/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/220303.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Thursday, March 3, 2022, Vol. 23, No. 39 Headlines A R M E N I A VTB BANK ARMENIA: Moody's Withdraws 'B1' LongTerm Deposit Ratings A U S T R I A SBERBANK EUROPE: FMA Orders Closure Due to Run on Deposits B E L A R U S BANK BELVEB: S&P Puts 'B' LongTerm Currency Ratings on Watch Neg. BELARUSBANK: S&P Puts 'B' LongTerm ICR on CreditWatch Negative BELINVESTBANK: Moody's Withdraws 'B3' LongTerm Deposit Ratings B U L G A R I A CORPORATE COMMERCIAL: Sells 1.5 Million Petrol Shares I R E L A N D ARBOUR CLO VI: Fitch Raises Class F Notes Rating to 'B' AVOCA CLO XXIV: Fitch Affirms 'B-' Rating on Class F-R Notes AVOCA CLO XXVI: Fitch Gives Final 'B-(EXP)' Rating on Class F Debt CIFC EURO I: Fitch Affirms B- Rating on Class F Notes CVC CORDATUS XV: Fitch Affirms B- Rating on Class F Notes CVC CORDATUS XVI: Fitch Raises Class F Notes Rating to 'B' DRYDEN 73 EURO 2018: Fitch Affirms B- Rating on Class F Notes PENTA CLO 3: Fitch Puts 'B-' Rating on F Notes on Watch Evolving TORO EUROPEAN 6: Fitch Affirms B- Rating on Class F Notes K A Z A K H S T A N SB ALFA-BANK: S&P Puts 'BB' LongTerm ICR on Watch Negative VTB BANK (KAZAKHSTAN): S&P Suspends Issuer Credit Ratings N E T H E R L A N D S VODAFONEZIGGO GROUP: S&P Affirms 'B+' LT ICR, Outlook Stable R U S S I A BANK OTKRITIE: Moody's Withdraws 'Ba2' LongTerm Deposit Ratings NOVIKOMBANK JSCB: Moody's Withdraws Ba3 LongTerm Deposit Ratings VEB.RF: S&P Cuts Foreign Currency Ratings to BB+, Suspends Ratings [*] Moody's Reviews 18 Russian Sub-Sovereign Ratings for Downgrade S P A I N EL CORTE INGLES: Fitch Alters Outlook on 'BB+' LT IDR to Stable S W I T Z E R L A N D NORD STREAM 2: Insists Hasn't Filed for Insolvency Amid Sanctions T U R K E Y ANADOLU ANONIM: Fitch Lowers Insurer Finc'l Strength Rating to BB- [*] Fitch Cuts Foreign Curr. IDRs on Units of Turkish Banks to 'B' U K R A I N E IR BANK JSC: Moody's Withdraws 'B3' LongTerm Deposit Ratings KYIV CITY: Moody's Lowers LongTerm Issuer Ratings to 'Caa1' KYIV CITY: S&P Lowers Sovereign Credit Rating to B-, On Watch Neg. [*] Fitch Lowers Foreign Currency IDRs of 7 Ukrainian Banks to CCC- [*] Moody's Puts 7 Ukrainian Banks Under Review for Downgrade [*] Moody's Takes Actions on 4 Ukrainian Corporates U N I T E D K I N G D O M CONSORT HEALTHCARE: S&P Lowers Bond Rating to 'CCC', Outlook Neg. DAWNFRESH SEAFOODS: FRP Seeks Buyer for Seafood Farming Business EUROSAIL PRIME-UK 2007-A: Fitch Cuts Rating on Class B Notes to B- INTERSERVE PLC: Administration Process Completed LEVARHT: Enters Administration, Court Grants Moratorium - - - - - ============= A R M E N I A ============= VTB BANK ARMENIA: Moody's Withdraws 'B1' LongTerm Deposit Ratings ----------------------------------------------------------------- Moody's Investors Service has withdrawn the following ratings of VTB Bank (Armenia): Long-term Bank Deposit Ratings of B1 Short-term Bank Deposit Ratings of Not Prime Long-term Counterparty Risk Ratings of Ba3 Short-term Counterparty Risk Ratings of Not Prime Long-term Counterparty Risk Assessment of Ba3(cr) Short-term Counterparty Risk Assessment of Not Prime(cr) Baseline Credit Assessment of b3 Adjusted Baseline Credit Assessment of b1 At the time of the withdrawal, the bank's long-term deposit ratings carried a stable outlook and the bank's issuer outlook was also stable. RATINGS RATIONALE Moody's has decided to withdraw the ratings for its own business reasons. ============= A U S T R I A ============= SBERBANK EUROPE: FMA Orders Closure Due to Run on Deposits ---------------------------------------------------------- Francois Murphy and Daria Sito-sucic at Reuters report that the European arm of Sberbank, Russia's biggest lender, has been closed by order of the European Central Bank, which had warned it faced failure due to a run on deposits after Russia invaded Ukraine, Austria's Financial Market Authority said. According to Reuters, the European Central Bank's Single Resolution Board (SRB) determined earlier this week that Sberbank Europe, which is based in Vienna, was failing or likely to fail. That prompted Austria's FMA on Feb. 28 to impose a moratorium on the bank's activities, Reuters notes. The FMA's announcement late on March 1 that it was ordering the bank to close came just over an hour before that moratorium was due to expire, Reuters relates. "By