlook Action:

Outlook, Assigned Stable

PRINCIPAL METHODOLOGY

The principal methodology used in this rating was
Telecommunications Service Providers published in January 2017.

COMPANY PROFILE

Masmovil Ibercom, S.A., headquartered in Madrid (Spain), is the
fourth largest telecommunications operator in Spain offering
fixed-line, mobile and broadband services to residential and
business customers. The company has 9 million customers and
operates through its main brands: Yoigo, Masmovil, Pepephone,
Llamaya, Lebara and Lycamobile. In 2019, Masmovil generated revenue
and EBITDA of EUR1.7 billion and EUR468 million, respectively.




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

ARCHANT: Creditors Back Company Voluntary Arrangement
-----------------------------------------------------
David Sharman at HoldtheFrontPage.co.uk reports that creditors have
backed a pension transfer proposal put forward by a regional
publisher as part of a takeover deal.

Archant has announced its creditors have voted in favor of its
Company Voluntary Arrangement plan, which will see the publisher's
defined benefit pension scheme move into the Pension Protection
Fund, HTFP relates.

According to HTFP, the PPF, a "lifeboat" scheme set up by the
government to provide pension benefits to members of schemes whose
sponsoring employers have become insolvent, will take a 10% equity
stake in Archant as a result.

The deal, announced last month, saw London-based investment firm
Rcapital take a 90% stake in the business, HTFP notes.

Two of Archant's holding companies -- Archant Limited and Archant
Community Media Holdings Limited -- were placed into administration
as a result of the move, HTFP recounts.

The vote saw 94% of all voting creditors choosing to approve the
CVA, surpassing the 75% total required in order to pass the
resolution, HTFP states.


BRITISH AIRWAYS: S&P Affirms 'BB' ICR, Outlook Negative
-------------------------------------------------------
S&P Global Ratings affirmed its 'BB' issuer credit rating on
British Airways PLC (BA), following the same rating action on its
parent International Consolidated Airlines Group, S.A. (IAG). BA is
the largest airline owned by IAG.

S&P is also affirming its 'A' issue rating on BA's 2013-1 class A
Enhanced Equipment Trust Certificates (EETC) and its 'A+' and 'BBB'
issue ratings on BA's 2019-1 class AA and class A EETCs. The
negative outlook mirrors that on IAG, because of the airline's
integral relationship with the group.

BA's EBITDA and credit metrics will remain under considerable
pressure in the next few quarters. S&P said, "Our base case now
assumes that global air passenger numbers will be 60%-70% lower in
2020 than in 2019. This represents a steeper decline than the
50%-55% we estimated previously. In our view, there will be only a
slow and bumpy air traffic recovery, depending on local travel
constraints, including quarantine rules or mandatory testing for
COVID-19. Most importantly, we anticipate a delayed and sluggish
recovery of long-haul and corporate bookings, which are typically
BA's most-profitable segments." Under normal operating conditions,
BA deploys about 80% of its capacity on long-haul international
flights. Travel, entry, and quarantine restrictions have been in
place between the U.K. and the U.S. since March this year,
disrupting BA's key transatlantic network while undermining its
revenue generation and profitability.

S&P said, "Although BA is cutting costs, executing
operating-efficiency initiatives, and drastically reducing
capacity, we think these factors will be insufficient to
counterbalance the revenue collapse in 2020. The airline's plans to
reduce the size of its operations include a target to reduce its
employee expense by almost a quarter by 2022, mainly through
redundancy. The airline has already furloughed its staff through
government employee support schemes, and has reduced salaries,
including those of management and the board. It also plans to
reduce its route network in noncore markets and adjust its BA
CityFlyer capacity in line with the lower demand for business
travel. Although BA's steep cut in capacity will reduce its fuel
bill, the airline had also overhedged its fuel volume position this
year. Given the sharp decline in fuel prices, BA therefore faces
fuel hedging losses, which we treat as an operating expense, and
which will depress EBITDA even further. We forecast that BA's S&P
Global Ratings-adjusted EBITDA this year will be negative by about
GBP1 billion-GBP1.5 billion, compared with its positive adjusted
EBITDA of GBP3.1 billion in 2019."

The situation is likely to be aggravated by high working capital
needs because of continued ticket refunds and sluggish bookings. As
a result, operating cash flows are forecast to be significantly
negative in 2020 and debt will accumulate. S&P forecasts adjusted
debt will almost double, to GBP7 billion-GBP7.5 billion, by
year-end 2020 (as compared with GBP3.7 billion in 2019) and remain
elevated at this level in 2021. As such, BA's credit metrics will
remain under considerable pressure in the next few quarters.

BA will cut capital expenditure (capex) and other discretionary
spending to limit cash burn and preserve adequate liquidity.  The
IAG group including BA has deferred the delivery of 68 new
aircraft, which were due to arrive in 2020-2022. As demand for
long-haul travel will take longer to recover, BA has retired some
of its wide-body fleet--specifically, 32 of its Boeing 747s--and
has temporarily grounded some of its Airbus 380s and Boeing 772s.

