/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/211222.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, December 22, 2021, Vol. 22, No. 249 Headlines I R E L A N D AQUEDUCT EURO 6-2021: Fitch Rates Class E Tranche Final 'BB-' CVC CORDATUS XVIII: S&P Assigns B- (sf) Rating on Cl. F-R Notes RRE 5: S&P Assigns BB- (sf) Rating on Class D-R CLO Reset Notes SOUND POINT VII: Fitch Assigns Final B- Rating on Class F Tranche T U R K E Y YAPI KREDI: Fitch Assigns BB+ Rating on 25 Tranches U N I T E D K I N G D O M ARGUS MEDIA: S&P Alters Outlook to Stable, Affirms 'B+' ICR FONTWELL II 2020: Fitch Affirms BB+ Rating on Class B Tranche - - - - - ============= I R E L A N D ============= AQUEDUCT EURO 6-2021: Fitch Rates Class E Tranche Final 'BB-' ------------------------------------------------------------- Fitch Ratings has assigned Aqueduct European CLO 6-2021 DAC final ratings. DEBT RATING PRIOR ---- ------ ----- Aqueduct European CLO 6-2021 DAC A XS2406745054 LT AAAsf New Rating AAA(EXP)sf B-1 XS2406745641 LT AA+sf New Rating AA+(EXP)sf B-2 XS2406746458 LT AA+sf New Rating AA+(EXP)sf C XS2406747001 LT A-sf New Rating A-(EXP)sf D XS2406747779 LT BBB-sf New Rating BBB-(EXP)sf E XS2406748314 LT BB-sf New Rating BB-(EXP)sf Participating Term Certficates XS2408966641 LT NRsf New Rating NR(EXP)sf Z-1 XS2406748587 LT NRsf New Rating NR(EXP)sf Z-2 XS2406748744 LT NRsf New Rating NR(EXP)sf Z-3 XS2406749049 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Aqueduct European CLO 6-2021 DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans, first-lien, last-out loans and high-yield bonds. Net proceeds from the issuance of the notes have been used to fund a portfolio with a target par of EUR400 million. The portfolio is actively managed by HPS Investment Partners CLO (UK) LLP. The transaction has an around five-year reinvestment period and a nine-year weighted average life (WAL). KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch places the average credit quality of obligors at 'B'/'B-'. The Fitch-weighted average rating factor (WARF) of the identified portfolio is 25.22. High Recovery Expectations (Positive): At least 90% of the portfolio will comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-weighted average recovery rate (WARR) of the identified portfolio is 62.9%. Diversified Portfolio (Positive): The transaction includes two Fitch matrices: one effective at closing corresponding to a top-10 obligor concentration limit at 22.5% and a fixed-rate asset limit of 7.5%; and one that can be selected by the manager at any time from one year after closing as long as the portfolio balance (including defaulted obligations at their Fitch collateral value) is above EUR399 million and subject to the same limits as the previous matrix. The transaction also includes various concentration limits, including a maximum exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Reduced Risk Horizon (Neutral): Fitch's analysis of the matrices is based on a stressed-case portfolio with an eight-year WAL. Under the agency's CLOs and Corporate CDOs Rating Criteria, the WAL used for the transaction stressed-case portfolio was 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period, including passing the over-collateralisation (OC) and Fitch 'CCC' limitation tests. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the rating default rate (RDR) at all rating levels by 25% of the mean RDR and a 25% decrease of the recovery rate at all rating levels would lead to downgrades of up to four notches for the rated notes. -- Downgrades may occur if the build-up of the notes' credit enhancement following amortisation does not compensate for a larger loss expectation than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and a 25% increase of the recovery rate at all rating levels, would lead to upgrades of up to two notches for the rated notes, except the class A notes, which are already the highest rating on Fitch's scale and cannot be upgraded. -- After the end of the reinvestment period, upgrades may occur in case of a better-than-initially expected portfolio credit quality and deal performance, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. CVC CORDATUS XVIII: S&P Assigns B- (sf) Rating on Cl. F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned credit ratings to CVC Cordatus Loan Fund XVIII DAC's class X-R, A-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R notes. At closing, the issuer will also issue unrated subordinated notes. 