/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/210908.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 Wednesday, September 8, 2021, Vol. 22, No. 174 Headlines F R A N C E COMEXPOSIUM SAS: Creditors Win Legal Battle to Access Books G E R M A N Y LUFTHANSA: Seeks to Secure Bailout Deal Before Merkel Leaves G R E E C E NATIONAL BANK: Fitch Raises Senior Preferred Debt Rating to 'B-' I R E L A N D SOUND POINT VI: Moody's Assigns (P)B3 Rating to EUR12.75MM F Notes K A Z A K H S T A N ATFBANK JSC: Moody's Upgrades Long Term Deposit Ratings to B1 P O R T U G A L ENERGIA DE PORTUGAL: Fitch Rates New Green Hybrid Notes 'BB+(EXP)' ENERGIAS DE PORTUGAL: Moody's Rates Green Hybrid Notes 'Ba2' ENERGIAS DE PORTUGAL: S&P Rates New Green Hybrid Instruments 'BB+' R U S S I A RUSSIAN STANDARD BANK: S&P Upgrades ICR to 'B', Outlook Stable S E R B I A MAJDANPEK: Auction of Assets Scheduled for October 5 S P A I N SABADELL CONSUMO I: DBRS Confirms B(high) Rating on Class D Notes SANTANDER CONSUMER 2020-1: DBRS Confirms B(low) Rating on E Notes SANTANDER CONSUMER 2021-1: DBRS Gives Prov. BB Rating on E Notes U N I T E D K I N G D O M CANADA SQUARE 2019-1: Moody's Ups GBP12.17MM X Notes Rating to Ba3 CASSELLIE LTD: Goes Into Administration ROLI: Files for Bankruptcy, To Reform as Luminary SPRINTDELIVER: Enters Administration, 35 Jobs Affected UTMOST GROUP: Fitch Assigns BB+ Rating to Proposed Tier 2 Notes VMS LIVE: To Undergo Liquidation, Ceases Trading - - - - - =========== F R A N C E =========== COMEXPOSIUM SAS: Creditors Win Legal Battle to Access Books ----------------------------------------------------------- Lucca de Paoli at Bloomberg News reports that creditors led by Strategic Value Partners and Attestor Capital won a legal battle in London to receive detailed financial information from Comexposium SAS, an events firm which is seeking to restructure its debt in France. According to Bloomberg, creditors holding the majority of EUR573 million of senior credit lines, governed by English law, were asking the court to declare that the company was bound by the clauses in the facilities regarding information it should provide to them, even if it is in the middle of a restructuring in another country. A court spokesperson said by e-mail the judge ruled in favor of the lenders on Aug. 27, Bloomberg notes. A representative for Comexposium said the company has appealed the decision, Bloomberg discloses. ============= G E R M A N Y ============= LUFTHANSA: Seeks to Secure Bailout Deal Before Merkel Leaves ------------------------------------------------------------ Richard Weiss and William Wilkes at Bloomberg News report that Deutsche Lufthansa AG is seeking to secure a deal on how Germany will wind down its investment in the airline before Angela Merkel's government leaves office, a moment that could see a less sympathetic coalition sweep to power. The comments by Chief Executive Officer Carsten Spohr amount to an admission that his previous deadline of repaying the remainder of a EUR9 billion (US$10.7 billion) state bailout before a Sept. 26 election has slipped, Bloomberg states. Still, a changeover could leave the current government in place for months, Bloomberg notes. Merkel's conservatives have lost ground to Olaf Scholz's Social Democrats, a party that envisages the state holding on to its Lufthansa stake for longer, Bloomberg relates. Mr. Spohr, as cited by Bloomberg, said with the chancellor planning to step down after 16 years in power, Lufthansa would like to settle on an exit deal as soon as possible -- preferably with the current government. Lufthansa, Bloomberg says, needs to raise about EUR2 billion in capital to have enough to fully exit the government's 20% stake, which makes Germany the biggest investor in the airline group. But since June, when Mr. Spohr targeted raising the money by this month, a global resurgence in coronavirus infections has stalled the aviation recovery, sending Lufthansa share prices to their lowest since last November, Bloomberg relays. That's dimmed prospects for a quick share sale, putting Lufthansa at risk of being saddled with a longer-term state holding that restricts M&A and dividends at joint ventures, Bloomberg states. The SPD supports more state involvement in the economy than Merkel's CDU, suggesting they would be less inclined to agree to swiftly exit the Lufthansa shareholding, Bloomberg notes. The airline must reach an agreement with the government before the stake can be sold, according to Bloomberg. The government last month said it plans to reduce its holding by about one quarter, dashing Lufthansa's hopes for a state exit before the elections, Bloomberg recounts. Mr. Spohr declined to give details about the size and exact timing of the equity to be raised. He reiterated that selling the company's remaining catering business, or a minority stake in its maintenance arm, remained options for cutting its debt pile, Bloomberg discloses. =========== G R E E C E =========== NATIONAL BANK: Fitch Raises Senior Preferred Debt Rating to 'B-' ---------------------------------------------------------------- Fitch Ratings has upgraded National Bank of Greece S.A.'s (NBG) and Eurobank S.A.'s (Eurobank) long-term senior preferred (SP) debt rating to 'B-'/'RR4' from 'CCC'/'RR6'. Fitch has also upgraded Piraeus Bank S.A.'s (Piraeus) long-term SP debt rating to 'CCC'/'RR5' from 'CCC-'/'RR6'. SP debt instruments can be issued under the three banks' existing debt issuance programmes. The upgrade reflects Fitch's assessment that recoveries for the banks' SP creditors have improved because of subdued asset-quality risks, following a recovery in the Greek operating environment and progress made in their respective de-risking plans, including the sale of substantial portfolios of non-performing exposures (NPE). Additionally, Fitch believes that the recent disclosure of banks' minimum requirements for own funds and eligible liabilities (MREL) will underpin the build-up of larger resolution debt buffers and increase the protection that could accrue to SP creditors in a default scenario. The banks' other ratings are unaffected by today's rating action. KEY RATING DRIVERS The long-term SP debt ratings of NBG and Eurobank are in line with their respective Long-Term Issuer Default Ratings (Long-Term IDR) to reflect that the likelihood of default on SP obligations is the same as that of the banks. The Recovery Rating of 'RR4' for NBG's and Eurobank's SP debt reflects Fitch's expectation of average recovery prospects, as Fitch views the banks' strong execution of asset-quality clean-up as materially reducing solvency risks. The long-term SP debt rating of Piraeus is one notch below its Long-Term IDR, reflecting Fitch's assessment that recovery prospects would be below average (RR5), instead of poor (RR6) for the bank's SP creditors, in a default scenario. The bank's strong execution of de-risking plans is reducing solvency risks, but Piraeus is still less advanced than some of its Greek bank peers in reducing the encumbrance of its balance sheet by impaired loans. Fitch estimates that unreserved impaired loans still represented about 135% of Piraeus's common equity Tier 1 capital at end-June 2021, even after considering the completion of its 'Sunrise I' impaired loan securitisation. All three banks' resolution debt buffers are low but Fitch expects them to gradually build up as the banks aim to meet their final MREL, which will become binding by 1 January 2026. Contrary to NBG and Eurobank, Piraeus has yet to test the market with SP debt issuance, but it has already issued MREL-eligible subordinated debt and hybrid capital instruments, which are not rated by Fitch. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- The long-term SP debt ratings of NBG, Eurobank and Piraeus would likely be upgraded if the banks' Long-Term IDRs are upgraded. -- Piraeus's long-term SP debt rating could also be upgraded if Fitch's assessment of recoveries for SP creditors improves to average (RR4), from below average (RR5). This could be driven by further improvement in the bank's asset quality and successful sales of impaired loans and securitisations, translating into lower capital encumbrance by unreserved impaired loans. -- The ratings could also be upgraded if the banks are expected to meet their resolution buffer requirements exclusively with SNP debt and junior instruments or if, at some point in the future, SNP and junior resolution buffers sustainably exceeding 10% of risk-weighted assets (RWAs), which Fitch deems unlikely due to the absence of a subordination requirement in Greek banks' MRELs. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The long-term SP debt ratings would likely be downgraded if the banks' Long-Term IDRs are downgraded. -- NBG's and Eurobank's long-term SP debt ratings could be notched down from the respective Long-Term IDRs if Fitch believes that recoveries for the banks' SP creditors weaken and become below-average (RR5) or poor (RR6). Piraeus's long term SP debt rating could also be notched wider from the Long- Term IDR if Fitch believes that recoveries for SP creditors weaken and become poor (RR6), instead of below average (RR5). This could be in case the banks' asset quality deteriorates unexpectedly from the economic fallout of the pandemic, if the banks' NPE sales fail to materialise or if Fitch believes the building of resolution debt buffers will fall short of requirements. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Financial Institutions and Covered Bond issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. ============= I R E L A N D ============= SOUND POINT VI: Moody's Assigns (P)B3 Rating to EUR12.75MM F Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following provisional ratings to the notes to be issued by Sound Point Euro CLO VI Funding DAC (the "Issuer"): EUR259,250,000 Class A Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) EUR34,000,000 Class B-1 Senior Secured Floating Rate Notes due 2034, Assigned (P)Aa2 (sf) EUR10,600,000 Class B-2 Senior Secured Fixed Rate Notes due 2034, Assigned (P)Aa2 (sf) EUR26,550,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)A2 (sf) EUR31,900,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)Baa3 (sf) EUR21,250,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)Ba3 (sf) EUR12,750,000 Class F Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)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 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 80% ramped as of the closing date and to comprise predominantly of corporate loans to obligors domiciled in Western Europe. The remainder of the portfolio will be acquired during the approximate six month ramp-up period in compliance with the portfolio guidelines. Sound Point CLO C-MOA, LLC, acting through its Second Management Series ("Sound Point") 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 five 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. In addition to the seven classes of notes rated by Moody's, the Issuer will issue EUR32,900,000 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. 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: EUR425,000,000 Diversity Score(*): 44 Weighted Average Rating Factor (WARF): 2,900 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC):4.75% Weighted Average Recovery Rate (WARR):43% Weighted Average Life (WAL): 9.0 years =================== K A Z A K H S T A N =================== ATFBANK JSC: Moody's Upgrades Long Term Deposit Ratings to B1 ------------------------------------------------------------- Moody's Investors Service upgraded the long-term deposit ratings of ATFBank JSC (SB of "Jusan Bank" JSC) (ATFBank) to B1 from B2, its Counterparty Risk Ratings (CRRs) to Ba3 from B1 and its Counterparty Risk Assessment (CR Assessment) to Ba3(cr) from B1(cr). All other ratings and assessments were affirmed. The outlook on the long-term deposits and overall entity outlook was changed to stable from positive. Subsequently, Moody's will withdraw all of the ratings, as well as the outlooks on the long-term deposit ratings and the overall entity outlook. RATINGS RATIONALE Following the completion of ATFBank's merger with its parent First Heartland Jusan Bank JSC (Jusan; B1 stable, b3) on September 6, 2021, the long-term deposit ratings, CRRs and CR Assessment of ATFBank have been aligned with those of Jusan and will be withdrawn. LIST OF AFFECTED RATINGS Issuer: ATFBank JSC (SB of "Jusan Bank" JSC) Upgrades and will be subsequently withdrawn: Long-term Counterparty Risk Assessment, Upgraded to Ba3(cr) from B1(cr) Long-term Counterparty Risk Ratings, Upgraded to Ba3 from B1 Long-term Bank Deposit Ratings, Upgraded to B1 from B2, Outlook Changed To Stable From Positive Affirmations and will be subsequently withdrawn: Adjusted Baseline Credit Assessment, Affirmed b3 Baseline Credit Assessment, Affirmed caa1 Short-term Counterparty Risk Assessment, Affirmed NP(cr) Short-term Counterparty Risk Ratings, Affirmed NP Short-term Bank Deposit Ratings, Affirmed NP Outlook Action: Outlook, Changed To Stable From Positive and will be withdrawn PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Banks Methodology published in July 2021. =============== P O R T U G A L =============== ENERGIA DE PORTUGAL: Fitch Rates New Green Hybrid Notes 'BB+(EXP)' ------------------------------------------------------------------ Fitch Ratings has assigned EDP - Energias de Portugal, S.A.'s (EDP, BBB/Stable) proposed deeply subordinated hybrid securities an expected rating of 'BB+(EXP)'. The proposed securities qualify for 50% equity credit. The assignment of the final rating is contingent on the receipt of final documents conforming materially to the preliminary documentation. The hybrid notes are deeply subordinated and rank senior only to EDP's ordinary share capital, while coupon payments can be deferred at the option of the issuer. These features are reflected in the 'BB+(EXP)' rating, which is two notches lower than EDP's senior unsecured rating. The 50% equity credit reflects the hybrid's cumulative interest coupon, a feature that is more debt-like in nature. The proposed debt issue will increase the layer of hybrids in EDP's capital structure and help to increase the company's financial flexibility. The hybrid bonds are being issued to finance or refinance green projects (wind and solar). The hybrid rating and assignment of equity credit are based on Fitch's hybrid methodology, "Corporate Hybrids Treatment and Notching Criteria". KEY RATING DRIVERS THE NOTES Rating Reflects Deep Subordination: The proposed notes are rated two notches below EDP's Long-Term Issuer Default Rating (IDR) given their deep subordination and, consequently, their lower recovery prospects relative to the issuer's senior obligations in a liquidation or bankruptcy, and the interest-deferral option. The notes rank senior only to the claims of ordinary shareholders. Equity Treatment: The proposed securities qualify for 50% equity credit as they meet Fitch's criteria for deep subordination, such as remaining effective maturity of at least five years, full discretion to defer coupons for at least five years and limited events of default. These are key equity-like characteristics, affording EDP greater financial flexibility. Cumulative Coupon Limits Equity Treatment: The coupon deferrals are cumulative, which result in 50% equity treatment and 50% debt treatment by Fitch of the hybrid notes. Despite the 50% equity treatment, Fitch treats coupon payments as 100% interest. EDP will be obliged to make a mandatory settlement of deferred interest payments under certain circumstances, including the declaration of a cash dividend. This is a feature similar to debt-like securities and reduces the company's financial flexibility. Under Fitch's criteria, the equity credit of 50% would be reduced to 0% five years before the effective remaining maturity date. Effective Maturity Date: The proposed notes' maturity is 60.5 years. However, Fitch treats the day on which each series' respective replacement intention language expires as the respective effective maturity date. Under the instrument's terms, those dates coincide with the second step-up date for each tranche, which is no earlier than 2047 for the NC 5.5 notes (2042 if EDP is rated below investment grade) and no earlier than 2049 for the NC8 notes (2044 if EDP is rated below investment grade). From these dates, the coupon step-ups are within Fitch's aggregate threshold rate of 100bp, but EDP will no longer be subject to replacement intention language, which discloses the company's intent to redeem the instruments at their call dates with the proceeds of a similar instrument or with equity. Change-of-Control not Default Event: The change of control, if followed by an event-driven downgrade, is designed to trigger an interest-rate increase of 500bp to compensate creditors. However, the issuer would have the right to redeem the notes in this instance. Fitch believes that the change-of-control provision cannot force an event of default as redemption is designed as an option for the issuer and not a right of the creditor, while the 500bp increase is within the limit before annulling the equity content of the instrument, according to Fitch's methodology. EDP Forecast Leverage Consistent with 'BBB': Under its strategic plan to 2025, EDP is planning additional deleveraging with net