S&P said, "We believe that BA should have sufficient liquidity to
withstand the pandemic. The airline's fleet capex for this year is
fully funded and we estimate that BA had GBP2.1 billion in cash and
cash equivalents in June. The airline demonstrated its access to
external funding. It obtained additional financing in the form of a
GBP300 million Bank of England Covid Corporate Financing Facility
(CCFF) in April and a $750 million (about GBP600 million
equivalent) syndicated secured bridge loan in May. Most
importantly, we expect that IAG will be willing and able to
downstream cash to bolster BA's liquidity in case of need, such
that BA's sources will continue to cover uses by at least 1.2x in
the 12 months from June 30, 2020. We assess IAG's liquidity as
strong, underpinned by the most recent capital increase of EUR2.74
billion, which resulted in a total liquidity position of about
EUR9.8 billion, as adjusted by S&P Global Ratings. Under our base
case, IAG's liquidity sources will exceed uses by 1.8x-1.9x in the
12 months from June 30, 2020.

"BA's credit metrics could rebound in 2021.  We assume a strong
rebound in air traffic in second-half 2021, underpinned by our
current view that a vaccine or effective treatment for COVID-19
will become widely available and restore passenger confidence in
flying. That said, we still expect 2021 air passenger traffic to be
30%-40% below the 2019 level, while we foresee a recovery to
pre-COVID-19 levels only by 2024. We anticipate that BA's earnings
will rebound considerably in 2021, albeit at a slower pace than we
projected in May, because of our revised air traffic assumptions.
Adjusted EBITDA is now expected to rise to GBP1.4 billion-GBP1.5
billion and support adjusted funds from operations (FFO) to debt
recovering to about 15% in 2021, but stay far below the 2019 level
of 70%. That said, S&P Global Ratings acknowledges a high degree of
uncertainty about the evolution of the pandemic, and how the
resulting recessionary trends and impact on passenger volumes will
affect our forecasts.

"Our outlook on BA is driven by that on IAG, because of the
airline's integral relationship with the group.

"The negative outlook reflects our view that IAG's financial
metrics will be under considerable pressure in the next few
quarters due to difficult operating conditions. In addition, there
is high uncertainty regarding the pandemic and economic recession,
and their impact on air traffic demand, and IAG's financial
position and liquidity.

"We would lower the rating if the recovery of passenger demand is
delayed or appears to be structurally weaker than expected, placing
further pressure on IAG's credit metrics; and if we expect that
adjusted FFO to debt won't recover to at least 12% in 2021. This
could occur if the pandemic cannot be contained, resulting in
prolonged lockdowns and travel restrictions, or if passengers
remain reluctant to book flights.

"While we currently don't see liquidity as a near-term risk, we
would lower the rating if air traffic does not recover in line with
our expectations, external funding becomes unavailable for IAG, and
management's proactive efforts to adjust operating costs and
capital investments are insufficient to preserve at least adequate
liquidity, such that sources of liquidity exceed uses by more than
1.2x in the coming 12 months.

"We could also lower the rating if industry fundamentals weaken
significantly for a prolonged period, impairing IAG's competitive
position and profitability.

"To revise the outlook to stable, we would need to be confident
that demand is normalizing and the recovery is robust enough to
enable IAG to partly restore its financial strength, such that
adjusted FFO to debt increases sustainably to at least 12%,
alongside a stable liquidity position. We would expect this to be
further underpinned by prudent capital spending and shareholder
returns."


CARTWRIGHT GROUP: Enters Administration, 490 Jobs Affected
----------------------------------------------------------
Carol Millett at MotorTransport reports that Cartwright Group has
gone into administration resulting in 490 redundancies at S
Cartwright & Sons (Coachbuilders) and Cartwright Fabrications and
the sale of subsidiaries Cartwright Finance, Cartwright Fleet
Service and Cartwright Rentals to Contract Vehicles, the commercial
vehicles division of leasing and fleet management firm Zenith.

According to MotorTransport, the sale of the businesses and their
assets also sees 259 employees transferred to the new owner.  They
will continue to trade as part of Zenith, MotorTransport notes.


CLAVIS SECURITIES 2006-01: Fitch Affirms B Rating on 8 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed eight tranches of Clavis Securities Plc
Series 2006-1 and 13 tranches of Clavis Securities Plc Series
2007-1. Fitch has also revised the Outlook on the junior B2 class
of Clavis Securities Plc Series 2007-1 notes to Negative from
Stable.

RATING ACTIONS

Clavis Securities plc Series 2006-01

Class A3a XS0255457706; LT Bsf Affirmed; previously at Bsf

Class A3b XS0255438748; LT Bsf Affirmed; previously at Bsf

Class B1a XS0255425927; LT Bsf Affirmed; previously at Bsf

Class B1b XS0255440728; LT Bsf Affirmed; previously at Bsf

Class B2a XS0255426818; LT Bsf Affirmed; previously at Bsf

Class M1a XS0255424441; LT Bsf Affirmed; previously at Bsf

Class M1b XS0255439043; LT Bsf Affirmed; previously at Bsf

Class M2a XS0255425414; LT Bsf Affirmed; previously at Bsf

Clavis Securities plc Series 2007-01

Class A3a XS0302268361; LT AAAsf Affirmed; previously at AAAsf

Class A3b Currency Swap Obligation; LT AAAsf Affirmed; previously
at AAAsf

Class A3b XS0302269096; LT AAAsf Affirmed; previously at AAAsf

Class AZa XS0302268445; LT AAAsf Affirmed; previously at AAAsf

Class B1a XS0302270268; LT A+sf Affirmed; previously at A+sf

Class B1b Currency Swap Obligation; LT A+sf Affirmed; previously at
A+sf

Class B1b XS0302271829; LT A+sf Affirmed; previously at A+sf

Class B2 XS0302270342; LT BBB+sf Affirmed; previously at BBB+sf

Class M1a XS0302269682; LT AAAsf Affirmed; previously at AAAsf

Class M1b XS0302270854; LT AAAsf Affirmed; previously at AAAsf

Class M2a XS0302270185; LT AA+sf Affirmed; previously at AA+sf

Class M2b Currency Swap Obligation; LT AA+sf Affirmed; previously
at AA+sf

Class M2b XS0302271662; LT AA+sf Affirmed; previously at AA+sf

TRANSACTION SUMMARY

The transaction comprises non-conforming UK mortgage loans
originated by GMAC-RFC.

