/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/210420.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 Tuesday, April 20, 2021, Vol. 22, No. 73 Headlines G E R M A N Y WIRECARD AG: Probe Finds Serious Shortcomings in EY's Audits I R E L A N D ADAGIO IV: S&P Assigns B- (sf) Rating on EUR12.2MM Class F Notes ARES EUROPEAN VII: Moody's Affirms B2 Rating on Class E-R Notes ARES EUROPEAN VII: S&P Assigns B- (sf) Rating on Cl. E-R Notes AVOCA CLO XIII: Moody's Gives B3 Rating to EUR12MM Cl. F-R-R Notes BLACKROCK CLO II: Moody's Gives B3 Rating to EUR10MM Cl. F-R Notes BLACKROCK EUROPEAN II: S&P Assigns B- (sf) Rating to Cl. F-R Notes CONTEGO CLO VI: Moody's Assigns B3 Rating to EUR12MM Class F Notes DRYDEN 46 2016: Moody's Assigns B3 Rating to EUR16MM Cl. F-R Notes DRYDEN 46 2016: S&P Assigns B- (sf) Rating on Class F-R Notes ELM PARK CLO: Moody's Assigns B2 Rating to EUR12.5MM Class E Notes ELM PARK: S&P Assigns B- (sf) Rating on EUR12.5MM Cl. E-R-R Notes GOLDENTREE LOAN 5: Moody's Gives B3 Rating to EUR13.6M Cl. F Notes JUBILEE CLO 2014-XI: Moody's Affirms B2 Rating on Class F-R Notes MADISON PARK XIII: Moody's Affirms B3 Rating on EUR12.5M F Notes PROVIDUS CLO II: Moody's Affirms B2 Rating on EUR10.1MM Cl. F Notes RRE 1 LOAN: Moody's Assigns Ba3 Rating to EUR24M Class D-R Notes RRE 1 LOAN: S&P Assigns BB- (sf) Rating to EUR24MM Class D-R Notes L U X E M B O U R G CPI PROPERTY: S&P Places 'BB+' Sr. Sub. Debt Rating on Watch Neg. R U S S I A DELOPORTS LLC: S&P Affirms 'B+' Long-Term Issuer Credit Rating U N I T E D K I N G D O M BUSINESS LOAN: Enters Administration, Seeks Buyer for Business FLYBE: Owes Unsecured Creditors Up to GBP650 Million GREENSILL CAPITAL: Cameron Pitched Services to German Official LONDON CAPITAL: Gov't Unveils GBP120MM Compensation Scheme TURNSTONE MIDCO 2: Moody's Puts Caa2 CFR Under Review for Upgrade VERSANT: Brewer's Quay Put Up for Sale Following Administration X X X X X X X X [*] EUROPE: Finance Ministers Mull Unified Insolvency Laws - - - - - ============= G E R M A N Y ============= WIRECARD AG: Probe Finds Serious Shortcomings in EY's Audits ------------------------------------------------------------ Olaf Storbeck at The Financial Times reports that EY's audits of defunct payments group Wirecard suffered from serious shortcomings over a period of years, a German investigation has found. According to the FT, the Big Four firm is said to have failed to spot fraud risk indicators, did not fully implement professional guidelines and, on key questions, relied on verbal assurances from executives. A special investigator who scrutinized the EY audits came to a damning verdict about the quality of the work, the FT relays, citing people with first-hand knowledge of the report. The investigator was commissioned by the Bundestag parliamentary committee in Berlin looking into the accounting scandal and had access to internal EY documents, the FT discloses. The report, filed to the Bundestag late last week, will significantly increase the woes of the accountancy firm, the FT notes. EY is already facing lawsuits from Wirecard shareholders and creditors and lost a number of high-profile clients. Legal action by Wirecard's administrator is also likely to follow, the FT relays. EY partners who signed off Wirecard's accounts are already under criminal investigation over potential violations of rules on carrying out professional duties, the FT notes. "The report outlines failures during the EY audits as professional standards were not met," Matthias Hauer, an MP for the conservative CDU/CSU parliamentary group, which suggested appointing the special investigator, told the FT. He added the report confirmed "EY has significant responsibility for the scandal not being uncovered earlier". Wirecard received unqualified audits from EY for a decade and was once hailed as one of Germany's rare technology success stories, the FT discloses. It collapsed into insolvency last summer after revealing that EUR1.9 billion in cash did "not exist", the FT recounts. A team of auditors from Roedl & Partner led by Martin Wambach, the parliamentary special investigator, dug through 90 gigabytes of EY data that included internal working papers and 40,000 emails, the FT relates. One finding refers to EY's handling of the interim results of a forensic investigation in 2017, the FT states. The probe, which was conducted by a separate EY anti-fraud team and code-named Project Ring, was mandated by Wirecard's board after a whistleblower raised allegations about accounting manipulations and attempted bribery of an auditor by Wirecard staff in India, the FT discloses. By March 2017, just before the audit opinion for 2016 was due, Project Ring was suffering from delays, with key questions unanswered, the FT recounts. EY auditors warned Wirecard that an unqualified audit would be denied unless these issues were resolved, the FT notes. According to Roedl & Partner, EY received "mainly verbal and written explanations by executives" and signed off the audit. The special investigator said there was no evidence that EY evaluated the questions it had raised earlier further, the FT notes. This view is in line with findings of German audit watchdog Apas, which has told prosecutors that EY may have acted criminally during its work for Wirecard, the FT notes. The Roedl & Partner review found that EY had assessed in detail the outsourced operations in Asia, which sat at the heart of the fraud, the FT says. However, it did not take issue with the fact that the day-to-day operations in the so-called third-party acquiring business (TPA) "deviated substantially from contractually-defined business processes". ============= I R E L A N D ============= ADAGIO IV: S&P Assigns B- (sf) Rating on EUR12.2MM Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Adagio IV CLO DAC's class X, A, A-Loan, B-1, B-2, C, D, E, and F notes. At closing, the issuer also issued EUR54.70 million of unrated subordinated notes. The ratings assigned to Adagio IV CLO's notes reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises 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 are in line with our counterparty rating framework. Under the transaction documents, the manager can purchase loss mitigation obligations in connection with the default of an existing asset with the aim of enhancing the global recovery on the obligor. The manager is also allowed to exchange defaulted obligations for other defaulted or credit risk obligations and credit risk obligations for other credit risk obligations, from a different obligor with a better likelihood of recovery. S&P said, "We consider the portfolio to be well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow collateralized debt obligations." Portfolio Benchmarks Current S&P Global Ratings weighted-average rating factor 2,802.42 Default rate dispersion 533.57 Weighted-average life (years) 4.40 Obligor diversity measure 120.12 Industry diversity measure 18.08 Regional diversity measure 1.19 Weighted-average rating 'B' 'CCC' category rated assets (%) 1.89 'AAA' weighted-average recovery rate 34.80 Floating-rate assets (%) 90 Weighted-average spread (net of floors; %) 3.56 S&P said, "We modeled the reference weighted-average spread of 3.45%, the reference weighted-average coupon of 4.00%, and the covenanted weighted-average recovery rate at the 'AAA' rating level as indicated by the manager and the weighted-average recovery rate for all other 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 shows that the class B-1, B-2, C, and D notes benefit from break-even default rate and scenario default rate cushions that we would typically consider to be in line with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our ratings on the notes." The class F notes' current break-even default rate cushion is -1.85%. Based on the portfolio's actual characteristics and additional overlaying factors, including our long-term corporate default rates and the class F notes' credit enhancement, this class is able to sustain a steady-state scenario, in accordance with S&P's criteria. S&P's analysis further reflects several factors, including: -- The class F notes' available credit enhancement is in the same range as that of other CLOs we have rated and that have recently been issued in Europe. -- S&P's model-generated portfolio default risk at the 'B-' rating level is 25.19% (for a portfolio with a weighted-average life of 4.40 years) versus 13.64% if we were to consider a long-term sustainable default rate of 3.1% for 4.40 years. -- Whether the tranche is vulnerable to non-payment 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 F notes is commensurate with a 'B- (sf)' rating. The Bank of New York Mellon, London Branch, is the bank account provider and custodian. The documented downgrade remedies are line with S&P's current counterparty criteria. Under S&P's structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. The issuer is bankruptcy remote, in accordance with S&P's legal criteria. The CLO is managed by AXA Investment Managers Inc. Under S&P's "Global Framework For Assessing Operational Risk In Structured Finance Transactions," published on Oct. 9, 2014, the maximum potential rating on the liabilities is 'AAA'. Following S&P's analysis of the credit, cash flow, counterparty, operational, and legal risks, it believes its ratings are commensurate with the available credit enhancement for each class of notes. S&P said, "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-Loan and class A 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." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Environmental, social, and governance (ESG) credit 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: marijuana, antipersonnel landmines, cluster munitions, biological and chemical, radiological and nuclear weapons, assault weapons or firearms, pornography or adult entertainment, oil sands and associated pipelines industry, unlicensed and unregistered financing, the production of palm oil and palm fruit products, and the extraction of thermal coal or fossil fuels. 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." Ratings List CLASS RATING AMOUNT INTEREST RATE (%) SUBORDINATION (%) (MIL. EUR) X AAA (sf) 2,00 3M EURIBOR + 0.30 N/A A AAA (sf) 123.00 3M EURIBOR + 0.82 38.00 A-Loan AAA (sf) 125.00 3M EURIBOR + 0.82 38.00 B-1 AA (sf) 34.00 3M EURIBOR + 1.65 28.00 B-2 AA (sf) 6,00 1.95 28.00 C A (sf) 28.00 3M EURIBOR + 2.40 21.00 D BBB- (sf) 24.00 3M EURIBOR + 3.45 15.00 E BB- (sf) 20.00 3M EURIBOR + 6.15 10.00 F B- (sf) 12.20 3M EURIBOR + 8.52 6.95 Sub notes NR 54.70 N/A N/A *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. NR--Not rated. N/A--Not applicable. ARES EUROPEAN VII: Moody's Affirms B2 Rating on Class E-R Notes --------------------------------------------------------------- Moody's Investors Service announced that it has assigned the following definitive ratings to refinancing notes issued by Ares European CLO VII DAC (the "Issuer"): EUR265,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2030, Definitive Rating Assigned Aaa (sf) At the same time, Moody's affirmed the outstanding notes which have not been refinanced: EUR52,000,000 Class A-2A-R Senior Secured Floating Rate Notes due 2030, Affirmed Aa2 (sf); previously on Sep 15, 2020 Affirmed Aa2 (sf) EUR10,000,000 Class A-2B-R Senior Secured Fixed Rate Notes due 2030, Affirmed Aa2 (sf); previously on Sep 15, 2020 Affirmed Aa2 (sf) EUR29,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed A2 (sf); previously on Sep 15, 2020 Affirmed A2 (sf) EUR20,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed Baa2 (sf); previously on Sep 15, 2020 Confirmed at Baa2 (sf) EUR29,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed Ba2 (sf); previously on Sep 15, 2020 Confirmed at Ba2 (sf) EUR12,500,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed B2 (sf); previously on Sep 15, 2020 Confirmed at B2 (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 affirmations of the Class A-2A-R, A-2B-R, B-R, C-R, D-R and E-R Notes are 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 October 2026 and has amended certain definitions 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 96% of the portfolio must consist of secured senior loans and up to 4% of the portfolio may consist of unsecured senior loans, second-lien loans and mezzanine loans. Ares European Loan Management LLP 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 will end in October 2021. 