debt/EBITDA targets (net of regulatory receivables plus leases) at 3.3x and 3.2x for 2023 and 2025, respectively (3.5x at end-2020). However, no additional deleverage is foreseen in Fitch's rating case - considering Fitch's more conservative operating assumptions on prices, volumes and competitive pressure - leading to a sustained annual funds from operations (FFO) net leverage of 4.3x-4.5x for 2021-2025, which is consistent with the 'BBB' rating. Credit-Protection Measures: High capex in 2021-2025 is accompanied by credit-protection measures being implemented in the same period, ie an EUR1.5 billion capital increase in EDPR; an EUR8 billion asset-rotation plan and about EUR2.5 billion of portfolio optimisation and other flexible funding sources (including at least EUR1.5 billion hybrids issuance). This positive impact should be seen in conjunction with increased minority interest leakage in the group structure, which Fitch deducts from FFO. Additional Financial Flexibility: Fitch believes that EDP has additional financial flexibility in case of business underperformance in the form of slower capex growth, largely from capex not yet secured by purchasing power agreements (PPAs) or price-support mechanisms in 2024-2025, or additional hybrid debt issuance. Fitch expects the company to maximise the use of hybrids as a source of financial flexibility. Improved Business Risk Profile: EDP's share of regulated earnings will increase to 30% from 25% as a result of the Viesgo acquisition (around EUR180 million of regulated EBITDA in 2021), but the company's profile is still less regulated than most European peers'. In addition, its ambitious growth plan in renewables will increase the contribution from regulated plus quasi-regulated activities to 80% of EBITDA (85% including asset-rotation gains) by 2025 from 65% (75%) in 2020, according to Fitch's estimates, strengthening EDP's business profile. Full-Energy Transition Growth Plan: EDP has an ambitious growth plan to 2025 of EUR24 billion (average capex of EUR4.8 billion compared with EUR2.9 billion in 2019-2022), with about 20GW of gross renewables capacity additions (including equity investments). At end-June 2021, EDP has added 2.1GW of renewable capacity y-o-y with an additional 2.9GW under construction. Visibility on the capex plan comes from around 60% of it being secured (or expected to be secured in the short term) by PPAs or regulated tariff schemes (i.e. CfD, FiT). The remaining 40% is backed by a total renewables pipeline of around 45GW at end-2020. Delay to project authorisation is a key risk. Ongoing Asset Rotation: EDP has announced asset rotations of around EUR8 billion (and associated capital gains for EUR1.5 billion) for 2021-2025, up from a EUR4 billion target for 2019-2022. This is related to the sale of stakes in wind and solar farms for around 7.2GW for 2021-2025, the full execution of which entails risks. As of end-June 2021, signed deals in US and Portugal account for EUR1.9 billion of secured proceeds (EUR0.5 billion fully closed), which is about 25% of the total target. Weak 1H21 Energy Management: EDP's recurring EBITDA (as reported by EDP) declined 6% y-o-y due largely to the weak performance of the energy management segment (hit by a sharp increase in energy prices and negative mark-to-market on gas hedging contracts), and by negative foreign-exchange (FX) impact, low wind load factors and extreme weather in the US. This was largely compensated by good performance in networks in Brazil and in Spain (Viesgo's integration). Despite a weaker 1H21, EDP has reiterated its 2021 EBITDA guidance of EUR3.7 billion (including IFRS16) due to expected stronger results in networks and larger asset-rotation gains. DERIVATION SUMMARY EDP is a vertically integrated utility and the incumbent in Portugal. EDP, along with Iberdrola S.A. (BBB+/Stable) and Enel S.p.A. (A-/Stable), anticipated the energy transition ahead of most other European utilities, although it has a smaller scale and its business risk profile is not fully comparable due to a lower share of fully regulated businesses. EDP benefits from a higher share of long-term contracted and incentivised renewables business, which resulted in an overall regulated plus long-term contracted share (excluding asset-rotation capital gains) of 65% at end-2020. EDP's higher leverage and business risk justify the two-notch rating differential with Enel, whereas with Iberdrola, the one-notch difference reflects the latter's stronger risk profile due to its larger scale, diversification and share of regulated revenues. Fitch views Naturgy Energy Group, S.A.'s (BBB/Stable) business risk profile as similar to EDP's, due to Naturgy's larger share in regulated business (networks) being offset by a bias towards more volatile gas activities, subdued growth and a shareholder-friendly strategy. Fitch does not apply the one-notch uplift to EDP's senior unsecured rating as the company's fully regulated EBITDA share is below 50% (or below 40% regulated plus 10% of contribution from renewables). KEY ASSUMPTIONS -- EBITDA of about EUR3.5 billion in 2021 (excluding IFRS16) and CAGR of about 5% for 2021-2025, due to organic growth (largely in renewables and networks in Brazil) and acquisition of Viesgo with an EBITDA contribution of about EUR240 million (without synergies) from 2021; -- Average gross capex of EUR4.8 billion (including financial investments) for 2021-2025; -- Asset-rotation plan for a cumulative EUR8 billion during 2021 2025; -- Above EUR1.5 billion of hybrid debt to be issued in 2021-2023; -- Disposals of around EUR1 billion until 2025; -- Dividends in line with a dividend floor of EUR0.19 a share; -- Brazilian real and US dollar to depreciate against the euro to 2025. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Improvement of the business mix towards a higher weight in regulated activities; -- FFO net leverage below 4.0x and FFO interest coverage above 4.6x on a sustained basis, assuming no major changes in activity mix other than that expected by Fitch; -- Sustained free cash flow (FCF) after divestments, together with a consistent narrowing of the tariff deficit in Portugal, in line with Fitch's expectations. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- FFO net leverage above 4.7x (relaxed from 4.5x previously) and FFO interest coverage below 4.1x for a sustained period, for example as a result of delays in asset rotation or greater regulatory or political scrutiny; -- Evolution of the business mix towards higher-risk activities or countries could weaken EDP's debt capacity. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Non-Financial Corporate issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. LIQUIDITY AND DEBT STRUCTURE Strong liquidity: EDP had EUR1.5 billion of readily available cash and EUR5.9 billion of available committed credit lines at end-June 2021 (of which EUR5.5 billion were due after 2023). The available liquidity, plus the tariff-deficit sale of EUR0.5 billion closed in July, is sufficient to cover EUR4.4 billion of debt maturities and about projected EUR3 billion negative FCF (including asset rotations) till end-2023. Standard Funding Structure: EDP has a largely centralised debt structure, with no impact on its ratings. Capital-market debt issued by EDP is mostly via Dutch-registered finance subsidiary EDP Finance B.V. (BBB/Stable). The relationship between EDP and EDP Finance is governed by a keep-well agreement under English law. EDP Brasil, which is 55% owned by EDP and fully consolidated, is ring-fenced, self-funded in local currency and non-recourse to EDP. As of June 2021, about 81% of subsidiary EDP Renovaveis' gross debt was funded by EDP. ISSUER PROFILE EDP is the leading integrated utility in Portugal and a strong competitor globally in renewables, especially in wind energy, through its 74.9% owned subsidiary EDP Renovaveis (EDPR; 45% of 2020 EBITDA). It has an installed wind & solar capacity and of around 12GW with earnings secured through contracted PPA and regulated tariff schemes. EDP is also involved in electricity generation, distribution and supply in Iberia and Brazil. EDP's total installed capacity was 24GW in June 2021 and it reached around nine million of clients with its supply activity. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. ENERGIAS DE PORTUGAL: Moody's Rates Green Hybrid Notes 'Ba2' ------------------------------------------------------------ Moody's Investors Service has assigned Ba2 long-term ratings to the Fixed to Reset Rate Subordinated Notes (the junior subordinated "Hybrids") to be issued in two tranches by EDP - Energias de Portugal, S.A. ("EDP", Baa3 positive). The net proceeds from the issuance are intended to be used towards EDP's Eligible Green Projects portfolio. The size and completion of the Hybrids are subject to market conditions. The outlook is positive. RATINGS RATIONALE The Ba2 rating assigned to the Hybrids is two notches below EDP's long-term issuer rating of Baa3, reflecting the features of the Hybrids. Their maturity is in excess of 60 years, they are deeply subordinated and EDP can opt to defer coupons on a cumulative basis. The rating is in line with that of the existing hybrid notes issued by the company. In Moody's view, the Hybrids have equity-like features which allow them to receive basket 'C' treatment (i.e. 50% equity and 50% debt) for financial leverage purposes. Please refer to Moody's Cross-Sector Rating Methodology "Hybrid Equity Credit" (September 2018) for further details. As the Hybrids' ratings are positioned relative to another rating of EDP, a change in either (1) Moody's relative notching practice or (2) the long-term issuer rating of EDP could affect the Hybrids' ratings. EDP's Baa3 rating continues to be supported by (1) the company's diversified business and geographical mix, including a strong footprint in North America; (2) stable earnings stemming from contracted generation and regulated networks, which account for over 75% of group EBITDA; (3) the low carbon intensity of its power generation fleet and the strategy to exit coal-fired power generation by 2025, which positions it well in the context of the energy transition; and (4) the group's track record of rotating assets to alleviate financing needs. These factors are balanced against (1) the residual exposure to volatile power prices of EDP's merchant generation and supply activities; (2) the earnings volatility stemming from variations in hydro output in Iberia and wind resource globally; (3) the execution risks associated with a significant investment programme; (4) the remaining exposure to Portugal and the challenging macro-economic environment in Brazil; (5) EDP's relatively high dividend payout, which constrains financial flexibility; and (6) the minority holdings in the group, which add to complexity. RATIONALE FOR POSITIVE OUTLOOK The positive outlook reflects Moody's expectation that credit metrics could strengthen further as the company executes its strategy. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The ratings could be upgraded if EDP's progress on the delivery of its strategy were to result in a sustained strengthening of its financial profile, with funds from operations (FFO) to net debt in the high teens and retained cash flow (RCF) to net debt trending towards the low teens (both in percentage terms). Conversely, the outlook could be stabilised if credit metrics appear likely to remain persistently below the guidance for the higher rating. Given the positive outlook, downward pressure on the ratings is unlikely. Nevertheless, the ratings could be downgraded if EDP's credit metrics fell below the guidance for the Baa3 rating, which includes FFO/net debt in the mid-teens and RCF/net debt in the low double digits (both in percentage terms). PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Unregulated Utilities and Unregulated Power Companies published in May 2017. COMPANY PROFILE EDP - Energias de Portugal, S.A., headquartered in Lisbon, Portugal, is a vertically integrated utility company. It generated EUR3.95 billion of EBITDA in 2020. ENERGIAS DE PORTUGAL: S&P Rates New Green Hybrid Instruments 'BB+' ------------------------------------------------------------------ S&P Global Ratings assigned its 'BB+' issue rating to the proposed long-term dated, optionally deferrable, and subordinated hybrid capital securities to be issued by EDP - Energias de Portugal S.A. (BBB/Stable/A-2). The hybrid amount remains subject to market conditions. S&P said, "We expect EDP's issuance to be a dual tranche offering, and anticipate that hybrids outstanding receiving equity credit will increase from the current EUR2.5 billion but represent less than 15% of EDP's total capitalization. The group intends to maintain its hybrids outstanding at least at this revised level. EDP will use the proceeds to finance or refinance, in whole or in part, its Eligible Green Project portfolio, in particular its renewable wind and solar projects. The bond's green features do not affect our credit assessment of the instruments." EDP's green bond issuances as of Sept. 5, 2021, totalled EUR5.1 billion, including: -- October 2018: EUR600 million, 1.875% seven-year green bond (first green issuance) -- January 2019: EUR1.0 billion 4.496% NC5.25 green hybrid (first green hybrid) -- September 2019: EUR600 million, 0.375% seven-year green bond -- January 2020: EUR750 million, 1.7% NC5.5 green hybrid -- April 2020: EUR750 million, 1.625% seven-year green bond -- Sep.2020: $850 million, 1.71% long seven-year green bond (the first U.S.-dollar-denominated green issuance) -- January 2021: EUR750 million, 1.875% NC5.5 green hybrid -- September 2021: The proposed green hybrid issuance S&P said, "The proposed securities will have intermediate equity content until each first reset date, which we understand will fall no sooner than five years and three months from issuance (meaning the first call date is no sooner than five years). During this period, the securities meet our criteria in terms of ability to absorb losses or conserve cash if needed." S&P derives its 'BB+' issue rating on the proposed securities by applying two downward notches from its 'BBB' issuer credit rating on EDP. These notches comprise: -- A one-notch deduction for subordination because the rating on EDP is at 'BBB' or above; and -- A one-notch deduction to reflect payment flexibility--the deferral of interest is optional. S&P said, "The number of downward notches applied to the issue rating reflects our view that the issuer is unlikely to defer interest. Should our view change, we could increase the number of downward notches. "In addition, to reflect our view of the proposed securities' intermediate equity content, we allocate 50% of the related payments on these securities as a fixed charge, and 50% as equivalent to a common dividend, in line with our hybrid capital criteria. The 50% treatment of principal and accrued interest also applies to our adjustment of debt. EDP can redeem the securities for cash on any date in the three months before each reset date, then on every interest payment date. Although the proposed securities are long dated, EDP can call them at any time for events that are external or remote (change in tax, gross-up, rating, change of control, or a substantial repurchase event). In our view, the statement of intent, combined with EDP's commitment to reduce leverage, mitigates the group's ability to repurchase the notes on the open market. In addition, EDP has the ability to call the instrument any time prior to the first call date at a make-whole premium ("make-whole call"). It has stated its intention not to redeem the instrument during this make-whole period, and we do not think this type of clause makes it any more likely that EDP will do so. Accordingly, we do not view it as a call feature in our hybrid analysis, although it is referred to as a make-whole call clause in the hybrid documentation. "We understand that the interest to be paid on the proposed securities will increase by 25 basis points (bps) five years after each first reset date, and by a further 75 bps at the second step-up date 20 years after the first reset date assuming the rating remains above 'BBB-'. We view any step-up above 25 bps as presenting an economic incentive to redeem the instrument, and therefore treat the date of the second step-up as the instrument's effective maturity. For issuers in the 'BBB' category, we view a remaining life of 20 years as sufficient to support credit quality and achieve intermediate equity content. The instrument's documentation specifies that if we were to downgrade EDP to speculative-grade--that is, 'BB+' or below--the economic maturity of the hybrid securities would diminish by five years, while the instrument's permanence would be unaffected. "At each first reset date, the instrument will have less than 20 years (less than 15 years if EDP is speculative-grade) to effective maturity. Therefore, we will no longer view equity content as intermediate. We consider that the loss of equity content could be an incentive to redeem. However, this should not prevent us from assessing the instrument as intermediate until the first reset date, since EDP has stated its willingness to maintain or replace the securities, despite the loss of the preferential treatment, in a statement of intent." KEY FACTORS IN S&P's ASSESSMENT OF THE