KEY RATING DRIVERS

Coronavirus-Related Alternative Assumptions

Fitch expects a generalised weakening in borrowers' ability to keep
up with mortgage payments due to the economic impact of the
coronavirus pandemic and the related containment measures. As a
result, Fitch applied alternative coronavirus assumptions to the
mortgage portfolio.

The combined application of revised 'Bsf' representative pool
weighted average foreclosure frequency (WAFF) revised rating
multiples and arrears adjustment resulted in a multiple to the
current FF assumptions of 1.4x at 'Bsf' and 1.1x at 'AAAsf'. The
alternative coronavirus assumptions are more modest for higher
rating levels as the corresponding rating assumptions are already
meant to withstand more severe shocks

Fitch also applied a payment holiday stress for the first six
months of projected collections, assuming 25% of interest
collections will be lost and related principal receipts will be
delayed. This reflects overall the current payment holiday
percentage data reported in the investor reports. The payment
holiday percentage for these pools as of June 15, 2020 is 21.8% in
Clavis 2006-1, and 25.7% in Clavis 2007-1.

Short-Dated Note Maturity

The Clavis 2006-1 pool includes loans with a maturity date later
than the legal final maturity date of the class A3a and A3b notes
for an amount of GBP 330,000. In Fitch's analysis, the ability of
the transaction to make full repayments to the class A3a and A3b
notes by the legal final maturity date is primarily constrained by
its low prepayment rate assumption. This assumption is not usually
a key rating driver because the notes' legal final maturity dates
extend beyond the scheduled loan maturity dates. Under Fitch's
standard low prepayment rate assumption, the class A3a and A3b
notes are not fully repaid by legal final maturity.

However, Fitch believes the notes still benefit from a margin of
safety as applying prepayments in line with historical observed
ones would allow repaying the notes. The agency therefore concluded
that the current 'Bsf' rating of the notes is still appropriate.

The ability of the transaction to make repayment on the class A3a
and A3b notes by the legal final maturity date will also depend on
the extent to which the relatively small number of loans (almost 1%
of the pool) scheduled to mature after the legal final maturity
date are subject to default and prepayment.

This maturity risk drives the ratings of Clavis 2006-01 notes and
results in Fitch assigning an Environmental, Social and Governance
(ESG) Relevance Score of '5' for Transaction & Collateral
Structure.

Limited Increase in Credit Enhancement

Pro-rata conditions are currently being met in Clavis 2006-1 and
Clavis 2007-1 due to the consistent performance of both
transactions. The reserve funds are not amortising, due to Clavis
2006-1 having reached the reserve fund floor and irreversible
performance trigger breach for Clavis 2007-1. As a result, credit
enhancement has been increasing slightly in both transactions and
is expected to rise further in the medium term.

A 10% sequential switch back to sequential amortisation is in place
only in 2007-1, providing further expectations of credit
enhancement build-up in the last stage of the transaction.

Weakening Asset Performance

Loans that are one month or more in arrears have been increasing in
the last collection period. In Clavis 2006-1 this metrics rose from
8.8% in March 2020 to 11.7% in June 2020 and in Clavis 2007-1 from
10.5% in to 13.0% in the same period. The level of arrears is still
well below the peak reached in 2011 and 2012. Late stage
delinquencies have been historically lower than other non-prime
market peers. Fitch applies a foreclosure frequency floor for loans
in arrears to account for the increased default risk.

RATING SENSITIVITIES

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and potential
upgrades. Fitch tested an additional rating sensitivity scenario by
applying a decrease in the FF of 15% and an increase in the RR of
15%. The results indicate an up to three notches upgrade for the
junior notes of Clavis 2007-1. If the loans maturing after the
legal final maturity of the A notes prepay the notes could be
upgraded by several notches.

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

The broader global economy remains under stress due to the
coronavirus pandemic, with surging unemployment and pressure on
businesses stemming from social-distancing guidelines. Recent
government measures related to the coronavirus pandemic initially
introduced a suspension on tenant evictions for three months and
mortgage payment holidays, also for up to three months. Fitch
acknowledges the uncertainty of the path of coronavirus-related
containment measures and has therefore considered more severe
economic scenarios.

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 assumed a 15% increase in WAFF and
a 15% decrease in WARR. The results indicate a three- to four-notch
downgrade for the mezzanine and junior notes.

The economic impact of the coronavirus pandemic could hit
considerably borrower affordability, especially in legacy
portfolios where borrowers are locked in paying high interest in
their mortgage loans. The transactions' performance may be affected
by such changes in market conditions and the general economic
environment. A weakening economic environment is strongly
correlated with increasing levels of delinquencies and defaults
that could reduce CE available to the notes.