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of global corporate assets from a gradual and unbalanced recovery in global economic activity. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 2020. Moody's used the following base-case modeling assumptions: Performing par and principal proceeds balance: EUR447.2 million Defaulted Par: EUR1.67 million Diversity Score: 55* Weighted Average Rating Factor (WARF): 2940 Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 43.0% Weighted Average Life (WAL): 5.5 years ARES EUROPEAN VII: S&P Assigns B- (sf) Rating on Cl. E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its credit rating to Ares European CLO VII DAC's class A-1-R-R notes. At the same time, S&P has affirmed its ratings on the class A-2A-R, A-2B-R, B-R, C-R, D-R, and E-R notes. On April 15, 2021, the issuer refinanced the original class A-1-R 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) and a lower coupon than the original notes. -- The portfolio's maximum weighted-average life has been extended by 15 months. The rating assigned to Ares European CLO VII's refinanced notes reflects 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 is in line with our counterparty rating framework. Under the transaction documents, the rated notes 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 October 2021. S&P said, "In our cash flow analysis, we used a EUR447.54 million adjusted collateral principal amount, the weighted-average spread (3.77%), the weighted-average coupon (3.79%), the covenanted fixed-rate asset bucket (10.0%) and floating-rate bucket (90.0%), and the 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 A-2A-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-R notes' break-even default rate (BDR) is lower than its respective scenario default rate (SDR) at the 'B-' rating level. Based on the portfolio's actual characteristics and additional overlaying factors, including our long-term corporate default rates, this class is able to sustain a steady-state scenario, in accordance with our criteria." S&P analysis further reflects several factors, including: -- S&P model-generated portfolio default risk at the 'B-' rating level is 18.88% (for a portfolio with a weighted-average life of 4.50 years) versus 13.95% if it was to consider a long-term sustainable default rate of 3.1% for 4.50 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-R notes is commensurate with the current 'B- (sf)' rating. Citibank, N.A., London Branch is the bank account provider and custodian. The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under S&P's current counterparty criteria. Following the application of S&P's structured finance sovereign risk criteria, it considers the transaction's exposure to country risk to be limited at the assigned rating, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. The transaction's legal structure is bankruptcy remote, in line with our legal criteria. S&P said, "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 A-1-R-R to E-R 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-1-R-R to D-R 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. The results shown in the chart below are based on the actual weighted-average spread, coupon, and recoveries. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class E-R notes." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ares European CLO VII is a broadly syndicated CLO managed by Ares European Management LLP. -- Environmental, social, and governance (ESG) credit 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: production or marketing of controversial weapons, nuclear weapon programs or production of nuclear weapons, thermal coal production, speculative extraction of oil and gas, pornography or prostitution, tobacco/tobacco-related products, and opioid manufacturers and distributors. 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." Ratings List CLASS RATING AMOUNT REPLACEMENT ORIGINAL SUB (%) (MIL. EUR) NOTES NOTES INT. RATE* INT. RATE Ratings assigned A-1-R-R AAA (sf) 265.00 3M EURIBOR 3M EURIBOR 40.79 0.66% 0.855% Ratings affirmed A-2A-R AA (sf) 52.00 N/A 3M EURIBOR 26.93 1.50% A-2B-R AA (sf) 10.00 N/A 2.05% 26.93 B-R A (sf) 29.00 N/A 3M EURIBOR 20.45 2.00% C-R BBB (sf) 20.00 N/A 3M EURIBOR 15.99 2.90% D-R BB (sf) 29.00 N/A 3M EURIBOR 9.51 5.26% E-R B- (sf) 12.50 N/A 3M EURIBOR 6.71 6.69% *The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. AVOCA CLO XIII: Moody's Gives B3 Rating to EUR12MM Cl. F-R-R Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following definitive ratings to refinancing notes issued by Avoca CLO XIII Designated Activity Company (the "Issuer"): EUR1,500,000 Class X Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR248,000,000 Class A-R-R Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR26,000,000 Class B-1-R-R Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR14,000,000 Class B-2-R-R Senior Secured Fixed Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR28,000,000 Class C-R-R Deferrable Mezzanine Floating Rate Notes due 2034, Definitive Rating Assigned A2 (sf) EUR23,200,000 Class D-R-R Deferrable Mezzanine Floating Rate Notes due 2034, Definitive Rating Assigned Baa3 (sf) EUR20,800,000 Class E-R-R Deferrable Junior Floating Rate Notes due 2034, Definitive Rating Assigned Ba3 (sf) EUR12,000,000 Class F-R-R Deferrable Junior Floating Rate Notes due 2034, 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. As part of this reset, the Issuer have extended the reinvestment period to around 4.25 years and the weighted average life to 8.5 years. It has also amended certain concentration limits, definitions and minor features. In addition, the Issuer have amended the base matrix and modifiers that Moody's have 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 senior secured obligations and up to 10% of the portfolio may consist of senior unsecured obligations, second-lien loans, mezzanine obligations and high yield bonds. The portfolio is expected to be almost fully ramped up as of the closing date and to comprise of predominantly corporate loans to obligors domiciled in Western Europe. KKR Credit Advisors (Ireland) Unlimited Company will 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 4.25 year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations or 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 2020. Moody's used the following base-case modeling assumptions: Target Par Amount: EUR400,000,000 Diversity Score: 56 Weighted Average Rating Factor (WARF): 3110 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 4.00% Weighted Average Recovery Rate (WARR): 45.40% Weighted Average Life (WAL): 8.5 years BLACKROCK CLO II: Moody's Gives B3 Rating to EUR10MM Cl. F-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned the following definitive ratings to refinancing notes and loan issued by BlackRock European CLO II DAC (the "Issuer"): EUR73,000,000 Class A-R Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR175,000,000 Class A Senior Secured Floating Rate Loan due 2034 Notes, Definitive Rating Assigned Aaa (sf) EUR39,000,000 Class B-R Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR27,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned A3 (sf) EUR24,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Baa3 (sf) EUR24,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Ba3 (sf) EUR10,000,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2034, 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. As part of this reset, the Issuer has amended the base matrix and modifiers which 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 senior secured obligations and up to 10% of the portfolio may consist of senior unsecured obligations, second-lien loans, mezzanine obligations and high yield bonds. The portfolio is expected to be fully ramped up as of the closing date and comprises predominantly corporate loans to obligors domiciled in Western Europe. BlackRock Investment Management (UK) Limited ("BlackRock IM") will 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 4.25-year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit impaired 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes and loan's performance is subject to uncertainty. The notes and loan's 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 and loan's performance. Moody's modelled 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 2020. Moody's used the following base-case modelling assumptions: Target par: EUR400 million Defaulted Par: None as of February 11, 2021 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3103 Weighted Average Spread (WAS): 3.5% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 43.5% Weighted Average Life (WAL): 8.5years BLACKROCK EUROPEAN II: S&P Assigns B- (sf) Rating to Cl. F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned credit ratings to BlackRock European CLO II DAC's class A-R-R, A-Loan, B-R-R, C-R-R, D-R-R, E-R-R, and F-R notes. At closing, the issuer also issued EUR43.80 million of unrated subordinated notes. The transaction is a reset of the existing BlackRock European CLO II DAC, which refinanced in July 2019. The issuance proceeds of the refinancing notes was used to redeem the refinanced notes (class A-R, B-R, C-R, D-R, E-R, and F of the original Blackrock European CLO II transaction), and pay fees and expenses incurred in connection with the reset. The reinvestment period, originally scheduled to last until January 2021, was extended to July 2025. The covenanted maximum weighted-average life is 8.5 years from closing. Under the transaction documents, the manager can purchase loss mitigation obligations in connection with the default of an existing asset to enhance the obligor's global recovery. The manager can also exchange defaulted obligations for other defaulted obligations from a different obligor with a better likelihood of recovery. S&P said, "We consider the portfolio to be well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow collateralized debt obligations." Portfolio Benchmarks Target par (mil. EUR) 400.00 Total collateral amount (mil. EUR)* 399.054 Defaulted assets (mil. EUR) 2.00 S&P Global Ratings weighted-average rating factor 2776.52 Default rate dispersion 744.50 Weighted-average life (years) 4.57 Obligor diversity measure 141.19 Industry diversity measure 23.14 Regional diversity measure 1.42 Weighted-average rating 'B' 'CCC' category rated assets (%) 7.77 'AAA' weighted-average recovery rate 37.83 Floating-rate assets (%) 87.50 Weighted-average spread (net of floors; %) 3.73 *Performing assets plus expected recoveries on defaulted assets. S&P said, "We modeled the reference weighted-average spread of 3.50%, the reference weighted-average coupon of 5.00%, and the weighted-average recovery rates as indicated by the collateral manager. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Our credit and cash flow analysis show that the class B-R-R, C-R-R, and D-R-R notes benefit from break-even default rate and scenario default rate cushions that we would typically consider to be in line with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our ratings on the notes." Elavon Financial Services DAC is the bank account provider and custodian. The documented downgrade remedies are in line with our current counterparty criteria. Under S&P's structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. The issuer is bankruptcy remote, in accordance with S&P's legal criteria. The CLO is managed by BlackRock Investment Management (UK) Ltd. Under S&P's "Global Framework For Assessing Operational Risk In Structured Finance Transactions," published on Oct. 9, 2014, the maximum potential rating on the liabilities is 'AAA'. Following S&P's analysis of the credit, cash flow, counterparty, operational, and legal risks, it believes its ratings are commensurate with the available credit enhancement for each class of notes. S&P said, "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-Loan and class A-R-R to E-R-R 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-R notes." