/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/191121.mbx 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, November 21, 2019, Vol. 20, No. 233 Headlines G E R M A N Y SCHNIGGE WERTPAPIERHANDELSBANK: Implements Capital Increases G R E E C E ALPHA BANK: To Launch Big Securitization of Soured Loans MYTILINEOS SA: Fitch Assigns 'BB' LT IDR, Outlook Stable I R E L A N D AIB GROUP: Moody's Rates LT Subordinated Debt Securities (P)Ba1 ARBOUR CLO: Moody's Affirms B1 Rating on EUR12.125MM Cl. F Notes N E T H E R L A N D S EDML 2019-1: Moody's Assigns (P)Ba1 Rating to EUR4.3MM Cl. E Notes P O L A N D URSUS BUS: Fails to Pay Liabilities Under Lease Agreement P O R T U G A L MAGELLAN MORTGAGES 1: Fitch Affirms BB+sf Rating on Cl. C Notes T U R K E Y ISTANBUL TAKAS: Fitch Affirms BB- LT IDR, Alters Outlook to Stable U N I T E D K I N G D O M GO GREEN: Waste-to-Gas Facility Construction to Restart MERLIN ENTERTAINMENT: Moody's Withdraws Ba2 CFR After Acquisition PENTLAND MATERIAL: Gets GB750K Funding Facility, 30+ Jobs Saved PIZZAEXPRESS FINANCING: Moody's Cuts LT CFR to Caa3, Outlook Neg. TOWD POINT 2019-GRANITE5: Moody's Rates GBP6.721MM Cl. E Notes Ba3 - - - - - ============= G E R M A N Y ============= SCHNIGGE WERTPAPIERHANDELSBANK: Implements Capital Increases ------------------------------------------------------------ Reuters reports that SCHNIGGE Wertpapierhandelsbank SE said on Nov. 19 it has implemented the capital increases provided for in its final insolvency plan. According to Reuters, in addition to a capital increase of up to EUR1 million, the insolvency plan provides for former shareholders to participate in the capital increase although they currently no longer hold any shares. Former shareholders were granted a subscription right in the ratio of 10 to 1 to the share capital of 5,204,682 shares, thus, existing shareholders can subscribe for up to 520,468 shares, Reuters discloses. The subscription price per share is set at EUR1.02 (EUR1 nominal value plus EUR0.02 premium), Reuters notes. Headquartered in Germany, SCHNIGGE Wertpapierhandelsbank offers securities brokerage services for a variety of financial instruments. =========== G R E E C E =========== ALPHA BANK: To Launch Big Securitization of Soured Loans -------------------------------------------------------- George Georgiopoulos at Reuters reports that Alpha Bank on Nov. 19 reported lower third-quarter profits after higher bad debt provisions and said it would launch a big securitization of soured loans to clean up its balance sheet. Alpha, 11% owned by the country's bank rescue fund HFSF, reported net profit from continuing operations of EUR4.8 million after net earnings of EUR59.4 million in the second quarter, Reuters discloses. Provisions for bad debt rose 6.3% quarter-on-quarter to EUR261.5 million, Reuters notes. Alpha, Greece's fourth largest bank, said it planned a EUR12 billion (US$13.29 billion) securitization of soured loans or so-called non-performing exposures (NPEs) to speed up balance sheet clean-up and cut its NPE ratio to 20% from 44%, Reuters relates. According to Reuters, the bank said the Greek government's Hercules asset protection scheme will "act as a catalyst" as it intends to apply for up to EUR3.7 billion of state guarantees for the securitization under the scheme. The scheme, approved by the European Commission in October, will help Greek banks to offload the non-performing loans clogging their balance sheets and constraining them from funding the country's recovering economy, Reuters states. As reported by the Troubled Company Reporter-Europe on June 5, 2019, Fitch Ratings affirmed Alpha Bank AE's Long-Term Issuer Default Rating at 'CCC+' and Viability Rating at 'ccc+'. Fitch said Alpha's ratings reflect its exceptionally weak, albeit improving, asset quality and high capital encumbrance by unreserved non-performing exposures (NPEs). The ratings also factor in an improving funding structure and liquidity position, although the latter remains weak. Alpha's overall financial profile, like that of other Greek banks, is sensitive to Greece's operating environment, which remains highly volatile despite having improved in the past year. MYTILINEOS SA: Fitch Assigns 'BB' LT IDR, Outlook Stable -------------------------------------------------------- Fitch Ratings assigned Mytilineos S.A a Long-Term Issuer Default Rating of 'BB' with a Stable Outlook. The agency has also assigned Mytilineos Financial Partners S.A.'s upcoming notes an expected senior unsecured 'BB(EXP)' rating. The final rating is contingent upon the receipt of final documentation conforming materially to information already received and details regarding the amount and tenor. Mytilineos Financial Partners S.A. is a direct subsidiary of MYTIL, which will guarantee the notes on a senior unsecured basis. The rating is underpinned by MYTIL's diversified business profile, synergistic business model, vertically integrated and low unit-cost metallurgy operations as well as strong and growing market position in the domestic electricity market that provides a cushion against cash flow volatility. The main rating constraints are the group's small scale, exposure to cyclical end-markets, increasing leverage and forecasted negative free cash flow (FCF) in 2020-2021, driven by higher capex and working capital needs. The Stable Outlook reflects its expectation that MYTIL's diversified profile and growing utilities operations will partially mitigate weakening metallurgy and engineering, procurement and construction (EPC) performance amid worsening global economic slowdown. Additionally, it reflects its view that the group will proceed with growth capex and small bolt-on acquisitions while maintaining a conservative financial profile. KEY RATING DRIVERS Diversified Business Profile: Fitch believes that the group's operations across three sectors with distinctive characteristics, including alumina and aluminium production, power generation and supply as well as EPC, offer diversification and strengthen the overall business profile. This has enabled the group to generate funds from operations (FFO) margins greater than 12% over the last three years. Fitch expects margins to slightly decline, albeit remaining in double digits, over the next three years due primarily to weakening macroeconomic conditions. Synergistic Business Model: Synergies created within the group's diversified business units provide certain cost competitive advantages and are viewed as credit-positive. MYTIL's EPC arm acts as the contractor for intercompany organic growth projects for the metallurgy and power generation business at below market costs. The large natural gas needs of MYTIL to support its electricity generation operations allow it to import gas at below Greek market rates, benefiting also its metallurgy segment as natural gas feeds the CHP plant that generates steam for alumina production. Higher Leverage: Although Fitch expects a slight improvement of FFO-adjusted net leverage to 1.8x in 2019 (2018: 1.9x), due primarily to robust performance of the power & gas segment, Fitch forecasts it to increase to 2.8x on average over 2020-2021. This would