Unanticipated declines in recoveries could also result in lower net
proceeds, which may make certain notes' ratings susceptible to
potential negative rating actions depending on the extent of the
decline in recoveries. Fitch conducts sensitivity analyses by
stressing both a transaction's base-case FF and RR assumptions and
by examining the rating implications on all classes of issued
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
pools and the transactions. 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 pool ahead of the transaction's initial
closing. The subsequent performance of the transaction over the
years is consistent with the agency's expectations given the
operating environment, and Fitch is therefore satisfied that the
asset pool information relied upon for its initial rating analysis
was adequately reliable.

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

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

Clavis Securities transactions have an ESG Relevance Score of '4'
for "Human Rights, Community Relations, Access & Affordability" due
to a significant proportion of the pool containing owner-occupied
loans advanced with limited affordability checks, which has a
negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

Clavis Securities plc Series 2006-01 ESG Relevance Score for
Transaction & Collateral Structure was changed to '5' to reflect to
reflect maturity risk related to transaction structure and
short-rated notes, which prevents the notes from achieving a
'AAAsf' rating.

Except for the matters discussed, 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 the way in which they
are being managed by the entity(ies).


INTERNATIONAL CONSOLIDATED AIRLINES: S&P Affirms 'BB' ICR
---------------------------------------------------------
S&P Global Ratings affirmed its 'BB' ratings on International
Consolidated Airlines Group, S.A. (IAG) and its unsecured debt.

The negative outlook reflects S&P's view that IAG's financial
metrics will be under considerable pressure in coming quarters due
to difficult trading conditions. Additionally, there is high
uncertainty regarding the pandemic and economic recession, and
their impact on air traffic demand and IAG's financial position and
liquidity.

S&P said, "We expect IAG will report a substantial OCF deficit in
2020 due to the pandemic, before returning to positive OCF in 2021.
Although IAG is cutting costs, executing operating-efficiency
initiatives, and drastically reducing capacity, among other
measures, and should benefit from a lower fuel bill (forecast at
EUR3.2 billion-EUR3.3 billion in 2020 versus EUR6.0 billion in
2019), we think these factors will be insufficient to
counterbalance the collapse in revenue in 2020. Our fuel cost
forecast includes losses from ineffective fuel hedges, which we
treat as operating expenses and that were caused by lower fuel
prices, and an over-hedged fuel position after a significant cut in
capacity. We estimate that IAG's adjusted EBITDA will be markedly
negative in 2020, compared with EUR5.4 billion in 2019. This,
aggravated by working capital needs, which could be material
because of continued ticket refunds and sluggish forward bookings,
will result in significantly negative OCF in 2020. IAG's bookings
across Europe started to recover in June, albeit from a nearly
complete halt during April and May, but flattened in July. This is
consistent with our view of a slow and bumpy recovery continuing,
depending on local travel constraints, including quarantine rules
or mandatory testing for COVID-19, in particular in IAG's home
markets. Furthermore, we anticipate a delayed and sluggish recovery
of long-haul bookings on account of travel restrictions to North
and South America, as well as corporate traffic, which normally are
IAG's most profitable segments." As such, IAG's EBITDA and credit
metrics will remain under considerable pressure in the next few
quarters.

IAG's efforts to contain costs, bolster its capital structure, and
safeguard cash should offset the slower rebound in passenger
volumes, contribute to the group's financial recovery in 2021, and
help to preserve the 'BB' rating.   The surge in adjusted debt will
be offset to some extent by delays or cuts to capital expenditure
(capex) for new planes and other discretionary projects (total
spending to EUR2.7 billion in 2020 down from the EUR4.2 billion
scheduled before the pandemic), and a capital increase of EUR2.74
billion in gross proceeds. S&P said, "We forecast IAG's S&P Global
Ratings-adjusted debt will increase to about EUR12.0 billion by
year-end 2020 from about EUR7.4 billion in 2019, but it is well
below our May 2020 forecast of EUR15.0 billion. Furthermore, we
envisage IAG's operating performance improving in 2021, albeit at
slower pace than we projected in May because of our slashed air
traffic assumptions, with adjusted EBITDA rising to EUR2.8
billion-EUR2.9 billion (May forecast EUR3.0 billion-EUR3.5
billion). We assume a strong rebound in air traffic in second-half
2021, underpinned by our current view that a vaccine or effective
treatment for COVID-19 will become widely available and restore
passenger confidence in flying. Our revised base-case supports our
unchanged view that adjusted funds from operations (FFO) to debt
will rebound to the rating-commensurate level of 15%-20% in 2021,
but stay far below the 2019 level of 65%." However, low visibility
regarding the pandemic, recessionary trends, and their impact on
passenger volumes adds a significant degree of uncertainty to our
forecasts.

IAG started 2020 with more financial leeway and a larger liquidity
buffer than many peers and was able to maintain strong liquidity
thus far.   S&P said, "We continue to view IAG as one of the
financially strongest groups in the airline industry, with total
liquidity of EUR7.1 billion as of Aug. 31, 2020, comprised of
EUR5.8 billion of cash and deposits and EUR1.3 billion of undrawn
committed general and aircraft facilities maturing beyond 12
months, as adjusted by S&P Global Ratings. Liquidity was further
boosted by EUR2.74 billion in gross proceeds from the capital
increase IAG completed on Sept. 10, 2020, to a pro forma total
liquidity position of about EUR9.84 billion. IAG demonstrates its
proactive treasury management, continued access to capital markets,
and ability to safeguard liquidity, underpinned by its most recent
equity raising. We also acknowledge IAG's determination and
flexibility to defer capex for new planes and suspend shareholder
remuneration, with a focus on preserving cash and restoring its
credit measures."

