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

                          E U R O P E

          Thursday, February 10, 2022, Vol. 23, No. 24

                           Headlines



F R A N C E

CARE BIDCO: Fitch Assigns Final 'B' LT IDR, Outlook Stable


G E R M A N Y

PLATIN 2025: S&P Assigns 'B' Issuer Credit Rating, Outlook Stable


I R E L A N D

AVOCA CAPITAL X: Fitch Affirms B- Rating on Class F-R-R Notes
AVOCA CLO XII: Fitch Affirms B- Rating on Class F-R-R Notes
CARLYLE EURO 2019-1: Fitch Raises Class E Notes Rating to 'B'
CONTEGO CLO VI: Fitch Affirms B- Rating on Class F-R Notes
CVC CORDATUS XII: Fitch Raises Class F Notes Rating to 'B'

HARVEST CLO XIV: Moody's Upgrades Rating on EUR12MM F Notes to Ba3
LAURELIN 2016-1: Fitch Affirms B- Rating on Class F-R Notes
MADISON PARK XIII: Fitch Affirms B- Rating on Class F Notes
MAN GLG VI: Moody's Affirms B3 Rating on EUR8.54MM Class F Notes
MAN GLG VI: S&P Affirms B- (sf) Rating on Class F Notes

MARINO PARK CLO: Moody's Affirms B3 Rating on EUR6MM Class E Notes
MARINO PARK: S&P Affirms B-(sf) Rating on EUR6MM Class E Notes
ROCKFORD TOWER 2018-1: Fitch Raises Class F Notes to 'B'
SOUND POINT V: Fitch Affirms B- Rating on Class F Notes


I T A L Y

CASTOR SPA: Fitch Assigns First-Time 'B' LT IDR, Outlook Stable


L U X E M B O U R G

ACU PETROLEO: Moody's Affirms Ba2 Rating on Senior Secured Notes


R O M A N I A

CITY INSURANCE: Bucharest Court Opens Bankruptcy Proceedings


R U S S I A

CHELYABINSK PJSC: Fitch Withdraws 'BB-' LT Issuer Default Rating


S L O V A K I A

NOVIS INSURANCE: S&P Affirms 'BB-' Long-Term ICR, Outlook Stable


T U R K E Y

COCA-COLA ICECEK: Moody's Withdraws B2 Corporate Family Rating


U N I T E D   K I N G D O M

BARLEY HILL NO. 2: S&P Puts Prelim B-(sf) Rating to X-Dfrd Notes
BARLEY HILL NO.2: Moody's Assigns (P)Ba2 Rating to Class E Notes
CANADA SQUARE 6: Moody's Assigns Ba3 Rating to GBP12.1MM X1 Notes
CANADA SQUARE 6: S&P Assigns B- (sf) Rating on 2 Note Classes
D&M MEATS: Enters Liquidation, Owes More Than GBP1.5 Million

DERBY COUNTY FOOTBALL: Turns to Insurance Policy to Avert Collapse
FORMENTERA ISSUER: Fitch Assigns Final B Rating to Class F Notes
FORMENTERA ISSUER: S&P Assigns BB(sf) Rating to Class F-Dfrd Notes
MIDAS GROUP: Enters Administration, Division Sold to Bell Group
PDR CONSTRUCTION: Moody Takes Over Treadmills Construction

POLARIS 2022-1: S&P Assigns B (sf) Rating to Cl. X1-Dfrd Notes
POLARIS PLC 2022-1: Moody's Assigns B1 Rating to GBP4.5MM Z Notes
RAINBOW UK: S&P Assigns 'B' Issuer Credit Rating, Outlook Stable
YORKSHIRE RESIN: Halts Trading, Goes Into Liquidation
[*] S&P Affirms 124 Ratings on 94 European Repack Transactions


                           - - - - -


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F R A N C E
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CARE BIDCO: Fitch Assigns Final 'B' LT IDR, Outlook Stable
----------------------------------------------------------
Fitch Ratings has assigned Care Bidco a final Long-Term Issuer
Default Rating (IDR) of 'B' with Stable Outlook. In addition, Fitch
has assigned its senior secured first- and second-lien loans final
instrument ratings of 'B+' with a Recovery Rating of 'RR3' and
'CCC+' with 'RR6', respectively.

The rating actions follow the full implementation of Care Bidco's
financial structure and the closing of the acquisition of Cooper
Consumer Health (Cooper) in November 2021. The final ratings follow
the receipt of documents conforming to information already
received. It also reflects a EUR50 million incremental facility
raised post-closing to fund the acquisition of Lashile Beauty,
which does not materially affect the expected ratings previously
assigned.

The 'B' IDR reflects Cooper's limited size, regional concentration,
and very high financial leverage which, if viewed in isolation,
would not be commensurate with the rating. Key rating strengths are
the established and strong market positions of Cooper in selected
regional over-the-counter (OTC) consumer health, and its specialist
brand portfolio with access to a protected and regulated retail
channel as supplier to pharmacies.

The Stable Outlook assumes a deleveraging path over the next four
years, based on the group's above- average profitability and strong
cash conversion versus peers', and conservative near-term capital
allocation creating some leverage headroom under the rating.

KEY RATING DRIVERS

Limited Covid-19 Impact: Similar to many pharma and consumer-health
groups, Cooper has overall seen limited impact from the pandemic on
its performance, as key retail channels for its products remained
unaffected by lockdowns. However, Fitch observes some shifts in
demand pattern as consumers adjusted their lifestyles under
lockdown, which has led to some working-capital volatility - in
line with the wider sector - which Cooper is currently working
through. Fitch does not expect the working-capital swings to have
any material detrimental impact on its solid free cash flow (FCF)
profile.

Resilient Trading: Fitch expects a strong trading recovery in 2022,
subject to milder Covid-19 restrictions. This follows operating
resilience seen through to December 2021, despite lower volumes in
the first part of the year, as Covid-19 related lockdowns and
curfews continued for longer than initially expected, reducing
retail footfall. Destocking market dynamics have benefited Cooper
from May 2021 with continued outperformance strengthening its
market position. Lower volumes and a shift in product mix to access
non-core markets resulted in 50bp lower EBITDA margins than Fitch's
initial expectations, although on a pro-forma basis this was
partially offset by inorganic contribution.

High Leverage Constrains Rating: Fitch's rating is constrained by
its high financial leverage with funds from operations (FFO) gross
leverage of around 10.0x at end-2021 following the EUR50 million
add-on first lien debt to fund strategic M&A. Such leverage, viewed
in isolation, is incompatible with the 'B' IDR. Therefore, the
rating is predicated on a steady deleveraging path post
acquisition, bringing FFO gross leverage to around 7.6x by 2023,
which is more in line with the rating. This reflects financial
discipline and conservative capital allocation and is underlined in
Fitch's Stable Outlook.

Defensive Business; Secular Growth: Cooper has established and
strong market positions in selected regional OTC consumer-health
markets, and its specialist brand portfolio enjoys access to a
protected and regulated retail channel as supplier to pharmacies.
These strengths balance its limited scale and geographic
diversification. Increasing demand for OTC consumer-health
products, due to an ageing population, focus on disease prevention
and a healthy lifestyle, as well as reimbursement pressures for
existing medicines, should allow Cooper to continue its organic
growth. Fitch assumes revenue growth of 5%-7% p.a., particularly as
it enhances its brand and portfolio management via innovation and
diversification, in addition to making bolt-on product
acquisitions.

Profitable, Cash-Generative Operations: Based on Fitch's solid
organic growth assumption, Fitch expects Cooper's EBITDA margin to
gradually increase towards 32% (from 30% in 2021) through to 2024,
which is above-average for consumer OTC producers and reflects the
protected specialist nature of the business as supplier to a select
and regulated retail channel (pharmacies). It also reflects
improving operating leverage, active portfolio and brand
management, and a broadening of distribution channels including
online. Cash generation is strong with normalised FCF in the low-
to mid- teens of sales adding to financial flexibility despite high
financial leverage.

Moderate M&A Execution Risks: Fitch expects continued, but
selective M&A to grow Cooper's business and diversification via
economies of scale and positive operating leverage. Fitch has
therefore modelled the group's Lashille acquisition from 2022 and a
combined acquisition spending of EUR72 million over Fitch's rating
case to 2024. Fitch expects acquisitions to focus on products,
acquiring established brands that can be integrated into the
existing platform and sold alongside the current portfolio as well
as inorganic growth that improves geographic reach in select
regions to broaden access to Cooper's brands. Fitch expects a
gradual and measured M&A strategy to limit associated execution
risks.

Protected and Regulated Market: Fitch views the continental
European pharmacy sector, which is the main retail channel for
Cooper, as highly fragmented with small specialist local operators.
Its core markets (France, Netherlands, Italy, and increasingly
Iberia) are highly regulated and protected, offering barriers to
entry and protecting Cooper's business model. This, however, also
constrains growth potential. Fitch believes organic growth will be
driven by portfolio optimisation, brand development, and optimised
distribution, in addition to positive secular trends for the sector
such as greater consumerisation of consumer-health products, an
ageing population, focus on prevention and healthy lifestyle.

Regulatory Risk to Specialist Retail: Cooper's business model, as
main OTC supplier to pharmacies, is subject to regulatory risk
affecting the sector, in addition to other developing retail
channels for consumer health OTC products, including online. Fitch
views, however, such risks as limited and project a stable
regulatory environment for Cooper's core markets to 2024.

DERIVATION SUMMARY

Fitch rates Cooper using its Ratings Navigator framework for
consumer companies, while applying some aspects specific for its
healthcare focus. Under this framework, Fitch recognises that its
operations are driven by marketing investments, a well-established
and diversified distribution network and R&D-led innovation
capability.

Compared with its closest peers, Cooper is rated in line with
Sunshine Luxembourg VII SARL (Galderma; B/Negative) as its smaller
scale and less diversified business profile is offset by its
superior profitability, stronger cash flow generation and lower
financial risk with an FFO gross leverage by 2022 of around 8.0x
versus around 9.0x at Galderma. Cooper is rated one notch lower
than Oriflame Investment Holding Plc (B+/Stable), supported by the
latter's stronger business profile and lower FFO gross leverage of
5.0x.

Relative to pharma company Pharmanovia Bidco Limited (Atnahs;
B+/Negative), Cooper is comparable in size and diversification
while Atnahs has higher EBITDA margins and lower leverage, which is
reflected in the one-notch rating differential.

KEY ASSUMPTIONS

Fitch's key assumptions within its rating case for the issuer
include:

-- Revenue growth of 18.8% in 2022, driven by gradual recovery
    from the Covid-19 impact and full-year contribution from the
    Lashile Beauty acquisition. This is followed by 5%-8% revenue
    growth, supported by 2%-3% of organic growth and new
    acquisitions;

-- EBITDA margin to gradually improve to around 32% by 2024,
    supported by improvement in operational efficiency and product
    mix;

-- Capex at 2%-2.5% of sales to 2024;

-- EUR24 million of bolt-on acquisitions per annum to 2024;

-- No dividends.

KEY RECOVERY RATING ASSUMPTIONS

The recovery analysis assumes that Cooper would remain a going
concern (GC) in the event of restructuring and that it would be
reorganised rather than liquidated. Fitch has assumed a 10%
administrative claim in the recovery analysis.

Fitch assumes a post-restructuring GC EBITDA of EUR130 million,
including pro-forma contribution from the Lashile Beauty and other
acquisitions, on which Fitch bases Cooper's enterprise value

Fitch assumes a distressed multiple of 6.0x, reflecting the group's
premium market positions and protected business model in the core
markets

Fitch assumes Cooper's multi-currency revolving credit facility
(RCF) would be fully drawn in a restructuring, ranking pari passu
with the rest of the senior secured first-lien loan

Our waterfall analysis generates a ranked recovery for first-lien
senior creditors in the 'RR3' band, indicating a 'B+' instrument
rating for the enlarged senior secured facilities, one notch above
the IDR. The waterfall analysis output percentage on current
metrics and assumptions is 62% for the senior secured first-lien
loans.

Fitch has assigned second-lien creditors a ranked recovery in the
'RR6' band, indicating a 'CCC+' instrument rating, two notches
below the IDR, reflecting the junior security ranking behind
first-lien creditors with a recovery percentage under Fitch's
waterfall of 0%

RATING SENSITIVITIES

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

-- Profitable and cash generative growth of the business
    combining organic with selective external growth leading to
    EBITDA margins remaining robust at around current levels
    (above 30%);

-- Solid profitability supporting continued strong cash
    conversion with healthy FCF margins in double digits;

-- A more conservative financial policy leading to FFO gross
    leverage below 6.0x, or total debt/EBITDA below 5.0x on
    sustained basis.

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

-- Deteriorating organic and/or unsuccessful inorganic growth
    leading to a gradual weakening EBITDA margins and single-digit
    FCF margins;

-- Inability or lack of commitment to reduce FFO gross leverage
    to below 8.0x by 2023, and ahead of major debt maturities, to
    below 7.0x by 2026;

-- Continuing aggressive financial policy resulting in total
    debt/EBITDA above 7.0x by 2023 or failure to deleverage with
    total debt/EBITDA below 6.0x by 2026.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Strong Liquidity: Fitch views Cooper's liquidity as strong,
supported by Fitch's expectation of strong FCF margins averaging
10%-15% between 2022 and 2024. In Fitch's liquidity analysis Fitch
has excluded EUR25 million of cash, which Fitch deems restricted
for daily operations and, therefore not available for debt service.
Fitch estimates that EUR33 million of the RCF was drawn at end-2021
will be repaid in 2022 and that its committed RCF of EUR160 million
will remain fully undrawn from 2022 onwards.

The debt structure is concentrated, albeit with long-dated
maturities with the RCF coming due only in 2027, its term loan B in
2028 and its second-lien loans in 2029.

ISSUER PROFILE

Cooper is a leading European OTC selfcare platform covering more
than 30 OTC consumer-health segments, managing a diversified
portfolio of international brands and local champions mainly in
France and The Netherlands.

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).



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G E R M A N Y
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PLATIN 2025: S&P Assigns 'B' Issuer Credit Rating, Outlook Stable
-----------------------------------------------------------------
S&P Global Ratings assigned its 'B' long-term issuer credit and
issue ratings to Germany-based Platin 2025 Investments (Syntegon)
and its proposed EUR1.03 billion senior secured term loan B (TLB).
The recovery rating on the loan is '3'.

The stable outlook reflects S&P's expectation that Syntegon will
increase revenue, gradually improve profitability, report adjusted
EBITDA margins exceeding 11% in 2022 and at above 12% by 2023,
maintain funds from operations (FFO) cash interest coverage at 2.5x
or higher, and reduce adjusted debt to EBITDA toward 6x over the
next 18 months.

Private-equity firm CVC acquired Germany-based Syntegon in January
2020 for an undisclosed amount and Syntegon, via its holding
company Platin 2025 Investments, is looking to refinance its
capital structure.

Syntegon, a leading manufacturer of critical pharma and food
processing and packaging systems, expects revenue of more than
EUR1.3 billion in 2021 and we anticipate Syntegon will post
adjusted debt to EBITDA at about 7.0x in 2022, with a gradual
deleveraging to about 6.0x in 2023.

Syntegon holds a leading market position in providing packaging and
process machinery for the pharmaceutical and food industries. S&P
considers Syntegon is well established in the packaging machinery
market and its targeted pharmaceutical and food market niches. The
company holds a 20%-25% market share among the top three players in
pharma packaging and a 10%-15% share among the top five food
packagers. Longstanding customer relationships and the requirement
for high standard quality in the pharma packaging market are
barriers to entry and customer churn is relatively rare. This is
somewhat offset by the food industry, in which customers switch
packaging manufacturers more frequently. Moreover, the service
sector in the food industry is very fragmented, and Syntegon faces
strong competition from a variety of different players, including
original equipment manufacturers, independent service providers,
and low-cost product suppliers. Competition in the service sector
for the pharma industry is rather low and barriers to entry are
higher due to the higher focus on quality and safety.

S&P said, "We believe services transformation and restructuring
costs will continue to weigh on profitability in 2022 and 2023. We
estimate restructuring costs at about EUR50 million over the next
24 months will weigh on our adjusted EBITDA margin. We forecast an
EBITDA margin of about 11.3% for 2022, increasing to 12.5%-13.0% in
2023 thanks to management's measures implemented. Furthermore, we
consider inflationary raw material costs have a limited impact on
profitability, given the company's long-term contracts with
suppliers and the ability to pass costs through to customers. In
total, services (excluding modernizations) generates about 30% of
revenue, so Syntegon's exposure is below that of competitors.
However, we anticipate the group will improve this business,
increasing market share by expanding its service offering and
increasing its penetration rate as a part of its transformation
plan. We believe this is a key factor of future EBITDA growth,
given that after-sales services are more profitable and resilient
than the sale of new equipment, and lead to regular income streams.
We expect new machinery sales to drive growth, while the growth of
the addressable service market is expected to slow, as machines in
the installed base reach the ends of their lifetime, usually after
about 30 years. With a penetration rate of about 20%-25%, Syntegon
lags the industry average of about 35%.

"The pharma and food businesses showed resilient demand during the
pandemic, and Syntegon's exposure to these businesses is credit
positive. The packaging machinery market is divided into several
sector-specific subsegments, with Syntegon focusing on the food and
pharmaceutical industries (EUR13 billion market volume). We believe
growth will come from the increasing demand for sterile vials for
vaccines as a result of the pandemic. Rising health and safety
standards and the increasing attention to sustainability, implying
the development of new machinery requirements, will support growth
in the food sector. We forecast the pharma packaging machinery
market will grow at a compound annual growth rate (CAGR) of 5.6% in
2020-2025, with Asia-Pacific as the regional growth driver (about
52% of pharma business in 2020). Meanwhile, we estimate the food
packaging machinery market will grow at a CAGR of 6.3% in
2020-2025. We understand that revenue and order intake during the
pandemic remained relatively resilient, despite the economic
slowdown, thanks to its exposure to stable food and pharma end
markets. We further understand that revenue levels have already
reached pre-pandemic levels and the last-12-months' order intake of
EUR1.473 billion is at a record high and up from about EUR1.28
billion in 2019 and 2020."

The refinancing will result in a highly leveraged capital
structure. Syntegon issued a new EUR1.03 billion TLB; a new EUR150
million revolving credit facility (RCF; pari passu to the TLB); and
a new EUR175 million pari passu guarantee facility. As of the
transaction's close, Syntegon has about EUR65 million of cash on
its balance sheet. The EUR150 million RCF is undrawn as of closing.
S&P forecasts S&P Global Ratings-adjusted debt to EBITDA will be
about 7x in 2022, declining to about 6x in 2023. S&P forecasts FFO
cash interest coverage of more than 2.5x over the same horizon.

S&P said, "Our rating on Syntegon is constrained by the group's
high leverage and private-equity ownership. We forecast Syntegon's
adjusted leverage at around 7x in 2022. We also factor into our
assessment the group's 100% ownership by private-equity firm CVC
and CVC's potentially aggressive strategy of using debt instruments
to maximize shareholder returns or undertake acquisitions. In our
adjusted debt calculation, we add to the new debt facilities about
EUR12 million of operating leases and about EUR50 million of
pension-related obligations. We do not net cash held, reflecting
the private-equity ownership.