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." -- Environmental, social, and governance (ESG) credit 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: tobacco, the manufacturing or marketing of controversial weapons, the extraction of thermal coal, fossil fuels from unconventional sources or other fracking activities, the generation of electricity where 20% or more is from thermal coal, and the production of pornography or trade in prostitution. 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." Ratings List CLASS RATING AMOUNT INTEREST RATE (%) SUB (%) (MIL. EUR) A-R-R AAA (sf) 73.00 3M EURIBOR + 0.79 37.85 A-Loan AAA (sf) 175.00 3M EURIBOR + 0.79 37.85 B-R-R AA (sf) 39.00 3M EURIBOR + 1.65 28.08 C-R-R A (sf) 27.00 3M EURIBOR + 2.35 21.31 D-R-R BBB- (sf) 24.00 3M EURIBOR + 3.50 15.30 E-R-R BB- (sf) 24.00 3M EURIBOR + 6.30 9.29 F-R B- (sf) 10.00 3M EURIBOR + 8.81 6.78 Sub notes NR 43.80 N/A N/A *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. NR--Not rated. N/A--Not applicable. CONTEGO CLO VI: Moody's Assigns B3 Rating to EUR12MM Class F Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following definitive ratings to the refinancing notes issued by Contego CLO VI Designated Activity Company (the "Issuer"): EUR248,500,000 Class A Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR15,000,000 Class B-1 Senior Secured Fixed Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR24,500,000 Class B-2 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR28,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned A2 (sf) EUR23,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Baa3 (sf) EUR22,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Ba3 (sf) EUR12,000,000 Class F Senior Secured Deferrable Floating Rate Notes due 2034, 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. The Issuer will issue the refinancing Notes in connection with the refinancing of the following classes of Notes: Class A-1 Notes, Class A-2 Notes, Class B-1 Notes, Class B-2 Notes, Class C Notes, Class D Notes, Class E Notes and Class F Notes due 2032 (the "Original Notes"), previously issued on December 3, 2018 (the "Original Closing Date"). On the refinancing date, the Issuer will use the proceeds from the issuance of the refinancing notes to redeem in full the Original Notes. On the Original Closing Date, the Issuer also issued EUR38,500,000 of Subordinated Notes, which will also be redeemed on the refinancing date. The Issuer will issue EUR2,000,000 Class M Notes due 2034 and EUR41,700,000 Subordinated Notes due 2034 on the refinancing date which will not be rated. The Class M Notes will receive payments in an amount equivalent to a certain proportion of the subordinated management fees and payment is pari passu with the payment of the management fee. As part of this full refinancing, the Issuer will renew the reinvestment period at 4.25 years and extends the weighted average life to 8.5 years. In addition, the Issuer will amend the base matrix and modifiers that Moody's will take 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 expected to be approximately fully ramped up as of the closing date. Five Arrows Managers LLP will 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 4.25 year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations or 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 2020. Moody's used the following base-case modeling assumptions: Performing par and principal proceeds balance: EUR397,441,841 Defaulted Par: EUR0 (as of March 2, 2021) Diversity Score: 54 Weighted Average Rating Factor (WARF): 3073 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 4.00% Weighted Average Recovery Rate (WARR): 44.9% Weighted Average Life (WAL): 8.5 years DRYDEN 46 2016: Moody's Assigns B3 Rating to EUR16MM Cl. F-R Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following definitve ratings to refinancing notes issued by Dryden 46 Euro CLO 2016 Designated Activity Company (the "Issuer"): EUR170,000,000 Class A-R-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) EUR100,000,000 Class A Senior Secured Floating Rate Loan due 2034 Notes, Assigned Aaa (sf) EUR22,250,000 Class B-1-R-R Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) EUR25,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2034, Assigned Aa2 (sf) EUR27,670,000 Class C-R-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) EUR31,950,000 Class D-R-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) EUR24,500,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) EUR16,000,000 Class F-R Mezzanine Secured Deferrable Floating Rate Notes due 2034, 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. The Issuer will issue the refinancing notes in connection with the refinancing of the following classes of notes: Class A-1-R Notes, Class A-2-R Notes, Class B-1-R Notes, Class B-2 Notes, Class C-R Notes, Class D-R Notes, Class E Notes and Class F Notes due 2030 (the "Refinanced Notes"). The Class A-1-R, Class A-2-R, Class B-1-R, Class C-R and Class D-R Notes were previously issued on June 12, 2019 in connection with a prior refinancing. The Class B-2, Class E and Class F Notes were previously issued on October 28, 2016 (the "Original Closing Date"). On the refinancing date, the Issuer will use the proceeds from the issuance of the refinancing notes to redeem in full the Refinanced Notes. On the Original Closing Date, the Issuer also issued EUR54,110,000 Subordinated Notes due 2030, which will remain outstanding. As part of this reset, the Issuer will amend the base matrix and modifiers that Moody's will take 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 as of the closing date. PGIM Loan Originator Manager Limited ("PGIM") will 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 four-year reinvestment period. 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of corporate assets from a gradual and unbalanced recovery in global economic activity. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 2020. Moody's used the following base-case modeling assumptions: Performing par and principal proceeds balance/Target Par Amount: EUR450,000,000 Defaulted Par: EUR0 as of January 31, 2021 Diversity Score: 54 Weighted Average Rating Factor (WARF): 3170 Weighted Average Spread (WAS): 3.90% Weighted Average Coupon (WAC): 4.15% Weighted Average Recovery Rate (WARR): 41.5% Weighted Average Life (WAL): 8.5 years DRYDEN 46 2016: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Dryden 46 Euro CLO 2016 DAC's class A Loan, and A-R-R to F-R European cash flow reset CLO notes. At closing, the issuer issued unrated subordinated notes. The portfolio's reinvestment period will end in July 2025. The ratings reflect S&P's assessment of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior-secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which is in line with our counterparty rating framework. Portfolio Benchmarks CURRENT S&P weighted-average rating factor 2,855.74 Default rate dispersion 606.06 Weighted-average life (years) 4.84 Obligor diversity measure 99.58 Industry diversity measure 21.17 Regional diversity measure 1.25 Transaction Key Metrics CURRENT Portfolio weighted-average rating derived from our CDO evaluator B 'CCC' category rated assets (%) 6.58 'AAA' weighted-average recovery (%) 34.77 Covenanted weighted-average spread (%) 3.90 Covenanted weighted-average coupon (%) 4.15 Frequency switch and interest smoothing mechanics Under the transaction documents, the rated notes pay quarterly interest unless a frequency switch event occurs. Following this, the notes will switch to semiannual payments for the remaining life of the transaction without the ability to switch back to quarterly paying. Interest proceeds from semiannual obligations will not be trapped in the smoothing account for so long as the aggregate principal amount of semiannual obligations is less than or equal to 5%; or the class F-R interest coverage ratio calculated in relation to the second payment date following the determination date is equal to or exceeds 140%, and the par value tests are passing. Loss mitigation obligations Another notable feature in this transaction is the introduction of loss mitigation obligations. Loss mitigation obligations allow the issuer to participate in potential new financing initiatives by the borrower in default. This feature aims to mitigate the risk of other market participants taking advantage of CLO restrictions, which typically do not allow the CLO to participate in a defaulted entity's new financing request, and hence increase the chance of increased recovery for the CLO. While the objective is positive, it can also lead to par erosion, as additional funds will be placed with an entity that is under distress or in default. S&P said, "This may cause greater volatility in our ratings if the loan's positive effect does not materialize. In our view, the presence of a bucket for loss mitigation obligations, the restrictions on the use of principal proceeds to purchase these assets, and the limitations in reclassifying proceeds received from these assets from principal to interest help to mitigate the risk." Loss mitigation obligation mechanics Under the transaction documents, the issuer can purchase loss mitigation obligations, which are assets of an existing collateral obligation held by the issuer offered in connection with bankruptcy, workout, or restructuring of an obligation, to improve the recovery value of the related collateral obligation. The purchase of loss mitigation obligations is not subject to the reinvestment criteria or the eligibility criteria. Loss mitigation obligations purchased using principal proceeds must meet the restructured obligation criteria, and receive defaulted asset credit in both the principal balance and par coverage tests. Loss mitigation obligations purchased with interest receive no credit. The transaction documents limit the CLO's exposure to loss mitigation obligations that can be acquired with principal proceeds to 5% of the target par amount. The issuer may purchase loss mitigation obligations using either interest proceeds, principal proceeds, or amounts standing to the credit of the supplemental reserve account. The use of interest proceeds to purchase loss mitigation obligations are subject to all the interest coverage tests passing following the purchase and the manager determining there are sufficient interest proceeds to pay interest on all the rated notes on the upcoming payment date including senior expenses. The usage of principal proceeds is subject to the following conditions: (i) par coverage tests passing following the purchase; (ii) the obligation meeting the restructured obligation criteria; (iii) the obligation being pari passu or senior to the obligation already held by the issuer; (iv) its maturity falling before the rated notes' maturity date; and (v) it is not purchased at a premium. To protect the transaction from par erosion, any distributions received from loss mitigation obligations that are purchased with the use of principal proceeds will form part of the issuer's principal account proceeds and cannot be recharacterized as interest. In this transaction, if a loss mitigation obligation that has been purchased with interest subsequently becomes an eligible CDO, the manager can designate it as such and transfer out of the principal account into the interest account the market value of the asset. S&P considered the alignment of interests for this re-designation, and considered, among other factors, that the reinvestment criteria has to be met and the market value cannot be self-marked by the manager. Rating rationale S&P said, "The diversified collateral pool primarily comprises broadly syndicated speculative-grade senior-secured term loans and senior-secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR450 million target par amount, the covenanted weighted-average spread (3.90%), and the reference weighted-average coupon (4.15%) as indicated by the collateral manager. We have assumed weighted-average recovery rates, at all rating levels, in line with the recovery rates of the actual portfolio presented to us. 