S&P said, "The negative outlook reflects our view that IAG's
financial metrics will be under considerable pressure in the next
few quarters due to difficult operating conditions. In addition,
there is high uncertainty regarding the pandemic and economic
recession, and their impact on air traffic demand and IAG's
financial position and liquidity.

"We would lower the rating if the recovery of passenger demand is
delayed or appears to be structurally weaker than expected, placing
further pressure on IAG's credit metrics; and if we expect that
adjusted FFO to debt won't recover to at least 12% in 2021. This
could occur if the pandemic cannot be contained, resulting in
prolonged lockdowns and travel restrictions, or if passengers
remain reluctant to book flights.

"While we currently don't see liquidity as a near-term risk, we
would lower the rating if air traffic does not recover in line with
our expectations, external funding becomes unavailable for IAG, and
management's proactive efforts to adjust operating costs and
capital investments are insufficient to preserve at least adequate
liquidity, such that sources of liquidity exceed uses by more than
1.2x in the coming 12 months.

"We could also lower the rating if industry fundamentals weaken
significantly for a prolonged period, impairing IAG's competitive
position and profitability.

"To revise the outlook to stable, we would need to be confident
that demand is normalizing and the recovery is robust enough to
enable IAG to partly restore its financial strength, such that
adjusted FFO to debt increases sustainably to at least 12%,
alongside a stable liquidity position. We would expect this to be
further underpinned by prudent capital spending and shareholder
returns."


J CREW: To Permanently Close All Six of UK Stores
-------------------------------------------------
Sarah Butler at The Guardian reports that the fashion chain J Crew
is to permanently close all six of its UK stores in the latest exit
by a US retailer.

The brand, known for its preppy style, has appointed FRP advisory
as liquidators to its UK business, which has a head office in
London and employs nearly 80 staff, The Guardian relates.

According to The Guardian, a spokesperson for J Crew said: "After a
thorough review, we have determined we are best able to serve our
UK customers through our global e-commerce platform and are closing
our six store locations in the country.  We thank our UK associates
for their dedication during this unprecedented time and are working
to support their transition."

J Crew's exit from the UK comes after its parent group this month
emerged from Chapter 11, the US form of bankruptcy, after winning
approval for a plan to cut its debts, The Guardian notes.  The
brand was forced to restructure in May after falling out of favor
with US shoppers who have turned to cheaper European rivals such as
Zara and H&M, The Guardian recounts.


PINNACLE BIDCO: Fitch Cuts GBP430MM Senior Secured Notes to 'B-'
----------------------------------------------------------------
Fitch Ratings has affirmed Pinnacle Bidco plc's (Pure Gym)
Long-Term Issuer Default Rating (IDR) at 'B-'. The Outlook remains
Negative. Fitch has also downgraded Pure Gym's GBP430 million
senior secured notes to 'B-' with Recovery Rating of 'RR4' from 'B'
with 'RR3'.

The downgrade of the ratings on the secured notes reflects the
company's addition of revolving credit facility (RCF) commitments,
which increased super senior debt that ranks ahead of the secured
notes, thus reducing recovery expectations to average in the event
of default.

The Negative Outlook is driven by the lack of visibility over
recovery, despite the initial encouraging signs since re-opening of
gyms in the UK and Europe. This is due to near-term uncertainty
about the spread of the coronavirus and high macroeconomic
uncertainty given rising unemployment despite the resilience
demonstrated in previous crisis. Fitch could revise the Outlook to
Stable once Fitch sees further evidence of steady business recovery
in tandem with a better macroeconomic outlook.

The 'B-' rating continues to reflect Pure Gym's very high leverage
position, its mostly negative cash flows, which are partly offset
by a materially improved liquidity position following a cash
injection from shareholders and an increased RCF, and weak
fixed-charge cover ratios. This is balanced by its solid market
position as the second-largest fitness and gym operator in Europe,
and improved geographic diversification after gaining presence in
four European countries after its acquisition of Fitness World.

KEY RATING DRIVERS

Low Visibility on Membership Recovery: Fitch expects slower
membership recovery, especially in the UK, to 87% of the previous
year's level by end-2020 and 97% on average in 2021. This compares
with 98% by end-2020 and 100% in 1Q21 under its previous forecasts.
Membership levels returned to 80% of the 2019 level for England in
September 2020, but lockdowns lasted longer and membership levels
were below its expectations of 80% when re-opening at 74%.

The Negative Outlook is driven by risks to continued membership
recovery from the uncertain macroeconomic environment, rising
unemployment and continued spread of coronavirus that could cause
attrition of members amid further lockdowns, even if these are
mostly localised.

Strengthening Liquidity: Pure Gym has a strong liquidity position
to withstand slower membership recovery in the UK and further local
lockdowns, following the GBP50 million additional RCF commitments
and a GBP100 million equity injection. This will give Pure Gym room
to continue investing in growth. Therefore, Fitch assumes capex to
be GBP50 million higher over the next three years compared with
previous forecasts. Pro-forma available liquidity of GBP278 million
at 28 August 2020 was well above the GBP165 million when entering
pandemic, despite the sizeable amount of deferred payments to be
made.