INSTRUMENTS' DEFERABILITY S&P said, "In our view, the issuer's option to defer payment on the proposed securities is discretionary. This means it may elect not to pay accrued interest on an interest payment date because doing so is not an event of default. However, EDP will have to settle any deferred interest payment outstanding in cash if it declares or pays an equity dividend or interest on equally ranking securities and if it redeems or repurchases shares or equally ranking securities. We see this as a negative factor. That said, this condition remains acceptable under our methodology because once the issuer has settled the deferred amount, it can still choose to defer on the next interest payment date." KEY FACTORS IN S&P's ASSESSMENT OF THE INSTRUMENTS' SUBORDINATION The proposed securities (and coupons) constitute direct, unsecured, and subordinated obligations of EDP, ranking senior to their common shares. =========== R U S S I A =========== RUSSIAN STANDARD BANK: S&P Upgrades ICR to 'B', Outlook Stable -------------------------------------------------------------- S&P Global Ratings raised its long-term issuer credit rating on Russian Standard Bank JSC to 'B' from 'B-'. The outlook is stable. At the same time, S&P affirmed its 'B' short-term issuer credit rating on the bank. S&P expects that the bank's capitalization will continue to strengthen, thanks to increasing profitability, limited asset growth, and conservative capital policy. S&P said, "In 2020 and first-half 2021, Russian Standard Bank materially improved its capital position with our RAC ratio improving to 6.0% as of June 30, 2021, from 1.4% at the beginning of 2020. The observed dynamics primarily reflect the increase of the bank's common shareholders' equity by 46%, from capitalization of net income and a decline of total assets due to the reduction of the bank's loan and securities' portfolio. We note that, last year, the bank outperformed our expectations, demonstrating resilient profitability, with the return on average equity close to 20.5%. At the same time, the bank materially restricted origination of new consumer finance loans in 2020 in response to the pandemic, leading to a decline of its retail portfolio by 13%. "We forecast that the bank's RAC ratio will increase closer to 8.0% by year-end 2022. Although we assume that the bank's retail lending will accelerate to 12% this year and 18% next year, the gradual maturity of related-party loans and the Eurobond portfolio will constrain annual growth of RWAs at 5.0%-7.0% for 2021-2022. We expect the bank's profitability will remain sound, supported by stable net interest margins and controlled cost of risk (COR). We also assume the bank will continue to retain earnings, especially in light of the expected increase of regulatory risk weights for consumer finance loans, which would likely require it to keep more capital to support growth." The bank's key asset-quality indicators will likely stay relatively stable despite accelerating growth. The impact of the COVID-19 pandemic on the bank's asset quality was modest, with the COR declining to 3.5% in 2020, versus 6.0%-8.0% for consumer finance peers in Russia. S&P said, "We note that the bank demonstrates relatively stable credit losses on new loans in 2021, and sustainably high efficiency of collections. Although we expect a gradual increase of the COR in the second half of 2021, after an unusually low 0.36% in the first half of the year, we believe the bank's adequate customer-selection process and underwriting standards will keep its credit losses in line with those of other domestic consumer finance banks." The potential repayment of related-party loans may also lead to a release of provisions and support profitability. The bank will likely continue to clean up its balance sheet regarding related-party exposures. In the first half of 2021, Russian Standard Bank reduced its investments in associates by selling part of its stake in Roust Corp. (5.4%) of its 33% shareholding. Last year, the bank also decreased its investments in the parent company by around Russian ruble (RUB) 3.8 billion (about $52 million) to RUB2.4 billion. It continued to reduce its lending to related parties, with net loans declining to 0.19x of capital as of midyear 2021. Nevertheless, together with the remaining investments in Roust Corp. and Gancia, the total related-party exposure still represents around 0.67x of the bank's total equity, creating additional risks for creditors. S&P cannot exclude that the bank could further reduce its exposure to related parties in the coming 12 months. S&P said, "The stable outlook reflects our view that over the next 12-18 months Russian Standard Bank will likely preserve its adequate capital buffer, thanks to improving profitability and modest asset growth. We also expect that the bank will maintain a relatively high buffer of liquid assets and stable asset quality, with credit losses and delinquency rates staying at least on par with those of other retail banks in Russia over that period." Downside scenario S&P said, "We could take a negative rating action if accelerated consumer finance lending growth leads to higher credit losses than we currently expect, putting pressure on the bank's profitability and capital position. An unexpected increase in exposure to related parties, or aggressive asset growth with our forecast RAC ratio falling below 5.0%, could also lead to a negative rating action." Upside scenario S&P said, "We could consider a positive rating action if Russian Standard Bank improved its capital profile, with our RAC ratio sustainably above 10%. This could happen if the bank sells or materially reduces investments in related parties, and continues to build its capital buffer through earnings. A material improvement in Russia's macroeconomic conditions could also lead to a positive rating action." =========== S E R B I A =========== MAJDANPEK: Auction of Assets Scheduled for October 5 ---------------------------------------------------- Radomir Ralev at SeeNews reports that Serbia's Bankruptcy Supervision Agency said it is offering for sale the assets of insolvent gold refiner Majdanpek at an auction on Oct. 5. According to SeeNews, the Bankruptcy Supervision Agency said in a notice on Sept. 7, the starting price is set at RSD129.8 million (US$1.3 million/EUR1.1 million). A deposit of RSD51.9 million which should be paid by Sept. 28 is required in order to participate in the auction, SeeNews discloses. The list of assets put up for sale includes foundries, jewelry production facilities, a chemistry and metallurgy workshop, a warehouse and office premises, SeeNews states. ========= S P A I N ========= SABADELL CONSUMO I: DBRS Confirms B(high) Rating on Class D Notes ----------------------------------------------------------------- DBRS Ratings GmbH confirmed its ratings on the notes issued by Sabadell Consumo 1 Fondo de Titulizacion (the Issuer) as follows: -- Class A Notes confirmed at AA (low) (sf) -- Class B Notes confirmed at A (sf) -- Class C Notes confirmed at BBB (sf) -- Class D Notes confirmed at B (high) (sf) The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in March 2031. The ratings on the Class B, Class C, and Class D Notes address the ultimate payment of interest and principal on or before the legal final maturity date. The confirmations follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the June 2021 payment date; -- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; -- Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels; and -- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic. The transaction is a static securitization of Spanish consumer loan receivables originated and serviced by Banco Sabadell, S.A., which closed in September 2019 with an original portfolio balance of EUR 1,000.0 million. PORTFOLIO PERFORMANCE As of the June 2021 payment date, loans that were 30 to 60 days delinquent and 60 to 90 days delinquent represented 0.5% and 0.4% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent amounted to 0.7%. Gross cumulative defaults amounted to 2.4% of the aggregate original and subsequent portfolio balance, 6.7% of which has been recovered to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and has maintained its base case PD and LGD assumptions at 7.1% and 71.0%, respectively. CREDIT ENHANCEMENT The subordination of the respective junior obligations provides credit enhancement to the rated notes. As of the June 2021 payment date, credit enhancement to the Class A Notes was 12.5%; credit enhancement to the Class B Notes was 9.0%; credit enhancement to the Class C Notes was 5.5%; and credit enhancement to the Class D Notes was 3.0%. The credit enhancement levels