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. "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings." Until the end of the reinvestment period on July 15, 2025, the collateral manager may substitute assets in the portfolio for so long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, as long as the initial ratings are maintained. S&P said, "We consider that the transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure is bankruptcy remote, in line with our legal criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for the class A Loan, and A-R-R to F-R notes. Our credit and cash flow analysis indicates that the available credit enhancement could withstand stresses commensurate with the same or higher rating levels than those we have assigned. However, as the CLO will be in its reinvestment phase starting from closing, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the notes. "Under our fixed rate scenario, the class F-R notes' current BDR cushion is -0.51%. Based on the portfolio's actual characteristics and additional overlaying factors, including our long-term corporate default rates and the class F-R notes' credit enhancement, in our view 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 F-R notes' available credit enhancement, which is in the same range as that of other CLOs S&P has rated and that has recently been issued in Europe. -- S&P's model-generated portfolio default risk, which is at the 'B-' rating level at 26.69% (for a portfolio with a weighted-average life of 4.75 years) versus 14.73% if we were to consider a long-term sustainable default rate of 3.1% for 4.75 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 F-R notes is commensurate with the assigned 'B- (sf)' rating. S&P said, "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A loan, and A-R-R to E-R notes to five of the 10 hypothetical scenarios we looked at in our recent publication. "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-R notes." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." The transaction securitizes a portfolio of primarily senior-secured leveraged loans and bonds, and it is managed by PGIM Loan Originator Manager Ltd. -- Environmental, social, and governance (ESG) credit 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: controversial weapons, production of nuclear weapons, the extraction of thermal coal, and the production of trade in pornography. 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." Ratings List CLASS RATING AMOUNT INTEREST RATE (%) CREDIT (MIL. EUR) ENHANCEMENT (%) A-R-R AAA (sf) 170.00 3mE + 0.82 40.00 A Loan AAA (sf) 100.00 3mE + 0.82 40.00 B-1-R-R AA (sf) 22.25 3mE + 1.65 29.50 B-2-R AA (sf) 25.00 2.05 29.50 C-R-R A (sf) 27.67 3mE + 2.50 23.35 D-R-R BBB (sf) 31.95 3mE + 3.70 16.25 E-R BB- (sf) 24.50 3mE + 6.21 10.81 F-R B- (sf) 16.00 3mE + 8.51 7.25 Subordinated NR 54.11 N/A N/A NR--Not rated. N/A--Not applicable. 3mE--Three-month Euro Interbank Offered Rate. ELM PARK CLO: Moody's Assigns B2 Rating to EUR12.5MM Class E Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following definitive ratings to the refinancing notes issued by Elm Park CLO Designated Activity Company (the "Issuer"): EUR2,500,000 Class X Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR119,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR191,000,000 Class A-1 Senior Secured Floating Rate Loan due 2034, Definitive Rating Assigned Aaa (sf) EUR39,000,000 Class A-2A Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR11,000,000 Class A-2B Senior Secured Fixed Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR35,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned A2 (sf) EUR30,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Baa3 (sf) EUR25,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Ba2 (sf) EUR12,500,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned B2 (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. The Issuer issued the refinancing notes in connection with the refinancing of the following classes of notes: Class A-1-R Notes, Class A-2-R Notes, Class B-R Notes, Class C-R Notes, Class D-R Notes, Class E-R Notes due in 2029 (the "2018 Refinancing Notes"), previously issued on April 16, 2018 (the "2018 Refinancing Date") in connection with the refinancing of Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes due 2029 (the "2016 Original Notes"), previously issued on May 26, 2016 (the "Original Closing Date"). On the Original Closing Date, the Issuer also issued EUR56,930,000 of subordinated notes, which will remain outstanding. The terms and conditions of the subordinated notes have been amended in accordance with the refinancing notes' conditions. Interest and principal amortisation amounts due to the Class X Notes are paid pro rata with payments to the Class A-1 Notes and Class A-1 Loan. The Class X Notes amortise by EUR312,500 over eight payment dates starting on the second payment date. As part of this full refinancing, the Issuer has renewed the reinvestment period at four and a half years and extended the weighted average life to 8.5 years. It has also amended certain concentration limits, definitions and other features. The issuer has included the ability to hold loss mitigation obligations. 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 expected to be approximately 94% ramped as of the closing date. Blackstone Ireland Limited ("Blackstone") 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 four and a half years reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations or 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 modelled 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 2020. Moody's used the following base-case modeling assumptions: Target Par: EUR500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3056 Weighted Average Spread (WAS): 3.45% Weighted Average Coupon (WAC): 4.50% Weighted Average Recovery Rate (WARR): 44.75% Weighted Average Life (WAL): 8.5 years ELM PARK: S&P Assigns B- (sf) Rating on EUR12.5MM Cl. E-R-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Elm Park CLO DAC's class X, A-1 Note, A-1 Loan, A-2A, A-2B, B-R-R, C-R-R, D-R-R, and E-R-R notes. At closing, the issuer also issued subordinated notes. The transaction is a reset of the existing Elm Park CLO, which closed in May 2016. The issuance proceeds of the refinancing notes were used to redeem the refinanced notes (class A-1-R, A-2-R, B-R, C-R, D-R, and E-R of the original Elm Park CLO transaction), and pay fees and expenses incurred in connection with the reset. The ratings reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises 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 are in line with S&P's counterparty rating framework. Portfolio Benchmarks CURRENT S&P weighted-average rating factor 2,778.41 Default rate dispersion 722.36 Weighted-average life (years) without reinvestment 4.17 Weighted-average life (years) with reinvestment 4.50 Obligor diversity measure 133.50 Industry diversity measure 19.62 Regional diversity measure 1.26 Transaction Key Metrics CURRENT Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 7.36 Covenanted 'AAA' weighted-average recovery (%) 36.00 Covenanted weighted-average spread (%) 3.45 Covenanted weighted-average coupon (%) 4.50 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. Therefore, as part of S&P's cash flow analysis, it assumed a starting collateral size of EUR493.50 million (i.e. the target par amount declined by the maximum amount of reduction indicated by the arranger). Loss mitigation loans Under the transaction documents, the issuer can purchase loss mitigation loans, which are assets of an existing collateral obligation held by the issuer offered in connection with bankruptcy, workout, or restructuring of the obligation, to improve the related collateral obligation's recovery value. Loss mitigation loans allow the issuer to participate in potential new financing initiatives by the borrower in default. This feature aims to mitigate the risk of other market participants taking advantage of CLO restrictions, which typically do not allow the CLO to participate in a defaulted entity's new financing request. This feature therefore increases the chance of a higher recovery for the CLO. While the objective is positive, it can also lead to par erosion, as additional funds will be placed with an entity that is under distress or in default. S&P said, "This may cause greater volatility in our ratings if the positive effect of the obligations does not materialize. In our view, the presence of a bucket for loss mitigation loans, the restrictions on the use of interest and principal proceeds to purchase those assets, and the limitations in reclassifying proceeds received from those assets from principal to interest help to mitigate the risk." The purchase of loss mitigation loans is not subject to the reinvestment criteria or the eligibility criteria. The issuer may purchase loss mitigation loans using interest proceeds, principal proceeds, or amounts in the supplemental reserve account. The use of interest proceeds to purchase loss mitigation loans is subject to: -- The manager determining that there are sufficient interest proceeds to pay interest on all the rated notes on the upcoming payment date; and -- Following the purchase of a loss mitigation loan, all coverage tests and the reinvestment par value test must be satisfied. The use of principal proceeds is subject to: -- Passing par value tests; -- The manager having built sufficient excess par in the transaction so that the aggregate collateral principal amount is equal to or exceeds the portfolio's reinvestment target par balance after the reinvestment; -- The loss mitigation loan being a debt obligation, ranking senior or pari passu with the related collateral obligation, having a par value greater than or equal to its purchase price, and not having a maturity date exceeding the rated note's maturity date. Loss mitigation loans that are debt obligations and have limited deviation from the eligibility criteria will receive collateral value credit for overcollateralization carrying value purposes. To protect the transaction from par erosion, amounts received from loss mitigation loans originally purchased with principal proceeds or loss mitigation loans that have been given a carrying value will form part of the principal account proceeds, whereas for all other loss mitigation loans, any amounts can be characterized as interest at the manager's discretion. Loss mitigation loans that do not meet this version of the eligibility criteria will receive zero credit. The cumulative exposure to loss mitigation loans purchased with principal is limited to 5% of the target par amount. The cumulative exposure to loss mitigation loans purchased with principal and interest is limited to 10% of the target par amount. Rating rationale Under the transaction documents, the rated notes pay quarterly interest unless a frequency switch event occurs. Following this, the notes will switch to semiannual payments. The portfolio's reinvestment period will end approximately 4.5 years after closing. The diversified collateral pool primarily comprises broadly syndicated speculative-grade senior-secured loans and senior-secured bonds. Therefore, S&P has conducted its credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. S&P said, "In our cash flow analysis, we used the EUR500.00 million target par amount, the covenanted weighted-average spread (3.45%), the reference weighted-average coupon (4.50%), and covenanted weighted-average recovery rates at each rating level. 