Early Signs in EBITDA Improvement: Pure Gym's EBITDA loss of GBP13
million in 1H20 was better than Fitch's forecast for a GBP40
million EBITDA loss, due to stronger cost mitigation, government
support and some revenue from re-opened markets. The company also
had GBP50 million in deferred payments, which helped to cut weekly
cash burn to GBP1.3 million until June 2020, from GBP9 million
unmitigated weekly cash burn and well ahead of Fitch's estimate of
GBP5.2 million. Pure Gym reported it returned to profit in August
2020 on an adjusted EBITDA basis (post cash rents, excluding
exceptionals). However, the possibility of renewed and more
widespread lockdowns in autumn and winter are a risk to
profitability's recovery over at least the next six months.

Fitch's EBITDA measure is after exceptional costs and lease expense
proxy (adjusting for IFRS16 impact in line with its Corporate
Rating Criteria). Lease expense is calculated as the sum of right
of use asset amortisation and interest cost relating to leases.

Delayed Deleveraging: Fitch expects FFO adjusted gross leverage to
reduce to 8.8x in 2021, and below 7.5x in 2022, assuming
disciplined expansionary capex. The 2021 leverage forecast is above
its previous forecast of 7.6x as it includes the 1.1x impact from
the computation of lease-capitalisation (post-IFRS 16 in line with
Fitch's criteria). The impact on following years is lower at
0.7-0.8x, assuming the same differential between Fitch-estimated
lease cost and cash rental cost. FFO adjusted gross leverage
trending below 8.0x with signs of steady deleveraging thereafter
will be strong grounds for the Outlook reverting to Stable.

Value Business Model: Fitch expects Pure Gym's value business model
to perform better in a recession than that of traditional peers.
Monthly fees are typically 50% lower than for traditional private
operators and there are no membership contracts with notice
periods. Fitch believes this provides Pure Gym with a competitive
advantage as consumer preferences shift to seek lower-cost
propositions during a recession. The business model is strengthened
by Pure Gym's variable pricing strategy, which allows the group to
preserve margins while competing with local peers.

Limited Execution Risks: Fitch expects the profitability of the
combined Pure Gym and Fitness World group to be lower than Pure
Gym's standalone profile, because Fitness World has a higher share
of staff costs and is less digitally driven than Pure Gym. Fitch
expects the combined group's FFO margin to return to above 15% in
2022. Management expects only modest synergies, mainly in
procurement and sharing best practices. Fitch believes that the
acquisition poses some execution risks, but they are manageable, as
Pure Gym operated solely in the UK and had no direct market
experience in continental Europe.

Growing Value Gym Market: The rating reflects Pure Gym's position
in one of the fastest-growing segments of the gym market. The
European fitness market grew by 3% in 2019, according to the
European Health and Fitness Market Report. The growth is primarily
driven by the value segment and, to a lower extent, by the premium
segment. The value segment in the UK is expected to grow and Pure
Gym is well-positioned to benefit from these trends.

DERIVATION SUMMARY

Pure Gym's IDR reflects the group's position as the second-largest
gym and fitness operator in Europe following the acquisition of
Fitness World. It operates on higher EBITDAR margins than the
median for Fitch-rated gym operators, including those within its
credit opinion food/non-food retail/leisure portfolios, due to its
scale and a value business model. Pure Gym has been taking market
share mainly from mid-market peers, due to its competitive
pricing.

Leverage is high at a forecast 8.8x on a FFO gross lease-adjusted
basis in 2021, amid coronavirus-related disruptions, in line with
similar leisure credits in the low 'B' rating category.
Historically, the company's development programme has involved
significant capex that reduces free cash flow (FCF) available for
deleveraging, constraining the rating. However, Pure Gym's
cash-flow conversion, and hence its deleveraging capability, are
structurally better than high-street retailers.

Like other leisure credits, such as Cineworld Group PLC
(B-/Negative), Pure Gym enjoys a strong position in core markets
and has a cash-generative business model, despite hefty capex to
either expand or invest in equipment. Cineworld is exposed to
financial volatility as it depends on the success of film releases
and to changing secular trends, while Pure Gym is characterised by
a smaller scale but relatively better profitability and cost
flexibility, even though both credits are exposed to discretionary
consumer spending.

KEY ASSUMPTIONS

Fitch's Key Assumptions Within Its Rating Case:

  - Fitch expects nine new gym openings in 2H20 followed by 37 new
gym openings per annum between 2021 and 2024

  - Fitch forecasts 10 regional site closures per month due to
local lockdowns amid coronavirus flare-ups

  - Average members per gym expected to be around 5% below the 2019
figure by the end of 2020, driven by cancellations during the
lockdown period. After 2021, Fitch expects average members per gym
to decline gradually, driven by a large number of new gym openings
and a higher share of small-format boxes that have lower
capacities.

  - Sales to decline by 36% in 2020 due to gym closures for several
months across all geographies and membership cancellations
following the coronavirus outbreak.

  - EBITDA margin to decline to 5.7% for 2020 as there were only
limited revenue streams to cover the fixed costs that were not
mitigated during the lockdown period. In 2021, Fitch expects EBITDA
margin to improve to 20.3% but still remain well below 2019 levels
of 27.4% due to increased cleaning costs and new gym openings,
which are still ramping-up. Fitch expects EBITDA to gradually
improve thereafter resulting from the maturation of new gyms and
cost-efficiency measures.

  - Capex to be around GBP50 million in 2020 and GBP88 million on
average thereafter to fund new site openings and refurbishment
projects.