be the result of higher debt-funded capex along with weaker metallurgy results. MYTIL will spend around EUR300 million over the next two years to build a new CCGT power plant that it is scheduled to enter the grid at the beginning of 2022. Fitch expects FFO-adjusted net leverage to normalise towards 2.2x in 2022 as cash flows from this growth project materialise. Negative FCF: FCF generation has historically been volatile, due mainly to higher capex and working capital uses. The group is partly exposed to the utilities business, which is typically capital-intensive and the key driver of its negative FCF. Positive FCF generation over 2017-2018 was primary supported by strong metallurgy performance. Fitch expects FCF to remain positive in 2019 but for it to turn negative in 2020-2021, due to high expansionary capex and expected deterioration of the group's EBITDA margins. Exposure to Cyclical End-Markets: Due to large exposure to the metallurgy and construction industries, which accounted for about 70%-80% of total EBITDA over the last three years, MYTIL's cash flows are highly correlated with the general macroeconomic environment and industrial activity. Downturns in those sectors directly reduce demand for aluminium products and EPC projects. Fitch expects currently unfavourable macroeconomic factors to weaken metallurgy as well as EPC margins and cash flows. However, Fitch expects the presence of the more stable utilities business to act as a cushion. Aluminium Prices under Pressure: Sluggish aluminium demand amid worsening global economic slowdown, deceleration in the automotive, construction and manufacturing sectors, escalating trade tensions, lack of supply discipline in the world ex. China producers, and a stronger US dollar will continue to weigh on aluminium prices. Fitch revised its aluminium price deck downward and now expects 2019 and 2020 LME prices to average 1,780/tonne and 1,750/tonne, respectively, compared with 2,110/tonne in 2018. Fitch sees risk of an intensification of a trade war or a prolonged recession, which Fitch currently does not incorporate in its forecast but would further pressure market conditions. Small-Scale and Vertically Integrated: MYTIL is a small-scale, single-plant aluminium producer, which operates throughout the value chain with bauxite mining, alumina refining and aluminium smelting production. This provides some insulation against input cost inflation. Its self-sufficiency in bauxite stood at 31% of its total alumina refining needs at end-2018. However, its bauxite reserve life was at 13 years at end-2018, which is low in comparison with other EMEA peers' and could reduce integration into this raw material if additional reserves are not mined. Its own alumina production covers more than 100% of its aluminium smelter needs. Low Unit-Cost Aluminium Business: CRU estimates that MYTIL's alumina refinery and aluminium smelter are positioned in the first quartile of the global cost curve. Fitch expects MYTIL's site to remain cost- competitive, driven by self-sufficiency in alumina, operating efficiencies created from the adjacent CHP plant, in-house anode production, along with partial self-sufficiency in bauxite. Fitch expects the new 2019-2021 cost optimisation programme to stabilise the cost base without offering any material savings. Since 2012, management has cut costs by around EUR230 million through three consecutive cost optimisation schemes. The renewal of the electricity agreement that supplies electricity for aluminium production beyond 2020 with similar tariffs is key to maintaining its cost-competitiveness Growing Power Business Enhances Stability: Fitch deems MYTIL's growing electricity business, which is characterised by low cyclicality, as credit-positive. It is expanding with the construction of a new CCGT power plant and stronger penetration in the electricity retail market. The high-efficient gas-fired generation fleet and ability to source natural gas at attractive terms position MYTIL's plants at the front of the merit order. Fitch expects MYTIL's generation fleet to benefit from higher utilisation rates as the share of lignite plants falls in the Greek power market, providing some insulation against the inherent volatility of the metallurgy and EPC segments. Strong Electricity Market Position: MYTIL is the largest domestic independent power producer (IPP) and supplier and Fitch believes that it is well-positioned to capitalise on evolving Greek energy policies or a potential market consolidation. In 2018, the group generated 5.1TWh of electricity or 10% of Greece's total electricity generation, of which 94% was from gas-fired plants and 6% from renewable energy sources (mainly wind), all with a low carbon exposure. Beyond generation, the group is also present in electricity supply with a share of more than 5% in a market that it is dominated by the state-owned Public Power Corporation (PPC). Favourable Gas Procurement Costs: MYTIL's ability to source international gas at a discount to wholesale Greek prices drives the group's competitiveness in the metallurgy and power generation businesses. This is largely due to its status as the largest Greek gas importer and consumer with a domestic market share of more than 30%. Fitch believes that natural gas prices in Europe are likely to remain depressed in the next one to two years until the market gradually re-balances, supporting MYTIL's power generation margins. Future infrastructure (TAP pipeline, Revithousa LNG terminal expansion, FSRU Alexandroupolis) could transform Greece into a regional natural gas hub, allowing MYTIL to take advantage of more competitive natural gas terms. M&A Opportunities: Fitch understands from management that MYTIL will continue to pursue small bolt-on acquisition opportunities, primarily in the domestic electricity and natural gas markets, without stretching its balance sheet. Such opportunities are a result of the Greek government's prioritisation of privatisations. Recent acquisitions of EPALME, M&M Gas and METKA EGN all present a strong business rationale. MYTIL aims to maintain net debt-to-EBITDA below 3x, with temporary deviations to accommodate possible acquisitions or heavy capex. However, material spending on acquisitions and related higher capex may negatively affect the group's leverage and lead to a negative rating action. DERIVATION SUMMARY Given the diversified nature of MYTIL's operations, Fitch compared the group's separate business units with the most relevant companies that operate in the metallurgy, utilities and E&C industries. Metallurgy: The group's metallurgy business, which is the core EBITDA driver, benefits from a competitive cost base positioned in the first quartile of the global aluminium cost curve, partial self-sufficiency in bauxite, in-house anode production and a captive power plant that produces steam for the alumina production. However, its small scale in comparison with United Company RUSAL Plc (BB-/Stable) and Alcoa Corporation (BB+/Stable), single-asset base and low exposure to value-added-products constrain the group's business profile assessment. EPC: MYTIL possesses a fairly strong position in the