"We expect the company to generate positive free operating cash
flow (FOCF) as it progresses in improving profitability and its
asset-light business model. We recognize Syntegon's moderate
capital intensity and working capital requirements leading to a
high cash conversion. Capital expenditure (capex) is expected to be
about EUR40 million annually (including EUR15 million of
capitalized costs) in 2022 and 2023, at 2%-3% of sales. Therefore,
we expect the company to generate positive FOCF of EUR40 million in
2022 and EUR78 million in 2023. We do not expect any
shareholder-friendly actions in the next two years. However, we do
not exclude Syntegon taking advantage of bolt-on acquisitions
financed from cash holdings to enlarge its business scope.

"The stable outlook reflects our expectation that Syntegon will
continue to deliver on its business strategy, increasing its
revenue and gradually improving profitability. We expect that
Syntegon will maintain adjusted EBITDA margins of 11% in 2022,
improving to above 12% in 2023. At the same time, we expect
adjusted debt to EBITDA to decline toward 6x over the next 18
months. We expect Syntegon will exhibit positive FOCF and FFO cash
interest coverage of more than 2.5x over the next 18 months, as
well.

"We could lower the rating if FFO cash interest coverage decreases
below 2.5x because of operational setbacks or a debt-financed
financial policy or acquisitions. We could also take a negative
rating action if Syntegon were unable to reduce leverage as
expected toward 6x or adjusted FOCF were materially weaker. Such a
development could occur if the company was unable to improve its
profitability and reach an EBITDA margin of more than 12% by 2023.

"We consider a positive rating action as unlikely over the next
12-18 months, but we could raise the rating if Syntegon were to
improve debt to EBITDA sustainably to around 5x, supported by
meaningful FOCF generation, a more conservative financial policy,
positive industry trends, and robust operating performance."

Environmental, Social, And Governance

ESG credit indicators: E-2, S-2, G-3

S&P said, "Environmental and social credit factors have no material
influence on our rating analysis of Syntegon (Platin 2025
Investments). Governance is a moderately negative consideration.
Our assessment of the company's financial risk profile as highly
leveraged reflects corporate decision making that prioritizes the
interests of the controlling owners, in line with our view of the
majority of rated entities owned by private-equity sponsors. Our
assessment also reflects their generally finite holding periods and
a focus on maximizing shareholder returns."




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I R E L A N D
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AVOCA CAPITAL X: Fitch Affirms B- Rating on Class F-R-R Notes
-------------------------------------------------------------
Fitch Ratings has upgraded Avoca Capital CLO X DAC's class D-R-R
and E-R-R notes and affirmed the rest. The class B-1-R-R through
F-R-R notes have been removed from Under Criteria Observation
(UCO). The Rating Outlook is Stable.

      DEBT                  RATING           PRIOR
      ----                  ------           -----
Avoca Capital CLO X DAC

A-R-R XS2305547908     LT AAAsf  Affirmed    AAAsf
B-1-R-R XS2305547817   LT AAsf   Affirmed    AAsf
B-2-R-R XS2305548112   LT AAsf   Affirmed    AAsf
C-R-R XS2305548542     LT Asf    Affirmed    Asf
D-R-R XS2305548385     LT BBBsf  Upgrade     BBB-sf
E-R-R XS2305548898     LT BBsf   Upgrade     BB-sf
F-R-R XS2305549276     LT B-sf   Affirmed    B-sf

TRANSACTION SUMMARY

Avoca Capital CLO X DAC is a cash flow CLO comprising mostly senior
secured obligations. The transaction is actively managed by KKR
Credit Advisors (Ireland) and will exit its reinvestment period in
January 2026.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria and the shorter risk horizon incorporated in Fitch's
updated stressed portfolio analysis. The analysis considered cash
flow modelling results for the current and stressed portfolios
based on the 31 December 2021 trustee report.

The rating actions are based on Fitch's updated stressed portfolio
analysis, which applied the agency's collateral quality matrix
specified in the transaction documentation. The transaction has
four matrices, based on 15% and 25% limits for top-10 obligor
concentration and 5% and 10% limits for fixed-rate assets. Fitch
analysed the matrix specifying the 15% top-10 obligor limit and 10%
fixed-rate assets as the agency viewed this as the most relevant,
based on the current and historical portfolios for this CLO.

The Stable Outlooks reflect Fitch's expectation that all notes have
sufficient levels of credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with current ratings.

Deviation from Model-Implied Ratings: The ratings on all notes,
except the class A-R-R and F-R-R notes, are one notch below their
respective model-implied ratings. The deviations reflect the long
remaining reinvestment period till January 2026, during which the
portfolio can change significantly due to reinvestment or negative
portfolio migration.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. The transaction is passing all coverage,
collateral-quality and portfolio-profile tests. Exposure to assets
with a Fitch-derived rating (FDR) of 'CCC+' and below is 2.5%,
excluding non-rated assets, as calculated by Fitch.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at 'B'/'B-'. The weighted
average rating factor (WARF), as calculated by the trustee, was
33.9, which is below the maximum covenant of 35. The WARF, as
calculated by Fitch under the updated criteria, was 25.3.

High Recovery Expectations: Senior secured obligations comprise
98.9% of the portfolio as calculated by the trustee. Fitch views
the recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch weighted
average recovery rating (WARR) reported by the trustee was 63.3%,
against a minimum covenant at 61.7%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top- 10 obligor
concentration is 11.4%, and no obligor represents more than 1.6% of
the portfolio balance, as reported by the trustee.

RATING SENSITIVITIES

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

-- An increase of the default rate (RDR) at all rating levels by
    25% of the mean RDR and a decrease of the recovery rate (RRR)
    by 25% at all rating levels in the stressed portfolio would
    result in downgrades of up to five notches, depending on the
    notes.

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in upgrades of up to five
    notches, depending on the notes.

-- Except for the tranches rated at the highest 'AAAsf', upgrades
    may occur in case of better-than- expected portfolio credit
    quality and deal performance, and continued amortisation that
    leads to higher CE and excess spread available to cover losses
    in the remaining portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

Avoca Capital CLO X DAC

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

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

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

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

AVOCA CLO XII: Fitch Affirms B- Rating on Class F-R-R Notes
-----------------------------------------------------------
Fitch Ratings has upgraded Avoca CLO XII DAC's class D-R-R and
E-R-R notes and affirmed the rest. The class B1-R-R through F-R-R
notes have been removed from Under Criteria Observation (UCO).

       DEBT                 RATING           PRIOR
       ----                 ------           -----
Avoca CLO XII DAC

A Loan                 LT AAAsf  Affirmed    AAAsf
A-R-R XS2315802392     LT AAAsf  Affirmed    AAAsf
B-1-R-R XS2315802558   LT AAsf   Affirmed    AAsf
B-2-R-R XS2315802715   LT AAsf   Affirmed    AAsf
C-R-R XS2315802988     LT Asf    Affirmed    Asf
D-R-R XS2315803101     LT BBBsf  Upgrade     BBB-sf
E-R-R XS2315803366     LT BBsf   Upgrade     BB-sf
F-R-R XS2315803523     LT B-sf   Affirmed    B-sf

TRANSACTION SUMMARY

Avoca CLO XII DAC is a securitisation of mainly senior secured
obligations with a component of senior unsecured, mezzanine and
second-lien loans. The portfolio is managed by KKR Credit Advisors
(Ireland) Unlimited Company and has a target par of EUR450
million.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria and the shorter risk horizon incorporated in Fitch's
updated stressed portfolio analysis. The analysis considered cash
flow modelling results for the current and stressed portfolios
based on the 31 December 2021 trustee report.

The rating actions are based on Fitch's updated stressed portfolio
analysis, which applied the agency's collateral quality matrix
specified in the transaction documentation. The transaction has
four matrices based on 10% and 0% maximum fixed-rate concentration
limits and 16% and 20% top-10 borrower concentration. Fitch
analysed both fixed-rate matrices that correspond to a top-10
obligor concentration at 16%, since the top-10 obligor
concentration of the portfolio is well below 16%.

The weighted average life (WAL) used for the transaction's stressed
portfolio and matrices analysis is reduced to 6.9 years after a
12-month reduction from the WAL covenant. This is to account for
structural and reinvestment conditions after the reinvestment
period, including the satisfaction of the coverage and Fitch 'CCC'
limit tests, together with a progressively decreasing WAL covenant.
In the agency's opinion, these conditions reduce the effective risk
horizon of the portfolio during stress periods.

The Stable Outlooks on the notes reflect Fitch's expectation of
sufficient credit protection to withstand potential deterioration
in the credit quality of the portfolio in stress scenarios that are
commensurate with the notes' ratings. Furthermore, the transaction
is still in its reinvestment period, so no deleveraging is
expected.

Model-Implied Rating Deviation: The ratings of the class B1-R-R to
E-R-R notes are one notch below their model-implied ratings (MIR).
The deviation reflects the remaining reinvestment period until
October 2025 during which the portfolio can change significantly,
due to reinvestment or negative portfolio migration.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. According to the trustee report, the transaction
is above par and is passing all coverage, collateral-quality and
portfolio- profile tests.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at 'B'/'B-'. The weighted
average rating factor (WARF) as calculated by the trustee was
33.83, which is below the maximum covenant of 35. The WARF as
calculated by Fitch under the updated criteria was 25.2.

High Recovery Expectations: Senior secured obligations comprise
98.8% of the portfolio as calculated by the trustee. 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) reported by the trustee was 63.8%,
against a minimum covenant at 62.5%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top- 10 obligor
concentration is 12.34%, and no obligor represents more than 1.52%
of the portfolio balance, as reported by the trustee.

RATING SENSITIVITIES

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

-- An increase of the rating default rate (RDR) at all rating
    levels by 25% of the mean RDR and a decrease of the rating
    recovery rate (RRR) by 25% at all rating levels in the
    stressed portfolio will result in downgrades of up to five
    notches, depending on the notes.

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in upgrades of up to one
    category, depending on the notes.

-- Except for the tranche already at the highest 'AAAsf' rating,
    upgrades may occur in the case of better- than-expected
    portfolio credit quality and deal performance that leads to
    higher CE and excess spread available to cover losses in the
    remaining portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

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

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

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

CARLYLE EURO 2019-1: Fitch Raises Class E Notes Rating to 'B'
-------------------------------------------------------------
Fitch Ratings has upgraded Carlyle Euro CLO 2019-1 DAC's class C to
E notes and affirmed the others. The class A-2A-R through E notes
have been removed from Under Criteria Observation (UCO).

      DEBT                 RATING           PRIOR
      ----                 ------           -----
Carlyle Euro CLO 2019-1 DAC

A-1-R XS2320696433    LT AAAsf  Affirmed    AAAsf
A-2A-R XS2320697084   LT AAsf   Affirmed    AAsf
A-2B-R XS2320697753   LT AAsf   Affirmed    AAsf
B-R XS2320698306      LT Asf    Affirmed    Asf
C-R XS2320699023      LT BBBsf  Upgrade     BBB-sf
D XS1936199758        LT BBsf   Upgrade     BB-sf
E XS1936199675        LT Bsf    Upgrade     B-sf

TRANSACTION SUMMARY

Carlyle Euro CLO 2019-1 DAC is a cash flow CLO comprising mostly
senior secured obligations. The transaction is actively managed by
CELF Advisors LLP and will exit its reinvestment period in
September 2023.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria and the shorter risk horizon incorporated in Fitch's
updated stressed portfolio analysis. The analysis considered cash
flow modelling results for the current and stressed portfolios
based on the 10 January 2022 trustee report.

The rating actions are based on Fitch's updated stressed portfolio
analysis, which applied the agency's collateral quality matrix
specified in the transaction documentation. The transaction has
four matrices but Fitch analysed both fixed-rate matrices that
correspond to a top-10 obligor concentration at 16% since the
top-10 obligor concentration of the portfolio has below 16%. In
analysing the matrices, the agency applied a 1.5% haircut to the
weighted average recovery rate (WARR), which was inflated by the
old recovery rate definition and hence not in line with the latest
criteria.

The weighted average life (WAL) used for the transaction's stressed
portfolio and matrices analysis is floored at six years post a
12-month reduction from the WAL covenant to account for structural
and reinvestment conditions after the reinvestment period,
including the satisfaction of the coverage and Fitch 'CCC' limit
tests, together with a steadily decreasing WAL covenant. These
conditions would, in the agency's opinion, reduce the effective
risk horizon of the portfolio during stress period.

The Stable Outlooks on all notes reflect Fitch's expectation that
the classes have sufficient credit protection to withstand
potential deterioration in the credit quality of the portfolio in
stress scenarios commensurate with their ratings. Further, the
transaction is still in the reinvestment period and thus no
deleveraging of the transaction is expected.

Model-Implied Rating Deviation: The ratings of the class A-2 to E
notes are one notch below their model- implied ratings (MIR). The
deviation reflects the remaining reinvestment period till September
2023 during which the portfolio can change significantly due to
reinvestment or negative portfolio migration.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance, passing all coverage, collateral-quality, and
portfolio-profile tests. Exposure to assets with a Fitch-derived
rating (FDR) of 'CCC+' and below is 3.4%, excluding non-rated
assets, as calculated by Fitch.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at 'B'/'B-'. The weighted
average rating factor (WARF) as calculated by the trustee was 34.9,
which is below the maximum covenant of 36.5. The WARF, as
calculated by Fitch under the updated criteria, was 25.9.

High Recovery Expectations: Senior secured obligations comprise
about 100% of the portfolio as calculated by the trustee. 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) reported by the trustee was
65.5%, against a minimum covenant at 64.5%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top- 10 obligor
concentration is about 13.1%, while the largest obligor represents
about 1.6% of the portfolio balance, as reported by the trustee.

RATING SENSITIVITIES

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

-- An increase of the rating default rate (RDR) at all rating
    levels by 25% of the mean RDR and a decrease of the rating
    recovery rate (RRR) by 25% at all rating levels in the
    stressed portfolio will result in downgrades of up to three
    notches, depending on the notes.

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in upgrades of up to three
    notches, depending on the notes.

-- Except for the tranche already at the highest 'AAAsf' rating,
    upgrades may occur in case of better-than- expected portfolio
    credit quality and deal performance that leads to higher CE
    and excess spread available to cover losses in the remaining
    portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

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

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

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

CONTEGO CLO VI: Fitch Affirms B- Rating on Class F-R Notes
----------------------------------------------------------
Fitch Ratings has upgraded Contego CLO VI DAC's class D-R and E-R
notes and affirmed the others. Fitch has removed the class B-1-R to
F-R notes from Under Criteria Observation (UCO).

      DEBT                RATING           PRIOR
      ----                ------           -----
Contego CLO VI DAC

A-R XS2315796560     LT AAAsf  Affirmed    AAAsf
B-1-R XS2315797378   LT AAsf   Affirmed    AAsf
B-2-R XS2315797964   LT AAsf   Affirmed    AAsf
C-R XS2315798699     LT Asf    Affirmed    Asf
D-R XS2315799234     LT BBBsf  Upgrade     BBB-sf
E-R XS2315799317     LT BBsf   Upgrade     BB-sf
F-R XS2315799580     LT B-sf   Affirmed    B-sf

TRANSACTION SUMMARY

Contego CLO VI DAC is a cash flow CLO mostly comprising senior
secured obligations. The transaction is actively managed by Five
Arrows Managers LLP, and will exit its reinvestment period on 15
July 2025.

KEY RATING DRIVERS

CLO Criteria Update and Cash Flow Modelling: The rating actions
mainly reflect the impact of Fitch's recently updated CLOs and
Corporate CDOs Rating Criteria and the shorter risk horizon
incorporated in Fitch's stressed portfolio analysis. The analysis
considered modelling results for the current and stressed
portfolios based on the 5 January 2022 trustee report.

The rating actions are based on Fitch's updated stressed portfolio
analysis, which applied the agency's collateral quality matrix
specified in the transaction documentation. The transaction has
four Fitch collateral quality matrices based on 16% and 23% top 10
obligor concentration limits, and 0% and 7.5% fixed rate obligation
limits. Fitch's analysis was based on the two matrices specifying
the 16% top 10 obligor concentration limit as the agency considered
these as the most relevant, based on current and historical
portfolios for this CLO.

The weighted average life (WAL) used for the transaction's stressed
portfolio and matrices analysis is floored at six years after a
12-month reduction from the WAL covenant. This is to account for
structural and reinvestment conditions after the reinvestment
period, including the satisfaction of the coverage tests and Fitch
'CCC' limit tests, together with a progressively decreasing WAL
covenant. In Fitch's opinion, these conditions reduce the effective
risk horizon of the portfolio during stress periods.

The Stable Outlooks on the class A-R to F-R notes reflects Fitch's
expectation of sufficient credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with their ratings.

Deviation from Model-implied Ratings: With the exception of the
class A-R and F-R notes, the notes' ratings are one notch below
their respective model-implied ratings. The deviations reflect the
long remaining reinvestment period until July 2025, during which
the portfolio can change significantly due to reinvestment or
negative portfolio migration.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. As of the 5 January 2022 trustee report, the
aggregate portfolio amount was 0.02% below the original target par
amount. The transaction passed all collateral-quality, coverage and
portfolio-profile tests. Exposure to assets with a Fitch-derived
rating of 'CCC+' and below (excluding non-rated assets) is 1.5% as
calculated by the trustee.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at 'B'/'B-'. The weighted
average rating factor (WARF) as calculated by the trustee was
33.25, which is below the maximum covenant of 34.00. Fitch
calculates the WARF at 24.91 under the updated criteria.

High Recovery Expectations: Senior secured obligations comprise
96.5% of the portfolio. 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 obligor
concentration is 14.06%, and no obligor represents more than 2.02%
of the portfolio balance as calculated by Fitch.

RATING SENSITIVITIES

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

-- An increase of the default rate (RDR) at all rating levels by
    25% of the mean RDR and a decrease of the recovery rate (RRR)
    by 25% at all rating levels in the stressed portfolio would
    result in downgrades of up to four notches, depending on the
    notes.

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in upgrades of up to five
    notches, depending on the notes.

-- Except for the tranches at the highest 'AAAsf' rating,
    upgrades may occur in case of better-than-expected portfolio
    credit quality and deal performance, and continued
    amortisation that leads to higher credit enhancement and
    excess spread available to cover losses in the remaining
    portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

Contego CLO VI DAC

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

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

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

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

CVC CORDATUS XII: Fitch Raises Class F Notes Rating to 'B'
----------------------------------------------------------
Fitch Ratings has upgraded CVC Cordatus Loan Fund XII DAC's class D
to F notes and affirmed the rest. All ratings (except class A
notes) have been removed from Under Criteria Observation (UCO) and
all notes have a Stable Outlook.

      DEBT                RATING           PRIOR
      ----                ------           -----
CVC Cordatus Loan Fund XII DAC

A-1-R XS2325581481   LT AAAsf  Affirmed    AAAsf
A-2-R XS2325582299   LT AAAsf  Affirmed    AAAsf
B-1-R XS2325582885   LT AAsf   Affirmed    AAsf
B-2-R XS2325583420   LT AAsf   Affirmed    AAsf
C-R XS2325584071     LT Asf    Affirmed    Asf
D XS1899142886       LT BBBsf  Upgrade     BBB-sf
E XS1899143934       LT BBsf   Upgrade     BB-sf
F XS1899143421       LT Bsf    Upgrade     B-sf

TRANSACTION SUMMARY

CVC Cordatus Loan Fund XII DAC is a cash flow CLO comprising mostly
senior secured obligations. The transaction is actively managed by
CVC Credit Partners European CLO Management LLP and will exit its
reinvestment period in July 2023.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria and the shorter risk horizon incorporated in Fitch's
updated stressed portfolio analysis. The analysis considered cash
flow modelling results for the current and stressed portfolios
based on the 11 January 2022 trustee report.