  - No dividends, no acquisitions

  - 2019 financials reported under IFRS16. Fitch derives the
Fitch-adjusted "ongoing lease charge" from the interest on lease
liability payments of GBP29 million (reclassified as opex) and
depreciation on leased assets of GBP20.8 million (added back).

KEY RECOVERY RATING ASSUMPTIONS

The recovery analysis assumes that Pure Gym would be reorganized as
a going-concern in bankruptcy rather than liquidated.

Fitch has assumed a 10% administrative claim.

The going-concern EBITDA estimate reflects Fitch's view of a
sustainable, post-reorganisation EBITDA level upon which Fitch base
the valuation of the company.

Pure Gym's going-concern EBITDA is based on 2022 projected EBITDA
to reflect the profits from the acquisition of Fitness World and
recovery from the coronavirus impact. In comparison to previous
forecasts, the capex estimate is slightly higher with 15 more new
gym openings, while profitability is expected to be lower. This
leads to the same post-restructuring EBITDA of GBP103 million as
previously. This represents a discount by about 20% from the 2022
projected EBITDA, reflecting intensifying competitive dynamics
(partly offset by the relatively resilient format given its lower
price point but lack of contracts).

The current Fitch-distressed EV/EBITDA multiples for other gym
operators in the 'B' rating category have been around 5x to 6x.
Fitch recognises that the company has a leading market share in the
growing value gym market and this justifies a 5.5x multiple,
although Pure Gym currently does not have any unique
characteristics that would allow for a higher multiple, such as a
significant unique brand, or undervalued real-estate assets.

The GBP50 million increase in RCF commitments brings the total to
GBP145 million. These commitments rank super-senior to the senior
secured notes, and are assumed to be fully drawn upon default.

After deducting 10% for administrative claims, its principal
waterfall analysis generates a ranked recovery for senior secured
debt in the 'RR4' category, leading to a 'B-' rating. The waterfall
analysis output percentage based on current metrics and assumptions
is 43% (previously 51%).

RATING SENSITIVITIES

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

  - Strengthening of operational performance metrics across core
geographies and sustained recovery of membership numbers
post-pandemic

  - FFO margin trending above 15% and FFO fixed charge cover above
1.3x on a sustained basis

  - FFO adjusted gross leverage below 8.0x by 2022 with signs of
steady deleveraging thereafter

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

  - Deterioration of liquidity due to impact from a second wave of
coronavirus infections, or a more-severe than expected recession

  - Loss of revenue and decline in profitability due to economic
weakness, increased competition and pressure on pricing leading to
FFO margins consistently below 15% and FFO fixed charge cover below
1.0x

  - FFO adjusted gross leverage staying above 8.0x beyond 2021

LIQUIDITY AND DEBT STRUCTURE

Strong Liquidity: Pure Gym managed its cash burn well during the
coronavirus outbreak, with available liquidity declining only
slightly by the end-June 2020 to GBP147 million from GBP165 million
at 23 March 2020. Pro-forma available liquidity of GBP278 million
was strong at 28 August 2020 following a GBP50 million increase in
RCF commitments and GBP100 million in equity injections. This would
allow the group to withstand further lockdowns, and could also be
used for expansionary capex and to fund negative FCF

The company has no refinancing needs in the near term as the GBP145
million RCF is due in 2024, the bridge (post extension) and GBP430
million senior secured notes mature in 2025.

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).


PREMIER OIL: ARCM Plans to Auction US$200MM Debt
------------------------------------------------
Clara Denina at Reuters reports that three sources said Premier
Oil's biggest lender, hedge fund Asia Research and Capital
Management (ARCM), plans to auction US$200 million of the energy
producer's debt ahead of a US$530 million equity raise by the
company.

ARCM, which holds more than 15% of Premier's debt instruments,
would retain about US$240 million of the company's debt if the
auction succeeds, Reuters discloses.  According to Reuters, one of
sources said the bid deadline is set for Friday, Sept. 25.

With net debt of close to US$2 billion, Premier is seeking US$530
million in fresh equity and needs at least US$325 million for its
creditors to extend current debt maturities, Reuters relays.

A source with knowledge of the matter told Reuters on Sept. 25 that
the company had received indicative, non-binding support in excess
of a targeted US$325 million for the capital increase.

One of the sources said ARCM is looking to sell some of the debt
because of concerns about Premier's ability to restructure, Reuters
notes.

A second source said it is uncertain whether the hedge fund will
find buyers for the debt while the company is looking to raise
cash, Reuters relates.


SEADRILL PARTNERS: PwC LLP Raises Substantial Going Concern Doubt
-----------------------------------------------------------------
Seadrill Partners LLC filed with the U.S. Securities and Exchange
Commission its annual report on Form 20-F, disclosing a net loss of
$187 million on $750 million of total operating revenues for the
year ended Dec. 31, 2019, compared to a net income of $74 million
on $1,038 million of total operating revenues for the year ended in
2018.

The audit report of PricewaterhouseCoopers LLP states that the
Company does not have access to sufficient cash from operating
sources or other sources to meet its significant debt obligation
maturing in the first quarter of 2021 that raise substantial doubt
about its ability to continue as a going concern.

The Company's balance sheet at Dec. 31, 2019, showed total assets
of $5,680 million, total liabilities of $3,156 million, and $2,524
million in total equity.