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. "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "Until the end of the reinvestment period on Oct. 15, 2025, the collateral manager may substitute assets in the portfolio for so long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes." This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, as long as the initial ratings are maintained. S&P said, "We consider that the transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure is bankruptcy remote, in line with our legal criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for the class X to E-R-R notes. Our credit and cash flow analysis indicates that the available credit enhancement for the class A-2A, A-2B, B-R-R, and C-R-R notes could withstand stresses commensurate with higher rating levels than those we have assigned. However, as the CLO will be in its reinvestment phase starting from closing, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the notes." For the class E-R-R notes and under the amortizing target scenario only, the break-even default (BDR) cushion is -0.18% using the assumptions mentioned above. Based on the portfolio's actual characteristics and additional overlaying factors, including S&P's long-term corporate default rates and the class E-R-R notes' credit enhancement, this class is able to sustain a steady-state scenario, in accordance with its criteria. S&P's analysis further reflects several 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 have recently been issued in Europe. -- The portfolio's average credit quality is similar to other recent CLOs. -- S&P's model generated break even default rate at the 'B-' rating level of 25.27% (for a portfolio with a weighted-average life of 4.50 years), versus if it was to consider a long-term sustainable default rate of 3.1% for 4.50 years, which would result in a target default rate of 13.95%. -- S&P also noted that the actual portfolio is generating higher spreads versus the covenanted threshold that it has modelled in its cash flow analysis. -- For S&P to assign a rating in the 'CCC' category, it also assessed (i) whether the tranche is vulnerable to non-payments in the near future, (ii) if there is a one in two chance for this note to default, and (iii) if it envisions this tranche to default in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class E-R-R notes is commensurate with the 'B- (sf)' rating assigned. "Taking the above factors into account and 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 all the rated classes of 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 all classes of 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-R-R notes." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." The transaction securitizes a portfolio of primarily senior-secured leveraged loans and bonds, and it is managed by Blackstone Ireland Ltd. Ratings List CLASS RATING AMOUNT INTEREST CREDIT (MIL. EUR) RATE (%) ENHANCEMENT (%) X AAA (sf) 2.50 3mE + 0.30 N/A A-1 Note AAA (sf) 119.00 3mE + 0.82 38.00 A-1 Loan AAA (sf) 191.00 3mE + 0.82 38.00 A-2A AA (sf) 39.00 3mE + 1.63 28.00 A-2B AA (sf) 11.00 2.03 28.00 B-R-R A (sf) 35.00 3mE + 2.40 21.00 C-R-R BBB (sf) 30.00 3mE + 3.50 15.00 D-R-R BB- (sf) 25.00 3mE + 6.16 10.00 E-R-R B- (sf) 12.50 3mE + 8.51 7.50 Subordinated NR 56.93 N/A N/A NR--Not rated. N/A--Not applicable. 3mE--Three-month Euro Interbank Offered Rate. GOLDENTREE LOAN 5: Moody's Gives B3 Rating to EUR13.6M Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following definitive ratings to notes issued by GoldenTree Loan Management EUR CLO 5 Designated Activity Company (the "Issuer"): EUR2,000,000 Class X Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR252,000,000 Class A Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) EUR36,000,000 Class B Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) EUR27,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned A2 (sf) EUR28,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Baa3 (sf) EUR20,400,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Ba3 (sf) EUR13,600,000 Class F Senior Secured Deferrable Floating Rate Notes due 2034, 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. The Issuer is a managed cash flow CLO. At least 92.5% of the portfolio must consist of senior secured obligations and up to 7.5% of the portfolio may consist of senior unsecured obligations, second-lien loans, mezzanine obligations and high yield bonds. The portfolio is expected to be 90% ramped as of the closing date and to comprise of predominantly corporate loans to obligors domiciled in Western Europe. The remainder of the portfolio will be acquired during the six month ramp-up period in compliance with the portfolio guidelines. GoldenTree Loan Management II, LP ("GoldenTree") will 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 4.25 year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations or credit improved obligations. Interest and principal amortisation amounts due to the Class X Notes are paid pro rata with payments to the Class A Notes. The Class X Notes amortise by EUR250,000 over the payment dates starting on the second payment date. In addition to the seven classes of notes rated by Moody's, the Issuer will issue EUR22,525,000 Subordinated Notes due 2034 which are not rated. 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology underlying the rating action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 2020. Moody's used the following base-case modeling assumptions: Par Amount: EUR400 million Diversity Score: 49(*) Weighted Average Rating Factor (WARF): 3029 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 3.50% Weighted Average Recovery Rate (WARR): 44.5% Weighted Average Life (WAL): 8.5 years JUBILEE CLO 2014-XI: Moody's Affirms B2 Rating on Class F-R Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has assigned the following definitive rating to refinancing notes issued by Jubilee CLO 2014-XI DAC (the "Issuer"): EUR235,000,000 Class A-R Senior Secured Floating Rate Notes due 2030, Assigned Aaa (sf) At the same time, Moody's upgraded one class of notes which has not been refinanced: EUR46,500,000 Class B-R Senior Secured Floating Rate Notes due 2030, Upgraded Aa1 (sf); previously on Jun 11, 2020 Affirmed Aa2 (sf) Moody's also affirmed the remaining outstanding notes which have not been refinanced: EUR36,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed A2 (sf); previously on Jun 11, 2020 Affirmed A2 (sf) EUR23,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed Baa3 (sf); previously on Jun 11, 2020 Downgraded to Baa3 (sf) EUR18,600,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed Ba2 (sf); previously on Jun 11, 2020 Confirmed at Ba2 (sf) EUR11,800,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed B2 (sf); previously on Jun 11, 2020 Confirmed at B2 (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 upgrade on the Class B-R Notes is the result of the refinancing, which increases excess spread available as credit enhancement to the rated notes as well as the transaction having reached the end of the reinvestment period in April 2021. Moody's rating affirmations of the Class C-R Notes, Class D-R Notes, Class E-R Notes and Class F-R Notes are a result of the refinancing, which has no impact on the ratings of the notes. Moody's analysed the CLO's latest portfolio and took into account the full set of structural features. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's also analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. As part of this refinancing, the Issuer has extended the weighted average life test date by 15 months to 18 July 2026. It has also amended definitions including the definition of "Adjusted Weighted Average Rating Factor" and minor features. In addition, the Issuer has amended the base matrix that Moody's has taken into account for the assignment of the definitive rating. 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. Alcentra Limited ("Alcentra") 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. The CLO has reached the end of its reinvestment period on April 2021. Going forward, 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 2020. Moody's used the following base-case modeling assumptions: Performing par and principal proceeds balance: EUR89.1 million Defaulted Par: EUR2.8 million as of March 3, 2021 Diversity Score: 52 Weighted Average Rating Factor (WARF): 3029 Weighted Average Spread (WAS): 3.4% Weighted Average Coupon (WAC): 3.24% Weighted Average Recovery Rate (WARR): 42% Weighted Average Life (WAL) Test: July 18, 2026 MADISON PARK XIII: Moody's Affirms B3 Rating on EUR12.5M F Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has assigned the following definitive ratings to refinancing notes issued by Madison Park Euro Funding XIII Designated Activity Company (the "Issuer"): EUR307,500,000 Class A Senior Secured Floating Rate Notes due 2032, Definitive Rating Assigned Aaa (sf) EUR45,000,000 Class B-1 Senior Secured Floating Rate Notes due 2032, Definitive Rating Assigned Aa2 (sf) EUR5,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032, Definitive Rating Assigned Aa2 (sf) EUR32,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032, Definitive Rating Assigned A2 (sf) EUR32,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032, Definitive Rating Assigned Baa3 (sf) Moody's also affirmed the Class E and Class F Notes ratings which have not been refinanced: EUR27,500,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032, Affirmed Ba3 (sf); previously on Mar 20, 2019 Definitive Rating Assigned Ba3 (sf) EUR12,500,000 Class F Senior Secured Deferrable Floating Rate Notes due 2032, Affirmed B3 (sf); previously on Mar 20, 2019 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 E and Class F Notes are 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 7.43 years. It has also amended certain portfolio profile tests, definitions and minor features. In addition, the Issuer has amended the base matrix 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. Credit Suisse Asset Management 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 approximately two and a half year reinvestment period. 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of global corporate assets from a gradual and unbalanced recovery in global economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 modelled 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 2020. Moody's used the following base-case modelling assumptions: Performing par and principal proceeds balance: EUR489.2 million Defaulted Par: 11.0 million Diversity Score: 51* Weighted Average Rating Factor (WARF): 3090 Weighted Average Spread (WAS): 3.60% Weighted Average Recovery Rate (WARR): 42.5% Weighted Average Life Test: 7.43 years PROVIDUS CLO II: Moody's Affirms B2 Rating on EUR10.1MM Cl. F Notes ------------------------------------------------------------------- Moody's Investors Service announced that it has assigned the definitive ratings to refinancing notes issued by Providus CLO II Designated Activity Company (the "Issuer"): EUR217,000,000 Class A Senior Secured Floating Rate Notes due 2031, Definitive Rating Assigned Aaa (sf) EUR22,500,000 Class B-1 Senior Secured Floating Rate Notes due 2031, Definitive Rating Assigned Aa2 (sf) EUR9,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031, Definitive Rating Assigned Aa2 (sf) EUR26,300,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031, Definitive Rating Assigned A2 (sf) At the same time, Moody's affirmed the outstanding notes which have not been refinanced: EUR20,100,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031, Affirmed Baa3 (sf); previously on Dec 20, 2018 Assigned Baa3 (sf) EUR20,100,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031, Affirmed Ba2 (sf); previously on Dec 20, 2018 Assigned Ba2 (sf) EUR10,100,000 Class F Senior Secured Deferrable Floating Rate Notes due 2031, Affirmed B2 (sf); previously on Dec 20, 2018 Assigned B2 (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 affirmations of the Class D Notes, Class E Notes 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 June 20, 2028. 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 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. Permira Debt Managers Group Holdings 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 remaining reinvestment period which will end in January 2023. 