The rating actions are based on Fitch's updated stressed portfolio
analysis, which applied the agency's collateral quality matrix
specified in the transaction documentation. The transaction has two
matrices, based on a 10% fixed-rate obligation limit and two top-10
obligor concentration limits of 18% and 23%. Fitch analysed the
matrix using the 18% concentration limit, as the portfolio
currently has a 16.45% concentration.

The weighted average life (WAL) used for the transaction's stressed
portfolio and matrices analysis is floored at six years post a
12-month reduction from the WAL covenant. This is to account for
structural and reinvestment conditions after the reinvestment
period, including the satisfaction of the coverage and Fitch 'CCC'
limit tests, together with a progressively decreasing WAL covenant.
These conditions would, in the agency's opinion, reduce the
effective risk horizon of the portfolio during stress period.

Fitch also applied a haircut of 1.5% to the weighted average
recovery rate (WARR), as the calculation of the WARR in transaction
documentation reflects an earlier version of Fitch's CLO criteria.

The Stable Outlooks on all notes reflect Fitch's expectation of
sufficient credit protection to withstand potential deterioration
in the credit quality of the portfolio in stress scenarios that are
commensurate with the ratings. Further, the transaction is still in
its reinvestment period and thus no deleveraging is expected.

Model-Implied Rating Deviation: The ratings of the class B to F
notes are one notch below their model-implied ratings (MIR). The
deviation reflects the remaining reinvestment period till July 2023
during which the portfolio can change significantly, due to
reinvestment or negative portfolio migration.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. According to the trustee report, the transaction
is approximately 1.2% below par and is passing all coverage,
collateral-quality and portfolio-profile tests.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors at 'B'/'B-'. The weighted
average rating factor (WARF) as calculated by the trustee was 32.8,
which is below the maximum covenant of 35. The WARF, as calculated
by Fitch under the updated criteria, was 24.6.

High Recovery Expectations: Senior secured obligations comprise
almost 100% of the portfolio as calculated by the trustee. Fitch
views the recovery prospects for these assets as more favourable
than for second-lien, unsecured and mezzanine assets. The
Fitch-calculated WARR reported by the trustee was 64.9%, against a
minimum covenant at 62.33%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top- 10 obligor
concentration is 16.45%, and no obligor represents more than 2% of
the portfolio balance, as reported by the trustee.

RATING SENSITIVITIES

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

-- An increase of the rating default rate (RDR) at all rating
    levels by 25% of the mean RDR and a decrease of the rating
    recovery rate (RRR) by 25% at all rating levels in the
    stressed portfolio will result in downgrades of up to four
    notches, depending on the notes.

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in upgrades of up to four
    notches, depending on the notes.

-- Except for the tranche already at the highest 'AAAsf' rating,
    upgrades may occur in the case of better- than expected
    portfolio credit quality and deal performance that leads to
    higher CE and excess spread available to cover losses in the
    remaining portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

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

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

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

HARVEST CLO XIV: Moody's Upgrades Rating on EUR12MM F Notes to Ba3
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Harvest CLO XIV Designated Activity Company:

EUR25,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2029, Upgraded to Aa2 (sf); previously on Aug 9, 2021
Upgraded to A1 (sf)

EUR24,500,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2029, Upgraded to Baa3 (sf); previously on Aug 9, 2021
Affirmed Ba1 (sf)

EUR12,000,000 Class F Senior Secured Deferrable Floating Rate
Notes due 2029, Upgraded to Ba3 (sf); previously on Aug 9, 2021
Affirmed B1 (sf)

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

EUR239,000,000 (Current outstanding EUR71.99m) Class A-1A-R Senior
Secured Floating Rate Notes due 2029, Affirmed Aaa (sf); previously
on Aug 9, 2021 Affirmed Aaa (sf)

EUR5,000,000 (Current outstanding EUR1.5m) Class A-2-R Senior
Secured Fixed Rate Notes due 2029, Affirmed Aaa (sf); previously on
Aug 9, 2021 Affirmed Aaa (sf)

EUR32,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2029, Affirmed Aaa (sf); previously on Aug 9, 2021 Affirmed Aaa
(sf)

EUR10,000,000 Class B-2-R Senior Secured Fixed Rate Notes due
2029, Affirmed Aaa (sf); previously on Aug 9, 2021 Affirmed Aaa
(sf)

EUR23,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2029, Affirmed Aaa (sf); previously on Aug 9, 2021
Upgraded to Aaa (sf)

Harvest CLO XIV Designated Activity Company, issued in November
2015, 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 ended in November 2019.

RATINGS RATIONALE

The upgrades on the Class D-R, Class E-R and Class F notes are
primarily a result of the significant deleveraging of the senior
notes following amortisation of the underlying portfolio since the
last rating action in August 2021. Pre-payments account for a
significant proportion of the amortisation.

The senior notes have paid down by approximately EUR53.7 million
(22.0%) since the last rating action in August 2021 and EUR170.5
million (69.9%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased across the capital
structure. According to the trustee report dated December 2021 [1]
, the Class A/B, Class C, Class D, Class E and Class F OC ratios
are reported at 193.85%, 161.66%, 136.94%, 119.09% and 111.95%
compared to August 2021 [2] levels of 176.75%, 151.78%, 131.58%,
116.40% and 110.17%, respectively.

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

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

Performing par balance: EUR220.9 millions

Principal proceeds balance: EUR4.4 millions

Defaulted Securities: EUR1.7 millions

Diversity Score: 39

Weighted Average Rating Factor (WARF): 3019

Weighted Average Life (WAL): 3.65 years

Weighted Average Spread (WAS) (before accounting for Euribor
floors): 3.5%

Weighted Average Coupon (WAC): 4.9%

Weighted Average Recovery Rate (WARR): 45.2%

Par haircut in OC tests and interest diversion test: 1.0%

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

Methodology Underlying the Rating Action:

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

Counterparty Exposure:

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

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

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

Additional uncertainty about performance is due to the following:

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

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

LAURELIN 2016-1: Fitch Affirms B- Rating on Class F-R Notes
-----------------------------------------------------------
Fitch Ratings has upgraded Laurelin 2016-1 DAC's class D-R and E-R
notes. Fitch has also affirmed the class A-R-R, B-1-R, B-2-R-R, C-R
and F-R notes. The class B-1-R, B-2-R-R, C-R, D-R, E-R and F-R
notes were removed from Under Criteria Observation. The Rating
Outlook for all classes is Stable.

      DEBT                  RATING           PRIOR
      ----                  ------           -----
Laurelin 2016-1 DAC

A-R-R XS2325721913     LT AAAsf  Affirmed    AAAsf
B-1-R XS1848758295     LT AAsf   Affirmed    AAsf
B-2-R-R XS2325722564   LT AAsf   Affirmed    AAsf
C-R XS1848759426       LT Asf    Affirmed    Asf
D-R XS1848760861       LT BBBsf  Upgrade     BBB-sf
E-R XS1848761240       LT BBsf   Upgrade     BB-sf
F-R XS1848761596       LT B-sf   Affirmed    B-sf

TRANSACTION SUMMARY

Laurelin 2016-1 DAC is a cash flow collateralized loan obligation
(CLO) backed by a portfolio of mainly European leveraged loans and
bonds. The transaction is actively managed by GoldenTree Asset
Management LP and will exit its reinvestment period in April 2023.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of Fitch's recently updated CLOs and Corporate CDOs Rating
Criteria, and the shorter risk horizon incorporated into Fitch's
updated stressed portfolio analysis. The analysis considered cash
flow modelling results for the stressed portfolio based on Fitch
collateral quality matrices specified in the transaction's
documentation.

The transaction has four Fitch collateral quality matrices based on
top 10 obligor concentration limits of 15% and 20% and fixed-rate
collateral obligation limits of 10% and 0%. Fitch's analysis was
based on the two matrices specifying a 15% top 10 obligor
concentration limit and 10% and 0% fixed-rate collateral obligation
limits, as the agency considered these matrices as the most
relevant.

The Stable Outlooks reflect that the notes have sufficient levels
of credit protection to withstand potential deterioration in the
credit quality of the portfolio in stress scenarios commensurate
with the respective classes' ratings.

Deviation from Model-Implied Ratings: The ratings assigned to all
notes, except the class A-R-R and F-R notes, are one notch below
their respective model implied ratings. The deviations reflect the
remaining reinvestment period until April 2023, during which the
portfolio can change due to reinvestment or negative portfolio
migration.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The largest single issuer and
largest 10 issuers in the portfolio as reported by the trustee,
represent 2.1% and 15% of the portfolio, respectively.

Stable Asset Performance: The transaction is passing all collateral
quality, portfolio profile and coverage tests. Exposure to assets
with a Fitch-derived rating of 'CCC+' and below is reported by the
trustee at 5.4%, below the 7.5% limit.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the obligors to be at the 'B'/'B-' rating level. The trustee
calculated Fitch WARF is at 33.8, below the covenant maximum limit
of 37.0. The Fitch calculated WARF is at 24.8 after applying the
updated Fitch CLOs and Corporate CDOs Rating Criteria.

High Recovery Expectations: 95.5% of the portfolio comprises senior
secured obligations. Fitch views the recovery prospects for these
assets as being more favorable than for second-lien, unsecured and
mezzanine assets. The Fitch weighted-average recovery rate of the
current portfolio is reported by the trustee at 65.1%, compared
with the covenant minimum of 62.2%.

RATING SENSITIVITIES

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

-- An increase of the rating default rate (RDR) at all rating
    levels by 25% of the mean RDR and a decrease of the rating
    recovery rate (RRR) by 25% at all rating levels in the
    stressed portfolio would result in downgrades of up to two
    notches, depending on the notes;

-- Downgrades may occur if the build-up of the notes' credit
    enhancement (CE) following amortization does not compensate
    for a higher loss expectation than initially assumed due to
    unexpected high level of default and portfolio deterioration.

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in upgrades of up to five
    notches, depending on the notes;

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better-than-expected portfolio
    credit quality and deal performance, leading to higher CE
    available to cover for losses on the remaining portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

Laurelin 2016-1 DAC

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

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

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

MADISON PARK XIII: Fitch Affirms B- Rating on Class F Notes
-----------------------------------------------------------
Fitch Ratings has upgraded Madison Park Euro Funding XIII DAC's
class E notes, affirmed the class A-R, B-1-R, B-2-R, C-R, D-R and F
notes, and removed the class B-1-R to F notes from Under Criteria
Observation (UCO).

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

A-R XS2328023085     LT AAAsf   Affirmed    AAAsf
B-1-R XS2328023242   LT AAsf    Affirmed    AAsf
B-2-R XS2328023598   LT AAsf    Affirmed    AAsf
C-R XS2328023754     LT Asf     Affirmed    Asf
D-R XS2328023911     LT BBB-sf  Affirmed    BBB-sf
E XS1943605763       LT BBsf    Upgrade     BB-sf
F XS1943606498       LT B-sf    Affirmed    B-sf

TRANSACTION SUMMARY

Madison Park Euro Funding XIII DAC is a cash flow CLO mostly
comprising senior secured obligations. The transaction is actively
managed by Credit Suisse Asset Management and will exit its
reinvestment period in October 2023.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria
and the shorter risk horizon incorporated in Fitch's updated
stressed portfolio analysis. The analysis considered cash flow
modelling results for the stressed portfolios based on the 6
January 2022 trustee report.

The rating actions are based on Fitch's updated stressed portfolio
analysis, which applied the agency's collateral quality matrix
specified in the transaction documentation. The transaction has
four matrices, based on 15% and 20% top 10 obligor concentration
limits and 0% and 12.5% fixed rate assets. Fitch analysed the
matrices specifying the 15% top 10 obligor limit and 0% and 12.5%
fixed rate assets as the agency viewed these as the most relevant.
Fitch also applied a haircut of 1.5% to the weighted average
recovery rate (WARR) as the calculation in the transaction
documentation reflects an earlier version of Fitch's CLO criteria.

The weighted average life (WAL) used for the transaction's stressed
portfolio and matrices analysis is floored at six years after a
12-month reduction from the WAL covenant. This is to account for
structural and reinvestment conditions after the reinvestment
period, including the satisfaction of the coverage tests and Fitch
'CCC' limit tests, together with a progressively decreasing WAL
covenant. In Fitch's opinion, these conditions reduce the effective
risk horizon of the portfolio during stress periods.

The Stable Outlooks on all classes reflect Fitch's expectation that
they have sufficient credit protection to withstand potential
deterioration in the credit quality of the portfolio in stress
scenarios commensurate with the ratings.

Deviation from Model-implied Ratings: With the exception of the
class A-R notes, the ratings are one notch below the respective
model-implied ratings. The deviations reflect the long remaining
reinvestment period until October 2023, during which the portfolio
could change significantly due to reinvestment or negative
portfolio migration.

Stable Asset Performance: The transaction's metrics indicate stable
asset performance. Collateral quality tests, coverage tests and
portfolio profile tests are all in compliance. Exposure to assets
with a Fitch-derived rating of 'CCC+' and below (excluding
non-rated assets) is 4.53% as calculated by Fitch.

B'/'B-' Portfolio: Fitch assesses the average credit quality of the
transaction's underlying obligors at 'B'/'B-'. The weighted average
rating factor (WARF) as calculated by the trustee was 33.70, which
is below the maximum covenant of 34.50. Fitch calculates the WARF
as 24.75 under the updated criteria.

High Recovery Expectations: Senior secured obligations comprise
97.7% of the portfolio. 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 obligor
concentration is 12.82% and no obligor represents more than 1.62%
of the portfolio balance as calculated by Fitch.

RATING SENSITIVITIES

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

-- An increase of the default rate (RDR) at all rating levels by
    25% of the mean RDR and a decrease of the recovery rate (RRR)
    by 25% at all rating levels in the stressed portfolio would
    result in downgrades of up to three notches, depending on the
    notes.

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in upgrades of up to five
    notches, depending on the notes.

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in case of better-than- expected portfolio
    credit quality and deal performance, and continued
    amortisation that leads to higher CE and excess spread
    available to cover losses in the remaining portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

Madison Park Euro Funding XIII DAC

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

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

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

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

MAN GLG VI: Moody's Affirms B3 Rating on EUR8.54MM Class F Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by MAN GLG
Euro CLO VI Designated Activity Company (the "Issuer"):

EUR217,000,000 Class A Senior Secured Floating Rate Notes due
2032, Definitive Rating Assigned Aaa (sf)

EUR33,235,000 Class B-1 Senior Secured Floating Rate Notes due
2032, Definitive Rating Assigned Aa2 (sf)

EUR5,265,000 Class B-2 Senior Secured Fixed Rate Notes due 2032,
Definitive Rating Assigned Aa2 (sf)

EUR23,625,000 Class D Deferrable Mezzanine Floating Rate Notes due
2032, Definitive Rating Assigned Baa3 (sf)

At the same time, Moody's affirmed the outstanding notes which have
not been refinanced:

EUR20,125,000 Class C Deferrable Mezzanine Floating Rate Notes due
2032, Affirmed A2 (sf); previously on Mar 27, 2020 Definitive
Rating Assigned A2 (sf)

EUR17,710,000 Class E Deferrable Junior Floating Rate Notes due
2032, Affirmed Ba3 (sf); previously on Mar 27, 2020 Definitive
Rating Assigned Ba3 (sf)

EUR8,540,000 Class F Deferrable Junior Floating Rate Notes due
2032, Affirmed B3 (sf); previously on Mar 27, 2020 Definitive
Rating Assigned B3 (sf)

RATINGS RATIONALE

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

Moody's rating affirmation of the Class C, Class E and Class F
Notes is a result of the refinancing, which has no impact on the
ratings of the notes.

As part of this refinancing, the Issuer has extended the weighted
average life test date by 12 months to September 27, 2027. It has
also amended certain definitions including the definition of
"Adjusted Weighted Average Rating Factor" and minor features. In
addition, the Issuer has amended the base matrix and modifiers that
Moody's has taken into account for the assignment of the definitive
ratings.

The Issuer is a managed cash flow CLO. At least 92.5% of the
portfolio must consist of secured senior loans or senior secured
bonds and up to 7.5% of the portfolio may consist of unsecured
senior loans, second-lien loans, high yield bonds and mezzanine
loans.

GLG Partners LP ("GLG") will continue to manage the CLO. It will
direct the selection, acquisition and disposition of collateral on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period which ends in April 2022. Thereafter, subject
to certain restrictions, purchases are permitted using principal
proceeds from unscheduled principal payments and proceeds from
sales of credit risk obligations and credit improved obligations.

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

Methodology Underlying the Rating Action:

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

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

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

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

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

Performing par and principal proceeds balance: EUR350.0 million

Defaulted Par: EUR1.75 million as of December 8, 2021

Diversity Score: 54

Weighted Average Rating Factor (WARF): 3130

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.0%

Weighted Average Recovery Rate (WARR): 43.0%

Weighted Average Life (WAL) test date: September 27, 2027

MAN GLG VI: S&P Affirms B- (sf) Rating on Class F Notes
-------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Man GLG Euro CLO
VI DAC's class A-R, B-1-R, B-2-R, and D-R notes. At the same time,
S&P has affirmed its ratings on the class C, E, and F notes.

On Feb. 8, 2022, the issuer refinanced the original class A, B-1,
B-2, and D notes by issuing replacement notes of the same notional.
The replacement notes are largely subject to the same terms and
conditions as the original notes, except for the following:

-- The replacement notes have a lower spread over Euro Interbank
Offered Rate (EURIBOR) than the original notes.

-- The non-call period has been extended by 12 months.

-- The maximum weighted-average life test has been extended by 12
months.

The ratings assigned to Man GLG Euro CLO VI's refinanced notes
reflect our assessment of:

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

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

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

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

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

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

The portfolio's reinvestment period will end in April 2022.

S&P said, "In our cash flow analysis, we used a EUR350.78 million
adjusted collateral principal amount, the actual weighted-average
spread (3.81%), the actual weighted-average coupon (4.81%), the
covenanted fixed-rate asset bucket (10%) and floating-rate bucket
(90%), and the actual weighted-average recovery rates for all
rating levels.

"We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B-1-R to D-R notes could withstand
stresses commensurate with higher ratings than those we have
assigned. However, as the CLO is in its reinvestment phase, during
which the transaction's credit risk profile could deteriorate, we
have capped our assigned ratings on the notes. In our view the
portfolio is granular in nature, and well-diversified across
obligors, industries, and assets.

"The class E notes are still able to withstand the stresses we
apply at the currently assigned rating, based on their available
credit enhancement. We have therefore affirmed our 'BB- (sf)'
rating on the class E notes.

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

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

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

-- S&P also compared its model generated break-even default rate
at the 'B-' rating level of 25.16% versus if it was to consider a
long-term sustainable default rate of 3.10% for 4.68 years (current
weighted-average life of the CLO portfolio), which would result in
a target default rate of 14.51%.

-- The actual portfolio is generating higher spreads versus the
covenanted fix/floating threshold that S&P has modelled in its cash
flow analysis.

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

Elavon Financial Services DAC is the bank account provider and
custodian, while J.P. Morgan AG is the asset swap counterparty. The
documented downgrade remedies are in line with S&P's counterparty
criteria.

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

S&P said, "We consider the transaction's legal structure to be
bankruptcy remote, in line with our legal criteria.