A copy of the Form 20-F is available at:

                       https://is.gd/BhS2I1

Seadrill Partners LLC, an offshore drilling contractor, provides
offshore drilling services to the oil and gas industry.  Its
primary business is the ownership and operation of drillships,
semi-submersible rigs and tender rigs for operations in shallow to
ultra-deepwater areas in both benign and harsh environments.  The
company was founded in 2012 and is headquartered in London, the
United Kingdom.


WELLESLEY FINANCE: Taps Duff & Phelps to Draw Up CVA
----------------------------------------------------
Ali Hussain at The Times reports that thousands of investors in
bonds issued by a firm run by a descendant of the Duke of
Wellington's brother stand to lose all their money unless they
agree to a rescue deal.

Wellesley Finance, founded by Graham Wellesley, the 8th Earl
Cowley, encouraged ordinary savers to put millions of pounds into
property development projects, many of which have stalled during
the pandemic, The Times discloses.

According to The Times, the company was on Sept. 22 set to inform
its 11,882 investors, owed about GBP118 million, that all bond
payments will freeze.

The business has hired Duff & Phelps, the restructuring specialist,
to draw up a company voluntary arrangement (CVA) to avoid what it
said would be a "disorderly wind-down and likely insolvency which
would result in an inferior outcome for all investors", The Times
relates.


WEST BROMWICH: Moody's Alters Outlook on Ba3 Ratings to Negative
----------------------------------------------------------------
Moody's Investors Service affirmed West Bromwich Building Society's
Baseline Credit Assessment of ba3, as well as the society's
long-term local- and foreign-currency deposit ratings of Ba3, its
short-term local- and foreign-currency deposit ratings at Not Prime
("NP"), and the ratings on its Permanent Interest-Bearing Shares
(PIBS) at Ca(hyb). Moody's also affirmed West Brom's Counterparty
Risk Assessment (CR Assessment) of Ba1(cr)/NP(cr) and Counterparty
Risk Ratings (CRRs) of Ba2/NP. The outlook on the long-term deposit
ratings was changed to negative from positive.

RATINGS RATIONALE

The affirmation of West Brom's BCA of ba3 reflects its (1) strong
capitalisation; (2) solid retail funding base; but also its (3)
weak profitability and efficiency levels; and (4) high stock of
problem loans. These problem loans are driven by the society's
legacy commercial lending portfolio, which, although declining,
still exposes the society to increased risks as a result of the
business disruption and economic shocks caused by the coronavirus
crisis. Moody's regards the coronavirus outbreak as a social risk
under its ESG framework, given the substantial implications for
public health and safety. The UK banking sector represents one of
the sectors affected by the outbreak, which Moody's expects to
result in weaker profitability and asset quality.

Also incorporated in West Brom's ba3 BCA is its concentration of
revenue and risks in UK residential mortgages.

The affirmation of West Brom's Ba3 long-term local- and
foreign-currency deposit ratings continue to reflect (1) the
society's BCA of ba3; (2) moderate loss-given-failure, which does
not result in any uplift; and (3) a low probability of government
support from the Government of the United Kingdom (Aa2, negative),
which also does not result in any uplift. The affirmation of the
Ca(hyb) PIBS rating reflects the agency's view that West Brom is
unlikely to pay interest to the remaining PIBS holders over the
next 12-18 months.

OUTLOOK

Moody's changed the outlook on West Brom's long-term deposit
ratings to negative from positive, reflecting the rating agency's
view that the society's exposure to commercial real estate, and the
retail, hospitality and leisure sectors in particular, could result
in additional asset quality deterioration in the current economic
environment, in addition to that driven by weakening credit in its
mortgage book, leading to higher credit losses.

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

An upgrade is unlikely given the negative outlook. The outlook
could be revised to stable if West Brom demonstrates solid
financial performance over the next 12-18 months, without a
meaningful deterioration in asset quality and profitability, while
maintaining solid capitalisation, liquidity and funding.

West Brom's BCA could be downgraded in the event of (1) a material
deterioration in profitability and asset quality, and (2) a
deterioration in capitalisation or in its funding structure and
liquidity position. A downgrade of the society's BCA would likely
result in a downgrade of all ratings. West Brom's deposit ratings
could also be downgraded in response to a reduction in the volume
of debt or deposits that could be bailed in, which would increase
loss-given-failure for depositors.

LIST OF AFFECTED RATINGS

Issuer: West Bromwich Building Society

Affirmations:

Long-term Counterparty Risk Ratings, affirmed Ba2

Short-term Counterparty Risk Ratings, affirmed NP

Long-term Bank Deposits, affirmed Ba3, outlook changed to Negative
from Positive

Short-term Bank Deposits, affirmed NP

Long-term Counterparty Risk Assessment, affirmed Ba1(cr)

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

Baseline Credit Assessment, affirmed ba3

Adjusted Baseline Credit Assessment, affirmed ba3

Preferred Stock Non-cumulative, affirmed Ca(hyb)

Outlook Action:

Outlook changed to Negative from Positive

PRINCIPAL METHODOLOGY

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



                           *********


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.

This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers.

Information contained herein is obtained from sources believed to
be reliable, but is not guaranteed.

The TCR Europe subscription rate is US$775 per half-year,
delivered via e-mail.  Additional e-mail subscriptions for
members of the same firm for the term of the initial subscription
or balance thereof are US$25 each.  For subscription information,
contact Peter Chapman at 215-945-7000.


                * * * End of Transmission * * *