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 our counterparty rating framework. -- Under the transaction documents, the rated notes will pay quarterly interest unless there is a frequency switch event. -- Following this, the rated loan and notes will permanently switch to semiannual payment. -- The portfolio's reinvestment period will end approximately 4.6 years after closing, and the portfolio's maximum average maturity date will be eight and a half years after closing. Portfolio Benchmarks CURRENT S&P Global Ratings weighted-average rating factor 2,925.87 Default rate dispersion 523.84 Weighted-average life (years) 4.89 Obligor diversity measure 122.69 Industry diversity measure 18.82 Regional diversity measure 1.20 Transaction Key Metrics CURRENT Total par amount (mil. EUR) 454.0 Defaulted assets (mil. EUR) 0 Number of performing obligors 157 Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 4.12 'AAA' weighted-average recovery (covenanted) (%) 5.09 Covenanted weighted-average spread (%) 3.80 Reference weighted-average coupon (%) 4.00 S&P said, "The portfolio is well-diversified, primarily comprising 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 EUR454 million target par amount, the covenanted weighted-average spread (3.80%), and the actual weighted-average recovery rates. 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, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "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 and framework 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-R, A-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R notes. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B-1-R to E-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. "The class F-R notes' current break-even default rate (BDR) cushion is negative at the 'B-' rating level. Based on the portfolio's actual characteristics and additional overlaying factors, including our long-term corporate default rates, we believe 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 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 break-even default rate at the 'B-' rating level is 27.20% versus a portfolio default rate of 15.16% if it was to consider a long-term sustainable default rate of 3.1% for a portfolio with a weighted-average life of 4.89 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 a 'B- (sf)' rating. -- The transaction securitizes a portfolio of primarily senior secured leveraged loans and bonds, and it is managed by CVC Credit Partners European CLO Management LLP. 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 X-R to E-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. "For the class E-R and F-R notes, 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." 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 or limit assets from being related to the following industries: thermal coal extraction; controversial weapons; hazardous chemicals, pesticides, ozone-depleting substances, endangered or protected wildlife, of which production or trade is banned by applicable global conventions; pornography or prostitution; tobacco; predatory payday lending activities; weapons or firearms; or opioids. 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 (%) X-R AAA (sf) 1.45 Three/six-month EURIBOR N/A plus 0.40% A-R AAA (sf) 277.00 Three/six-month EURIBOR 38.99 plus 0.96% B-1-R AA (sf) 29.90 Three/six-month EURIBOR 28.00 plus 1.70% B-2-R AA (sf) 20.00 1.95% 28.00 C-R A (sf) 28.30 Three/six-month EURIBOR 21.76 plus 2.15% D-R BBB- (sf) 32.90 Three/six-month EURIBOR 14.52 plus 3.15% E-R BB- (sf) 21.50 Three/six-month EURIBOR 9.78 plus 6.06% F-R B- (sf) 13.70 Three/six-month EURIBOR 6.76 plus 8.85% Sub Notes NR 39.05 N/A N/A EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. RRE 5: S&P Assigns BB- (sf) Rating on Class D-R CLO Reset Notes --------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to RRE 5 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 unrated subordinated notes. The transaction is a reset of an existing transaction, which closed in October 2020. The proceeds from the issuance were used to redeem the existing rated notes. The issuer used the remaining funds to cover fees and expenses incurred in connection with the reset. The portfolio's reinvestment period is scheduled to end on the payment date in July 2026. 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 S&P considers to be bankruptcy remote. -- The transaction's counterparty risks are in line S&P's counterparty rating framework. Portfolio Benchmarks CURRENT S&P Global Ratings weighted-average rating factor 2,861.05 Default rate dispersion 448.04 Weighted-average life (years) 5.30 Obligor diversity measure 131.73 Industry diversity measure 18.17 Regional diversity measure 1.28 Transaction Key Metrics CURRENT Total par amount (mil. EUR) 552 Defaulted assets (mil. EUR) 0 Number of performing obligors 164 Portfolio weighted-average rating derived from S&P's CDO evaluator 'B' 'CCC' category rated assets (%) 2.5 Covenanted 'AAA' weighted-average recovery (%) 36.70 Covenanted weighted-average spread (%) 3.55 Covenanted weighted-average coupon (%) 3.00 Under the transaction documents, the refinanced notes pay quarterly interest unless there is a frequency switch event. The manager may purchase loss mitigation obligations in connection with the default of an existing asset to enhance the global recovery on the assets held by that obligor. S&P said, "Our ratings reflect our assessment of the collateral portfolio's credit quality. 