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

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

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

Environmental, social, and governance (ESG) factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. Given the original closing date of this
transaction (March 2020), the documents do not prohibit assets from
being related to certain activities as we would typically see in
more recent transactions we have rated. Accordingly, although the
transaction is not precluded from purchasing assets in certain
industries, this is not unusual for transactions of this vintage
and does not result in material differences between the transaction
and our ESG benchmark for the sector. No specific adjustments have
been made in our rating analysis to account for any ESG-related
risks or opportunities."

Man GLG Euro CLO VI is a broadly syndicated collateralized loan
obligation (CLO) managed by GLG Partners LP.

  Ratings List

  CLASS    RATING    AMOUNT    REPLACEMENT    ORIGINAL     SUB(%)
                  (MIL. EUR)   NOTES          NOTES
                               INTEREST RATE* INTEREST RATE

  Ratings assigned

  A-R     AAA (sf)   217.000   Three-month    Three-month  38.09
                               EURIBOR        EURIBOR
                               plus 0.81%     plus 0.90%



  B-1-R   AA (sf)     33.235   Three-month    Three-month  27.11
                               EURIBOR        EURIBOR   
                               plus 1.70%     plus 1.80%


  B-2-R   AA (sf)      5.265   1.97%          2.05%        27.11

  D-R     BBB (sf)    23.625   Three-month    Three-month  14.63
                               EURIBOR        EURIBOR
                               plus 3.50%     plus 3.65%

  Ratings affirmed

  C**    A (sf)      20.125   N/A            Three-month  21.37
                                              EURIBOR
                                              plus 2.40%

  E**    BB- (sf)    17.710   N/A            Three-month   9.57
                                              EURIBOR
                                              plus 5.39%

  F**    B- (sf)      8.540   N/A            Three-month  7.14
                                              EURIBOR
                                              plus 8.63%

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

**These classes of notes were not subject to refinancing.
EURIBOR--Euro Interbank Offered Rate.
N/A--Not applicable.


MARINO PARK CLO: Moody's Affirms B3 Rating on EUR6MM Class E Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following definitive ratings to refinancing notes issued by Marino
Park CLO DAC (the "Issuer"):

EUR201,500,000 Class A-1 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aaa (sf)

EUR30,500,000 Class A-2 Senior Secured Floating Rate Notes due
2034, Definitive Rating Assigned Aa2 (sf)

EUR22,500,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned A2 (sf)

EUR18,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2034, Definitive Rating Assigned Baa3 (sf)

At the same time, Moody's affirmed the outstanding notes which have
not been refinanced:

EUR1,500,000 Class X Senior Secured Floating Rate Notes due 2034,
Affirmed Aaa (sf); previously on Dec 23, 2020 Definitive Rating
Assigned Aaa (sf)

EUR19,500,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2034, Affirmed Ba3 (sf); previously on Dec 23, 2020
Definitive Rating Assigned Ba3 (sf)

EUR6,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2034, Affirmed B3 (sf); previously on Dec 23, 2020 Definitive
Rating Assigned B3 (sf)

RATINGS RATIONALE

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

Moody's rating affirmation of the Class X Notes, Class D Notes, and
Class E Notes are a result of the refinancing, which has no impact
on the ratings of the notes.

Interest and principal amortisation amounts due to the Class X
Notes are paid pro rata with payments to the Class A-1 Notes. The
class X Notes amortise by 12.5% or EUR187,500 over 8 payment dates,
having started on the second payment date.

As part of this refinancing, the Issuer has extended the weighted
average life test by 3 months to September 2029. In addition, the
Issuer has amended the base matrix and modifiers that Moody's has
taken into account for the assignment of the definitive ratings.

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

Blackstone Ireland Limited will continue to manage the CLO. It will
direct the selection, acquisition and disposition of collateral on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's reinvestment
period, which will end in January 2024. Thereafter, subject to
certain restrictions, purchases are permitted using principal
proceeds from unscheduled principal payments and proceeds from
sales of credit risk obligations and credit improved obligations.

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

Methodology Underlying the Rating Action:

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

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

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

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

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

Performing par and principal proceeds balance: EUR325,000,000

Defaulted Par: Nil

Diversity Score: 52

Weighted Average Rating Factor (WARF): 3082

Weighted Average Spread (WAS): 3.70%

Weighted Average Coupon (WAC): 4.00%

Weighted Average Recovery Rate (WARR): 43.00%

Weighted Average Life (WAL): 6.7 years

MARINO PARK: S&P Affirms B-(sf) Rating on EUR6MM Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Marino Park CLO
DAC's class A-1-R, A-2-R, B-R, and C-R notes. At the same time, S&P
affirmed its ratings on the class X, D, and E notes.

On Feb. 8, 2022, the issuer refinanced the original class A-1, A-2,
B, and C notes by issuing replacement notes of the same notional.

The replacement notes are largely subject to the same terms and
conditions as the original notes, except for the following:

-- The replacement notes have a lower spread over Euro Interbank
Offered Rate (EURIBOR) than the original notes.

-- The maximum weighted-average life test has been extended by
three months.

The ratings assigned to Marino Park CLO's refinanced notes reflect
S&P's assessment of:

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

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

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

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

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

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

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

In S&P's cash flow analysis, it used a EUR325.00 million adjusted
collateral principal amount, the actual weighted-average spread
(3.74%), the actual weighted-average coupon (4.23%), and the actual
weighted-average recovery rates for all rating levels.

The transaction includes an amortizing reinvestment target par
amount, which is a predetermined reduction in the value of the
transaction's target par amount unrelated to the principal payments
on the notes. This may allow for the principal proceeds to be
characterized as interest proceeds when the collateral par exceeds
this amount, subject to a limit, and affect the reinvestment
criteria, among others. This feature allows some excess par to be
released to equity during benign times, which may lead to a
reduction in the amount of losses that the transaction can sustain
during an economic downturn. Hence, in S&P's cash flow analysis, it
has considered scenarios in which the target par amount declined by
the maximum amount of reduction indicated by the arranger.

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

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class A-2-R to C-R notes could withstand
stresses commensurate with higher ratings than those we have
assigned. However, as the CLO is in its reinvestment phase, during
which the transaction's credit risk profile could deteriorate, we
have capped our assigned ratings on the notes.

"The class X and D notes are still able to withstand the stresses
we apply at the currently assigned ratings, based on their
available credit enhancement. We have therefore affirmed our
ratings on the class X and D notes.

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

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

-- S&P's model-generated portfolio default risk at the 'B-' rating
level is 25.45% (for a portfolio with a weighted-average life of
4.85 years) versus 15.035% if it was to consider a long-term
sustainable default rate of 3.10% for 4.85 years.

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

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

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

-- Following this analysis, S&P considers that the available
credit enhancement for the class E notes remains commensurate with
a 'B- (sf)' rating. It has therefore affirmed its rating on the
class E notes.

Elavon Financial Services DAC is the bank account provider and
custodian, while J.P. Morgan AG is the asset swap counterparty. The
transaction's documented counterparty replacement and remedy
mechanisms adequately mitigate its exposure to counterparty risk
under our current counterparty criteria.

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

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

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

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

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

Environmental, social, and governance (ESG) factors

S&P said, "We regard the exposure to ESG credit factors in the
transaction as being broadly in line with our benchmark for the
sector. Primarily due to the diversity of the assets within CLOs,
the exposure to environmental credit factors is viewed as below
average, social credit factors are below average, and governance
credit factors are average. For this transaction, the documents
prohibit assets from being related to the following industries
(non-exhaustive list): production or manufacture of controversial
weapons, tobacco or tobacco-related products, nuclear weapons,
thermal coal production, speculative extraction of oil and gas,
pornography or prostitution, illegal drugs, physical casinos and
online gambling, the production of non-sustainable palm oil, oil
and gas extraction, oil exploration, hazardous chemicals,
pesticides, coal, and predatory or payday lending activities.
Accordingly, since the exclusion of assets from these industries
does not result in material differences between the transaction and
our ESG benchmark for the sector, no specific adjustments have been
made in our rating analysis to account for any ESG-related risks or
opportunities."

Marino Park CLO DAC is a broadly syndicated CLO) managed by
Blackstone Ireland Ltd.

  Ratings List

  CLASS    RATING    AMOUNT    REPLACEMENT    ORIGINAL     SUB(%)
                  (MIL. EUR)   NOTES          NOTES
                               INTEREST RATE* INTEREST RATE

  Ratings assigned

  A-1-R    AAA (sf)   201.50   Three-month    Three-month  38.00
                               EURIBOR        EURIBOR
                               plus 0.82%     plus 0.82%

  A-2-R    AA (sf)    30.50    Three-month    Three-month  28.62
                               EURIBOR        EURIBOR
                               plus 1.65%     plus 1.70%

  B-R      A (sf)     22.50    Three-month    Three-month  21.69
                               EURIBOR        EURIBOR
                               plus 2.15%     plus 2.70%

  C-R      BBB (sf)   18.00    Three-month    Three-month  16.15
                               EURIBOR        EURIBOR
                               plus 3.15%     plus 3.55%

  Ratings affirmed

  X        AAA (sf)    1.125   N/A            Three-month  N/A
                                              EURIBOR
                                              plus 0.45%

  D        BB- (sf)   19.50    N/A            Three-month  10.15
                                              EURIBOR
                                              plus 5.67%

  E        B- (sf)     6.00    N/A            Three-month   8.31
                                              EURIBOR
                                              plus 8.03%

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

EURIBOR--Euro Interbank Offered Rate.


ROCKFORD TOWER 2018-1: Fitch Raises Class F Notes to 'B'
--------------------------------------------------------
Fitch Ratings has upgraded Rockford Tower Europe CLO 2018-1 DAC's
class D, E and F notes and affirmed the class A-1, A-2, B and C
notes. The class B through F notes have been removed from Under
Criteria Observation (UCO). The Rating Outlook remains Stable for
all notes.

     DEBT               RATING           PRIOR
     ----               ------           -----
Rockford Tower Europe CLO 2018-1 DAC

A-1 XS1900080968   LT AAAsf  Affirmed    AAAsf
A-2 XS1900081263   LT AAAsf  Affirmed    AAAsf
B XS1900079796     LT AAsf   Affirmed    AAsf
C XS1900080026     LT Asf    Affirmed    Asf
D XS1900080455     LT BBBsf  Upgrade     BBB-sf
E XS1900080885     LT BBsf   Upgrade     BB-sf
F XS1900080612     LT Bsf    Upgrade     B-sf

TRANSACTION SUMMARY

Rockford Tower Europe CLO 2018-1 DAC is a cash flow CLO comprised
of mostly senior secured obligations. The transaction is actively
managed by Rockford Tower Capital Management, L.L.C. and will exit
its reinvestment period in March 2023.

KEY RATING DRIVERS

CLO Criteria Update: CLO Criteria Update: The rating actions mainly
reflect the impact of the recently updated Fitch CLOs and Corporate
CDOs Rating Criteria and the shorter risk horizon incorporated in
Fitch's updated stressed portfolio analysis. The analysis
considered cash flow modelling results for the current and stressed
portfolios based on the Dec. 20, 2021 trustee report.

Fitch's updated analysis applied the agency's collateral quality
matrix specified in the transaction documentation. The transaction
has two matrices, based on a 17% and 24% top 10 obligor
concentration limit. Fitch's updated analysis applied the agency's
collateral quality matrix specifying the 24% top 10 obligor limit
as the agency viewed this as the most rating relevant. Fitch also
applied a haircut of 1.5% to the weighted average recovery rate
(WARR) as the calculation of the WARR in transaction documentation
reflects an earlier version of Fitch's CLO criteria.

The Stable Outlooks on each class of notes reflect Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolio in stress scenarios commensurate with such
class's rating.

Deviation from Model-Implied Ratings: The rating actions for the
class A-1 and A-2 notes are in line with the model implied ratings
(MIR) produced from Fitch's updated stressed portfolio analysis,
while the rating actions for all other classes of notes are one
notch below the respective MIRs. The deviations reflect the
remaining reinvestment period until March 2023 during which the
portfolio can change due to reinvestment or negative portfolio
migration.

Stable Asset Performance: The transaction metrics indicate stable
asset performance. The transaction is passing all coverage tests,
collateral quality tests, and portfolio profile tests. Exposure to
assets with a Fitch-derived rating (FDR) of 'CCC+' and below is
4.0% excluding non-rated assets, as calculated by Fitch.

'B'/'B-' Portfolio: Fitch assesses the average credit quality of
the transaction's underlying obligors in the 'B'/'B-' category. The
weighted average rating factor (WARF) as calculated by the trustee
was 32.6, which is below the maximum covenant of 34.0. The WARF, as
calculated by Fitch under the updated criteria, was 24.9.

High Recovery Expectations: Senior secured obligations comprise
96.4% of the portfolio as calculated by the trustee. Fitch views
the recovery prospects for these assets as more favourable than for
second-lien, unsecured and mezzanine assets. The Fitch WARR
reported by the trustee was 68.0%, against the covenant at 63.6%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 18.3%, and no obligor represents more than 2.9% of
the portfolio balance, as reported by the trustee.

RATING SENSITIVITIES

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

-- An increase of the rating default rate (RDR) at all rating
    levels by 25% of the mean RDR and a decrease of the rating
    recovery rate (RRR) by 25% at all rating levels in the
    stressed portfolio will result in downgrades of up to three
    notches, depending on the notes;

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in an upgrade of up to
    four notches, depending on the notes;

-- Except for the tranche already at the highest 'AAAsf' rating,
    upgrades may occur in the case of better than expected
    portfolio credit quality and deal performance that leads to
    higher CE and excess spread available to cover losses in the
    remaining portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

Rockford Tower Europe CLO 2018-1 DAC

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

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

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

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

SOUND POINT V: Fitch Affirms B- Rating on Class F Notes
-------------------------------------------------------
Fitch Ratings has upgraded Sound Point Euro CLO V Funding DAC's
class D and E notes, and affirmed all other classes of notes. The
class B-1 through F notes have been removed from Under Criteria
Observation (UCO) and the Rating Outlook remains Stable for all
classes of notes.

      DEBT                 RATING           PRIOR
      ----                 ------           -----
Sound Point Euro CLO V Funding DAC

A Loan                LT AAAsf  Affirmed    AAAsf
A Note XS2311365410   LT AAAsf  Affirmed    AAAsf
B-1 XS2311366061      LT AAsf   Affirmed    AAsf
B-2 XS2311366731      LT AAsf   Affirmed    AAsf
C-1 XS2311367382      LT Asf    Affirmed    Asf
C-2 XS2315958996      LT Asf    Affirmed    Asf
D XS2311368190        LT BBBsf  Upgrade     BBB-sf
E XS2311368943        LT BBsf   Upgrade     BB-sf
F XS2311369081        LT B-sf   Affirmed    B-sf
X XS2311365253        LT AAAsf  Affirmed    AAAsf

TRANSACTION SUMMARY

Sound Point Euro CLO V Funding DAC is a cashflow collateralized
loan obligation (CLO) comprised of mostly senior secured
obligations. The transaction is actively managed by Sound Point CLO
C-MOA, LLC and will exit its reinvestment period in July 2026.

KEY RATING DRIVERS

CLO Criteria Update: The rating actions mainly reflect the impact
of the recently updated Fitch CLOs and Corporate CDOs Rating
Criteria and the shorter risk horizon incorporated in Fitch's
updated stressed portfolio analysis. The analysis considered cash
flow modelling results for the current portfolio and stressed
portfolio is based on the Jan. 4, 2022 trustee report.

Fitch's updated analysis applied the agency's collateral quality
matrix specified in the transaction documentation. The transaction
has four matrices, based on 16% and 25% top 10 largest obligors
concentration limits 0% and 10% fixed rate assets. The manager has
the flexibility to interpolate a fixed rate limit between the 0%
and 10% matrices and is currently covenanted to a 10% fixed rate
limit. Fitch analyzed the matrices specifying the 16% top 10
obligor limit and 0% and 10% fixed rate limit as the agency viewed
these as the most rating relevant.

The Stable Outlooks on all classes notes reflect Fitch's
expectation that the classes have sufficient levels of credit
protection to withstand potential deterioration in the credit
quality of the portfolio in stress scenarios commensurate with such
class's rating.

Deviation from Model-Implied Ratings: The rating actions for the
class B-1, B-2, C-1, C-2, D, E and F notes are one notch below
their respective model implied ratings (MIR) produced from Fitch's
stressed cashflow analysis. The deviations reflect the longer
remaining reinvestment period until July 2026 during which the
portfolio can change significantly due to reinvestment or negative
portfolio migration. The rating actions for all other classes of
notes are in line with their respective MIRs.

Stable Asset Performance: The transaction metrics indicate stable
asset performance. The transaction is passing all coverage tests,
collateral quality tests, and portfolio profile tests. Exposure to
assets with a Fitch-derived rating (FDR) of 'CCC+' and below is 0%
excluding non-rated assets, as calculated by Fitch.

'B' Portfolio: Fitch assesses the average credit quality of the
transaction's underlying obligors in the 'B' category. The weighted
average rating factor (WARF) as calculated by the trustee was 32.3,
which is below the maximum covenant of 34.0. The WARF, as
calculated by Fitch under the updated criteria, was 24.4.

High Recovery Expectations: Senior secured obligations comprise
100% of the portfolio as calculated by the trustee. Fitch views the
recovery prospects for these assets as more favorable than for
second-lien, unsecured and mezzanine assets. The Fitch WARR
reported by the trustee was 64.1%, against the covenant at 63.2%.

Diversified Portfolio: The portfolio is well-diversified across
obligors, countries and industries. The top 10 obligor
concentration is 13.6%, and no obligor represents more than 1.5% of
the portfolio balance, as reported by the trustee.

RATING SENSITIVITIES

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

-- An increase of the rating default rate (RDR) at all rating
    levels by 25% of the mean RDR and a decrease of the rating
    recovery rate (RRR) by 25% at all rating levels in the
    stressed portfolio will result in downgrades of up to four
    notches, depending on the notes;

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

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

-- A reduction of the RDR at all rating levels by 25% of the mean
    RDR and an increase in the RRR by 25% at all rating levels in
    the stressed portfolio would result in an upgrade of up to
    five notches, depending on the notes;

-- Except for the tranches already at the highest 'AAAsf' rating,
    upgrades may occur in the case of better than expected
    portfolio credit quality and deal performance that leads to
    higher CE and excess spread available to cover losses in the
    remaining portfolio.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

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

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

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

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



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

CASTOR SPA: Fitch Assigns First-Time 'B' LT IDR, Outlook Stable
---------------------------------------------------------------
Fitch Ratings has assigned Castor S.p.A. (Castor) a first-time
Long-Term Issuer Default Rating (IDR) of 'B' with a Stable Outlook.
Fitch has also assigned Castor's senior secured notes (SSN) an
expected instrument rating of 'B+ (EXP)' with a Recovery Rating of
'RR3'.

Castor is an entity incorporated by financial investor, ION
Investment Group, for the public-to-private leveraged buyout of
Cerved Group S.p.A. (Cerved). Cerved is an Italian provider of
credit information and market intelligence as well as
credit-management services.

The ratings of Cerved reflect its high leverage, which is
counterbalanced by its leading position in the Italian
credit-information market and the strength of its servicing
business. Its financial risk is also mitigated by its strong
margins and cash conversion. Executing cost-saving initiatives
earlier than Fitch's expectations is likely to lead to faster
deleveraging.