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 2020. Moody's used the following base-case modeling assumptions: Performing par and principal proceeds balance: EUR347.8 million Defaulted Par: EUR1.4 million Diversity Score: 50 Weighted Average Rating Factor (WARF): 3071 Weighted Average Spread (WAS): 3.60% Weighted Average Recovery Rate (WARR): 43.0% Weighted Average Life test date: June 20, 2028 RRE 1 LOAN: Moody's Assigns Ba3 Rating to EUR24M Class D-R Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has assigned the following definitive ratings to refinancing notes issued by RRE 1 Loan Management Designated Activity Company (the "Issuer"): EUR360,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) EUR57,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aa2 (sf) EUR24,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned Ba3 (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. The Issuer has issued the refinancing notes in connection with the refinancing of the following classes of notes: Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes due 2032 (the "Original Notes"), previously issued on April 15, 2019 (the "Original Closing Date"). On the refinancing date, the Issuer has used the proceeds from the issuance of the refinancing notes to redeem in full the Original Notes. On the Original Closing Date, the Issuer also issued EUR47,950,000 of Subordinated Notes, which will remain outstanding. In addition to EUR360,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, EUR57,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2035 and EUR24,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2035 rated by Moody's, the Issuer has issued EUR60,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2035, EUR39,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2035 and EUR14,590,000 of additional Subordinated Notes on the refinancing date which are not rated. The terms and conditions of the subordinated notes will be amended in accordance with the refinancing notes' conditions. As part of this reset, the Issuer has increased the target par amount by EUR150,000,000 to EUR600,000,000, extended the reinvestment period by one and half years to four years and the weighted average life by two and half years to nine years. It has also amended certain concentration limits, definitions and minor features. In addition, the Issuer has amended the base matrix and modifiers that Moody's will take 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 expected to be fully ramped as of the closing date. The transaction does not include an effective date mechanism. The mitigant to this is that the underlying portfolio is fully ramped at closing. Before issuing definitive ratings on the notes, Moody's has received fully ramped portfolio data together with calculations of CQT, PPT, Coverage Tests and Interest Diversion Test and has considered these in the analysis when assigning definitive ratings. Redding Ridge Asset Management (UK) LLP ("Redding Ridge") will 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 four-year reinvestment period. 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. The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world's economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around Moody's forecasts. Moody's analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. 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 2020. Moody's used the following base-case modeling assumptions: Target Par Amount: EUR600,000,000 Diversity Score(1): 44 Weighted Average Rating Factor (WARF): 3099 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 3.25% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 9 years RRE 1 LOAN: S&P Assigns BB- (sf) Rating to EUR24MM Class D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its credit ratings to RRE 1 Loan Management DAC's class A-1-R, A-2-R, B-R, C-R, and D-R notes. At closing, the issuer also issued EUR62.54 million of unrated subordinated notes. The ratings assigned to the 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 are in line with our counterparty rating framework. -- Under the transaction documents, the rated notes pay quarterly interest unless there is a frequency switch event. Following this, the notes will permanently switch to semi-annual payment. The portfolio's reinvestment period ends approximately four years after closing. Portfolio Benchmarks CURRENT S&P Global Ratings weighted-average rating factor 2,800 Default rate dispersion 558.90 Weighted-average life (years) 4.86 Obligor diversity measure 110.27 Industry diversity measure 20.64 Regional diversity measure 1.15 Weighted-average rating 'B' 'CCC' category rated assets (%) 2.50 'AAA' weighted-average recovery rate 37.66 Floating-rate assets (%) 98.15 Weighted-average spread (net of floors; %) 3.69 S&P said, "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned credit ratings. "In our cash flow analysis, we used the EUR600 million target par amount, a weighted-average spread of 3.20%, the reference weighted-average coupon (3.25%), and the weighted-average recovery rates as indicated by the collateral manager. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Our credit and cash flow analysis shows that the class A-2 and B notes benefit from break-even default rate and scenario default rate cushions that we would typically consider to be in line with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our credit ratings on the notes." Elavon Financial Services DAC is the bank account provider and custodian. Its documented replacement provisions are in line with our counterparty criteria for liabilities rated up to 'AAA'. The issuer can purchase up to 20% of non-euro assets, subject to entering into asset-specific swaps. The downgrade provisions of the swap counterparty or counterparties are in line with our counterparty criteria for liabilities rated up to 'AAA'. The transaction's legal structure and framework is bankruptcy remote, in accordance with our legal criteria. The CLO is managed by Redding Ridge Asset Management (UK) LLP. Under our "Global Framework For Assessing Operational Risk In Structured Finance Transactions," published on Oct. 9, 2014, the maximum potential rating on the liabilities is 'AAA'. Workout obligations Under the transaction documents, the issuer may purchase debt and non-debt assets of an existing borrower offered in connection with a workout, restructuring, or bankruptcy (workout obligations), to maximize the overall recovery prospects on the borrower's obligations held by the issuer. The transaction documents limit the CLO's exposure to workout obligations quarterly, and on a cumulative basis, may not exceed 10% of target par if purchased with principal proceeds. The issuer may only purchase workout obligations provided the following are satisfied in each condition: Using principal proceeds or amounts designated as principal proceeds, provided that: -- The obligation is a debt obligation, -- It is pari passu or senior to the obligation already held by the issuer, -- Its maturity date falls before the rated notes' maturity date, -- It is not purchased at a premium, and -- The class A, B, and C par value tests are satisfied after the acquisition or the performing portfolio balance exceeds the reinvestment target par balance. Using interest proceeds, provided that: -- The class C interest coverage test is satisfied after the acquisition, and -- The manager believes there will be enough interest proceeds on the following payment date to pay interest on all the rated notes; and/or -- Using amounts standing to the credit of the supplemental reserve account. In all instances where principal proceeds or amounts designated as principal proceeds are used to purchase workout obligations: -- A zero carrying value is assigned to such workout obligations until they fully satisfy the eligibility criteria (following which the obligation will be subject to the same treatment as other obligations held by the issuer); -- All and any distributions received from such workout obligations will be retained as principal and may not be transferred into any other account; and -- There may be instances where the transaction limits testing all par value tests when purchasing workout obligations. As a result, as part of S&P's analysis it has omitted any benefit received from the class D par value and interest diversion tests. Following S&P's analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our credit ratings are commensurate with the available credit enhancement for each class of notes. In addition to S&P's standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect S&P's ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-1-R to D-R notes to five of the 10 hypothetical scenarios it looked at in its publication. Environmental, social, and governance (ESG) credit 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: controversial weapons, nuclear weapon programs or production of nuclear weapons, thermal coal production, extraction of oil and gas, pornography or prostitution, tobacco, opioid manufacturing and distribution, and hazardous chemicals. 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." S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. S&P said, "We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings List CLASS RATING* BALANCE SUBORDINATION (%) INTEREST RATE§ (MIL. EUR) A-1-R AAA (sf) 360.00 40.00 Three/six-month EURIBOR plus 0.82% A-2-R AA (sf) 57.00 30.50 Three/six-month EURIBOR plus 1.35% B-R A (sf) 60.00 20.50 Three/six-month EURIBOR plus 2.00% C-R BBB- (sf) 39.00 14.00 Three/six-month EURIBOR plus 3.00% D-R BB- (sf) 24.00 10.00 Three/six-month EURIBOR plus 5.95% Sub notes NR 62.54 N/A N/A *The ratings assigned to the class A-1-R and A-2-R notes address timely interest and ultimate principal payments. The ratings assigned to the class B-R, C-R, and D-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. EURIBOR--Euro Interbank Offered Rate. =================== L U X E M B O U R G =================== CPI PROPERTY: S&P Places 'BB+' Sr. Sub. Debt Rating on Watch Neg. ----------------------------------------------------------------- S&P Global Ratings placed its 'BBB' long-term issuer credit rating on CPI Property Group S.A. (CPI), its 'BBB' issue rating on its senior unsecured debt, and its 'BB+' issue rating on its senior subordinated debt on CreditWatch with negative implications. CPI's announced joint offering with Aroundtown S.A. for the remaining shares in Globalworth Real Estate Investments Ltd. (Globalworth) could delay the deleveraging S&P had anticipated for CPI. CPI and Aroundtown already owned 29.6% and 22.0%, respectively, of Globalworth's share capital before they formed a 50%/50% joint venture that gives them joint control of more than 50% of Globalworth's share capital. Through their joint venture, CPI and Aroundtown aim to acquire the remaining shares in Globalworth. S&P said, "We anticipate that CPI's cash outflow could be anywhere from EUR0 million up to EUR330 million, depending on how many of Globalworth's remaining shareholders--those holding shares that CPI and Aroundtown do not already own--accept the offer. We understand that CPI remains committed to its current financial policy, including keeping its net loan-to-value (LTV) ratio below 40%, which translates into an S&P Global Ratings-adjusted ratio of debt to debt plus equity of well below 50%. We also understand that CPI is looking into short- to near-term deleveraging measures, including third-party equity investments or equity partnerships. CPI's capital requirement to acquire additional shares in Globalworth will be materially offset by the deleveraging measures, which we expect to include some equity and equity-like financing ahead of the transaction closing." In S&P's view, rating stability now depends on CPI stabilizing its business and executing further measures to facilitate deleveraging. These measures could include obtaining equity investments, selling landbank or noncore assets, and capital recycling. CPI's leverage ratios were