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 EUR550 million target par amount, the covenanted weighted-average spread (3.55%), the reference weighted-average coupon (3.00%), and the covenant weighted-average recovery rates for all rating categories as indicated by the collateral manager (36.70% at 'AAA'). "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. "Following our analysis of the reset notes, we believe our ratings are commensurate with the available credit enhancement for the class A-1-R to D-R reset notes. Our credit and cash flow analysis also indicates that the available credit enhancement for the class B-1-R, B-2-R and C-R notes could withstand stresses commensurate with higher ratings than those we have assigned. However, as the CLO will be in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our assigned ratings on the notes. "Elavon Financial Services DAC is the bank account provider and custodian. We consider the documented replacement provisions to be in line with our counterparty criteria for liabilities rated up to 'AAA'. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned rating levels. "We consider the issuer to be bankruptcy remote, in accordance 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 each class 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 the class A-1-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." Environmental, social, and governance (ESG) factors S&P said, "We regard the exposure to ESG credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit loans to companies which derive more than 50% of their revenues from the following industries (non-exhaustive list): tobacco, opioid manufacture, hazardous chemicals, controversial weapons, nuclear weapons, pesticides, wastes, and ozone-depleting substances. The documents also prohibit loans to companies which derive more than 0% of their revenues from prostitution or 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-1-R AAA (sf) 330.000 Three-month EURIBOR 40.00 plus 0.95% A-2-R AA (sf) 46.750 Three-month EURIBOR 31.50 plus 1.75% B-R A (sf) 60.500 Three-month EURIBOR 20.50 + 2.10% C-R BBB- (sf) 35.750 Three-month EURIBOR 14.00 plus 3.10% D-R BB- (sf) 25.025 Three-month EURIBOR 9.45 plus 6.35% Subordinated NR 51.100 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. SOUND POINT VII: Fitch Assigns Final B- Rating on Class F Tranche ----------------------------------------------------------------- Fitch Ratings has assigned Sound Point Euro CLO VII Funding DAC final ratings. DEBT RATING PRIOR ---- ------ ----- Sound Point Euro CLO VII Funding DAC A XS2405346573 LT AAAsf New Rating AAA(EXP)sf B-1 XS2405347118 LT AAsf New Rating AA(EXP)sf B-2 XS2405347894 LT AAsf New Rating AA(EXP)sf C XS2405348512 LT Asf New Rating A(EXP)sf D XS2405349163 LT BBB-sf New Rating BBB-(EXP)sf E XS2405349833 LT BB-sf New Rating BB-(EXP)sf F XS2405350096 LT B-sf New Rating B-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf XS2405350252 Z XS2407358816 LT NRsf New Rating TRANSACTION SUMMARY Sound Point CLO VII DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of corporate-rescue loans, senior unsecured, mezzanine, second-lien loans and high-yield bonds. Net proceeds from the notes have been used to fund a portfolio with a target par of EUR500 million. The portfolio is actively managed by Sound Point CLO C-MOA LLC. The transaction has a 5.1-year reinvestment period and a nine-year weighted average life (WAL). KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors in the 'B'/'B-' category. The Fitch weighted average rating factor (WARF) of the identified portfolio is 25.54. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 63.84%. Diversified Portfolio (Positive): The transaction includes two Fitch matrices: one effective at closing corresponding to a top 10 obligor concentration limit at 21%, fixed-rate asset limit at 12.50% and nine-year WAL; and one that can be selected by the manager at any time from one year after closing as long as the portfolio balance (including defaulted obligations at their Fitch collateral value) is above target par and corresponding to the same limits as the previous matrix apart from an eight-year WAL. The transaction also includes various concentration limits, including a maximum exposure to the three largest Fitch-defined industries in the portfolio at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash flow Modelling (Neutral): Fitch's analysis is based on a stressed-case portfolio with an eight-year WAL, which is one year shorter than the nine-year maximum WAL test covenant at closing. Fitch views the tight reinvestment conditions post the reinvestment period, such as the satisfaction of Fitch 'CCC' obligations limit, coverage tests, and a linear step-down of the WAL test, effective in restricting reinvestment should the transaction deteriorate. This justifies a one-year WAL reduction in Fitch's analysis. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the recovery rate (RRR) by 25% at all rating levels will result in downgrades of no more than four notches, depending on the notes. -- Downgrades may occur if the build-up of credit enhancement following amortisation does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels would result in an upgrade of up to three notches depending on the notes, except for the class A notes, which are already at the highest rating on Fitch's scale and cannot be upgraded. -- After the end of the reinvestment period, upgrades may occur on better-than-initially expected portfolio credit quality and deal performance, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. =========== T U R K E Y =========== YAPI KREDI: Fitch Assigns BB+ Rating on 25 Tranches --------------------------------------------------- Fitch Ratings has assigned final ratings to six tranches of Yapi Kredi Diversified Payment Rights Finance Company's (Yapi Kredi DPR) series 2021 notes. The Outlook is Stable. The agency has also affirmed Yapi Kredi DPR's outstanding notes. DEBT RATING PRIOR ---- ------ ----- Yapi Kredi Diversified Payment Rights Finance Company Ltd 2011-E XS0678316240 LT BB+ Affirmed BB+ 2013-D XS0950411834 LT BB+ Affirmed BB+ 2014-A XS1118209375 LT BB+ Affirmed BB+ 2015-B XS1199023638 LT BB+ Affirmed BB+ 2015-F XS1261205915 LT BB+ Affirmed BB+ 2015-G XS1261206301 LT BB+ Affirmed BB+ 2017-A XS1726113381 LT BB+ Affirmed BB+ 2017-B XS1741479494 LT BB+ Affirmed BB+ 2017-C LT BB+ Affirmed BB+ 2017-D XS1741479650 LT BB+ Affirmed BB+ 2017-E XS1741480070 LT BB+ Affirmed BB+ 2017-F XS1741479908 LT BB+ Affirmed BB+ 2017-G XS1739387642 LT BB+ Affirmed BB+ 2018-A XS1760837275 LT BB+ Affirmed BB+ 2018-B XS1777290278 LT BB+ Affirmed BB+ 2018-C XS1924942060 LT BB+ Affirmed BB+ 2019-A XS1957348367 LT BB+ Affirmed BB+ 2019-B XS1957348441 LT BB+ Affirmed BB+ 2019-C XS1957348797 LT BB+ Affirmed BB+ 2021-A TR009A70V301 LT BB+ New Rating 2021-B TR009A70V2R8 LT BB+ New Rating 2021-E TR009A70V4W4 LT BB+ New Rating 2021-G TR009A70V4Y0 LT BB+ New Rating 2021-H TR009A70V6A5 LT BB+ New Rating 2021-I TR009A70V6J6 LT BB+ New Rating TRANSACTION SUMMARY Yapi Kredi DPR is a future flow transaction of current and future diversified payment rights (DPRs) originated by Yapi ve Kredi Bankasi A.S. (YKB; B+/Negative) and denominated in US dollars, euros and pound sterling. DPRs are essentially payment orders processed by banks, which can arise for a variety of reasons but mainly reflect payments due on the export of goods and services, capital flows and personal remittances. The DPRs settled by YKB are mostly denominated in US dollars and euros. KEY RATING DRIVERS Originator Credit Quality: YKB's Long-Term Local-Currency Issuer Default Rating (LC IDR) of 'B+' is driven by potential state support and by its standalone credit profile, and is at the same level as its Viability Rating of 'b+'. Fitch affirmed YKB's LC IDR of 'B+' in December 2021, revising its Outlook to Negative from Stable. GCA Score Supports Rating: Fitch maintains the Going Concern Assessment (GCA) score of GC1 assigned to Yapi The GCA score is a measurement of the likelihood that the business will remain a going concern and the underlying cash flow continues to be generated if the company defaults on other liabilities. Three-notch Uplift from LC IDR: Fitch views the overall risks of Yapi Kredi's DPR programme to be on a par with its GC1 peers in the Turkish market. Visibility on the outcome of any potential default or bankruptcy scenario for each Turkish bank relevant to the DPR programme is still limited as the market conditions remain challenging. Sufficient Coverage Levels: Fitch calculates the monthly debt service coverage ratio (DSCR) for the programme at 102x based on the average monthly offshore flows processed through designated depositary banks of the past 12 months, after incorporating interest rate stresses. Fitch also tested the sufficiency and sustainability of the DSCRs under various scenarios, including FX stresses, a reduction in payment orders based on the top 20 beneficiary concentrations and a reduction in remittances based on the steepest quarterly decline in recent years. Fitch considers the DSCRs for the programme are sufficient to support the assigned ratings. Diversion Risk Reduced: The transaction's structure, like those of peers, mitigates certain sovereign risks by keeping DPR flows offshore until scheduled debt service is paid to investors, allowing the transaction to be rated above Turkey's Country Ceiling. Fitch believes diversion risk is materially reduced by the acknowledgement agreements signed by designated depositary banks. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Significant variables affecting the rating of the transaction are the originator's credit quality, the GCA score, DPR flow development and debt service coverage. Fitch would analyse a change in any of these variables for the impact on the transaction's rating. -- Another important consideration that could lead to rating action is the level of future flow debt as a percentage of the originating bank's overall liability profile, its non-deposit funding and long-term funding. This is factored into Fitch's analysis to determine the maximum achievable notching differential, given the GCA score. Yapi Kredi DPR programme debt represents a significant share of YKB's funding profile, particularly when looking at long-term funding. A significant increase of programme size could translate into rating pressure. -- In addition, the ratings of The Bank of New York Mellon (AA/Stable/F1+) as the issuer's account bank may constrain the ratings of DPR debt should Bank of New York Mellon be rated below the then ratings of the DPR debt and no remedial action is taken. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- The main constraint on the DPR rating is the originator's credit quality and its operating environment. An upgrade of the originator's LC IDR could contribute positively to the DPR rating consideration. Improvements in economic conditions could also contribute positively to DPR flow performance and to the rating consideration. Fitch will review the DPR rating if there is any material change of those variables. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Yapi Kredi Diversified Payment Rights Finance Company Ltd Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch did not review the results of a third party assessment conducted on the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS 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. =========================== U N I T E D K I N G D O M =========================== ARGUS MEDIA: S&P Alters Outlook to Stable, Affirms 'B+' ICR ----------------------------------------------------------- S&P Global Ratings revised the outlook on U.K.-Based Price Reporting Agency Argus Media to stable from negative and affirmed its 'B+' long-term issuer credit rating and its 'B+' issue rating on the group's $500 million term loan. The stable outlook reflects S&P's view that Argus will maintain S&P Global Ratings-adjusted leverage below 5x on the back of continued organic earnings growth and adjusted EBITDA margins well above 30%. The outlook also assumes the group's adjusted leverage won't increase above 5x due to material debt-funded acquisitions or shareholder distributions and recapitalizations. S&P said, "Fleet Topco Ltd., parent of U.K.-based price reporting agency Argus Media, has achieved stronger operating performance than we had expected in the fiscal year (FY) ending June 30, 2021. We believe Argus will continue to maintain stable organic revenue growth and above-average profitability in FY2022-FY2023." Argus has achieved stronger EBITDA and lower leverage in FY2021 than S&P had forecast. In FY2021, Argus' reported revenues were broadly in line with FY2020, despite the pandemic, and supported by 4% growth in the group's recurring revenues thanks to strong subscription renewals. At the same time, Argus posted adjusted EBITDA of GBP92 million, higher than FY2020's figure and S&P's forecast for FY2021, and the adjusted EBITDA margin improved to 40% in FY2021 from 35% in FY2020. This was due to cost-saving measures, including reduction in staff costs, marketing expenses, and expenses related to travel and organization of events. This allowed the group to generate GBP67 million FOCF, which it partly used to fully repay the GBP50 million revolving credit facility (RCF) that it had fully drawn in FY2020. Together with small contractual amortization of the term loan and a positive impact from exchange rates (due to the appreciation of sterling against dollars as the term loan is denominated in U.S. dollars), led adjusted leverage to reduce to 4.1x in FY2021 compared to 6.1x in FY2020 and our previous projections of 4.9x for FY2021. S&P said, "We expect Argus will maintain strong