The assignment of a final instrument rating is contingent on the
issue of the rated debt securities, and on the receipt of final
documents conforming to information already received.

KEY RATING DRIVERS

Highly Leveraged LBO: Fitch estimates Cerved's funds from operation
(FFO) gross leverage at 7.2x at end-2022. Deleveraging will be
driven by revenue growth and an improving EBITDA margin. A full
delivery of management's planned cost efficiencies is likely to
lead to faster deleveraging, and represents an upside to Fitch's
forecasts. Fitch believes Cerved's aggressive capital structure is
sustainable for the rating, due to its high free cash flow (FCF)
generation.

CFO Leverage in Line with Peers: Cerved capitalises the costs
incurred to purchase raw company data from the Italian Chambers of
Commerce. Fitch does not adjust Fitch's EBITDA and FFO for these
costs. For a consistent peer comparison, Fitch's cash flow from
operations (CFO) less capex divided by total debt is an important
leverage metric. On this measure, Cerved is in line with other 'B'
rated sector peers.

Public-to-Private Transaction: ION launched a voluntary tender
offer for Cerved's shares in March 2021. Currently, ION's equity
stake exceeds 98%, well above the threshold required to begin a
facilitated procedure to acquire the remaining outstanding shares.
Fitch understands from management that ION is close to gaining full
control and delisting Cerved. At present Fitch sees little risk of
increased leverage to finance the acquisition of the minorities.
Delays in the process are unlikely. Should they arise, they may
affect the execution of the new business plan and the expected
deleveraging.

Pricing Power Sustains Margins: Fitch expects an average
Fitch-defined EBITDA margin of about 44% for 2021-2024. Average
yearly capex requirements and limited cash outflow from working
capital generate an average FCF margin of around 18% for the same
period. Cerved's pricing power, on risk intelligence in particular,
is key to the high margins of the company. It is underpinned by its
established market position and by medium barriers to entry. Fitch
does not expect Cerved's pricing to be challenged in the short
term. However, growing sophistication in competitors such as CRIF
and the emergence of alternative technologies in credit information
may threaten the company's pricing power in the medium term.

Cost Efficiencies: Cerved's cost base mainly comprises personnel
and service costs. The company benefits from economies of scale, so
Fitch expects EBITDA margin to increase with revenue. Fitch also
assumes limited efficiencies from bolt-on acquisitions allowed
under the debt documentation. In addition, Fitch expects around
EUR35 million of additional cost efficiencies by 2024 under ION's
stated plan, mainly from better managed labour, contractors and IT
costs. Fitch's assumptions factor in about half of the savings
planned by ION and a slower implementation, reflecting Fitch's
conservative view of execution risks. Fitch's deleverage
assumptions for 2022-2023 have a limited reliance on these savings,
and are driven more by revenue growth.

Risk-Intelligence Lead in Italy: Cerved's risk-intelligence
division has a leading position in Italy since the 1970s. It
started as the data processing centre for the registry of Italian
companies. Fitch understands from management that its market share
is around 40%, with CRIF as its key competitor. Clients are
corporations and banks, acquiring, among others, Cerved's credit
data and scoring services. Banks are usually covered by
subscription-based contracts, while corporations are usually billed
as they use the company's services.

Some Cyclicality to Demand: Cerved's services are key for the
business of its clients, banks in particular. However, in downturns
customers have scope to save on their subscription costs. These
include the reduction in the number of internal users or in usage.
For this reason, Fitch believes the business has some cyclicality,
demonstrated by a 4% revenue drop for the division in 2020, due to
the pandemic.

Evolving Credit Management Division: Cerved's credit-management
division is mainly a servicer for third-party loans. Its execution
capabilities benefit from Cerved's data and a solid internal
organisation structure. It has lower margins compared than that of
risk intelligence, but has counter-cyclical features. Revenue
depends on the amount of loans serviced and is subject to changes
as owners buy or sell their loan exposures. It faces increasing
competition from debt investors' own in-house servicing platforms,
which are broadly more cost-efficient. As a way of diversification
within the division, Cerved is offering a partnership model, aimed
at advising and providing services to investors who choose to
directly manage their credits.

M&A Expected in Marketing Intelligence: Cerved's
marketing-intelligence division provides digital marketing tools
and analytics. It utilises Cerved's data paired with advanced
analytics to provide advice to its clients. Its services are run on
a consultancy basis, mainly engaging customers on standalone
projects. The division, the smallest within Cerved, has recently
grown through acquisitions, like the consulting business MBS in
2019. Fitch expects most of Cerved's bolt-on M&As to be
concentrated in this segment, with the aim of expanding its
portfolio of services. Fitch also expects stable organic revenue
growth from the existing portfolio of services, on average at
around 5% in 2021-2024.

DERIVATION SUMMARY

Cerved holds a strong position in the Italian credit-information
market. The company has a premium pricing position, due to the
breadth of its data libraries, proprietary technologies and the
sophistication of its products. Cerved's credit-management business
is among the country's market leaders by loans serviced. It mainly
competes with CRIF in credit information and with loan servicers
such as doValue and Intrum in credit management.

Cerved's ratings are based on the company's strong market position
and healthy EBITDA and FCF margins. Also, they reflect the
company's high leverage and gradual deleveraging prospects.

Compared with large information providers such as Thomson Reuters
Corporation (BBB+/Stable) and Informa Plc (BBB-/Stable), Cerved has
a significantly lower scale, is less geographically diversified and
has a more leveraged capital structure. Cerved is also smaller than
marketing intelligence and consulting platform Gfk SE (BB-/Stable),
and similar in size to Infopro Digital (IPD 3 B.V., B/Stable).

Cerved is also comparable with LBO and high-yield public and
privately rated issuers covered by Fitch in the business services
sector. EBITDA margins are close to that of Nexi S.p.A. (BB-/RWP),
although Cerved does not benefit of the same strong sector trends
as Nexi in electronic payments. ERP providers such as TeamSystem
Holding S.p.A. (B/Stable) and digital listings platforms like
Speedster Bidco GmbH (Autoscout 24, B/Negative) have leverage and
margin structures that are closer to Cerved's. However, Fitch
believes that both Teamsystem's and Autoscout24's business model
are marginally stronger, due to low churn in the ERP sector and to
higher geographic diversification, respectively. InfoPro Digital's
software and online platforms are highly comparable with Cerved's.
Overall Fitch believes Cerved's business model is stronger, due to
InfoPro Digital's exposure to trade shows and events.

KEY ASSUMPTIONS

-- Revenue CAGR of 8.8% (2021-2024), driven by low- to mid
    single-digit organic growth with additional growth from bolt
    in acquisitions;

-- Fitch-defined EBITDA margin to grow to around 46% in 2024 from
    41% in 2021, due to revenue growth and efficiency
    improvements;

-- Total EUR35 million of cost synergies by 2024;

-- Capex at around 7% of revenue a year until 2024;

-- Around EUR200 million of acquisitions in 2023-2024, funded
    through FCF;

-- No incremental debt or shareholder distributions for the next
    four years.

Key Recovery Assumptions

Our recovery analysis assumes that Cerved would remain a
going-concern in distress rather than be liquidated in a default.
Most of its value is derived from its brand, proprietary products
and contents portfolio and from its know-how and established market
position in credit management.

Fitch assumed a 10% charge for administrative claims.

Our analysis assumes a going-concern EBITDA of around EUR165
million. At this level of going-concern EBITDA, which assumes
corrective measures to have been taken, Fitch would expect the
company to still generate positive FCF, but for the financial
structure to become unsustainable due to excessive leverage,
increasing refinancing risk.

A restructuring may arise from financial distress related to
increased competition via broad adoption of disrupting
technologies, and hence pricing pressures, in credit information.
It may also arise through a broad consolidation of Cerved's
clients, particularly banks, that lead to more contractual power. A
drop in the number of managed loans in Cerved's portfolio,
following disposals by owners on the secondary markets, may also be
a factor.

Fitch applied an enterprise value multiple of 5.5x to the
post-restructuring going-concern EBITDA, towards the higher end of
Fitch's range. Fitch's waterfall analysis generated a ranked
recovery in the 'RR3' band after deducting 10% for administrative
claims. This indicates a 'B+'/'RR3'/53% instrument rating for the
senior secured notes. Fitch included in the waterfall a full
drawdown of Cerved's EUR80 million super senior revolving credit
facility (RCF).

RATING SENSITIVITIES

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

-- Total debt/EBITDA below 5.5x or FFO gross leverage below 6.0x;

-- EBITDA/interest paid sustained above 3.8x or FFO interest
    coverage sustained above 3.0x;

-- Increase in Fitch-defined EBITDA margin, with better-than
    expected cost efficiency;

-- Disciplined approach M&A to acquiring new products to enhance
    margins and pricing power, with limited or no additional debt.

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

-- Failure to reduce total debt/EBITDA to below 7.0x or FFO gross
    leverage to below 7.5x;

-- CFO less capex/total debt less than 5%;

-- EBITDA/interest paid below 2.5x or FFO interest coverage below
    2.0x;

-- Business disruptions, including rapid decreases of managed
    loans in credit management or material pricing power erosion
    in risk intelligence.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

Satisfactory Liquidity: Fitch expects Cerved to rely on a constant
amount of cash on balance sheet of over EUR20 million over
2021-2024. In addition, the company relies on an undrawn RCF of
EUR80 million.

ISSUER PROFILE

Cerved is an established leader in credit information and
intelligence and credit management in the Italian market. It has a
well-entrenched position in the financial market in Italy with a
customer base of 30,000 corporates, 150 public authorities and
around 95% of Italian banks.

ESG CONSIDERATIONS

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



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

ACU PETROLEO: Moody's Affirms Ba2 Rating on Senior Secured Notes
----------------------------------------------------------------
Moody's Investors Service has affirmed the Ba2 rating of the senior
secured notes issued by Acu Petroleo Luxembourg S.A R.L. ("Issuer")
and guaranteed by Acu Petroleo S.A.'s ("Company", "Acu Petroleo")
in the amount of $600 million and final legal amortization in 2035.
The outlook is stable.

Affirmations:

Issuer: Acu Petroleo Luxembourg S.A R.L.

Gtd Senior Secured Global Notes, Affirmed Ba2

RATINGS RATIONALE

The rating affirmation follows Acu Petroleo's proposal to execute
an additional Eligible Credit Instrument ("ECI") in the amount of
$250 million which, in addition to another initial $350 million
ECI.

In Moody's view, the issuance of the proposed Eligible Credit
Instrument ("ECI") does not materially impact the key credit
drivers and brings some cash flow gains leading to an average DSCR
of 2.0x above Moody's 1.8x prior base case. Nonetheless, Moody's
recognize the new structure is more complex and adds counterparty
and currency risk which is mitigated by the credit quality of the
facilities providers as well as the liquidity reserves embedded in
the project finance structure. Counterparty risk is also mitigated
by (i) short-lived exposure of about 3 days (between Guarantor´s
transfer date and receivable by the Issuer); (ii) The 6 months DSRA
pre-funded cash reserve within the project that would cover for a
delay scenario; (iii) the counterparties are local financial
institutions rated by Moody´s above the Note´s rating.

Acu Petroleo's Ba2 rating incorporates the port's strong asset
features, as the only private terminal of oil transshipment in the
country, which is strategically located near to pre-salt reserves
and mature fields in Campos and Santos Basin. Given the favorable
market position the company will benefit from future increases in
Brazil's offshore oil production. Moody's view is that Brazil's
exports of crude oil production will grow significantly over the
medium-term with oil prices in the range of $50-$70/barrel (bbl),
coupled with limited domestic refining capacity and no significant
increase in utilization rates forecasted. At the same time, Moody's
expects Brazil's oil production to grow even in a scenario of lower
oil prices (e.g. $40/bbl), given the relative lower breakeven
prices on pre-salt oil fields, as well as a slew of projects under
development.

The project finance debt structure provides additional protections
to creditors that further support the rating, such as a fully
amortizing debt structure that yields to an average DSCR of 2.0x
over the life of the transaction; 6-month DSRA and OMRA funded with
cash at closing (could be replaced by eligible letters of credit
non-recourse to the Company or subordinated to the senior rated
debt); rights on future receivables, pledge of the port's assets
(primary physical assets are the jetty, breakwater and related
infrastructure) and shares of the Açu Petroleo to ensure step-in
rights under an event of default. The structure also encompasses a
clear cash sweep mechanism for target amortization payments in the
event of excess cash generation, along with distribution tests and
limitations on the incurrence of additional debt. Nonetheless, the
debt structure allows for the issuance of additional debt and
incorporation of subsidiaries under certain scenarios that could
constrain the rating in the future. Still, any further leverage or
acquisition is subject to certain financial covenants and ratings
affirmation. Moody's Base Case rating scenario considers an
additional debt issuance of about $75 million for port expansion in
connection with the Company's "access channel" expansion, which
could be triggered around 2028 once historical DSCR reaches the
minimum threshold of 1.50x and average volume levels of 800,000
barrels per day in the preceding twelve-month period.

The rating is also constrained by the exposure to revenue
volatility due to the lack of long-term take-or-pay contracts and
partially contracted structure during the life of the transaction.
The port is exposed to re-contracting risk and ultimately to the
volatility in oil prices, as the majority of the existing
transshipment operations agreements will be expired by 2023. The
longer contract in the portfolio is with Shell Plc (Aa2 stable),
but it is expected to gradually decrease from 55% of total revenues
in 2022 to 10% by 2036 in Moody's Base Case scenario.

Also, the port's ownership structure encompass contractual
arrangements under which Acu Petroleo is subject to a Port Access
Contract with rights to use of port facilities held by Ferroport
Logistica Comercial Exportadora S.A. ("Ferroport") subject to a fee
payment. Both companies share the dredging costs. Still, the
priority of use of port facilities remains with Ferroport, which
apply exclusively for the vessel traffic on the access channel
(i.e, iron ore vessels have priority over oil tankers to
inbound/outbound maneuvers). Under certain conditions, Anglo
American Minerio de Ferro Brasil ("AAMFB"), 50% owner of Ferroport
iron ore terminal, has the right to obtain an injunctive relief in
aid of an arbitration procedure to require Açu Petroleo to modify
or suspend shipments activities. Despite this contractual weakness,
Moody's views the likelihood of this happening is reduced given the
economic incentives in the contractual relationship between the two
companies and comprehensive contractual features that mitigate the
risk of AAMFB from taking an unreasonable action to halt Acu
Petroleo's activities.

Moody's does not consider ESG risks as key drivers of this rating
action. Environmental risks are mitigated by the licenses and the
complexity of the ports operation at the same time Brazilian oil
production remains attractive in the medium-term due to the low
breakeven cost of the pre-salt exploration. At the same time, the
off -- takers profile and exportation diversification minimizes
exposure to social risks. Finally, governance considerations
represent a low risk, given the underlying contractual features and
the overall protections embedded in the proposed project finance
structure.

OUTLOOK

The stable outlook reflects Moody's view of steady growth of oil
transshipment volumes handled by the port supporting an average
legal DSCR of 2.0x for the life of the transaction, as well as the
maintenance of all licenses and of the long-term O&M Agreement with
Oiltanking. The stable outlook also incorporates the assumption of
continuing degree of the current level of commitment from the
ultimate shareholders to the Company and from AAMFB to the port of
Acu's operations.

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

While Moody's do not expect a rating upgrade in the short to medium
term given the stable outlook, higher transshipment volumes for a
prolonged period or revenue stability supported by a larger portion
of long-term take-or-pay contracts could trigger upward pressure on
the rating. An upgrade would also require lower leverage profile,
consistent with a higher rating category, such as DSCR above 2.5x.

The rating could be downgraded if there is a sustained
deterioration in the Company´s operating performance such that
legal DSCR remains below 1.5x on sustained basis. Negative rating
pressure could arise if (i) the expected proportion of long-term
ToP volume declines, (ii) re-contracting the excess capacity at
less favorable terms, or (iii) if there is a deterioration in the
shareholder's or AAMFB commitment to the port operations that is
detrimental to the credit quality of the Company. Also, negative
pressure on the Notes rating would increase with Moody's perception
of structural subordination arising from non-recourse debt issuance
at permitted project finance subsidiaries of Açu Petroleo.
Deterioration in Brazil´s sovereign credit quality Government of
Brazil (Ba2 stable) could place also downward pressure on the
rating as well as deterioration in the credit quality of the
Eligible Credit Instrument "ECI" providers, which are local
financial institutions or reversal of the anticipated cash flow
benefits.

COMPANY PROFILE

The Issuer is a private limited liability company incorporated and
existing under Luxembourg, which is fully owned by Acu Petroleo.
Since 2016, Acu owns and operates the largest private crude oil
transshipment terminal in Brazil, the oil terminal (T-OIL) of the
Port of Acu, which currently is the only private infrastructure in
Brazil capable of receiving VLCC class ships -- with a cargo
capacity of up to two million barrels. Acu Petroleo is part of the
Port of Acu, a complex built and operated by Prumo Logistica S.A.
(not rated), located in the State of Rio de Janeiro, in Brazil. Its
port license allows the movement of 1.2 million barrels per day
(bpd) and the depth of the terminal is 25 meters. For the
nine-month period ended September 30, 2021, Acu Petroleo handled
325,000 bpd in 93 operations.

The principal methodology used in this rating was Privately Managed
Ports Methodology published in May 2021.



=============
R O M A N I A
=============

CITY INSURANCE: Bucharest Court Opens Bankruptcy Proceedings
------------------------------------------------------------
Nicoleta Banila at SeeNews reports that the Bucharest Court
admitted a request by the country's financial regulator ASF to open
bankruptcy proceedings against Romania's leading insurer City
Insurance, the court said on Feb. 9.

The court ordered the dissolution of City Insurance and stripped
its administrators of the right to manage the company's assets,
SeeNews relays, citing the decision posted on the Bucharest Court's
website.

City Insurance can appeal the decision within seven days, SeeNews
notes.

According to SeeNews, ASF said that the court decision confirms the
appropriateness of its decision to withdraw the operating license
of City Insurance in September.

On Sept. 17, ASF revoked City Insurance's licence and asked for the
start of bankruptcy procedures, saying its short-term financing
plan and its recovery plan are "obviously inadequate" and do not
ensure the restoration of the company's financial situation,
SeeNews recounts.

On Sept. 8, ASF said that Netherlands-based I3CP Holdings has
failed to cover a capital increase of City Insurance within the
legally prescribed period, SeeNews relates.

On Aug. 25, I3CP said that it has subscribed all of the new shares
issued to increase the company's capital by EUR150 million (US$177
million), SeeNews discloses.

City Insurance approved in July the issuance of 738 million new
shares of 1 leu ($0.24/ 0.2 euro) in par value each in order to
comply with the obligation to restore its own funds required by law
to cover both the solvency capital requirement (SCR) and the
minimum capital requirement (MCR), SeeNews recounts.

City Insurance provides general insurance solutions. Founded in
1998 by Romanian and foreign investors and headquartered in
Bucharest, the company operates 42 offices and branches across the
country, employing 400 people.  With total assets of EUR700 million
and gross written premiums of over EUR500 million, the company is
serving more than 4 million customers.




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

CHELYABINSK PJSC: Fitch Withdraws 'BB-' LT Issuer Default Rating
----------------------------------------------------------------
Fitch Ratings has withdrawn PJSC Chelyabinsk Pipe Plant's
(ChelPipe) 'BB-' Long-Term Issuer Default Rating (IDR). The ratings
were on Rating Watch Negative at withdrawal.