already under pressure in 2020 due to several transactions during the year that increased net debt, and to the impact of the COVID-19 pandemic. Debt to debt plus equity stood at 49.1% as of Dec. 31, 2020, versus 44.1% in 2019, and debt to EBITDA increased to 16.0x from 13.7x in 2019. The company's EBITDA interest coverage remained solid, although it declined to 2.9x in 2020 from 3.8x in 2019. S&P said, "Taking into account a recent share buyback of about EUR395 million in the first quarter of 2021 and the announced share offer for Globalworth, we believe that CPI's credit ratios could weaken further if the company does not take sufficient steps to deleverage, including equity funding, in the next few months. We therefore see a risk that CPI's debt to debt plus equity could breach our downgrade threshold of 50%, We also believe that CPI may find it challenging to bring debt to annualized EBITDA back below 13x and EBITDA interest coverage above 3.0x." S&P said, "We see a one-in-two chance that CPI's credit metrics will not improve within the next six-to-nine months. "We understand that the company is looking into several measures to deleverage, restore rating headroom, and meet its publicly stated target for LTV. These measures include the disposal of nonstrategic assets, equity generation through acquisitions at sharp discounts to the fair value, or equity financing and capital recycling. Our base-case assumption is that CPI will be able to restore its credit metrics within the next six-to-nine months, but we see a one-in-two likelihood that it will not achieve this. We also believe that the possible deleveraging measures are uncertain and subject to execution risk that could impede deleveraging." S&P expects CPI's liquidity profile to remain solid. The company's cash position remains strong. It had approximately EUR632.3 million of cash and cash equivalents and EUR700 million available under its committed undrawn revolving credit facility as of Dec. 31, 2020, and limited upcoming debt maturities. Including the share buyback in the first quarter of 2021 and a potential capital commitment of up to EUR330 million to acquire the 50% stake in Globalworth, we believe that CPI will be able to maintain an adequate liquidity position. CreditWatch S&P said, "The CreditWatch negative placement reflects our view that CPI's capital commitment to increase its stake in Globalworth could weaken its credit metrics beyond our thresholds for the current long-term issuer credit rating if it does not manage to take sufficient steps to deleverage, including equity measures, in the next few months. We will resolve the CreditWatch placement once we have more visibility on the final amount that CPI will pay for the additional stake in Globalworth following the conclusion of the offer and the implementation of deleveraging measures, including equity investments." S&P could consider lowering the ratings in the next three months if: On closing the transaction, CPI's capital requirement to acquire additional shares in Globalworth has not been materially offset by deleveraging measures, which S&P expects to include equity and equity-like financing ahead of the transaction closing; and The execution of CPI's deleveraging plans is delayed. The consequences of this would be: -- Debt to debt plus equity of above 50%; -- EBITDA interest coverage below 3x; or -- Debt to annualized EBITDA above 13x. S&P said, "We would likely remove the ratings from CreditWatch and affirm them if CPI demonstrates financial discipline. This would result in adjusted debt to debt plus equity well below 50% and debt to annualized EBITDA below 13x in the next six-to-nine months. In addition, we would take a positive view of CPI stabilizing its business, including a quick rebound from pandemic-related disruption and positive like-for-like rental growth, alongside high occupancy rates and flat-to-positive growth in portfolio valuations." This would also require CPI to maintain its focus on more resilient asset classes. =========== R U S S I A =========== DELOPORTS LLC: S&P Affirms 'B+' Long-Term Issuer Credit Rating -------------------------------------------------------------- S&P Global Ratings affirmed its 'B+' long-term issuer credit rating on Russian port operator DeloPorts LLC. The stable outlook reflects DeloPorts' core status in the group and S&P's expectations of recovery in Delo Group's creditworthiness with consolidated FFO to debt exceeding 12%. Despite the pandemic, DeloPorts' 2020 results were better than S&P expected. FFO to debt reached 26%, compared with 20% in our base-case scenario. In 2020, grain volumes at DeloPorts increased by more than 40% (the effect of a low 2019 base) and container throughput was up by 30% thanks to the deep sea berth 38, which commenced operations in mid-2019. S&P expects a moderate growth of 5% and 10%, respectively, in 2021, supporting solid metrics, with FFO to debt of 25%-30% in 2021-2022. S&P bases its rating on the group credit profile (GCP), given DeloPorts' core status in the group. S&P said, "We view MC Delo's consolidated creditworthiness at 'b+'. To fund acquisition of TransContainer, the group raised Russian ruble (RUB) 90 billion loan from Sberbank, which weighs on the consolidated leverage metrics, with expected FFO to debt of 12% in 2020-2021. We forecast that Russia's economic recovery will support EBITDA at the main subsidiaries, DeloPorts and TransContainer, and recovery of consolidated FFO to debt to 14%-16% in 2022. "We view the MC Delo group's maturity profile as manageable, although we forecast tight covenants headroom at year-end 2021 and 2022. "We estimate that, in 2021, MC Delo will have less than 10% headroom under its maintenance financial covenant set by Sberbank. Still, we assume the parent will meet its maintenance financial covenant test at the consolidated level. "We do not expect any large debt-funded acquisitions in the coming two years. "The group's strategy does not rule out growth investment. However, we assume management will carefully consider funding options, seeking to not increase financial leverage further, and cautiously complying with covenants at all group levels. "The stable outlook on DeloPorts reflects our unchanged view of Delo Group's 'b+' GCP and DeloPort's position as a core subsidiary. We forecast solid operating results in 2021-2022, with consolidated FFO to debt above 12% and some headroom above covenants, supported by cash flow from DeloPorts and TransContainer, and no large debt maturities across the group. On a stand-alone basis, we expect DeloPorts will maintain a weighted average FFO-to-debt ratio of 25%-30% and adequate liquidity in the next three years." S&P could downgrade DeloPorts if: -- Delo Group's performance was weaker than we expect, with FFO to debt falling and staying below 12% because of a more protracted recession in Russian economy than we assume in our base case or large acquisitions funded by new debt; -- The group's liquidity deteriorated, for example from covenant breaches and debt acceleration by the bank; or -- Capital expenditure (capex) needs are above what we forecast. S&P said, "We could also take a negative rating action if we believed that DeloPorts was becoming less strategic for the group and no longer a core subsidiary, while its performance deteriorated. However, we see this scenario as unlikely in the next two-to-three years. "We could upgrade DeloPorts if Delo Group's performance improved and the group reported FFO to debt sustainably above 20%, while maintaining at least adequate liquidity and refraining from debt-funded acquisitions. For an upgrade, we assume DeloPorts will remain a core subsidiary of the group." =========================== U N I T E D K I N G D O M =========================== BUSINESS LOAN: Enters Administration, Seeks Buyer for Business -------------------------------------------------------------- Business Sale reports that Business Loan Network, a peer-to-peer lending business, has announced that it has fallen into administration. The firm has since decided to call in the administrators in a bid to protect the ongoing interests of its parent company ESF Capital, Business Sale relates. According to Business Sale, in a statement they said: "The directors of the company took this decision, having regard to the company's present and likely future financial position, in order to protect the interests of its creditors as a whole." Commenting on the announcement, joint administrators Geoff Bouchier and Robert Armstrong of Kroll said: "It is the intention of the joint administrators to continue to wind-down the remaining loan book during the administration process. "The administrators have appointed ESF Capital, the company's parent which has been providing services to support the managed run-off plan prior to the administration, as wind down servicer to assist in this process." The administrators added that ESF Capital will continue to be the main contact for borrowers and lenders as they look to the future of the company, Business Sale notes. Lenders will also continue to have access to the company's online portal, including its internal messaging system, Business Sale discloses. Currently, all other branches of the ESF Group will continue to trade as normal and ESF Capital, trading as ThinCats, will remain as a going concern and continue while a buyer is sought, Business Sale states. FLYBE: Owes Unsecured Creditors Up to GBP650 Million ---------------------------------------------------- William Telford at BusinessLive reports that creditors owed up to GBP650 million in total from the collapse of regional airline Flybe may only receive a tiny fraction of their cash -- if they get anything at all. Joint administrators for the defunct Exeter-based company have revealed about 900,000 claims have already been made and continue to arrive, BusinessLive relates. According to BusinessLive, the value of cash demanded by unsecured creditors is now at between GBP600 million and GBP650 million and could become "materially higher once all claims have been received". Joint administrators at global business consultancy EY are dealing with the claims and said who gets what has yet to be determined, BusinessLive notes. But EY has said it intends to make a legal application not to distribute the money which has been set aside for unsecured creditors because it would not be cost effective, BusinessLive relays. In other words, so little cash is in the pot the creditors would receive hardly anything so it is not even worth distributing it, BusinessLive says. EY said there is only a maximum of GBP600,000 in this pot meaning unsecured creditors would get less than GBP1,000 each, according to BusinessLive. Some are owed tens of millions. Even though joint administrators at EY have completed the sale of the Flybe -- renamed FBE Realisations 2021 Limited (in Administration) -- business assets to a new company called Flybe Ltd, which hopes to start flights in 2021, they are still settling claims and collecting in cash from debtors of the original firm, BusinessLive notes. And they have confirmed the huge scale of debts owed by Flybe before it went into administration in March 2020, after failing to secure a GBP100million Government rescue package, BusinessLive discloses. Large amounts are owed to secured creditors, who own charges over assets and are highly likely to get their money back, including GBP136 million to various lenders, GBP127 million in mortgages over aircraft and engines and more than GBP11 million to Lloyds Bank's Cardnet credit card arm, BusinessLive states. Already GBP6.6 million has been paid to secure charge holders including GBP3.1 million to BRAL Trustees from the sale of the Flybe Training Academy to Devon County Council, BusinessLive relays. In addition, GBP3.2 million is owed to preferential creditors, mainly in wages, holiday and pension contribution claims from hundreds of former Flybe employees who lost their jobs when the firm hit the skids, BusinessLive notes. That leaves non-preferential creditors, "effectively the company's unsecured creditors" according to EY. The joint administrators