have remained unchanged since the DBRS Morningstar initial ratings because of the pro rata amortization of the rated notes. The transaction benefits from an amortizing cash reserve, available to cover senior expenses, interest payments on the Class A Notes and, unless deferred, interest payments on the Class B Notes. The reserve has a target balance equal to 0.55% of the outstanding Class A and Class B Notes balance, subject to a floor of EUR 1.25 million. As of the June 2021 payment date, the reserve was at its target balance of EUR 2.30 million. Société Générale, S.A., Sucursal en España (SocGen) acts as the account bank for the transaction. Based on DBRS Morningstar's private rating on SocGen, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the rated notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. Deutsche Bank AG, London Branch (DB London) acts as the interest cap provider for the transaction. DBRS Morningstar's private rating on DB London is consistent with the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology. DBRS Morningstar analyzed the transaction structure in Intex DealMaker. The coronavirus and the resulting isolation measures have caused an economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and, where appropriate, adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand high levels of payment holidays in the portfolio. As of July 2021, only 0.04% of the pool benefitted from payment holidays. Notes: All figures are in euros unless otherwise noted. SANTANDER CONSUMER 2020-1: DBRS Confirms B(low) Rating on E Notes ----------------------------------------------------------------- DBRS Ratings GmbH confirmed its ratings on the notes issued by Santander Consumer Spain Auto 2019-1 FT (SCSA 2019-1) and Santander Consumer Spain Auto 2020-1, FT (SCSA 2020-1) as follows: SCSA 2019-1: -- Class A Notes at AA (high) (sf) -- Class B Notes at AA (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) SCSA 2020-1: -- Series A Notes at AA (sf) -- Series B Notes at A (sf) -- Series C Notes at BBB (high) (sf) -- Series D Notes at BB (sf) -- Series E Notes at B (low) (sf) The ratings on the respective Class A Notes and Series A Notes address the timely payment of interest and the ultimate repayment of principal on or before the respective legal final maturity dates in December 2035 for SCSA 2019-1 and March 2033 for SCSA 2020-1. The ratings on the remaining rated notes address the ultimate payment of interest and repayment of principal on or before the respective legal final maturity dates. The confirmations follow an annual review of the transactions and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses as of the June 2021 payment dates; -- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; -- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels; -- No revolving period termination events have occurred for SCSA 2019-1; and -- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic. The transactions are securitizations of Spanish auto loan receivables originated and serviced by Santander Consumer E.F.C. (SC EFC). The original portfolios of EUR 550.0 million and EUR 520.0 million for SCSA 2019-1 and SCSA 2020-1, respectively, consisted of loans granted primarily to private individuals (96.6% and 97.2% of the portfolio balance, respectively), for the purchase of both new and used vehicles. SCSA 2019-1 closed in October 2019 and includes a 26-month revolving period scheduled to end in December 2021, period during which concentration limits are in place to mitigate any negative evolution of the portfolio, and performance triggers are included in the revolving period termination events. To date, all triggers have been met. SCSA 2020-1 is a static securitization which closed in September 2020. PORTFOLIO PERFORMANCE SCSA 2019-1: As of the June 2021 payment date, loans that were 0 to 30 days, 30 to 60 days, and 60 to 90 days delinquent represented 0.9%, 0.5%, and 0.2% of the outstanding portfolio balance, respectively. Gross cumulative defaults, defined as loans more than 90 days in arrears, amounted to 1.8% of the aggregate initial and subsequent portfolios original balance, 42.8% of which has been recovered to date. SCSA 2020-1: As of the June 2021 payment date, loans that were 0 to 30 days, 30 to 60 days, and 60 to 90 days delinquent represented 1.0%, 0.2%, and 0.2% of the outstanding portfolio balance, respectively. Gross cumulative defaults, defined as loans more than 90 days in arrears, amounted to 0.4% of the initial portfolio original balance, 48.0% of which has been recovered to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS For SCSA 2019-1, DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions to 5.6% and 48.7%, respectively. For SCSA 2020-1, DBRS Morningstar has updated its base case PD and LGD assumptions to 5.2% and 47.4%, respectively. CREDIT ENHANCEMENT SCSA 2019-1: The subordination of the respective junior obligations provides credit enhancement to the rated notes. As of the June 2021 payment date, credit enhancement to the Class A Notes remained at 20.0%; credit enhancement to the Class B Notes remained at 9.5%; credit enhancement to the Class C Notes remained at 4.5%; and credit enhancement to the Class D Notes remained at 2.6%. The credit enhancement levels have remained unchanged since the DBRS Morningstar initial rating as the transaction is still in the revolving period. The transaction benefits from liquidity support provided by a nonamortizing cash reserve, available to cover senior expenses, swap payments, and interest payments on the collateralized notes . The reserve has a target balance equal to 1.0% of the initial outstanding balance of the Series A to E Notes and, as of the June 2021 payment date, stood at its target balance of EUR 5.46 million. SCSA 2020-1: The subordination of the respective junior obligations provides credit enhancement to the rated notes. As of the June 2021 payment date, credit enhancement to the Series A Notes remained at 13.5%; credit enhancement to the Series B Notes remained at 8.8%; credit enhancement to the Series C Notes remained at 5.2%; credit enhancement to the Series D Notes remained at 1.9%; and credit enhancement to the Series E Notes remained at 0.0%. The credit enhancement levels have remained unchanged since the DBRS Morningstar initial rating as the rated notes have been repaying principal on a pro rata basis since closing, in accordance with the transactions priority of payments. The transaction benefits from liquidity support provided by an amortizing cash reserve, available to cover senior expenses and interest payments on the rated notes. The reserve has a target balance equal to 1.0% of the outstanding balance of the Series A to E Notes, subject to a floor of EUR 2.6 million. As of the June 2021 payment date, the reserve was at its target balance of EUR 4.61 million. Santander Consumer Finance, S.A. (SCF) acts as the account bank for the transactions. Based on DBRS Morningstar's private rating of SCF, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structures, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. Banco Santander SA (Santander) acts as the hedging counterparty in both transactions. DBRS Morningstar's public Long-Term Critical Obligations Rating of Santander at AA (low) is consistent with the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology. The rating on the Series E notes of SCSA 2020-1 materially deviates from the higher rating implied by the cash flow analysis. DBRS Morningstar considers a material deviation to be a rating difference of three or more notches between the assigned rating and the rating implied after application of the relevant methodologies; in this case, the rating is deemed to be highly sensitive to the sequential redemption trigger in the transaction and the timing of such trigger breach, which is dependent on future transaction performance. DBRS Morningstar analyzed the transaction structures in Intex DealMaker. The coronavirus and the resulting isolation measures have caused an economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and, where appropriate, adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For these transactions, DBRS Morningstar conducted additional sensitivity analysis to determine that the transactions benefit from sufficient liquidity support to withstand high levels of payment holidays in the portfolios. As of June 2021, 5.8% of the SCSA 2019-1 pool benefitted from payment holidays, while none of the SCSA 2020-1 portfolio was benefitting from payment holidays. Notes: All figures are in euros unless otherwise noted. SANTANDER CONSUMER 2021-1: DBRS Gives Prov. BB Rating on E Notes ---------------------------------------------------------------- DBRS Ratings GmbH assigned the following provisional ratings to the series of notes to be issued by Santander Consumer Spain Auto 2021-1 FT (the Issuer): -- Series A Notes at AA (low) (sf) -- Series B Notes at A (sf) -- Series C Notes at BBB (sf) -- Series D Notes at BBB (low) (sf) -- Series E Notes at BB (sf) The rating on the Series A Notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in June 2035. The ratings on the Series B Notes, Series C Notes, Series D Notes, and Series E Notes address the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date. The transaction represents the issuance of Series A Notes, Series B Notes, Series C Notes, Series D Notes, and Series E Notes (the Rated Notes) backed by a portfolio of approximately EUR 575 million of fixed-rate receivables related to auto loans granted by Santander Consumer Finance (SCF; the originator) to private individuals and corporates residing in Spain for the acquisition of new or used vehicles. The originator will also service the portfolio. The Series F Notes will be issued to fund the cash reserve. DBRS Morningstar based its ratings on a review of the following analytical considerations: -- The transaction's capital structure, including form and sufficiency of available credit enhancement. -- Credit enhancement levels that are sufficient to support DBRS Morningstar's projected expected net losses under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the Rated Notes. -- SCF's financial strength and its capabilities with respect to originations, underwriting, and servicing. -- The other parties' capabilities and financial strength with regard to their respective roles. -- DBRS Morningstar's operational risk review of SCF, which DBRS Morningstar deems to be an acceptable originator and servicer. -- The credit quality, diversification of the collateral, and historical and projected performance of the portfolio. -- DBRS Morningstar's current sovereign rating of the Kingdom of Spain at "A" with a Stable trend. -- The consistency of the transaction's legal structure with DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions that address the true sale of the assets to the Issuer. The transaction allocates payments on a combined interest and principal priority of payments basis and benefits from an amortizing EUR 5.8 million cash reserve (corresponding to 1.0% of the Rated Notes) funded through the subscription proceeds of the Series F Notes. The cash reserve covers senior costs and interest on the Rated Notes. The cash reserve is part of the available funds. The transaction benefits from a 15-months revolving period. The repayment of the notes will start on the first amortization payment date in March 2023 on a pro rata basis unless certain events such as breach of performance triggers, insolvency of the servicer, or termination of the servicer occur. Under these circumstances, the principal repayment of the notes will become fully sequential, and the switch is not reversible. Interest and principal payments on the notes will be made quarterly on the 22nd of March, June, September, and December. The Series A Notes, Series B Notes, and Series C Notes pay interest indexed to three-month Euribor and the Series D Notes, Series E Notes and Series F Notes pay fixed interest rate, whereas the total portfolio pays a fixed interest rate. The interest rate risk arising from the mismatch between the Issuer's liabilities and the portfolio is hedged through a cap collateral agreement with an eligible counterparty. At inception, the weighted-average portfolio yield is about 6.2%, well exceeding the senior cost and interest payable by the Issuer; hence, the transaction benefits from a considerable excess of interest collections that the Issuer can apply to offset losses occurring in the current and previous periods. However, excess that is not used in a period will be released toward junior payments in the waterfall. SCF acts as the account bank for the transaction. Based on DBRS Morningstar's private rating on SCF, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to SCF to be consistent with the rating assigned to the Rated Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. SCF acts in several roles critical for the transaction, including originator, servicer, and account bank, and the interruption of critical services might affect the Issuer's capacity to timely fulfil its obligations. DBRS Morningstar believes that SCF's experience and financial strength, coupled with certain downgrade provisions envisaged for some critical roles, mitigate the risk of serious disruption, but addressed the risk in its analysis and factored in additional stresses commensurate with the residual risk. DBRS Morningstar analyzed the transaction structure in Intex DealMaker, considering the default rates at which the Rated Notes did not return all specified cash flows. The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to arise in the coming months for many asset-backed security (ABS) transactions, some meaningfully. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar assumed a moderate decline in the expected recovery rate. Notes: All figures are in euros unless otherwise noted. =========================== U N I T E D K I N G D O M =========================== CANADA SQUARE 2019-1: Moody's Ups GBP12.17MM X Notes Rating to Ba3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of six notes in Canada Square Funding 2019-1 PLC ("Canada Square Funding 2019-1") and London Wall Mortgage Capital plc: Fleet 2018-01 ("Fleet 2018-01"). The rating action reflects better than expected collateral performance and the increased levels of credit enhancement for the affected notes. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain their current ratings. Issuer: Canada Square Funding 2019-1 PLC GBP348.96M Class A Notes, Affirmed Aaa (sf); previously on Oct 31, 2019 Definitive Rating Assigned Aaa (sf) GBP20.29M Class B Notes, Affirmed Aa3 (sf); previously on Oct 31, 2019 Definitive Rating Assigned Aa3 (sf) GBP16.23M Class C Notes, Upgraded to Aa3 (sf); previously on Oct 31, 2019 Definitive Rating Assigned A1 (sf) GBP10.14M Class D Notes, Upgraded to A1 (sf); previously on Oct 31, 2019 Definitive Rating Assigned A2 (sf) GBP6.09M Class E Notes, Upgraded to Baa2 (sf); previously on Oct 31, 2019 Definitive Rating Assigned Baa3 (sf) GBP4.06M Class F Notes, Upgraded to Ba3 (sf); previously on Oct 31, 2019 Definitive Rating Assigned B1 (sf) GBP12.17M Class X Notes, Upgraded to Ba3 (sf); previously on Oct 31, 2019 Definitive Rating Assigned B3 (sf) Issuer: London Wall Mortgage Capital plc: Fleet 2018-01 GBP265.03M Class A Notes, Affirmed Aaa (sf); previously on Jan 22, 2021 Affirmed Aaa (sf) GBP19.44M Class B Notes, Affirmed Aaa (sf); previously on Jan 22, 2021 Affirmed Aaa (sf) GBP21.06M Class C Notes, Affirmed Aaa (sf); previously on Jan 22, 2021 Upgraded to Aaa (sf) GBP8.75M Class D Notes, Upgraded to Aaa (sf); previously on Jan 22, 2021 Upgraded to Aa1 (sf) Both transactions are static cash securitisations of buy-to-let (BTL) mortgage loans extended to borrowers in the UK. The loans in the pool were originated by Fleet Mortgages Limited (Fleet, NR). RATINGS RATIONALE The rating action is prompted by the decreased key collateral assumptions, namely the portfolio Expected Loss (EL) assumption in both transactions and the MILAN CE assumption in Fleet 2018-01 due to better than expected collateral performance, as well as an increase in credit enhancement for the affected tranches. Key Collateral Assumptions As part of the rating action, Moody's reassessed its lifetime loss expectation for the portfolio reflecting the collateral performance to date. The performance of both transactions has been better than expected. 