ChelPipe's ratings have been withdrawn for commercial reasons. The
ratings have been withdrawn without resolving Rating Watch Negative
because Fitch does not have enough information to determine the
final parent-subsidiary links between PAO TMK and ChelPipe.

KEY RATING DRIVERS

ChelPipe's shares were fully consolidated by PAO TMK, the leading
Russian steel pipe producer, in 2021. ChelPipe is undergoing
operational restructuring and integration into TMK. ChelPipe's
USD300 million Eurobond due 2024 is guaranteed by TMK, while its
domestic bonds are not.

DERIVATION SUMMARY

No longer relevant because the ratings have been withdrawn.

KEY ASSUMPTIONS

No longer relevant because the ratings have been withdrawn.

RATING SENSITIVITIES

No longer relevant because the ratings have been withdrawn.

BEST/WORST CASE RATING SCENARIO

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

LIQUIDITY AND DEBT STRUCTURE

No longer relevant because the ratings have been withdrawn.

ISSUER PROFILE

ChelPipe is a subsidiary of PAO TMK, one of the two largest steel
pipe producers ex-China. PAO TMK's main assets are located in
Russia.

ESG CONSIDERATIONS

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

Due to the withdrawal Fitch will no longer provide the associated
ESG relevance scores.



===============
S L O V A K I A
===============

NOVIS INSURANCE: S&P Affirms 'BB-' Long-Term ICR, Outlook Stable
----------------------------------------------------------------
S&P Global Ratings affirmed its 'BB-' long-term issuer credit
rating on Slovakia-based life insurer Novis Insurance Co. The
outlook is stable.

Rationale

S&P affirmed the ratings after the National Bank of Slovakia (NBS)
withdrew on Jan. 27, 2022, the temporary restrictions it imposed on
Novis in November 2020 on the grounds that they were no longer
applicable. The restrictions stemmed from concerns about the
company's regulatory solvency position.

This follows the NBS' decision on Jan. 14, 2022, that Novis has to
set a certain minimum level of technical reserves for 2022, stating
that the company's best-estimate calculations did not use realistic
assumptions on lapse risk and unit costs and flagging a potential
drop in Novis' regulatory solvency ratio below 100% between June
30, 2021, and Aug. 17, 2021.

S&P said, "Following the NBS' latest decision, we consider that
regulatory concerns related to Novis have eased. We note that, at
midyear 2021, Novis issued a EUR20 million convertible bond from
which EUR5 million have been paid-in in 2021. Although we
originally anticipated that Novis would have received the full
amount of issuance proceeds last year, we now expect that another
EUR5 million will be paid in in February 2022 and the remainder
during 2022. We therefore believe Novis' regulatory capital ratio
will improve toward its target level of 140% and stay well above
100%.

"We also believe Novis will continue the dialogue with NBS on the
assumptions used to calculate its technical reserves under Solvency
II, which could help further improve its solvency position. Even if
the regulator did not accept Novis' assumptions for the solvency
ratio, we believe the company's solvency position would improve
well beyond the 100% threshold with the additional capital
injections from the convertible bond. Nevertheless, we will
continue to closely monitor regulatory measures on insurance
products and solvency ratio calculations and the potential impact
on Novis' business and financial risk profiles.

"Our rating continues to reflect Novis' business position, which is
strengthening thanks to regional diversification in Europe.
However, the company's capital is relatively small and dominated by
the value of in-force policies, creating significant sensitivity to
lapses and expense assumptions. Moreover, Novis has significant
dependence on reinsurance and external funding for financing
acquisition costs. We forecast financial leverage at 60%-80% in
2022-2023, which could improve if reported shareholders' funds were
to strengthen. We expect that the company's net income will be in
the range of EUR5 million-EUR10 million in 2021-2023. However, more
than 50% of its gross revenue consists of changes in insurance
contracts' value and reinsurance commissions. This highlights the
company's dependence on up-front financing and assumption changes,
in particular on costs and lapse development. Under our base-case
scenario, we believe that Novis will continue to write profitable
new business, helping to increase the value of its insurance
portfolio that flows through the company's profit and loss
account."

Outlook

The stable outlook reflects S&P's view that Novis will continue to
expand its franchise, while maintaining regulatory solvency capital
well above 100% and capital adequacy according to S&P Global
Ratings' capital model above the 'A' range over 2022-2023.

Downside scenario

S&P could take a negative rating action in the next 12 months if:

-- Regulatory measures on Novis' product portfolio or sales
activities hurt the company's competitive position;

-- The Solvency II ratio drops to 100%;

-- Capital adequacy according to S&P Global Ratings' capital model
deteriorates and remains below the 'A' range;

-- Novis fails to fund acquisition costs via capital markets or
reinsurance financing, which could affect its competitive
position;

-- The company loses access to key distribution partners, in
particular in Italy and Iceland; or

-- Deficiencies in financial management and governance surfaced,
including financial reporting, that S&P views as material for
Novis' credit profile.

Upside scenario

A positive rating action within 12 months would largely depend on
Novis' ability to:

-- Continue generating profitable growth, gain scale, and develop
the franchise in line with its business plan in target markets;
and

-- Reduce sensitivity to lapses and its dependence on reinsurers
and capital market debtors.

ESG credit indicators: E-2, S-2, G-2




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

COCA-COLA ICECEK: Moody's Withdraws B2 Corporate Family Rating
--------------------------------------------------------------
Moody's Investors Service has withdrawn the B2 corporate family
rating of Coca-Cola Icecek A.S. (CCI). At the same time, Moody's
has withdrawn CCI's B2-PD probability of default rating and B2
rating on the company's outstanding USD300.68 million senior
unsecured notes due 2024. The outlook has also been changed to
ratings withdrawn from negative.

RATINGS RATIONALE

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

COMPANY PROFILE

Coca-Cola Icecek A.S. (CCI) is among the largest independent
bottler in the Coca-Cola system as measured by sales volume as of
December 31, 2020. The company produces and distributes soft
beverages in Turkey, Central Asia, Pakistan and the Middle East.



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

BARLEY HILL NO. 2: S&P Puts Prelim B-(sf) Rating to X-Dfrd Notes
----------------------------------------------------------------
S&P Global Ratings assigned preliminary ratings to Barley Hill No.
2 PLC's class A notes and class B-Dfrd to X-Dfrd interest
deferrable notes.

S&P said, "The issuer, Barley Hill No. 2, is an English
special-purpose entity, which we consider to be bankruptcy remote.
We analyzed its corporate structure in line with our legal
criteria. We expect the transaction documents and legal opinions to
be in line with our legal criteria at closing."

Interest on the notes will be paid monthly after the first interest
payment date, which will be in March 2022. The rated notes pay
interest equal to compounded daily Sterling Overnight Index Average
(SONIA) plus a class-specific margin, with a further step up in
margin following the step-up date in February 2026. All of the
notes will reach their legal final maturity in August 2058.

Barley Hill No. 2 is a static RMBS transaction that will securitize
a portfolio of owner-occupied mortgage loans secured on properties
located in the U.K. The loans in the pool were originated by The
Mortgage Lender Ltd. (TML).

At closing, the issuer will use the issuance proceeds to purchase
the full beneficial interest in the mortgage loans from the seller.
The issuer will grant security over all of its assets in the
security trustee's favor.

UK Mortgages Corporate Funding DAC will retain an economic interest
in the transaction in the form of a vertical risk retention (VRR)
loan note. The VRR loan note is equal to 5% of the aggregate
principal amount of the class A to X-Dfrd notes and corresponds to
5.30% of the pool collateral.

S&P's preliminary ratings are based on the credit quality of the
GBP288 million pool at the cut-off date of Nov. 30, 2021. Loans
were originated between 2016 and 2020.

S&P considers the collateral to be nonconforming, as the pool
includes complex income borrowers and there is a high exposure to
self-employed borrowers (50.5% of the outstanding balance) and to
first-time buyers (30.9%). In addition, borrowers with prior county
court judgments (CCJs) account for 14.1% of outstanding balance.
Under TML's underwriting policy, loans can be granted to borrowers
with CCJs older than three years, with some exceptions made for
more recent CCJs.

Credit enhancement for the rated notes consists of subordination as
well as excess spread.

The class E-Dfrd notes will partly be used to fund the liquidity
reserve, as a result these notes are partially collateralized.

S&P said, "There are no rating constraints in the transaction under
our counterparty, operational risk, or structured finance sovereign
risk criteria. We consider the issuer to be bankruptcy remote in
accordance with our "Legal Criteria: Structured Finance: Asset
Isolation And Special-Purpose Entity Methodology"."

  Preliminary Ratings

  CLASS     PRELIMINARY     CLASS SIZE (%)
            RATING*
  A          AAA (sf)          86.50
  B-Dfrd     AA (sf)            7.00
  C-Dfrd     A (sf)             3.50
  D-Dfrd     BBB- (sf)          2.50
  E-Dfrd     BB (sf)            0.9325
  X-Dfrd     B- (sf)            5.50
  VRR loan
   note§     NR                 5.30
  Class J
   VFN       NR                 TBD
  Residual
   certs     NR                 N/A

Note: This presale report is based on information as of Feb. 8,
2022. The ratings shown are preliminary. Subsequent information may
result in the assignment of final ratings that differ from the
preliminary ratings. Accordingly, the preliminary ratings should
not be construed as evidence of final ratings. This report does not
constitute a recommendation to buy, hold, or sell securities.
*S&P's ratings address timely receipt of interest and ultimate
repayment of principal on the class A notes, and the ultimate
payment of interest and principal on the other rated notes.

§The VRR loan note is equal to 5% of the aggregate principal
amount of the class A to X-Dfrd notes and corresponds to 5.30% of
the pool collateral.
NR--Not rated.
N/A--Not applicable.
TBD--To be determined.
VRR--Vertical risk retention.


BARLEY HILL NO.2: Moody's Assigns (P)Ba2 Rating to Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to Notes
to be issued by Barley Hill No.2 PLC:

GBP[]M Class A Mortgage Backed Floating Rate Notes due August
2058, Assigned (P)Aaa (sf)

GBP[]M Class B Mortgage Backed Floating Rate Notes due August
2058, Assigned (P)Aa2 (sf)

GBP[]M Class C Mortgage Backed Floating Rate Notes due August
2058, Assigned (P)Aa3 (sf)

GBP[]M Class D Mortgage Backed Floating Rate Notes due August
2058, Assigned (P)Baa2 (sf)

GBP[]M Class E Mortgage Backed Floating Rate Notes due August
2058, Assigned (P)Ba2 (sf)

GBP[]M Class X Floating Rate Notes due August 2058, Assigned
(P)Caa2 (sf)

Moody's has not assigned any ratings to the GBP[]M Class VRR
Mortgage Backed Notes due August 2058 and to the GBP[] Class J
Variable Funding Notes due August 2058.

The Notes are backed by a pool of UK residential mortgage loans
originated by The Mortgage Lender Limited ("TML"). The securitised
portfolio consists of 1657 mortgage loans with a current balance of
GBP288.0 million as of November 31, 2021.

RATINGS RATIONALE

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

MILAN CE for this pool is 12.0% and the expected loss is 2.3%.

The expected loss is 2.3%, and is based on Moody's assessment of
the lifetime loss expectation for the pool taking into account: (i)
the current weighted average (WA) LTV of around 68.9%; (ii) the
above average percentage of loans with an adverse credit history;
(iii) the current macroeconomic environment in the UK; (iv) the
historic data does not cover a full economic cycle; and (v)
benchmarking with similar UK Non-conforming transactions.

The MILAN CE for this pool is 12.0% and follows Moody's assessment
of the loan-by-loan information taking into account the following
key drivers: (i) the current WA LTV for the pool of 68.9%; (ii) the
above average percentage of loans with an adverse credit history;
(iii) the share of self-employed borrowers of 50.5% (iv) the
historic data does not cover a full economic cycle; and (v)
benchmarking with similar UK Non-conforming transactions.

At closing, the transaction benefits from amortising liquidity
reserve which is equal to 0.5% of Class A and will amortise
together with the Class A notes. The liquidity reserve fund will be
available to cover senior fees and costs and Class A interest.

Operational Risk Analysis: TML is the servicer in the transaction
whilst U.S. Bank Global Corporate Trust Limited (NR) will be acting
as a cash manager. In order to mitigate the operational risk,
Homeloan Management Limited (NR) will act as a back-up servicer and
Intertrust Management Limited (NR) will act as a back-up cash
manager. To ensure payment continuity over the transaction's
lifetime the transaction documents incorporate estimation language
whereby the cash manager can use the three most recent servicer
reports to determine the cash allocation in case no servicer report
is available.

Interest Rate Risk Analysis: 62.5% of the loans in the pool are
fixed rate loans reverting to BBR. The Notes are floating rate
securities with reference to daily SONIA. To mitigate the
fixed-floating mismatch between the fixed-rate asset and floating
liabilities, there will be a scheduled notional fixed-floating
interest rate swap provided by HSBC Bank plc (Aa3(cr)/P-1(cr)).

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

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

FACTORS THAT WOULD LEAD AN UPGRADE OR DOWNGRADE OF THE RATINGS:

Factors that would lead to an upgrade of the ratings include: (i)
significantly better than expected performance of the pool together
with an increase in credit enhancement of Notes; or (ii) a
deleveraging of the capital structure.

Factors that would lead to a downgrade of the ratings include: (i)
an increase in the level of arrears resulting in a higher level of
losses than forecast; and (ii) economic conditions being worse than
forecast resulting in higher arrears and losses.

CANADA SQUARE 6: Moody's Assigns Ba3 Rating to GBP12.1MM X1 Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to Notes
issued by Canada Square Funding 6 PLC:

GBP298.4M Class A Mortgage Backed Floating Rate Notes due January
2059, Definitive Rating Assigned Aaa (sf)

GBP22.4M Class B Mortgage Backed Floating Rate Notes due January
2059, Definitive Rating Assigned Aa2 (sf)

GBP13.8M Class C Mortgage Backed Floating Rate Notes due January
2059, Definitive Rating Assigned Aa3 (sf)

GBP6.9M Class D Mortgage Backed Floating Rate Notes due January
2059, Definitive Rating Assigned A3 (sf)

GBP2.6M Class E Mortgage Backed Floating Rate Notes due January
2059, Definitive Rating Assigned Baa2 (sf)

GBP12.1M Class X1 Mortgage Backed Floating Rate Notes due January
2059, Definitive Rating Assigned Ba3 (sf)

GBP3.5M Class X2 Mortgage Backed Floating Rate Notes due January
2059, Definitive Rating Assigned Caa3 (sf)

The rating action takes into account the final tighter Notes'
spreads and the increased Class X1 Notes notional size compared to
those assumed at the initial provisional rating date.

Moody's has not assigned any ratings to the GBP18.9M VRR Loan Note
due January 2059, the Class S1 Certificate due January 2059, the
Class S2 Certificate due January 2059 and the Class Y Certificate
due January 2059.

RATINGS RATIONALE

The Notes are backed by a pool of UK buy-to-let ("BTL") mortgage
loans originated by Fleet Mortgages Limited ("Fleet", NR), Topaz
Finance Limited ("Topaz", NR), Landbay Partners Limited ("Landbay",
NR) and Hey Habito Ltd ("Habito", NR). The pool was acquired by
Citibank, N.A., London Branch (Aa3/(P)P-1 & Aa3(cr)/P-1(cr)) from
each originator.

The portfolio of assets amounts to approximately GBP 362 million as
of the November 30, 2021 pool cut-off date. The Reserve Fund will
be partially funded to 1% of the Class A Notes' balance at closing.
The VRR Loan Note is a risk retention Note which receives 5% of all
available receipts, while the remaining Notes and Certificates
receive 95% of the available receipts on a pari-passu basis.

The ratings are based on the credit quality of the portfolio, the
structural features of the transaction and its legal integrity.

According to Moody's, the transaction benefits from various credit
strengths such as a granular portfolio and an amortising liquidity
reserve initially sized at 1.0% of 100/95 of the outstanding Class
A Notes, with a floor of 1.0% of 100/95 prior to the step-up date
and no floor post step-up date in January 2027. The liquidity
reserve fund supports the Class S1 Certificate, Class S2
Certificate and interest on the Class A Notes. The target amount of
the liquidity reserve fund is 1.25% of 100/95 of the outstanding
Class A Notes. Principal receipts are used to fund the reserve fund
from 1.0% up to its target and release amounts from the liquidity
reserve fund will flow through the principal waterfall. There is no
general reserve fund.

Moody's determined the portfolio lifetime expected loss of 1.5% and
Aaa MILAN credit enhancement ("MILAN CE") of 13.0% related to
borrower receivables. The expected loss captures Moody's
expectations of performance considering the current economic
outlook, while the MILAN CE captures the loss Moody's expect the
portfolio to suffer in the event of a severe recession scenario.
Expected defaults and MILAN CE are parameters used by Moody's to
calibrate its lognormal portfolio loss distribution curve and to
associate a probability with each potential future loss scenario in
the ABSROM cash flow model to rate RMBS.

Portfolio expected loss of 1.5%: This is broadly in line with the
UK BTL RMBS sector and is based on Moody's assessment of the
lifetime loss expectation for the pool taking into account: (i) the
collateral performance of originated loans to date, as provided by
the originators; (ii) the performance of previously securitised
portfolios, with cumulative losses of 0% to date; (iii) the fact
that some originators are new and have a limited track record; (iv)
below 1% of satisfied CCJs in the pool; (v) 19.8% of the loans in
the pool backed by multifamily properties; (vi) the current
macroeconomic environment in the UK and the impact of future
interest rate rises on the performance of the mortgage loans; and
(vii) benchmarking with other UK BTL transactions.

MILAN CE for this pool is 13.0%, which is in line with other UK BTL
RMBS transactions, owing to: (i) the WA current LTV for the pool of
71.9%; (ii) top 20 borrowers constituting 8.3% of the pool; (iii)
static nature of the pool; (iv) the fact that 94.4% of the pool are
interest-only loans; (v) the share of self-employed borrowers of
56.5%, and legal entities of 53.0%; (vi) the presence of 19.8% of
MUB loans in the pool; and (vii) benchmarking with similar UK BTL
transactions.

Operational Risk Analysis: Fleet, Topaz, Landbay and Habito are the
servicers in the transaction whilst Citibank, N.A., London Branch,
will be acting as the cash manager. In order to mitigate the
operational risk, CSC Capital Markets UK Limited (NR) will act as
back-up servicer facilitator. To ensure payment continuity over the
transaction's lifetime, the transaction documentation incorporates
estimation language whereby the cash manager can use the three most
recent servicer reports available to determine the cash allocation
in case no servicer report is available. The transaction also
benefits from approx. 2 quarters of liquidity for Class A Notes
based on Moody's calculations. Finally, there is principal to pay
interest mechanism as a source of liquidity for the Classes A to E
which is available either when the relevant tranches PDL does not
exceed 10%, or when the relevant class of Notes becomes the most
senior class without any other condition.

Interest Rate Risk Analysis: 92.9% of the loans in the pool are
fixed rate loans reverting to BBR. The Notes are floating rate
securities with reference to daily SONIA. To mitigate the
fixed-floating mismatch between fixed-rate assets and floating-rate
liabilities, there will be a scheduled notional fixed-floating
interest rate swap provided by BNP Paribas (Aa3(cr)/P-1(cr)).