order of the European Central Bank (ECB), the Austrian Financial Market Authority (FMA) issued a decision banning the licensed credit institution 'Sberbank Europe AG' . . . from continuing business operations in their entirety with immediate effect," Reuters quotes the FMA as saying in a statement. The European Union and United States have responded to Russia's invasion of Ukraine with a battery of sanctions including moving to ban big Russian banks from SWIFT, the main global payments system, Reuters recounts. As a result, Sberbank Europe said on Feb. 28 that several of its banks had "experienced a significant outflow of customer deposits within a very short period of time", Reuters notes. According to Reuters, the FMA said the SRB ordered the moratorium so that it could determine whether the case should be handled under European bank resolution rules and decided it should not. The FMA said it had appointed an administrator who is tasked with determining whether and when the criteria of an insolvency are met, Reuters relays. It said in the meantime, the closure triggers Austria's deposit guarantee scheme, which covers deposits up to EUR100,000 (US$111,240) per customer, Reuters notes. The central banks of Slovenia and Croatia announced that Sberbank's operations in their countries would be taken over respectively by Slovenia's biggest banking group NLB and the Croatian Postal Bank (HPB), which is majority owned by the government, Reuters discloses. Sberbank Europe said in November it had reached a deal to sell its subsidiaries in Croatia, Slovenia, Hungary, Serbia and Bosnia and Herzegovina to a group including Serbia's AIK bank and Slovenia's Gorenjska bank, Reuters recounts. Serbian regulators gave their consent on Feb. 28 but Gorenjska said it was no longer viable to proceed with the acquisition of the Slovenian subsidiary, according to Reuters. ============= B E L A R U S ============= BANK BELVEB: S&P Puts 'B' LongTerm Currency Ratings on Watch Neg. ----------------------------------------------------------------- S&P Global Ratings placed its 'B' long-term foreign and local currency ratings on Bank BelVEB OJSC on CreditWatch with negative implications. S&P subsequently suspended the ratings on the bank. The U.S. Department of the Treasury's Office of Foreign Assets Control (OFAC) introduced sanctions against Bank BelVEB OJSC among other entities, on Feb. 22, 2022. In S&P's view, the recent sanctions on the Russian economy may have a spill-over effect on Belarus and subsequently on Bank BelVEB's credit quality, in addition to risks stemming from sanctions imposed on the bank itself. S&P said, "Despite its inclusion on OFAC's Specially Designated Nationals and Blocked Persons (SDN) list, we consider the probability of Bank BelVEB defaulting in the next 12 months relatively low. We consider Bank BelVEB a strategically important subsidiary of Russia's VEB.RF, which was also placed on the SDN list. This means we expect that the Russian parent will continue providing financial and operational support. Such support is important for the stability of the bank's funding base, in our view. Although Bank BelVEB's liquidity profile benefits from ongoing parental support, we believe that it cannot fully mitigate the high risks of operating in Belarus and risks related to sanctions. "We suspended our ratings on Bank BelVEB because it has been included on OFAC's SDN list.We will consider the suspension status of the ratings on Bank BelVEB and might reinstate them if the OFAC sanctions are lifted, all else being equal." BELARUSBANK: S&P Puts 'B' LongTerm ICR on CreditWatch Negative -------------------------------------------------------------- S&P Global Ratings placed its long-term issuer credit ratings on Belarusbank and Belagroprombank JSC on CreditWatch with negative implications on the heightened geopolitical and economic risks to Russia, Belarus' major economic partner, following Russia's operation in Ukraine and the related economic sanctions against it. The escalation of Russia-Ukraine tensions that culminated in Russia's operation in Ukraine, and the widening of sanctions against Russia, could lead to conditions that eventually destabilize Russia's economy and financial system, with spillover effects on Belarus . The U.S. and EU have announced a new array of sanctions that prohibit dealings with two Belarusian banks -- Bank Dabrabyt JSC and Belinvestbank -- and