operating performance and cash flow generation in FY2022-FY2023. We expect this strong performance to be driven by the group's business model, with most of the revenue derived from subscriptions, and by the group's historically high subscription renewal rate. We forecast Argus' subscription-based recurring revenue to grow by 5%-7% in FY2022 and about 10% in FY2023. We think growth will come from extension into new markets such as agriculture chemicals, metals, and fertilizers; expansion into new geographies; the rollout of new analytics and data science products; and the acquisition of new customers. The complexity of new energy markets, volatility of supply and demand and prices, and the ongoing energy transition entail the need for more price reporting data, in our view. Further, recent consolidation in the industry offers opportunities for Argus to gain market share as smaller product lines of the combined organizations are rationalized. We expect the group's EBITDA margin will slightly decrease to around 38%-39% post pandemic compared with 40% due to increased manpower costs and higher expenses related to travel and organization of events. Nevertheless, we forecast that Argus' earnings and cash flows will remain largely stable in FY2022-FY2023 and that it will generate FOCF of about of GBP45 million. We forecast that strong earnings together with ongoing debt amortization will allow Argus to maintain leverage below 5x over the next 24 months. "Our view of the private equity sponsors' aggressive financial policy constrains the rating. We view the financial policy of private equity owners General Atlantic (GA) and HG Capital as aggressive, as evidenced by cash interest payments on the shareholder instruments in FY2020-2021 despite pressures on operating performance during the pandemic. The company-reported net leverage has reduced below 3x in FY2021, but we assume that the group could increase leverage over the forecast period up to 3.5x in line with its financial policy, for example to raise further debt for dividend recapitalizations. This could translate into adjusted leverage increasing to 5x. Additionally, we expect Argus will continue paying cash interest of around GBP18 million-GBP20 million annually on the group's shareholder instruments in FY2022-FY2023. "The stable outlook reflects our view that Argus will maintain adjusted leverage below 5x on the back of continued organic earnings growth and adjusted EBITDA margins well above 30%. The outlook also assumes the group's adjusted leverage won't increase above 5x due to material debt-funded acquisitions or shareholder distributions and recapitalizations. "We could lower the rating in the next 12 months if adjusted leverage increases above 5x or FOCF to debt falls toward 5%. This could occur if Argus were to pursue large debt-funded acquisitions or shareholder distributions, or if it underperforms our base case such that revenue and earnings decline materially, for example due to increased competition, loss of key customers, or inability to constrain rising operating costs. "We view the likelihood of an upgrade in the next 12 months as remote given the current financial policy of the group. "Notwithstanding this, we could consider an upgrade if we see a consistent track record of adjusted leverage below 4x with a firm commitment to remaining below this level in conjunction with materially improved scale, better market position, and significant free cash flows." FONTWELL II 2020: Fitch Affirms BB+ Rating on Class B Tranche ------------------------------------------------------------- Fitch Ratings has upgraded three tranches and one credit-linked note (CLN) of Fontwell II Securities 2020 DAC while the rest have been affirmed with a Stable Outlook. All ratings are removed from Under Criteria Observation (UCO). DEBT RATING PRIOR ---- ------ ----- Fontwell II Securities 2020 DAC Class A CLN XS2226194244 LT BBB+sf Upgrade BBB-sf Class B CLN XS2226194673 LT BB+sf Affirmed BB+sf Retained Tranche B LT A+sf Upgrade Asf Retained Tranche C LT A+sf Upgrade A-sf Retained Tranche D LT BBB+sf Affirmed BBB+sf Tranche A LT BBB+sf Upgrade BBB-sf Tranche B LT BB+sf Affirmed BB+sf TRANSACTION SUMMARY The transaction is a partially funded synthetic securitisation referencing a static portfolio of secured loans granted to UK small and medium-sized enterprises in the farming and agriculture sector. The loans were originated by Lloyds Bank plc (A+/Stable/F1) via its wholly owned subsidiary, Agricultural Mortgage Corporation plc (AMC). Proceeds from the class A, B and Z CLNs are used to fund a cash deposit account at Lloyds. The ratings of the tranches address probability of claims under a financial guarantee maturing in December 2028 while the ratings of the class A & B CLNs