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

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

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

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

CANADA SQUARE 6: S&P Assigns B- (sf) Rating on 2 Note Classes
-------------------------------------------------------------
S&P Global Ratings has assigned credit ratings to Canada Square
Funding 6 PLC's (CSF 6) class A notes, and class B-Dfrd to X2-Dfrd
interest deferrable notes.

CSF 6 is a static RMBS transaction that securitizes a portfolio of
GBP362.0 million BTL mortgage loans secured on properties located
in the U.K. The loans in the pool were originated by Fleet
Mortgages Ltd. (50.1%), Landbay Partners Ltd. (26.8%), Hey Habito
Ltd. (4.6%), and Topaz Funding Ltd. (under the brand name Zephyr
Homeloans; 18.5%). All loans were originated between March 2020 and
November 2021.

At closing, the issuer used the issuance proceeds to purchase the
full beneficial interest in the mortgage loans from the seller. The
issuer granted security over all of its assets in the security
trustee's favor.

In terms of collateral and the structural features, this
transaction is very similar to Canada Square Funding 2021-2 PLC, to
which S&P assigned ratings in July 2021.

Citibank, N.A., London Branch, retains an economic interest in the
transaction in the form of a vertical risk retention (VRR) loan
note accounting for 5% of the pool balance at closing. The
remaining 95% of the pool was funded through the proceeds of the
mortgage-backed rated notes.

S&P considers the collateral to be prime, based on the overall
historical performance of Fleet Mortgages', Landbay Partners', Hey
Habito's, and Zephyr Homeloans' respective BTL residential mortgage
books as of November 2021, the originators' conservative lending
criteria, and the absence of loans in arrears in the securitized
pool.

Credit enhancement for the rated notes comprises of subordination
from the closing date and overcollateralization, which will result
from the release of the liquidity reserve excess amount to the
principal priority of payments.

The class A notes benefit from liquidity support in the form of a
liquidity reserve, and the class A and B-Dfrd through E-Dfrd notes
benefit from the ability of principal to be used to pay interest,
provided that, in the case of the class B-Dfrd to E-Dfrd notes, the
respective tranche's principal deficiency ledger does not exceed
10% unless they are the most senior class outstanding.

There are no rating constraints in the transaction under S&P's
counterparty, operational risk, or structured finance sovereign
risk criteria. It considers the issuer to be bankruptcy remote.

  Ratings

  CLASS       RATING*     CLASS SIZE (%)§
   A           AAA (sf)       86.75
   B-Dfrd      AA (sf)         6.50
   C-Dfrd      A (sf)          4.00
   D-Dfrd      BBB (sf)        2.00
   E-Dfrd      BBB- (sf)       0.75
   X1-Dfrd     B- (sf)         3.52
   X2-Dfrd     B- (sf)         1.02
   VRR loan note   NR          5.00
   S1 certs    NR               N/A
   S2 certs    NR               N/A
   Y certs     NR               N/A

*S&P's ratings address timely receipt of interest and ultimate
repayment of principal on the class A notes, and the ultimate
payment of interest and principal on the class B-Dfrd to X-Dfrd
notes, which must pay timely interest once they become the most
senior notes outstanding.
§As a percentage of 95% of the pool for the class A to X-Dfrd
notes.
NR--Not rated.
N/A--Not applicable.
VRR--Vertical risk retention.


D&M MEATS: Enters Liquidation, Owes More Than GBP1.5 Million
------------------------------------------------------------
Worcester News reports that D&M Meats Ltd, a Worcester butchers
that closed suddenly owing more than GBP1.5 million, has now gone
into liquidation.

According to Worcester News, D&M Meats Ltd's listing on Companies
House has been updated weeks after a sign was put on the door of
the business premises, in Venture Business Park, saying:
"Regrettably D&M Meats Ltd has now gone into administration."

Companies House, the government's registrar of businesses, website
shows D&M Meats Ltd "commencement of winding up" began on Jan. 19
when insolvency firm Eileen Sale was appointed, Worcester News
relates.

The listing also now shows the company status as being
"liquidation" with a "Resolution for Winding Up" signed by the
firm's chairman Michael Jacob, Worcester News discloses.

As previously revealed by this paper, a creditor's list revealing
the extent of the company's troubles, correct up to Jan. 12, shows
the butchers owed GBP1,628,190.17 to a total of 60 firms, Worcester
News notes.

The creditors list shows firms in the UK and internationally owed
large amounts including GBP104,968 owed to South Pacific Meats Ltd
in Teddington, GBP95,000 owed to Tulling Meat Import in Rotterdam
in the Netherlands and 93,687 owed to Hewitt Meats of Loughgall,
Northern Ireland, Worcester News discloses.

HenHouse Wholesale Ltd is also listed as one of the creditors owed
GBP97,828.

According to Worcester News, a spokesman for the Preston-based firm
said: "I've seen (D&M Meats) owes something like GBP1.7 million, I
just want to know what happened to the firm to owe that amount."

Firms in Worcestershire are also out of pocket -- the list says
Crown House Developments of Blackpole East is owed more than
GBP26,000 and Clearaway of Droitwich and Bennetts Farm of Lower
Wick are both owed more than GBP600, according to Worcester News.

It is unclear how many staff have been made redundant, Worcester
News notes.


DERBY COUNTY FOOTBALL: Turns to Insurance Policy to Avert Collapse
------------------------------------------------------------------
Micah Guiao at Business Insurance reports that Derby County
Football Club is looking into an insurance policy to avoid
potential liquidation.

This comes as Middlesbrough and Wycombe demand compensation for
Derby's alleged financial breaches in the 2018-19 and 2020-21
seasons, Business Insurance notes.  According to Business
Insurance, Middlesbrough owner Steve Gibson has been looking for
GBP45 million over the loss of a play-off spot and the chance of
promotion, while Wycombe Wanderers joined in with a claim for GBP6
million in lost revenue -- they were relegated last season as Derby
avoided a points penalty.

The EFL have given administrators Quantuma until the end of
February to prove to the EFL that they have the funds to complete
the rest of the season, Business Insurance notes.

Now, according to a Daily Mail report, Derby and its administrators
have been made aware of an insurance policy which could boost a
possible takeover, Business Insurance states.  It is suggested that
potential buyers are "examining whether, for the GBP2.5 million
cost of a policy, they would be protected", Business Insurance
discloses.  This protection would apply even if the claims by
Middlesbrough and Wycombe are successful, Business Insurance says.

The Rams continue to search for new owners after entering
administration last September, Business Insurance notes.  However,
these issues have prospective buyers hesitant to take on existing
debts of GBP60 million, with Mike Ashley the latest to withdraw his
bid, Business Insurance relays.  Derby, Business Insurance says,
has since sold players Luke Plange and Omari Kellyman in an attempt
to lessen financial risk.

Meanwhile, former owner Mel Morris has insisted Middlesbrough and
Wycombe divert their compensation claims against him instead of the
Rams in a 2,100-word statement, Business Insurance notes.

There are more talks expected this week involving the EFL,
Quantuma, Middlesbrough, Wycombe and Derbyshire MPs, according to
Business Insurance.

          About Derby County Football Club

Founded in 1884, Derby County Football Club is a professional
association football club based in Derby, Derbyshire, England.
The club competes in the English Football League Championship
(EFL, the 'Championship'), the second tier of English football.  
The team gets its nickname, The Rams, to show tribute to its
links with the First Regiment of Derby Militia, which took a
ram as its mascot. Mel Morris is the owner while Wayne Rooney
is the manager of the club.  

On Sept. 22, 2021, the club went into administration.  The EFL
sanctioned a 12-point deduction on the club, putting the team at
the bottom of the Championship.  Andrew Hosking, Carl Jackson and
Andrew Andronikou, managing directors at business advisory firm
Quantuma, had been appointed joint administrators to the club.

FORMENTERA ISSUER: Fitch Assigns Final B Rating to Class F Notes
----------------------------------------------------------------
Fitch Ratings has assigned Formentera Issuer PLC's notes final
ratings.

       DEBT                  RATING              PRIOR
       ----                  ------              -----
Formentera Issuer PLC

Class A XS2434843756   LT AAAsf  New Rating    AAA(EXP)sf
Class B XS2434846692   LT AAsf   New Rating    AA(EXP)sf
Class C XS2434846858   LT Asf    New Rating    A(EXP)sf
Class D XS2434846932   LT BBBsf  New Rating    BBB(EXP)sf
Class E XS2434847153   LT BBsf   New Rating    BB(EXP)sf
Class F XS2434847237   LT Bsf    New Rating    B(EXP)sf
Class Z XS2434848391   LT NRsf   New Rating    NR(EXP)sf

TRANSACTION SUMMARY

Formentera is a securitisation of owner-occupied (OO) and
buy-to-let (BTL) mortgages originated in the UK by various
non-conforming lenders. The loans were predominantly originated in
2007 (over 95% by current balance) and previously securitised in
two Fitch-rated transactions - Residential Mortgage Securities 23
plc (RMS23) and Uropa Securities 2008-1 plc (Uropa).

KEY RATING DRIVERS

Seasoned Non-Prime Loans: The asset pool contains seasoned loans
that were typical of UK non-conforming originations pre-global
financial crisis.

The pool contains a high proportion of borrowers with adverse
credit histories and early-stage arrears. In addition, the OO
sub-pool also contains a high proportion of interest-only (IO)
loans and borrowers who self-certified their income. Both sub-pools
contain loans in arrears but the BTL sub-pool has a materially
lower proportion.

Fitch considered the historical arrears performance and the average
annualised constant default rate (CDR) of RMS23 and Uropa in
setting the lender adjustments. The OO portion of the pool was
analysed under Fitch's non-conforming criteria assumptions with a
lender adjustment of 1.0x. The BTL portion of the pool was analysed
under Fitch's BTL criteria assumptions with a lender adjustment of
1.2x.

High IO Concentration: Of the borrowers in the OO sub-pool, 48%
have loan maturities due in 2030-2032. This did not result in a
higher weighted average foreclosure frequency (WAFF) for the IO
borrowers, although 79% of the IO loans in this sub-pool mature
within the next 15 years (37% within 10 years), leading to a 35%
higher overall WAFF adjustment. This adjustment will increase as
more loan maturities draw closer.

Low Indexed WA CLTVs: The mortgage portfolio has benefitted from
considerable growth in property values leading to a WA indexed
current loan-to-value (CLTV) of 60.6%. This contrasts with the WA
original-LTV (OLTV) of 87% and in turn led to a fairly strong
recovery rate assumption of 93.2% in Fitch's expected case. Nearly
three quarters of the borrowers with IO loans have an indexed CLTV
less than 70%. This should minimise any material loss if a
significant proportion of IO borrowers are unable to make their
bullet payments.

Base Rate-Linked Loans: The pool contains 43.4% loans linked to the
Bank of England base rate (BBR), 44.1% linked to Libor and 12.5%
linked to a standard variable rate. There is no hedge in place at
close. As the notes pay daily compounded SONIA, the transaction is
exposed to basis risk between the BBR and SONIA. The RMS23 loans
linked to Libor have transitioned to an alternative rate. One
option under consideration for Libor replacement for the Uropa
loans is BBR. A sensitivity stress to the transaction cash flows
was therefore applied, applying the haircuts between SONIA and BBR
stipulated in Fitch's UK RMBS Rating Criteria. This has had no
impact on the model-implied-ratings.

RATING SENSITIVITIES

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

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

-- Additionally, unanticipated declines in recoveries could also
    result in lower net proceeds, which may make certain note
    ratings susceptible to 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 recovery rate (RR) assumptions, and examining the
    rating implications on all classes of issued notes. A 15%
    increase in the WAFF and a 15% decrease in the WARR indicate
    downgrades of between three and four notches across the
    capital structure.

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

-- Stable to improved asset performance driven by stable
    delinquencies and defaults would lead to increasing credit
    enhancement levels and, potentially, upgrades. Fitch tested an
    additional rating sensitivity scenario by decreasing the FF by
    15% and increasing the RR by 15%. The impact on all notes
    except the class A notes could be upgrades of between one and
    five notches.

BEST/WORST CASE RATING SCENARIO

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

DATA ADEQUACY

Fitch sought to receive a third-party assessment on the asset
portfolio information, but none was available for this
transaction.

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

ESG CONSIDERATIONS

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

Formentera has ESG Relevance Scores of '4' for Customer Welfare -
Fair Messaging, Privacy & Data Security, due to the pool exhibiting
an IO maturity concentration among the legacy non-conforming OO
sub-pool of greater than 48%, which has a negative impact on the
credit profile, and is relevant to the ratings in conjunction with
other factors.

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

FORMENTERA ISSUER: S&P Assigns BB(sf) Rating to Class F-Dfrd Notes
------------------------------------------------------------------
S&P Global Ratings has assigned credit ratings to Formentera Issuer
PLC's class A, B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, and F-Dfrd notes. At
closing, Formentera Issuer also issued unrated class Z notes, S1,
S2, and Y certificates, and VRR loan notes.

Formentera Issuer is a static RMBS transaction that securitizes
well-seasoned mortgage loans currently held in Residential Mortgage
Securities 23 PLC (RMS 23; Subpool 1) and Uropa Securities PLC
2008-1 (Uropa 2008-1; Subpool 2).

At closing, the proceeds of the newly issued notes financed the
issuer's acquisition of the mortgages. The cash then cash
collateralizes the existing notes in the outstanding respective
bank accounts for both refinanced transactions until their next
interest payment dates in February and March 2022 for RMS 23 and
Uropa 2008-1, respectively, while the first interest payment date
of Formentera Issuer PLC is in April 2022. At this point, the notes
of the refinanced transactions will be fully repaid plus any
accrued interest.

The portfolio comprises first-lien U.K. owner-occupied loans (60%)
and buy-to-let mortgage loans (40%), and has a weighted-average
current indexed loan-to-value (LTV) ratio of 55.6% and a
weighted-average original LTV ratio of 83.8%. The pool is well
seasoned with a weighted-average seasoning of 14 years, and the
assets are primarily concentrated in London and the South-East
(31%), but no regions breach our concentration limits. There is a
high proportion (91.4%) of interest-only loans in the pool.

The pool also contains loans that have had at least one county
court judgement (12.4%) and borrowers that have previously been
declared bankrupt (2.3%).

A liquidity reserve fund provides liquidity, and principal can be
used to pay senior fees and interest on the notes subject to
various conditions.

Homeloan Management Ltd. (HML) and Kensington Mortgage Company Ltd.
are the interim servicer and interim legal title holder,
respectively, for the subpool 1 loans at closing. Following the
sale of the assets from the original seller to the sponsor and then
on to the issuer, HML will continue to be the servicer for the
pool's loans until the migration date. After the migration date,
Topaz Finance Ltd. (a subsidiary of Computershare Ltd.) will be
appointed as the transaction's servicer/long-term title holder
while it is the servicer/legal title holder of the subpool 2 at
closing.

There are no rating constraints in the transaction under our
counterparty, operational risk, or structured finance sovereign
risk criteria. S&P considers the issuer to be bankruptcy remote.

S&P said, "Our credit and cash flow analysis and related
assumptions consider the transaction's ability to withstand the
potential repercussions of the COVID-19 outbreak, including a
longer recovery timing. As the situation evolves, we will update
our assumptions and estimates accordingly."

  Ratings

  CLASS     RATING*     CLASS SIZE (MIL.  GBP)
  A         AAA (sf)       195.4
  B-Dfrd    AA+ (sf)        14.6
  C-Dfrd    AA (sf)         11.0
  D-Dfrd    A (sf)           7.3
  E-Dfrd    BBB (sf)         6.1
  F-Dfrd    BB (sf)          2.4
  Z-Dfrd    NR               6.7
  S1 certs  NR               N/A
  S2 certs  NR               N/A
  Y certs   NR               N/A
  VRR loan
   notes    NR              12.8

*S&P's ratings address timely receipt of interest and ultimate
repayment of principal for the class A notes, and the ultimate
payment of interest and principal on the other rated notes.
N/A--Not applicable.
NR--Not rated.


MIDAS GROUP: Enters Administration, Division Sold to Bell Group
---------------------------------------------------------------
Business Sale reports that property services business Mi-Space (UK)
has been sold to Bell Group after its parent company, construction
firm Midas Group, confirmed that it had entered administration.

Mi-Space was one of five businesses to file notice of intention to
appoint administrators -- alongside Midas Group, Midas Construction
Ltd, Midas Commercial Developments Ltd and Midas Retail Ltd.

Richard Hawes and Matt Smith of Teneo Financial Advisory were
subsequently appointed administrators of Midas Group and its
subsidiaries and sealed the successful sale of Mi-Space, preserving
46 jobs at the property services firm, Business Sale relates.

The group had recently come under a range of pressures relating to
the COVID-19 pandemic, material and labour shortages and cost
inflation, Business Sale discloses.  Amidst these issues, the
company slumped to a GBP2 million loss last year, the first deficit
in the group's history, Business Sale notes.

According to Business Sale, Midas Group Chairman Steve Hindley
said: "The disruption and supply chain inflation caused by the
COVID-19 pandemic resulted in a number of critical contracts being
postponed or cancelled.  The resultant impact on the group's
working capital led to severe liquidity pressure and meant the
group was no longer able to operate."

Following the group's administration, three major hotel builds
operated by Midas Construction and worth over GBP40 million have
been placed on hold.  These include two Paignton Esplanade hotels
and a new Premier Inn in Torbay.


PDR CONSTRUCTION: Moody Takes Over Treadmills Construction
----------------------------------------------------------
Miran Rahman at TheBusinessDesk.com reports that local contractor
Moody Construction has taken over the final phase of the Treadmills
development in Northallerton, after PDR Construction, the firm
previously responsible for the work, fell into administration.

According to TheBusinessDesk.com, the building contractor has now
re-started work on site to deliver a multi-screen cinema for
Everyman, three new-build restaurant units, and public realm works
to create a showpiece civic square.

Family-owned Moody Construction has been appointed by the Central
Northallerton Development Company Ltd (CNDCL) joint venture formed
by leading Yorkshire developer Wykeland Group and Hambleton
District Council to drive forward the GBP17 million mixed-use
development of the former Northallerton Prison site,
TheBusinessDesk.com relates.

It follows an interruption to works after PDR Construction went
into administration, resulting in work being paused for just under
a month while a process was followed to appoint a new company,
TheBusinessDesk.com notes.

The regeneration scheme is now set to be fully completed -- as
previously planned -- by this autumn, a few weeks later than
originally scheduled, TheBusinessDesk.com discloses.


POLARIS 2022-1: S&P Assigns B (sf) Rating to Cl. X1-Dfrd Notes
--------------------------------------------------------------
S&P Global Ratings assigned ratings to Polaris 2022-1 PLC's class A
to X1-Dfrd notes. At closing, the issuer also issued unrated class
X2 and RC1 and RC2 certificates.

Polaris 2022-1 is an RMBS transaction that securitizes a portfolio
of owner-occupied and buy-to-let (BTL) mortgage loans that are
secured over properties in the U.K.

This is the fourth RMBS transaction originated by Pepper group in
the U.K. that S&P has rated. The first one was Polaris 2019-1 PLC.

The loans in the pool were originated in 2021 by Pepper Money Ltd.,
a nonbank specialist lender.

The collateral comprises complex income borrowers, borrowers with
immature credit profiles, and borrowers with credit impairments,
and there is a high exposure to self-employed borrowers and
first-time buyers. Approximately 31.6% of the pool comprises BTL
loans and the remaining 68.4% are owner-occupier loans.