said they continue to receive claims from creditors "most notably, substantial claims from financiers and lessors" GREENSILL CAPITAL: Cameron Pitched Services to German Official -------------------------------------------------------------- Olaf Storbeck, Robert Smith and Sebastian Payne at The Financial Times report that David Cameron pitched the services of supply-chain financing group Greensill Capital to a senior German government official just as an investigation into its German banking arm gathered pace. Mr. Cameron is at the centre of a lobbying scandal over Greensill Capital, whose German subsidiary Greensill Bank fell into insolvency last month, the FT notes. A spokesman for the former UK prime minister told the FT: "David Cameron participated on a virtual call with the German ambassador last November with senior representatives from Greensill to discuss introducing Earnd to the German civil service." Earnd is a subsidiary of Greensill that allowed employees to draw down their salary in instalments, the FT discloses. According to the FT, three people familiar with the matter said Mr. Cameron sought a meeting with German deputy finance minister Jorg Kukies last year. Mr. Kukies, a Social Democrat and former senior banker at Goldman Sachs, is in charge of financial market policy and European policy in Berlin. The people said Mr. Kukies declined to take the meeting. However, a spokesman for Mr. Cameron disputed that he had solicited a meeting and said: "During [the embassy] call, the German ambassador offered a meeting for Greensill's team with German deputy finance minister, Joerg Kukies. That meeting did not take place and David Cameron had no role in suggesting it or the process of organising it." The embassy call last November came after Germany's banking watchdog BaFin had stepped up its probe into Greensill's banking subsidiary, the FT recounts. The bank's management is under criminal investigation after German regulators began probing it last year because of concerns over its exposure to British steel magnate Sanjeev Gupta's businesses, the FT discloses. Documents concerning Greensill that were released by the German finance ministry last month show that BaFin began "regular exchanges with foreign supervisory authorities" in January 2020, after press reports on "the business relationship between Greensill and the Gupta Group", the FT notes. Mr. Cameron started working as a paid adviser to the bank's parent company -- Greensill Capital -- in 2018, and was granted share options that at one point could have been worth tens of millions of pounds, the FT notes. He made his first public statement on Greensill last weekend, stating that he "played no role in the decisions to extend credit, or the terms on which such credit was extended", the FT recounts. He said the value of his share options, which are now worthless following the company's collapse, was "nowhere near the amount speculated in the press" but did not offer a specific figure, the FT relays. LONDON CAPITAL: Gov't Unveils GBP120MM Compensation Scheme ---------------------------------------------------------- Kate Beioley at The Financial Times reports that customers who lost money in the collapse of minibond company London Capital & Finance will receive up to GBP68,000 each, as the Treasury announced a new GBP120 million compensation scheme for victims of the investment scandal. According to the FT, some 11,600 bondholders -- many of whom were first-time investors or retirees -- lost their savings when they bought unregulated minibonds from LCF, which fell into administration in January 2019. LCF was authorized by the UK financial regulator but the products it sold were high-risk and unregulated meaning the bulk of customers, who invested GBP237 million in total, were unable to seek compensation from the UK's lifeboat fund, the Financial Services Compensation Scheme, the FT discloses. John Glen, economic secretary to the Treasury, said on April 19 that investors who had not already received compensation from the FSCS could claim up to 80% of their initial investment in LCF, up to a maximum of GBP68,000 each, the FT relates. Customers who have received interest payments from LCF or its administrators will be able to claim compensation less that amount, the FT states. In total, the government expects to pay out some GBP120 million and will attempt to compensate all bondholders within six months of securing new legislation, which will be introduced when parliamentary time allows, the FT notes. So far around 2,800 individuals have been able to claim GBP57 million from the FSCS, but most customers do not qualify because they did not receive financial advice from the firm or switch out of a stocks and shares Isa into its minibonds -- both regulated activities, according to the FT. LCF's collapse triggered a criminal and regulatory probe as well as an independent investigation led by former Court of Appeal judge Dame Elizabeth Gloster into the Financial Conduct Authority's failures, the FT relays. TURNSTONE MIDCO 2: Moody's Puts Caa2 CFR Under Review for Upgrade ----------------------------------------------------------------- Moody's Investors Service has placed on review for upgrade the ratings of UK dental services operator Turnstone Midco 2 Limited (IDH), including the Caa2 corporate family rating and the Caa2-PD probability of default rating. Concurrently, the rating agency has also placed on review for upgrade the Caa2 ratings on the backed senior secured notes due 2022 and the Ca rating on the backed senior secured second lien notes due 2023, both issued by IDH Finance plc, which is wholly-owned by IDH. The outlook of both entities changed to ratings under review from negative. Moody's has placed all ratings on review for upgrade following the announcement that the company's majority shareholders had reached a binding sale agreement with an entity controlled by a financial sponsor for the sale of 100% of the business. RATINGS RATIONALE / FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The review for possible upgrade reflects Moody's expectation that the completion of the sale would result in the repayment of all the group's outstanding debt. While it is known that the purchaser is a financial sponsor and therefore it seems highly likely that a new levered capital structure would be put in place, the review for upgrade initiated by Moody's reflects the rating agency's view that IDH's future capital structure will in any event be more sustainable and carry lower leverage than the existing one (based on the same EBITDA). The completion of the sale is subject to customary regulatory approvals and UK tax clearances as well as a "right of first offer" for 60 days that significant minority shareholder Palamon Capital Partners has to acquire the company on the same or better terms. Palamon is not party to the sale agreement. The review process will focus on (1) the closing of the sale transaction, (2) IDH's future capital structure, business strategy as well as governance, including financial policy, under new ownership and (3) the recovery in trading performance as well as the duration and level of contractual payments by the NHS, which have supported the company's revenue, EBITDA and cash flows in the pandemic. IDH's ratings are currently on review for upgrade. Prior to the ratings review process, Moody's said that an upgrade of IDH's ratings could occur if there were firm prospects that the company's Moody's adjusted leverage would reduce towards 8x by fiscal 2022 and free cash flow was firmly positive, with an adequate liquidity profile. Prior to the ratings review process, Moody's also said that IDH's ratings could be downgraded if financial performance or liquidity deteriorated more than expected by Moody's during fiscal 2021 or the risk of a distressed exchange increased, which would be considered a default under Moody's definitions. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Service Industry published in October 2016. COMPANY PROFILE Turnstone Midco 2 Limited, the parent company for IDH, is the largest provider of NHS dental services in the UK and a leading distributor of dental and other medical products. As of December 31, 2020, the company's dental practice business, (my)dentist, had 595 dental practices. IDH treats over 4 million patients every year. In the twelve months ended December 2020, IDH generated GBP543 million of revenues and GBP46 million of EBITDA before exceptional items (before IFRS 16 impact). VERSANT: Brewer's Quay Put Up for Sale Following Administration --------------------------------------------------------------- Ellie Maslin at Dorset Echo reports that Brewer's Quay in Weymouth has been put up for sale after the development company that owns it went into administration. But the building could be in the hands of a new owner this spring, Dorset Echo relays, citing estate agents. The building has been put up for sale by administrators who have stepped in after developer Versant (Brewer's Quay Ltd) went into administration on Feb. 22, Dorset Echo discloses. It is being marketed by Savills estate agent, which describes the building as "a mixed used development opportunity comprising three parcels of land and buildings located close to Weymouth Harbour. "Planning permission granted for conversion of a Grade II listed former brewery and additional new build development," Dorset Echo notes. The deadline for preoperative buyers to submit an offer is 12 noon on Friday, May 14, 2021, Dorset Echo states. Versant bought the building in 2016 and announced plans to turn it into 24 apartments and 11 town houses, Dorset Echo recounts. But the project did not start and the iconic Victorian Grade II listed building has fallen into a state of decay having been derelict for years, Dorset Echo relays. =============== X X X X X X X X =============== [*] EUROPE: Finance Ministers Mull Unified Insolvency Laws ---------------------------------------------------------- Jan Strupczewski at Reuters reports that euro zone finance ministers were discussing on April 16 how to improve and possibly unify insolvency laws across the 19-nation bloc, to better prepare for a wave of bankruptcies expected when companies are weaned off government emergency pandemic support. According to Reuters, the expected surge in EU corporate bankruptcies will have a knock-on effect on the number of bad loans banks have to handle as the post-pandemic economic recovery starts to take hold and governments begin withdrawing state schemes that are now keeping many non-viable companies on life support. But insolvency laws differ from country to country, making it more difficult for the euro zone to deal with the problem, Reuters notes. The issue threatens to hamper economic growth as assets of insolvent companies are frozen during lengthy legal processes rather being quickly re-deployed in the economy, Reuters states. "National insolvency regimes across the EU differ in their design and in their practical implementation," Reuters quotes the European Commission as saying in a paper for the ministers' discussions. "(They) embody choices made regarding the appropriate balance between creditor and debtor interests . . . the priority enjoyed by employees, public utilities and tax authorities in the process," the paper said. It said euro zone countries should, for instance, agree on a definition of insolvency and when a company should be obliged to undergo formal insolvency proceedings, Reuters relays. It said it would also help if there was a common view on actions to replenish the insolvency estate in case of fraud, on asset tracing, the ranking of claims, including the position of secured creditors in insolvency and on court capacity, according to Reuters. "The Commission will consider either proposing a legislative instrument for minimum harmonisation of certain targeted elements of corporate insolvency laws, or coming forward with a non-legislative initiative to increase convergence," it said. ********* 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 2021. 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 * * *