niche segment of energy projects construction with a long track-record and historically strong backlog that provides revenue visibility over the medium term. However, the business profile assessment remains constrained by its small scale in comparison with Grupo Aldesa S.A. (B-/Stable), Salini Impregilo S.p.a. (BB/Negative), Ferrovial S.A. (BBB/Stable), a rather concentrated project portfolio and customer base, high exposure to developing markets with a higher-risk profile and expected deterioration of EBITDA margins. Power & Gas: MYTIL is the largest IPP in Greece and second-largest power producer after the state-owned PPC. It operates high-quality assets that are strongly positioned at the front end of the merit order. Uncertainty regarding the regulatory framework and expected material capex in 2020-2021 are key constraining factors. The group is well-positioned in comparison with other EMEA utilities operating in markets with a challenging regulation environment, including EN+ Russia (BB-/Stable), Energo-Pro a.s. (BB/Negative), Bulgarian Energy Holding EAD (BB/Stable), Enel Russia PJSC (BB+ /RWN). KEY ASSUMPTIONS - Fitch aluminium LME prices at USD1,700/tonne in 2019, USD1,750/tonne in 2020, USD1,800/tonne in 2021 and USD1,900/tonne in 2022 - USD/EUR exchange rate of 0.9 over the next four years - Aluminium production gradually increases to 250kt in 2022 - Revenue growth in 2019 supported by EPC and power & gas segments. Single-digit growth in 2020-2022 averaging at about 7.5% - Lower EBITDA margins at 13% on average during 2019-2022, due mainly to weaker profitability of the metallurgy and EPC segments - Ongoing working capital needs throughout its projection horizon - Increasing capex, in line with management's guidance, primarily reflecting the new power plant construction - Stable dividends of EUR46 million p.a., in line with 2018's, over the next four years RATING SENSITIVITIES Developments That May, Individually or Collectively, Lead to Positive Rating Action - FFO-adjusted net leverage below 2x on a sustained basis - Further increase in scale with higher contribution from the less volatile power & gas segment - Sustainably positive FCF Developments That May, Individually or Collectively, Lead to Negative Rating Action - FFO-adjusted net leverage sustained above 3.0x - EBITDA margins below 10% on a sustained basis - Sustainably negative FCF - Material debt-funded M&A - Evidence of contract or customer losses or weakening EPC projects implementation leading to declining order backlog and weakening EPC EBITDA margins to below 6% LIQUIDITY AND DEBT STRUCTURE Comfortable Liquidity: At September 30, 2019, MYTIL had EUR650 million of balance-sheet debt (including factoring of EUR39 million). It has minor scheduled maturities until June 2022 when its EUR300 million bond matures. At September 30, 2019, MYTIL had approximately EUR469 million of liquidity, including Fitch-defined readily available cash of about EUR149 million and unused revolving credit facilities of EUR320 million with maturities over one year. Expected negative FCF after dividends in 2020-2021 would erode the group's liquidity. However, Fitch believes that MYTIL will not face any material refinancing issues over the medium-term given its proven access to capital markets and long-term relationship with key creditors. The upcoming bond should further improve MYTIL's liquidity. Fitch expects proceeds to be used towards capex funding and refinancing of debt maturities. Exposure to Greek Financial System: Most of MYTIL's bank debt comes from Greek financial institutions and about 60% of its readily available cash at end-June 2019 were located within various Greek banks, which have ratings from Fitch of 'CCC+' and below. The Greek banking sector faces significant asset-quality issues with an extremely high level of non-performing loans (NPLs). Although the Greek economy is recovering, it remains weak and a recession and/or capital controls could complicate MYTIL's ability to receive debt financing. SUMMARY OF FINANCIAL ADJUSTMENTS - Fitch has adjusted cash in the amount of 5% of revenue attributed to EPC segment, which Fitch treats as not readily available for debt repayment because of seasonal working-capital swings. Fitch also adjusted cash for cash held in countries with potential barriers to access by EUR10.2 million as at end-2018. - Fitch adjusted debt as at end-2018 by capitalising the annual operating lease expense of EUR6.1 million using a multiple 7x as MYTIL is based in Greece. - Fitch adjusted debt as at end-2018 for factoring by EUR40.2 million. 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 to the way in which they are being managed by the entity. ============= I R E L A N D ============= AIB GROUP: Moody's Rates LT Subordinated Debt Securities (P)Ba1 ---------------------------------------------------------------- Moody's Investors Service assigned (P)Ba1 long-term subordinated ratings to the Euro Medium Term Note Programme of AIB Group plc (senior unsecured Baa3 positive), the holding company of Allied Irish Banks, p.l.c. (long-term bank deposits A2 stable, senior unsecured A3 positive, BCA baa3). Furthermore, Moody's assigned a Ba1 rating to the EUR500 million subordinated notes issued under the programme. The subordinated debt rating is based on the consolidated Advanced Loss Given Failure analysis of AIB Group including the main operating company, AIB. AIB Group's EUR10 billion Euro Medium Term Note Programme, which was established in March 2018, allows the issuance of senior unsecured or subordinated obligations in local and foreign currencies. The Programme's long-term senior unsecured ratings of (P)Baa3 are unaffected. RATINGS RATIONALE Moody's assumes that in a resolution, AIB Group and AIB will fall within the same resolution perimeter, as both are domiciled in Ireland. Moody's also assumes that subordinated obligations of the holding company rank pari passu with the operating company's subordinated obligations, rated Ba1. This reflects AIB's Adjusted BCA of baa3 and the agency's expectation of high loss severity for this instrument under its Advanced Loss Given Failure (LGF) analysis, due to the limited volume of debt and protection from more subordinated instruments and residual equity. Moody's therefore assigns (P)Ba1 ratings to the subordinated programme of AIB Group. Moody's considers the probability of government support for subordinated obligations to be low, resulting in no additional notching for this class of liabilities. WHAT COULD CHANGE THE RATING -- UP/DOWN An upgrade in AIB's BCA would likely lead to an upgrade of AIB Group's subordinated debt rating. The rating could also be upgraded if the holding company were to issue significant amounts of bail-in-able debt pari passu or subordinate to this class of debt. A downward movement in AIB's BCA would likely result in the downgrade of AIB Group's subordinated debt rating. LIST OF AFFECTED RATINGS Issuer: AIB Group plc Assignments: Subordinated Medium-Term Note Program, assigned (P)Ba1 Subordinated Regular Bond/Debenture, assigned Ba1 PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Banks published in August 2018. ARBOUR