address interest and principal repayment in accordance with the terms and conditions of the documents. KEY RATING DRIVERS Updated Criteria Application: The rating actions of the rated tranches and the rated CLNs reflect the application of Fitch's updated SME Balance Sheet Securitisation Rating Criteria and higher credit enhancement (CE) across the structure following a moderate amortisation since closing in December 2020. The rating analysis is based on the current portfolio assuming a stress on the loan-to-value (LTV) ratio to reflect the collateral-dilution risk. All the ratings are at the model-implied ratings (MIR). All ratings have a Stable Outlook, reflecting the transaction's stable performance, comfortable cushion observed based on the current portfolio, as well as Fitch's expectation of a slow amortisation, due to a high interest-only proportion that matures post the financial guarantee at 2028. Increased CE: The upgrades also reflect a modest increased in CE, due to the transaction deleveraging since closing. The portfolio has amortised by about 4% since closing. As a result, all rated tranches and notes show a moderate increase in CE. Low Default Risk: The transaction has performed better than Fitch's expectations, with no credit events, significantly below the expected annual average probability of default (PD) of the portfolio at 2%. Fitch continues to assign a one-year average PD (based on 90 days past due) of 2% to all borrowers in the portfolio, reflecting a through-the-cycle performance of the originator's portfolio. Limited Collateral-Dilution Risk: The eligibility criteria and the originator's policies set the maximum loan-to-value (LTV) at 60%, calculated on a borrower basis. However, available mortgage collateral secures all AMC exposure including debt outside of the transaction. Any recoveries will be shared pro- rata across a borrower's different AMC debts. The current LTV in the portfolio is around 37% and has improved by about 2pp since closing, but any additional lending could reduce the collateral share for the securitised exposures. For this, Fitch has stressed the LTV to 50% for loans with LTVs under 50%. The vast majority of available collateral is over agricultural land. In the recovery analysis, Fitch has applied its commercial property haircuts, which at the 'AA' level, are 75% and would reverse most of the increase of the property value experienced over the last 15 years. Static Portfolio; High Interest-only Share (Positive): Interest-only loans (IO) make up 60% of the portfolio, with lower payments during the life of the mortgage than capital repayment mortgages, but refinancing risk at maturity. However, only 8% of the total outstanding portfolio (or 13% of outstanding IO balance) have maturity dates prior to the scheduled maturity of the notes. This mitigates the refinancing risk to the transaction. The high IO share also results in limited amortisation and scheduled deleveraging during the remaining seven-year financial-guarantee period. Limited Obligor Concentration: The portfolio is diverse with a total of 6,505 loans. The largest obligor and top 10 obligors contribute 0.3% and 2.7% of the total portfolio balance, respectively. Single Industry Exposure: All the borrowers in the reference portfolio are exposed to the UK farming and agriculture sector. Accordingly, Fitch continues to apply a bespoke correlation of 10% between each pair of underlying loans. Rating Cap: The tranches' ratings are capped at the UK's Issuer Default Rating (IDR) at 'AA-'/Stable, due to a still high reliance on state subsidies. The ratings of the CLNs are capped at Lloyd's IDR, due to the excessive exposure of principal funds in the account bank with Lloyds. Currently, no ratings are constrained by the cap. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades may occur if build-up of the notes' credit enhancement following amortisation does not compensate for a larger loss expectation than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. -- A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease in the recovery rate (RRR) across all ratings in the stressed portfolio would result in a downgrade of up to four notches across the structure. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades may occur in the event of better-than-expected portfolio credit quality and deal performance, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. -- A 25% decrease of the mean RDR across all ratings and a 25% increase of the RRR across all ratings would result in upgrades of up to four notches across the structure. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS 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. ********* 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 * * *