The transaction benefits from a fully funded liquidity reserve
fund, which can be used to provide liquidity support to the class A
notes and to pay senior fees and expenses and senior swap payments.
After the step-up date, the liquidity reserve will amortize in line
with the class A notes' outstanding balance and the excess above
the required amount will be released to the principal waterfall.
Principal can be used to pay senior fees and interest on some
classes of the rated notes subject to conditions.

The transaction incorporates a swap to hedge the mismatch between
the notes, which pay a coupon based on the compounded daily
Sterling overnight index average rate (SONIA), and loans, which pay
fixed-rate interest before reversion.

At closing, the issuer used the issuance proceeds to purchase the
full beneficial interest in the mortgage loans from the seller. The
issuer granted security over all of its assets in favor of the
security trustee.

There are no rating constraints in the transaction under S&P's
counterparty, operational risk, or structured finance sovereign
risk criteria. It considers the issuer to be bankruptcy remote.

Pepper (UK) Ltd. is the servicer in this transaction.

S&P said, "Our credit and cash flow analysis and related
assumptions consider the transaction's ability to withstand the
potential repercussions of the COVID-19 outbreak, namely higher
defaults and longer recovery timing. Considering these factors, we
believe that the available credit enhancement is commensurate with
the ratings assigned."

  Ratings

  CLASS        RATING*     AMOUNT (MIL.  GBP)
   A           AAA (sf)      384.75
   B-Dfrd      AA+ (sf)       24.75
   C-Dfrd      AA- (sf)       15.75
   D-Dfrd      A (sf)         11.25
   E-Dfrd      BBB (sf)        9.00
   Z-Dfrd      BB- (sf)        4.50
   X1-Dfrd     B (sf)         11.25
   X2          NR              6.75
   RC1 residual certs NR        N/A
   RC2 residual certs NR        N/A

*S&P's ratings address timely receipt of interest and ultimate
repayment of principal on the class A notes, and the ultimate
payment of interest and principal on all the other rated notes. Our
ratings also address timely interest on the rated notes when they
become most senior outstanding. Any deferred interest is due at
maturity.
NR--Not rated.
N/A—Not applicable.


POLARIS PLC 2022-1: Moody's Assigns B1 Rating to GBP4.5MM Z Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned definitive long-term credit
ratings to Notes issued by Polaris 2022-1 plc:

GBP384.75M Class A Mortgage Backed Floating Rate Notes due October
2059, Definitive Rating Assigned Aaa (sf)

GBP24.75M Class B Mortgage Backed Floating Rate Notes due October
2059, Definitive Rating Assigned Aa2 (sf)

GBP15.75M Class C Mortgage Backed Floating Rate Notes due October
2059, Definitive Rating Assigned Aa3 (sf)

GBP11.25M Class D Mortgage Backed Floating Rate Notes due October
2059, Definitive Rating Assigned A3 (sf)

GBP9M Class E Mortgage Backed Floating Rate Notes due October
2059, Definitive Rating Assigned Ba1 (sf)

GBP4.5M Class Z Mortgage Backed Floating Rate Notes due October
2059, Definitive Rating Assigned B1 (sf)

GBP11.25M Class X1 Floating Rate Notes due October 2059,
Definitive Rating Assigned B2 (sf)

The improvemnet of the final ratings for some of the Notes takes
into consideration a lower swap rate and an overall lower weighted
average coupon of the Notes compared to what was assumed at the
initial provisional rating date.

Moody's has not assigned ratings to the GBP6.75M Class X2 Floating
Rate Notes due October 2059 and the Residual Certificates.

The Notes are backed by a static portfolio of UK non-conforming
residential mortgage loans originated by Pepper Money Limited (not
rated). This is the fourth securitisation of this originator in the
UK. The securitised portfolio size as of the end of December 2021
is equal to approximately GBP450M and is made of sums owing by the
customer inclusive of accrued interest totalling approximately
GBP1.3M.

RATINGS RATIONALE

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

MILAN CE for this pool is 13.5% and the expected loss is 2.5%.

The expected loss is 2.5%, which is in line with the UK
Non-conforming sector average and is based on Moody's assessment of
the lifetime loss expectation for the pool taking into account: (1)
the WA LTV of 71.7%; (2) the above average percentage of loans with
an adverse credit history; (3) the current macroeconomic
environment in the UK; and (4) benchmarking with similar UK
Non-conforming RMBS.

MILAN CE for this pool is 13.5%, which is in line with the UK
Non-conforming sector average and follows Moody's assessment of the
loan-by-loan information taking into account the following key
drivers: (1) the WA LTV of 71.7%; (2) the above average percentage
of loans with an adverse credit history; (3) the low WA seasoning
of 0.3 years; (4) the historic data does not cover a full economic
cycle; and (5) benchmarking with similar UK Non-conforming RMBS.

The transaction benefits from a Liquidity Reserve Fund which is
funded at closing to represent 1% of the Class A Notes. The
Liquidity Reserve Fund will be replenished using revenues fund. The
Liquidity Reserve Fund is non-amortising until the step-up date
when will start to represent the 1.0% of the outstanding balance of
the Class A Notes and will amortise together with the Class A Notes
in the principal waterfall. It will cover senior fees and interest
on the Class A Notes. The liquidity reserve does not cover any
other class of notes in the event of financial disruption of the
servicer and therefore limits the achievable ratings of the Class B
Notes.

Interest Rate Risk Analysis: 100% of the loans in the pool are
fixed rate loans reverting to the Lender Managed Rate (LMR). The
Notes are floating rate securities with reference to compounded
daily SONIA. To mitigate the fixed-floating mismatch between the
fixed-rate asset and floating liabilities, there will be a
scheduled notional fixed-floating interest rate swap provided by
National Australia Bank Limited (Aa2(cr)/P-1(cr)).

Linkage to the Servicer: Pepper (UK) Limited (NR) is the servicer
in the transaction. To help ensure continuity of payments in
stressed situations, the deal structure provides for: (1) a back-up
servicer facilitator (CSC Capital Markets UK Limited (NR)); (2) an
independent cash manager (Citibank, N.A., London Branch
(Aa3(cr),P-1(cr))); (3) liquidity for the Class A Notes; and (4)
estimation language whereby the cash flows will be estimated from
the three most recent servicer reports should the servicer report
not be available.

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

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

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

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

RAINBOW UK: S&P Assigns 'B' Issuer Credit Rating, Outlook Stable
----------------------------------------------------------------
S&P Global Ratings assigned its 'B' long-term issuer credit rating
to Rainbow UK MidCo 2 Ltd. (the parent of the Wella group, which
will produce consolidated accounts), and to the senior secured
$1.95 billion term loan B due 2029 and $330 million RCF due 2028.

The stable outlook indicates that Wella has sufficient rating
headroom within its credit metrics, prospects for gradual
deleveraging, and robust annual free operating cash flow (FOCF) of
$150 million-$200 million or higher.

In 2021, financial sponsor KKR & Co. Inc. increased its controlling
equity stake in Wella Group to 74%, from the 60% it acquired in
2020 following the carve-out of Wella from Coty Inc. The remaining
26% equity stake in Wella is owned by Coty.

Wella has raised a U.S. dollar-equivalent $1.95 billion term loan B
(including a EUR925 million tranche,  GBP550 million tranche, and
$175 million tranche) and a U.S. dollar-equivalent $335 million
payment-in-kind (PIK) facility. At the same time, the company has
signed a $330 million revolving credit facility (RCF), which we
expect to remain fully undrawn. Net proceeds, together with about
$120 million of cash available on balance sheet, will be used to
fully repay the existing debt facility and to pay a one-off
shareholder distribution.

S&P's ratings on Rainbow UK MidCo 2 Ltd. are in line with the
preliminary ratings assigned on Jan. 17, 2021.

Wella has good diversity overall in terms of region, customer base,
and channel distribution. The group operates in more than 100
countries with a relatively well-balanced exposure among key
regions. North America represents the largest contributor, with
about 28% of sales in fiscal year (FY) ending June 30, 2021, while
the top three regions (North America; Germany, Austria, and
Switzerland; and the U.K. and Ireland) account for about 50% of
total revenue. The group is well diversified, with exposure to
several different segments (including hair salons, wholesale,
e-commerce, and retailers), while Wella's top 10 customers account
for less than 20% of total group sales. Wella has a relatively low
exposure to emerging markets compared with key global competitors,
although these markets could represent future business
opportunities. Sales are also well balanced in terms of brands and
route-to-market, with wholesale accounting for 34% of sales; salons
30%; consumer retailers 16%; pure e-commerce players 8%; and other
channels 12%. By product category, the group is focused mainly on
hair products (about 74% of sales) covering both professional (No.
2 hair professional player globally) and retail (No. 2 in retail
hair color). In addition to hair products, Wella has a beauty tech
division (16% of total sales) with the GHD brand, and a
professional nail division (8% of sales). Finally, S&P views
positively Wella's operation across different price points in the
medium to premium space.

The group has strong established market shares globally. Wella is
the No. 2 global player in the professional hair and retail hair
color segments, and the No.1 global player in professional hair
color, professional nail care, and premium hair-styling appliances.
According to Kline & Company, Inc.-- provider of market research
and databases for consumer, industrial, and professional
markets--within the professional hair segment (a core business for
Wella), L'Oréal is the clear market leader with an estimated
global market share of about 20%-25%. Wella is the No. 2 player
after L'Oréal, with an estimated market share of slightly below
10%, followed by Henkel (A/Stable/A-1). Wella lost about 140 basis
points (bps) during 2016-2020. The group is underexposed to the
professional hair care segment (care represents about 45% of the
total professional hair industry, but accounts for only 29% of
Wella's professional hair segment) with a market share of about 6%,
being the No. 3 industry player. The group has seen a slight
decline in its market shares (except for hair appliances) in the
past few years, mainly due to the lack of focus under previous
ownership, as well as insufficient exposure to the fastest-growing
emerging markets and the hair care segment (as opposed to hair
color and stylist hair products). For example, until October 2021,
Wella had historically been restricted from selling its hair care
products within the retail channel as part of legacy agreements
with other companies.

The beauty industry has long-term growth drivers, although the hair
segment has experienced lower growth compared with other beauty
categories. According to Wella, its global addressable market is
close to $100 billion (about 20% of the total beauty and personal
care market) given its focus on hair, nail, and hair beauty tech
products (hair dryer, stylers, curlers). The global hair industry
(professional and retail) has a value of close to $85 billion, and
it experienced a compound annual growth rate (CAGR) of about 1.5%
(professional hair CAGR 2015-2019 of 3% and retail hair close to
1.2%) over 2015-2019 (excluding 2020 due to the pandemic). This is
below S&P's view of the global average estimated growth rate for
the beauty industry of close to 5% over the same period. In its
view, hair products are a more mature segment than other beauty
products (such as skincare and fragrance). Moreover, the level of
innovation and speed of premiumization within the hair industry has
been lower over the past few years. That said, the industry is
characterized by positive long-term growth drivers including, for
example, a rising middle class in emerging markets, increased care
and wellbeing consumer awareness, digital activities, and the
premiumization trend. S&P expects low-to-mid-single-digit growth in
the group's addressable market during 2022-2025.

The COVID-19 pandemic caused significant disruption to the beauty
industry--primarily to the professional beauty segment--creating
additional volatility. During FY2020, Wella posted revenue of $2.1
billion, representing a year-on-year revenue decline of 12%. The
decline stemmed mainly from the professional hair segment and the
OPI brand (about 16% reduction in sales), due to salon closures and
reduced social occasions. All of the group's business segments
posted negative growth, except for hair appliances (with its
premium brand GHD), which grew by 3% thanks to strong e-commerce
channel exposure. Moreover, during FY2020, Wella lost about 400 bps
in company-adjusted EBITDA, despite a material reduction in
advertising and consumer promotion expenses. In FY2021, Wella
posted 10% annual revenue growth thanks to the gradual reopening of
salons, although total revenue remained below the pre-pandemic
level (at about 3.6% below FY2019). During the pandemic, the
closure of salons did not translate into a positive performance for
the retail channel. In fact, hair retail (20% of total sales in
FY2021) is expected to remain below pre-pandemic levels in FY2022.
Finally, the pandemic strongly accelerated the shift to e-commerce,
as seen with other personal care and beauty players. The group
estimates that online sales account for about 18% of total
revenue.

S&P considers the industry's barriers to entry to be moderate, and
competition intense. The top three players (L'Oréal, Wella, and
Henkel) account for about 40% of the global professional hair
industry. In our view, the industry barriers are moderate
considering the relevance of brand reputation, long-term
relationships with hair salons (educational programs, contract
agreements, and so on), and research and development (R&D)
activities. However, in the recent past, the industry experienced a
general step-up in competition, mainly because of higher online
penetration, new brands, and product launches, combined with
increased marketing and promotional activities.

S&P said, "Historically, Wella's profitability is lower than its
direct peers', although looking ahead we expect moderate
improvements. Because of the carve-out transaction, we do not have
a complete track record of Wella's reported EBITDA margin for the
company on a stand-alone basis. However, according to the pro forma
adjustments, the group posted an S&P Global Ratings-adjusted EBITDA
margin (including lease) in the 10%-15% range over the past few
years, below its direct peers. This was mainly the result of some
pandemic-related disruptions, the underutilization of its own
manufacturing facilities, and some suboptimal level price levels
and product mix. Given the renewed strategic growth plan and new
management team, we expect the company to report moderate and
gradual improvements in its profitability, with an expected S&P
Global Ratings-adjusted EBITDA margin approaching 16% in 2023-2024.
The group has an improved operating leverage and efficiency
program. Moreover, it is implementing some cost-saving initiatives
(commercial negotiation, production relocation, change in sourcing
activities) for an estimated total saving of close to $170 million
by FY2025. However, we expect these initiatives to have a more
limited positive impact on the income statement given the
offsetting actions of higher raw material and transportation costs,
and because some of the savings will be reinvested.

"According to the management, the company is on track to complete
the separation from Coty by February 2022. One key exception is
Brazil, where separation complexity is higher, and where Wella
entered into a distribution agreement with Coty for the first three
years post-closing. The overall separation process started in
FY2021, with total one-off spending expected to be close to $430
million-$450 million. According to the management, about $300
million has already been incurred as of November 2021. In our
base-case scenario, in line with the group's guidance, we assume
about $250 million one-off separation costs in FY2022, $19 million
in FY2023, and $13 million in 2024. Most of the one-off separation
costs relate to IT activities, such as cloning Coty's systems and
software applications and implementing a new IT infrastructure
stand-alone platform. Other one-off separation costs include
consulting expenses, legal costs, taxes, and so on. In our
assessment, considering the nature of these separation costs, we
exclude these one-offs from our adjusted EBITDA figure. Given that
the group has put in place a robust separation process and that
most of the spending has already taken place, there is a relatively
lower event risk associated with higher spending related to
separation with a negative impact on the company's net cash flow
generation.

"We expect Wella to report a healthy recurring cash flow
generation, with annual FOCF (after working capital and capital
expenditure [capex] requirements) in the range of $150 million-$200
million during 2022-2023. Cash flow figures under our base case
represent a significant reduction compared with the group's
base-case scenario. This is mainly led by a more conservative
approach in terms of EBITDA margin evolution. We anticipate annual
capex to amount to about $70 million, at about 2.5% of annual
sales. Looking at working capital, we assume a moderate cash
absorption to support organic top-line growth. At end-FY2022, the
overall cash position of the company will be affected by the
significant one-off costs (about $250 million) associated with the
separation from Coty.

"Under our base case, we estimate that Wella will post adjusted
debt to EBITDA in the 6.5x-6.0x range at year-end 2022-23, with a
gradual deleveraging thereafter. We expect the company to
deleverage close to or below 6.0x and to maintain adjusted leverage
within 6.0x-5.5x during 2023-2024. The deleveraging trend is driven
by a moderate increase in EBITDA thanks to organic revenue growth,
the phasing out of restructuring costs, and some cost-saving
initiatives implemented by the group. Total adjusted debt includes
an approximately $1.95 billion term loan B, $335 million PIK notes
(with accrued interest), operating leasing of about $80 million-$85
million, and about $110 million of net pension liabilities. In our
adjusted EBITDA, we exclude the separation costs (about $250
million in 2022, $19 million in 2023, and $13 million in 2024) and
we include transformative restructuring expenses, expected to
amount to $50 million over 2023-2025. The group is implementing a
transformative restructuring program for a total expected
consideration of $90 million-$95 million (operating expenditure and
capex), of which about 50% will already be spent by end-FY2022.
These investments relate, among other things, to procurement
projects, centralization of human resources functions, severance
costs, and real estate optimization.

"The stable outlook indicates that we expect Wella to post positive
organic growth with a gradual improvement in EBITDA margin
approaching 15%-16% on an S&P Global Ratings-adjusted basis. The
improvement is mainly driven by the group's cost-saving
initiatives, the phasing out of restructuring costs, and the
ongoing premiumization trend within the beauty industry. Under our
base-case scenario, we expect the group to post annual FOCF in the
range of $150 million-$200 million, and to be able to reduce the
adjusted debt-to-EBITDA ratio close to 6.0x by FY2023.

"We could lower the rating if the group's S&P Global
Ratings-adjusted debt to EBITDA rose above 7.0x on a sustainable
basis with a much lower FOCF than anticipated. For example, this
scenario could stem from significant and prolonged pandemic-related
disruptions and a weaker macroeconomic environment in the group's
key markets, combined with business disruption and higher spending
related to the separation from Coty.

"We could upgrade Wella if the group were able to outperform our
base case so that it is able to gain significant market share with
material improvement in its S&P Global Ratings-adjusted EBITDA
margin. Under this scenario, Wella should demonstrate a track
record of operating successfully on a stand-alone basis (post
separation) with solid FOCF generation and the ability to achieve
and maintain S&P Global Ratings-adjusted debt to EBITDA close to or
below 5.0x."

ESG credit indicators: E-2, S-2, G-3

S&P said, "Governance factors are a moderately negative
consideration in our rating analysis of Rainbow UK Midco 2 Ltd., as
is the case for most rated entities owned by private-equity
sponsors. We believe the group's highly leveraged financial risk
profile points to corporate decision making that prioritizes the
interests of the controlling owners. This also reflects the
generally finite holding periods and a focus on maximizing
shareholder returns."


YORKSHIRE RESIN: Halts Trading, Goes Into Liquidation
-----------------------------------------------------
Thomas Barrett at The Stray Ferret reports that Harrogate firm
Yorkshire Resin Coatings Ltd has ceased trading and gone into
liquidation.

A resolution for winding-up the company was posted on the public
record website The Gazette on Feb. 3, The Stray Ferret relates.

The company's last accounts posted on Companies House, for the
financial year ending July 27, 2020, said it had 12 employees, The
Stray Ferret notes.

The Gazette listing says Manchester insolvency specialists Begbies
Traynor has been appointed liquidator, The Stray Ferret discloses.


[*] S&P Affirms 124 Ratings on 94 European Repack Transactions
--------------------------------------------------------------
S&P Global Ratings affirmed 124 credit ratings on 94 European
repackaged (repack) transactions following its surveillance
review.

Counterparty, operational, and legal risks are adequately mitigated
in line with S&P's criteria. Following the application of its
"Methodology For Rating Repackaged Securities," published on Oct.
16, 2012, S&P has affirmed its ratings on all series of notes in
these transactions.

A list of Affected Ratings can be viewed at:

             https://bit.ly/3gypFxv



                           *********


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 2022.  All rights reserved.  ISSN 1529-2754.

This material is copyrighted and any commercial use, resale or
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