CLO: Moody's Affirms B1 Rating on EUR12.125MM Cl. F Notes ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings on the following notes issued by Arbour CLO Designated Activity Company: EUR11,250,000 Refinancing Class C-1 Senior Secured Deferrable Fixed Rate Notes due 2027, Upgraded to Aa2 (sf); previously on Mar 29, 2019 Upgraded to Aa3 (sf) EUR10,750,000 Class C-2 Senior Secured Deferrable Floating Rate Notes due 2027, Upgraded to Aa2 (sf); previously on Mar 29, 2019 Upgraded to Aa3 (sf) Moody's has also affirmed the ratings of the following notes: EUR208,750,000 (current outstanding amount 120.2m) Refinancing Class A Senior Secured Floating Rate Notes due 2027, Affirmed Aaa (sf); previously on Mar 29, 2019 Affirmed Aaa (sf) EUR26,250,000 Refinancing Class B-1 Senior Secured Fixed Rate Notes due 2027, Affirmed Aaa (sf); previously on Mar 29, 2019 Upgraded to Aaa (sf) EUR19,950,000 Refinancing Class B-2 Senior Secured Floating Rate Notes due 2027, Affirmed Aaa (sf); previously on Mar 29, 2019 Upgraded to Aaa (sf) EUR19,750,000 Class D Senior Secured Deferrable Floating Rate Notes due 2027, Affirmed A3 (sf); previously on Mar 29, 2019 Upgraded to A3 (sf) EUR26,675,000 Class E Senior Secured Deferrable Floating Rate Notes due 2027, Affirmed Ba2 (sf); previously on Mar 29, 2019 Affirmed Ba2 (sf) EUR12,125,000 Class F Senior Secured Deferrable Floating Rate Notes due 2027, Affirmed B1 (sf); previously on Mar 29, 2019 Upgraded to B1 (sf) Arbour CLO Designated Activity Company, issued in June 2014 and refinanced in December 2016, is a collateralised loan obligation backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by Oaktree Capital Management (Europe) LLP. The transaction's reinvestment period ended in July 2018. RATINGS RATIONALE The rating action on the notes is primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since the last rating action in March 2019, resulting in an improvement in the over-collateralisation (OC) ratios across the capital structure. The Class A notes have paid down by approximately EUR62.8 million (30.1%) since the last rating action in March 2019. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated September 2019 the Class A/B, Class C, Class D and Class E OC ratios are reported at 157.2%, 141.1%, 129.3% and 116.1% compared to February 2019 levels of 148.5%, 135.5%, 125.6% and 114.4%, respectively. Moody's notes that the October 2019 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analysed the underlying collateral pool as having a performing par and principal proceeds balance of EUR 277.0 million, a weighted average default probability of 21.6% (consistent with a WARF of 2996 and weighted average life of 4.5), a weighted average recovery rate upon default of 44.8% for a Aaa liability target rating, a diversity score of 38 and a weighted average spread of 3.2% and weighted average coupon of 5.0%. 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 March 2019. Factors that would lead to an upgrade or downgrade of the ratings: This transaction is subject to a high level of macroeconomic uncertainty, which could negatively affect the ratings on the notes, in light of uncertainty about credit conditions in the general economy. 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. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ===================== N E T H E R L A N D S ===================== EDML 2019-1: Moody's Assigns (P)Ba1 Rating to EUR4.3MM Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service assigned provisional credit ratings to the following classes of Notes to be issued by EDML 2019-1 B.V.: EUR [315.0] million Class A Mortgage-Backed Notes 2019 due January 2058, Assigned (P)Aaa (sf) EUR [8.75] million Class B Mortgage-Backed Notes 2019 due January 2058, Assigned (P)Aa2 (sf) EUR [7.0] million Class C Mortgage-Backed Notes 2019 due January 2058, Assigned (P)A1 (sf) EUR [7.0] million Class D Mortgage-Backed Notes 2019 due January 2058, Assigned (P)Baa1 (sf) EUR [4.375] million Class E Mortgage-Backed Notes 2019 due January 2058, Assigned (P)Ba1 (sf) Moody's has not assigned any ratings to the EUR [7.875] million Class F Mortgage-Backed Notes 2019 due January 2058 and to the EUR [40.0] million Class RS Notes 2019 due January 2058. The Classes A to F are mortgage backed Notes. The proceeds of the Class RS Notes will be partially used to fund the reserve account. The transaction represents the fifth securitisation of Dutch prime mortgage loans backed by residential properties located in the Netherlands originated by Elan Woninghypotheken B.V. ("Elan", not rated). The portfolio will be serviced by Quion Services B.V. ("Quion", not rated) and Intertrust Administrative Services B.V. ("Intertrust", not rated) will act in the role of issuer administrator. At the provisional pool cut-off date, the portfolio consists of [630] loans with a total principal balance of EUR [198.6] million. However, it is envisaged that on the closing date part of the proceeds of the Notes issuance will be deposited in a separate account, and subsequently be used prior to the first Note payment date to finance the purchase of additional loans. The additional pool consists of two different sub-pools: an unfunded part and a prefunded part. The unfunded sub-pool consists of [267] loans with a total principal balance of EUR [98.7] million as of the provisional pool cut-off date. For the unfunded sub-pool the seller has extended binding offers to the prospective borrowers at the provisional pool cut-off date, but the offers have not yet been accepted by the borrowers. If the borrowers accept these offers, the seller is obliged to provide the loans to the borrowers on the terms as specified in the binding offers. The prefunded sub-pool will ramp up to an amount of EUR [52.7] million until the first notes' interest payment date in July 2020 with new loans that will adhere to the loan-level and portfolio eligibility criteria. If the applicable additional purchase conditions are satisfied, the issuer will purchase these loans from the seller up to the amount of EUR [151.4] million leading to a total portfolio of EUR [350] million. Moody's analysis of this transaction is based on the sub-pool assessments and on the portfolio covenants. RATINGS RATIONALE The ratings of the Notes take into account, among other factors: (i) the historical performance of the collateral; (ii) the credit quality of the underlying mortgage loan pool; (iii) the seasoning of the loan pool; (iv) the eligibility criteria for the additional portfolio still to be purchased; (v) the initial credit enhancement provided to the senior Notes by the junior Notes and the reserve fund; and (vi) the legal and structural features of this transaction. -- Expected Loss and MILAN CE Analysis Moody's determined the MILAN Credit Enhancement ("MILAN CE") and the portfolio's expected loss ("EL") based on the pool's credit quality. The expected portfolio loss of [1.3]% and the MILAN CE of [12]% serve as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution. The MILAN CE reflects the loss Moody's expects the portfolio to suffer in the event of a severe recession scenario. The key drivers for