90 days plus arrears as a percentage of current balance in Canada Square Funding 2019-1 and Fleet 2018-01 are currently standing at 0.3% and 0%, respectively, with the pool factor at 73% and 37%. Both loan portfolios have incurred no losses since closing. Moody's assumed the expected loss of 1.25% as a percentage of current pool balance for both transactions, due to better than expected collateral performance. This corresponds to an expected loss assumption as a percentage of the original pool balance of 0.9% for Canada Square Funding 2019-1 and 0.5% for Fleet 2018-01, down from the previous assumption of 2.0% and 1.5%, respectively. Moody's has also assessed loan-by-loan information as a part of its detailed transaction review to determine the credit support consistent with target rating levels and the volatility of future losses. As a result, Moody's has decreased the MILAN CE assumption to 12% from 14% for Fleet 2018-01 and maintained the MILAN CE assumption at 12% for Canada Square Funding 2019-1. Increase in Available Credit Enhancement Sequential amortization and non-amortizing reserve fund led to the increase in the credit enhancement available in Fleet 2018-01. The credit enhancement for class D increased to 13.4% from 12.1% since the last rating action in January 2021. Sequential amortization led to the increase in the credit enhancement available in Canada Square Funding 2019-1. The credit enhancement for Classes C, D, and E increased to 6.9%, 3.5%, 1.4% from 5.0%, 2.5% and 1.0% since closing. Counterparty Exposure The rating actions took into consideration the notes' exposure to relevant counterparties, such as servicers. Moody's considered how the liquidity available in the transactions and other mitigants support continuity of note payments, in case of servicer default, using the CR assessment as a reference point for servicers. In Canada Square Funding 2019-1, while the liquidity reserve provides sufficient liquidity support to Class A, Classes B to F do not benefit from the reserve fund. Only once a class becomes the most senior outstanding class of notes, it starts to benefit from principal to pay interest. The lack of liquidity support for Classes B and C could lead to missed interest payment on these classes in the event of servicing disruption. This risk constrains the ratings of Classes B and C. The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in December 2020. The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include: (i) performance of the underlying collateral that is better than Moody's expected; (ii) an increase in available credit enhancement; (iii) improvements in the credit quality of the transaction counterparties; and (iv) a decrease in sovereign risk. Factors or circumstances that could lead to a downgrade of the ratings include: (i) an increase in sovereign risk; (ii) performance of the underlying collateral that is worse than Moody's expected; (iii) deterioration in the notes' available credit enhancement; and (iv) deterioration in the credit quality of the transaction counterparties. CASSELLIE LTD: Goes Into Administration --------------------------------------- Laurence Kilgannon at Insider Media reports that jobs have been lost after the administration of Cassellie Ltd, a Leeds-based supplier of bathroom products to independent and national bathroom retailers and distributors. Clare Boardman and Adrian Berry, senior managing directors at Teneo Restructuring Ltd, have been appointed joint administrators to the company, Insider Media relates. According to Insider Media, the administrators said Cassellie had recently suffered severe supply chain disruption and interruption to trading as a result of the coronavirus pandemic. Following an unsuccessful accelerated sales process to secure a buyer for the business, the company was placed into administration, Insider Media recounts. Cassellie will continue to trade in administration for a short period of time as part of a managed winddown, Insider Media discloses. ROLI: Files for Bankruptcy, To Reform as Luminary ------------------------------------------------- Ashley King at Digital Music News reports that UK music tech startup Roli has filed for bankruptcy and will reform. According to Digital Music News, the company says its niche target market and the coronavirus pandemic forced a reset. Some Roli products will live on through Luminary, which is rising from the ashes of the Roli bankruptcy, Digital Music News states. Roli's 70 employees will shift to the new business, which closed US$6.85 million in initial funding from Hoxton Ventures, Digital Music News discloses. Roli raised US$75.7 million from individuals and institutional investors, some of who will lose their money as a result of the bankruptcy, Digital Music News relates. In Roli's financial filings, the company reported pre-tax losses of GBP34.1 million (US$47 million) on revenues of GBP11.4 million (US$16 million), Digital Music News relays. High costs were attributed to staff salaries, senior hires, and the manufacturing of the hardware, according to Digital Music News. Hardware accounted for 82% of Roli's revenue over the 18-month period ending June 30, 2019, Digital Music News notes. The filings show the firm sold off two software-oriented parts of its business in 2020, Digital Music News recounts. Roli was founded in 2009 by Lamb and set out to invent new musical instruments. SPRINTDELIVER: Enters Administration, 35 Jobs Affected ------------------------------------------------------ Jon Robinson at BusinessLive reports that the Covid-19 pandemic and difficulties attracting and retaining Heavy Goods Vehicle (HGV) drivers "proved to be insurmountable" for a haulage business which has fallen into administration with the loss of 35 jobs. Neil Morley and Howard Smith from Interpath Advisory were appointed joint administrators to Sprintdeliver on Sept. 6, BusinessLive relates. According to BusinessLive, Sprintdeliver was based in Glossop and in recent months had encountered significant financial challenges due both to the impact of the pandemic on trading and the availability HGV drivers. The business stopped trading prior to the appointment of the joint administrators, BusinessLive recounts. In a statement, Mr. Morley and Mr. Smith confirmed that the company's 35-strong workforce had been made redundant, BusinessLive notes. The firm's business and assets have now been put up for sale, BusinessLive discloses. UTMOST GROUP: Fitch Assigns BB+ Rating to Proposed Tier 2 Notes --------------------------------------------------------------- Fitch Ratings has assigned Utmost Group plc's proposed fixed-rate subordinated Tier 2 notes with maturity of 10.25 years a 'BB+' rating. The notes are rated three notches below Utmost Group plc's Long-Term Issuer Default Rating (IDR) of 'BBB+', which has a Stable Outlook, comprising two notches for a 'poor' recovery assumption and one for 'moderate' non-performance risk. The proposed issue is part of the financing of Utmost Group's acquisition of the Quilter International business, consisting of Quilter International Isle of Man Limited and Quilter International Ireland DAC, that was announced on 1 April 2021. Utmost Group plc is the UK holding company of the Utmost Group (IFS A/Stable). KEY RATING DRIVERS The notes will rank pari passu with themselves and junior to Utmost Group plc's unsecured unsubordinated obligations. The level of subordination is reflected in Fitch's 'poor' baseline recovery assumptions for the issue. The notes include a mandatory interest deferral feature, which will be triggered if the solvency capital requirements applicable to Utmost Group plc are not met. Fitch regards this feature as leading to 'moderate' non-performance risk. The notes are expected to qualify for 100% regulatory capital recognition under Solvency II. The notes receive 100% equity credit in Fitch's Prism Factor-Based Model, due to the application of the agency's 'regulatory override' approach. However, given that it is a dated instrument, the notes are treated as 100% debt in Fitch's financial debt leverage calculation. Fitch views the proposed issue as neutral to Utmost Group plc's financial leverage ratio and Solvency II capital as the proceeds will be used to repay existing subordinated debt. Fitch expects the impact on fixed-charge coverage to be positive as the notes are, in the agency's view, likely to pay lower interest than the debt they are replacing. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. RATING SENSITIVITIES Factor that may, collectively or individually, result in a negative rating action/downgrade: -- A downgrade of Utmost Group's ratings. Factor that may, collectively or individually, result in a positive rating action/an upgrade: -- An upgrade of Utmost Group's ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Financial Institutions and Covered Bond issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. VMS LIVE: To Undergo Liquidation, Ceases Trading ------------------------------------------------ Amelia Shaw at NorthWalesLive reports that VMS Live (Wrexham) Ltd, the operator of a popular music and events venue in North Wales, has ceased trading. According to NorthWalesLive, Glyndwr University has confirmed the company, which operates William Aston Hall on its Wrexham campus, "will be moving into liquidation" following "an incredibly difficult 16 months for the events industry". Like other entertainment establishments across the country, the venue has been closed since March 2020 due to the Covid-19 pandemic, NorthWalesLive relates. ********* 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 * * *