the MILAN CE number, which is higher than the Dutch Prime RMBS sector average (7.3%), are: (i) the limited historical performance data for the originator's portfolio; (ii) the weighted average current loan-to- market-value (LTMV) of [89.9]%; (iii) the fact that [97.8]% of the pool are loans with portability option, which refers to the possibility of the borrower to "port" his/her mortgage loan conditions to another property; (iv) the weighted average seasoning of [0.4] years with the maximum vintage concentration of [74.6]% in 2019; and (v) the potential drift in asset quality following the addition of loans during the prefunding period. The key drivers for the portfolio expected loss, which is higher than the Dutch Prime RMBS sector average (0.9%) and is based on Moody's assessment of the lifetime loss expectation, are: (i) the limited historical performance data for the originator's portfolio; (ii) benchmarking with comparable transactions in the Dutch RMBS market; and (iii) the current economic conditions in the Netherlands. -- Operational Risk Analysis The servicer Quion is not rated by Moody's, which introduces operational risk into the transaction. Operational risk is mitigated by the appointment of a back-up servicer facilitator (BNP Paribas Securities Services, Luxembourg Branch (part of BNP Paribas, rated Aa3/P-1)) who will assist the Issuer in appointing a back-up servicer on the best effort basis upon termination of servicing agreement. The documentation also contains estimation language if the servicer report is not available due to the servicer disruption. In addition, Intertrust acts as cash manager. -- Transaction structure The transaction has the benefit of a non-amortizing reserve account fully funded at closing. It is sized at [0.35]% of the Notes' balance and provides credit and liquidity support to the floating rate Notes. In addition, Class A and B Notes liquidity is supported by the drawings under the cash advance facility agreement. Total liquidity facility size is of [0.5]% of outstanding balance of Class A and Class B Notes at closing. Once the Class A and Class B Notes are redeemed in full, the cash advance facility will no longer be available. -- Interest Rate Risk Analysis [99.4]% of the pool balance is comprised of fixed rate mortgage loans with different reset frequencies. The Notes pay three-month EURIBOR, which means there is an interest mismatch in the transaction. To mitigate the fixed-floating mismatch, the issuer entered into a swap agreement with the swap counterparty ING Bank N.V. (Aa3/P-1/Aa3(cr)/P-1(cr)). However, this is not a typical Dutch swap providing guaranteed excess spread in the transaction. The issuer will pay to the swap counterparty the swap notional amount multiplied by the swap rate. In return, the Issuer will receive the swap notional multiplied by the three-month EURIBOR rate. The floating-rate loans are unhedged. Moody's has taken into consideration the interest rate swap and the unhedged basis risk arising from the floating rate loans in its cash flow modelling. The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in July 2019. 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 its expectations at close, due to either a change in economic conditions from its central scenario forecast or idiosyncratic performance factors would lead to rating actions. For instance, should economic indicators like unemployment rate, household affordability or house price index be worse than forecasted leading to higher defaults and loss severities that could result in a downgrade of the ratings. Increasing counterparty risk due to a weakening of the credit profile of a transaction counterparty could also cause a downgrade of the ratings. Finally, unforeseen regulatory changes or significant changes in the legal environment may also result in changes of the ratings. =========== P O L A N D =========== URSUS BUS: Fails to Pay Liabilities Under Lease Agreement --------------------------------------------------------- Reuters reports that Ursus SA said on Nov. 19 that it has received notification from Bos Leasing - Eko Profit that its unit Ursus Bus has not fulfilled its obligation to pay its liabilities under a lease agreement. According to Reuters, Ursus said Bos Leasing - Eko Profit has requested the company as the party to the debt to pay PLN3.5 million liabilities. Ursus said the company will take appropriate steps to clarify the matter and minimize negative effects that may impact the company or its unit, Reuters relates. Ursus SA is a Polish producer of agricultural machinery located in Lublin. =============== P O R T U G A L =============== MAGELLAN MORTGAGES 1: Fitch Affirms BB+sf Rating on Cl. C Notes --------------------------------------------------------------- Fitch Ratings affirmed Magellan Mortgages No.1 Plc's (Magellan 1) class C notes while maintaining the class A and B notes on Rating Watch Negative. The transaction comprises Portuguese residential mortgage loans serviced by Banco Comercial Portugues, S.A. (BCP, BB/Positive/B). RATING ACTIONS Magellan Mortgages No.1 Plc Class A XS0140415836; LT Asf Rating Watch Maintained; previously Asf Class B XS0140416057; LT Asf Rating Watch Maintained; previously Asf Class C XS0140416214; LT BB+sf Affirmed; previously BB+sf KEY RATING DRIVERS Counterparty Exposure Caps Ratings The ratings of Magellan 1's class A and B notes are capped at 'Asf', in accordance with Fitch's Structured Finance and Covered Bonds Counterparty Rating Criteria. This is due to Fitch's assessment of the transactions' continued exposure to Natwest Markets Plc (Natwest, A/RWN/F1) as account bank, swap provider and liquidity provider, as remedial actions have not been implemented as per transaction documentation following the bank's downgrade in 2015. The RWN on class A and B notes will be resolved upon the resolution of the Rating Watch on Natwest's IDR, which may take more than six months. Deleveraging and Rising Credit Enhancement (CE) The securitised mortgage portfolio is highly seasoned at approximately 19 years. As such, the weighted average current loan to value (LTV) has fallen to close to 21% and the original LTV is 57%. CE for the rated notes is expected to gradually increase, considering the sequential pay-down of the liabilities and also the stable credit performance of the underlying mortgage portfolio. Asset Performance and Provisioning Magellan 1 has a provisioning mechanism for losses and no explicit default definition. This explains the higher-than-average three months plus arrears (excluding defaults) in this deal (above 6%). RATING SENSITIVITIES The class A and B notes remain capped at NatWest Markets' Long-Term IDR. Changes to the counterparty's IDR would result in a change in the notes' ratings. The transaction provisions for losses when no additional recoveries are expected from a defaulted loan. This results in a late provisioning mechanism, which reduces the ability of excess spread to clear asset losses. This could expose the transaction to tail risk if the recovery process drags out longer than expected. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. =========== T U R K E Y =========== ISTANBUL TAKAS: Fitch Affirms BB- LT IDR, Alters Outlook to Stable ------------------------------------------------------------------ Fitch Ratings revised the Outlook on Istanbul Takas ve Saklama Bankasi A.S.'s Long-Term Issuer Default Ratings to Stable from Negative and affirmed the Long-Term IDR at 'BB-'. Takasbank's Viability Rating of 'b+' and National Long-Term Rating of 'AAA(tur)' are unaffected by these rating actions. The rating actions follow the revision of the Outlook on Turkey's Long-Term IDR to Stable from Negative. KEY RATING DRIVERS The Outlook revision primarily reflects reduced downside risks to the sovereign's ability to support the domestic financial sector, including Takasbank, as reflected in the sovereign Outlook revision. Takasbank's Support Rating of '3' and SRF of 'BB-' reflect its view of a moderate probability of support from the Turkish sovereign in case of need. In its opinion, Takasbank has exceptionally high systemic importance for the Turkish financial sector and contagion risk from its default would be considerable given its inter-connectedness. The state's ability to provide extraordinary foreign-currency support to the banking sector, if required, may be constrained by limited central bank reserves (net of placements from banks) and the banking sector's sizable external debt. However, in its view, Takasbank's foreign-currency support needs in even quite extreme scenarios should be manageable for the sovereign. This is because of Takasbank's business model, short-term and largely matched balance sheet, negligible external obligations as well as acceptable liquidity position. Takasbank is Turkey's only central counterparty clearing (CCP) institution and is majority-owned by Borsa Istanbul, Turkey's main stock exchange. Borsa Istanbul in turn is majority-owned by the Turkish government (via the Turkish Wealth Fund). Takasbank operates under a limited banking licence, and is regulated by three Turkish regulatory bodies: the Central Bank of Turkey, the Banking Regulation and Supervision Agency and the Capital Markets Board. Takasbank has exceptionally high systemic importance for the Turkish financial sector and contagion risk from its default would be considerable given its inter-connectedness. The VR (which is at the same level as the VRs of most large commercial Turkish banks) is underpinned by its dominant franchise as the country's only clearing house but also its short-term but sizeable credit exposure to Turkey's large commercial banks. Takasbank's VR is unaffected as the IDRs of its main counterparties are unchanged, mostly at the 'B+' level. RATING SENSITIVITIES Rating actions on Turkey's sovereign are likely to be mirrored in Takasbank's IDRs with knock-on consequences for the Support Rating and Support Rating Floor given the strong correlation of the bank's credit profile with sovereign, country and banking sector risks. While viewed as unlikely, changes to the systemic importance and role of Takasbank would lead Fitch to reassess its linkages with the sovereign rating. Takasbank's VR is primarily sensitive to a change in the credit quality of its bank counterparties or of the domestic operating environment. Takasbank's VR is also sensitive to a material operational loss or a materially increased risk appetite, for example, by growing rapidly in untested asset classes. Increasing risk appetite in the bank's treasury activities, particularly to lower credit-quality counterparties, could also be rating negative as would be a decrease of the regulatory total capital ratio close to its regulatory minimum requirement. =========================== U N I T E D K I N G D O M =========================== GO GREEN: Waste-to-Gas Facility Construction to Restart ------------------------------------------------------- Business Sale reports that an unfinished waste-to-gas facility in Swindon has secured GBP10 million in funding, allowing construction to restart after the previous operators went into administration. According to Business Sale, the new funding has been provided by engineering services company Advanced Biofuel Solutions, supported by the Department for Transport and gas distribution network Cadent. Advanced Biofuel Solutions hopes to bring the plant into service during the second half of 2020, Business Sale notes. The companies initially involved in the plant were the National Grid, energy from waste firm Advanced Plasma Power (APP) and energy development company Progressive Energy, Business Sale discloses. These three set up Go Green Fuels to deliver the plant, with construction beginning in 2017, Business Sale states. However, rising costs saw that company go into administration in 2018, with the project suspended for the next 14 months, Business Sale recounts. MERLIN ENTERTAINMENT: Moody's Withdraws Ba2 CFR After Acquisition ----------------------------------------------------------------- Moody's Investors Service has withdrawn Merlin Entertainment PLC's Corporate Family Rating of Ba2, Probability of Default ratings of Ba2-PD and Ba2 instrument rating for EUR700 million notes due 2022, which were previously under review for downgrade, affirmed the Ba3 rated $400 million senior unsecured notes due 2026 and changed outlook to stable from rating under review. RATINGS RATIONALE Moody's withdrew the ratings due to the group's reorganisation, which includes Motion Midco Limited becoming the new parent of Merlin group and top entity of the new restricted group. The reorganisation follows the completion of the acquisition of Merlin by a consortium of the three investors, including KIRKBI, Blackstone and Canada Pension Plan Investment Board on November 4, 2019. In addition, on November 14 Merlin repaid the EUR700 million notes due 2022. All ratings at Motion Midco Limited, Motion Bondco DAC and Motion Finco S.a.r.l. level are unchanged and have a stable outlook. Merlin, based in Dorset, the UK, is the largest European and second-largest global operator of visitor attractions in terms of visitor numbers in 2018. The company generated GBP1.7 billion in revenue and underlying EBITDA of GBP494 million in 2018, and attracted around 67 million visitors to its 124 locations in that year. The company is owned by KIRKBI (50%), Blackstone (33%) and CPPIB, (17%). LIST OF AFFECTED RATINGS Affirmations: Issuer: Merlin Entertainments PLC BACKED Senior Unsecured Regular Bond/Debenture, Affirmed Ba3 Withdrawals: Issuer: Merlin Entertainments PLC Probability of Default Rating, Withdrawn , previously rated Ba2-PD Corporate Family Rating, Withdrawn , previously rated Ba2 Senior Unsecured Regular Bond/Debenture, Withdrawn , previously rated Ba2 Outlook Actions: Issuer: Merlin Entertainments PLC Outlook, Changed To Stable From Rating Under Review PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Service Industry published in October 2016. PENTLAND MATERIAL: Gets GB750K Funding Facility, 30+ Jobs Saved --------------------------------------------------------------- Kevin Quinn at The Scotsman reports that loanhead-based Pentland Material Supply has been saved by a GBP750,000 funding facility, saving more than 30 jobs at the company. In September this year, the Midlothian business called in the administrators after struggling with debts for several years, The Scotsman relates. Ronnie Stokes, of Bibby Financial Services' (BFS), with support from Alan Anderson, managing director of TSF Finance, worked closely with KPMG to structure a deal to provide fresh finance to the business, The Scotsman discloses. According to The Scotsman, the GBP750,000 funding line has protected the jobs of more than 30 employees and enabled managing director Robert McCartney to resurrect Pentland Precision Ltd under the new name of Pentland Material Supply Ltd. Formerly known as Pentland Precision, the business was founded in 2001 and provides specialist engineering services, including laser cutting, sheet metal work, fabrication and powder coating. PIZZAEXPRESS FINANCING: Moody's Cuts LT CFR to Caa3, Outlook Neg. ----------------------------------------------------------------- Moody's Investors Service downgraded the long-term corporate family rating of PizzaExpress Financing 1 plc to Caa3 from Caa1. Concurrently, the rating agency has downgraded the probability of default rating to Ca-PD from B3-PD, the rating on the GBP200 million senior unsecured notes due August 2022 to Ca from Caa2 of PizzaExpress and the rating on the GBP465 million senior secured notes due August 2021 to Caa1 from B3 issued by PizzaExpress Financing 2 plc. The outlook on all ratings is negative. "We have downgraded the ratings of PizzaExpress because we expect the recent actions of the company's shareholders make a restructuring of the company's debt highly likely," says David Beadle, a Moody's Senior Credit Officer and lead analyst for PizzaExpress. RATINGS RATIONALE Today's rating action reflects Moody's view that recent developments significantly increase the likelihood of a restructuring of the company's capital structure. These developments include primarily the announcement earlier this month that an affiliate of the company's majority shareholder, Hony Capital, has launched a tender offer to acquire up to GBP80 million face value of the senior unsecured notes at a deeply discounted price and that the company has appointed financial and legal advisors. The rating agency expects the challenging trading conditions and cost pressures that have weighed on the profitability of PizzaExpress for the last two or more years to persist in 2020. Weak consumer sentiment in the UK coupled with signs of overexpansion by casual dining peers has resulted in a highly promotional environment in which the company's like-for-like revenue growth has been and will remain muted. Moreover, despite various efficiency initiatives, the company's cost base has been adversely affected by rising raw material costs and higher staff costs linked to the above inflation increases in the National Living Wage. Tough competition in the company's largest overseas market, China, has also been a drag on overall profitability. The company's reported EBITDA in the 12 months to September 2019 is 20% lower than in 2017, and the consequent deterioration in its credit metrics means that Moody's does not believe the current capital structure is sustainable. Moody's-adjusted gross leverage, as measured by the ratio of adjusted debt to adjusted EBITDA, has increased from 6.6x in 2017 to around 7.5x currently and free cash flow is negligible. Moody's base case for 2020 would see the company's leverage edge higher still, making a refinancing of the company's current bonds at par unfeasible in the rating agency's opinion. Moody's believes that in the usual course the company's GBP20 million cash balance at the end of September and its undrawn GBP20 million revolving credit facility (RCF) should prove sufficient for day-to-day working capital requirements in the months ahead. However, the potential that recent events could lead to a deterioration in trade credit terms and the looming maturity of the RCF in August 2020 means the rating agency now considers the liquidity position of PizzaExpress to be weak, notwithstanding the fact that the company has signaled plans to extend or refinance the RCF. The company has only one director who is independent of Hony Capital and Moody's believes in these circumstances the recently appointed advisors are likely to be particularly focused on the interests of shareholders, to the potential detriment of other stakeholders. The rating agency also considers the tender offer launch to represent an aggressive financial policy. If successful, the tender offer would see Hony Capital control ownership of over 50% of the senior unsecured notes (recognising that an affiliate already owns GBP22 million of this tranche) which Moody's believes could give Hony important negotiating leverage in the event of restructuring talks. In the event that the tender offer is successful the rating agency is likely to consider the transaction to be a distressed exchange under its default methodology. RATIONALE FOR THE NEGATIVE OUTLOOK The negative outlook reflects Moody's expectation that a financial restructuring is now highly likely. WHAT COULD CHANGE THE RATING UP/DOWN Upward pressure on the rating is unlikely in the short term but could arise if a sustainable capital structure is put in place. Downward rating pressure could arise if Moody's expectations of corporate family recovery rates deteriorate. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Restaurant Industry published in January 2018. CORPORATE PROFILE Founded in 1965 and headquartered in London, PizzaExpress is the leading operator in the UK casual dining market measured by number of restaurants. As at September 2019 it operated 482 sites in the UK and Ireland as well as around 150 international sites, principally in China. For the 52 weeks period ending September 29, 2019, the company reported revenues of GBP551 million and EBITDA of GBP75.6 million. PizzaExpress was acquired by Hony Capital in a GBP895 million LBO in August 2014. TOWD POINT 2019-GRANITE5: Moody's Rates GBP6.721MM Cl. E Notes Ba3 ------------------------------------------------------------------ Moody's Investors Service assigned definitive credit ratings to the following Notes issued by Towd Point Mortgage Funding 2019-Granite 5 plc: GBP65,714,000 Class A Asset Backed Floating Rate Notes due July 2044, Definitive Rating Assigned Aaa (sf) GBP4,480,000 Class B Asset Backed Floating Rate Notes due July 2044, Definitive Rating Assigned Aa2 (sf) GBP9,708,000 Class C Asset Backed Floating Rate Notes due July 2044, Definitive Rating Assigned A1 (sf) GBP5,974,000 Class D Asset Backed Floating Rate Notes due July 2044, Definitive Rating Assigned Baa2 (sf) GBP6,721,000 Class E Asset Backed Floating Rate Notes due July 2044, Definitive Rating Assigned Ba3 (sf) GBP5,227,000 Class F Asset Backed Floating Rate Notes due July 2044, Definitive Rating Assigned Caa1 (sf) Moody's has not rated the subordinated GBP 32,257,000 Class Z1 Asset Backed Notes due July 2044, the GBP 19,274,000 Class Z2 Asset Backed Notes due July 2044, the GBP 3,000,000 Class XA Asset Backed Floating Rate Notes due July 2044 and the Class XB Certificates due July 2044. The GBP 149.4 million portfolio as of October 31, 2019 is comprised of 16,812 unsecured personal loans to borrowers in the UK, which were initially originated by Landmark Mortgages Limited as a part of the "Together" mortgage linked unsecured personal loan product or as a "Mortgage Plus Unsecured Loan" product offered to borrowers at or about the same time as they took out a secured mortgage loan. All of the loans are unsecured and do not share in or benefit from any security provided by the borrowers in respect of any linked mortgage loan. The majority of loans comprising the pool were originated in the years 2005 through 2007 and hence are 13.5 years seasoned. Moody's notes that obligations of the borrower under the unsecured personal loans are independent of the obligations of the borrower to pay the amounts due under the associated mortgage loans. The loans comprising the pool are currently financed through Towd Point Mortgage Funding 2016-Granite3 PLC. RATINGS RATIONALE The ratings of the Notes are based on an analysis of the characteristics of the underlying unsecured loan 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. Default and PCE Analysis Moody's determined the portfolio credit enhancement ("PCE") of 48.0%, the portfolio expected defaults of 25.3% and expected recovery of 5% as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution. Moody's notes that 12.9% of the pool at closing already falls automatically under the default definition of the transaction specified as being 12 months or more in arrears. The entire portfolio is being sold at par, whereby Class Z2 Notes (NR) are being issued to fund the purchase of the 12.9% pool already in default. There is a corresponding 100% Class Z2 PDL in place at closing. Consequently, Moody's asset assumptions apply to the non-defaulted balance of 87.1% of the pool. Portfolio expected defaults of 25.3%: this is higher than the EMEA unsecured loans average and is based on Moody's assessment of the lifetime loss expectation for the pool taking into account: (i) the collateral performance of unsecured personal loans, as provided by Landmark; (ii) the current macroeconomic environment in the UK and the potential impact of future interest rate rises on the performance of the unsecured loans; (iii) relatively high share of loans related to borrowers with history of past or current litigation; and (iv) benchmarking with comparable transactions in the UK market. PCE of 48.0%: This is higher than the EMEA unsecured loans average and follows Moody's assessment of the loan-by-loan information taking into account the following key drivers: (i) the historic collateral performance; and (ii) the loan characteristics of the pool being part of the Together loans for which a mortgage balance is outstanding. Landmark is the contractual servicer delegating all its servicing to Computershare Mortgage Services Limited (Not rated). A back-up delegated servicer Capital Home Loans Limited (Not rated) and back-up servicer facilitator CSC Capital Markets UK Limited (Not rated) were also appointed at closing. Upon the termination of the appointment of the delegated servicer, the back-up delegated servicer will, upon 90 days of receiving notice of the same, replace the delegated servicer under the terms of the replacement delegated servicing agreement. U.S. Bank Global Corporate Trust Limited (a subsidiary of U.S. Bancorp A1 / P-1) is appointed as cash manager. To help ensure continuity of payments the deal contains estimation language whereby the cash flows will be estimated from the three most recent servicer reports should the servicer report not be available. The collection account under the name of the servicer is held at National Westminster Bank Plc (LT/ST Debt: (P)A2/P-1, LT/ST Deposit: A1/P-1). There is a declaration of trust over the collection account in favour of the Issuer and a daily sweep of the funds held in the collection account into the issuer account bank. In the event NATWEST rating falls below Baa3, the collection account will be transferred to an entity rated at least Baa3. The issuer account bank provider is Elavon Financial Services DAC, UK Branch (subsidiary of Elavon Financial Services DAC (Aa2/P-1)) with a transfer requirement if the rating of the account bank falls below A3. Transaction structure At closing, a liquidity facility equalling 1.7% of the outstanding Class A Notes balance has been provided by Wells Fargo Bank, N.A. (Aa1(cr)/P-1(cr)), acting through its London Branch. Upon the liquidity facility replacement date (October 25, 2025), a liquidity reserve fund of 1.7% of the outstanding Class A Notes balance will be funded as part of the revenue and principal waterfalls and replace the liquidity facility. The liquidity facility/reserve is available broadly to cover senior expenses and Class A interest. The liquidity facility provides approx. 4 months of liquidity for Class A based on Moody's stressed calculations. Principal can be used as an additional source to pay interest on the most senior outstanding Classes of Notes. Upon the first optional redemption date (April 20, 2024), an excess cash flow reserve fund will be established which will be funded from excess spread after allocation of funds to senior fees, interest and PDL for all rated Note Classes and after allocation to PDL for Class Z1. The ECRF will be unlimited and available to cover interest on Classes B to F Notes. Interest Rate Risk Analysis There is no hedging in the transaction. There is a mismatch risk in respect to the interest rate receivable on the loans (fixed rate and standard variable rate ("SVR") loans) and the interest payable on the notes (SONIA). The fixed rate loans revert to SVR. The SVR is set by reference to the Bank of England Base Rate/3 months Sterling LIBOR subject to an SVR floor of 3 months LIBOR plus 2.40%. Moody's has performed an analysis of the spread during the life of the transaction under varying scenarios with consideration of the SVR floor and the basis mismatch risk. The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-Backed ABS" published in March 2019. Factors that would lead to an upgrade or downgrade of the ratings: Significantly different loss assumptions compared with its expectations at close due to either a change in economic conditions from its central scenario forecast or idiosyncratic performance factors would lead to rating actions. For instance, should economic conditions be worse than forecast, the higher defaults and loss severities resulting from a greater unemployment, worsening household affordability and a weaker housing market could result in a downgrade of the ratings. Deleveraging of the capital structure or conversely a deterioration in the Notes available credit enhancement could result in an upgrade or a downgrade of the ratings, respectively. ********* 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 2019. All rights reserved. ISSN 1529-2754. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR Europe subscription rate is US$775 per half-year, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are US$25 each. For subscription information, contact Peter Chapman at 215-945-7000. * * * End of Transmission * * *