VEB.RF, Promsvyazbank, VTB Bank, Sovcombank and Otkritie and their subsidiaries (including Bank BelVEB). They have also introduced restrictions for working with Sberbank and Gazprombank. These would likely constrain Russia's long-term growth prospects and potentially make the country less attractive to investors. S&P believes that Belarus might not escape a spillover effect of this increased pressure and volatility in Russia and the pressure on Belarusian economy and banking sector stability will likely increase. CreditWatch S&P said, "The CreditWatch placement reflects our opinion that increased geopolitical and economic risks in Russia might weigh on Belarus economy and Belarusian banks' creditworthiness. The negative implications indicates the likelihood of negative rating actions on Belarusian banks in the next 90 days. "We aim to resolve the CreditWatch placement once we have obtained sufficient information on the risks, whether they will materialize, and the likely impact. As the situation evolves, we will continue to closely monitor the banks' liquidity positions." Ratings List RATINGS AFFIRMED; CREDITWATCH ACTION TO FROM BELAGROPROMBANK JSC Issuer Credit Rating B/Watch Neg/B B/Negative/B RATINGS AFFIRMED; CREDITWATCH ACTION TO FROM BELARUSBANK Issuer Credit Rating B/Watch Neg/B B/Negative/B BELINVESTBANK: Moody's Withdraws 'B3' LongTerm Deposit Ratings -------------------------------------------------------------- Moody's Investors Service has withdrawn the following ratings of Belinvestbank: Long-term Bank Deposit Ratings of B3 Short-term Bank Deposit Ratings of Not Prime Long-term Counterparty Risk Ratings of B3 Short-term Counterparty Risk Ratings of Not Prime Long-term Counterparty Risk Assessment of B3(cr) Short-term Counterparty Risk Assessment of Not Prime(cr) Baseline Credit Assessment of caa1 Adjusted Baseline Credit Assessment of caa1 At the time of the withdrawal, the bank's long-term deposit ratings carried a negative outlook and the bank's issuer outlook was also negative. RATINGS RATIONALE Moody's has decided to withdraw the ratings for its own business reasons. =============== B U L G A R I A =============== CORPORATE COMMERCIAL: Sells 1.5 Million Petrol Shares ----------------------------------------------------- Antonia Kokalova-Gray at SeeNews reports that on Feb. 21, insolvent Corporate Commercial Bank sold 1.5 million Petrol shares, representing a 5.51% stake and exited the company. Financial details were not provided, SeeNews notes. Petrol operates over 330 fuel stations throughout Bulgaria. About Corporate Commercial Corporate Commercial Bank AD is the fourth largest bank in Bulgaria in terms of assets, third in terms of net profit, and first in terms of deposit growth. Bulgaria's central bank placed Corpbank under its administration and suspended shareholders' rights in June 2014 after a run drained the bank of cash to meet client demands. ============= I R E L A N D ============= ARBOUR CLO VI: Fitch Raises Class F Notes Rating to 'B' ------------------------------------------------------- Fitch Ratings has upgraded Arbour CLO VI DAC's class D to F notes and affirmed the rest. The class B to F notes have been removed from Under Criteria Observation (UCO). The Outlook for all classes is Stable. DEBT RATING PRIOR ---- ------ ----- Arbour CLO VI DAC A-1 XS1971345779 LT AAAsf Affirmed AAAsf A-2 XS1971346314 LT AAAsf Affirmed AAAsf B XS1971347122 LT AAsf Affirmed AAsf C-1 XS1971348443 LT A+sf Affirmed A+sf C-2 XS1971349177 LT A+sf Affirmed A+sf D XS1971349763 LT BBBsf Upgrade BBB-sf E XS1971350340 LT BBsf Upgrade BB-sf F XS1971350696 LT Bsf Upgrade B-sf TRANSACTION SUMMARY Arbour CLO VI DAC is an arbitrage cash flow collateralised loan obligation (CLO). The portfolio is managed by Oaktree Capital Management (Europe) LLP and the transaction will exit its reinvestment period in November 2023. KEY RATING DRIVERS CLO Criteria Update and Cash Flow Modelling: The rating actions mainly reflect the impact of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria and the shorter risk horizon incorporated in Fitch's stressed portfolio analysis. The analysis considered modelling results for the current and stressed portfolios based on a trustee report as of 31 January 2022. The rating actions are based on Fitch's updated stressed portfolio analysis, which applied the agency's collateral quality matrix specified in the transaction documentation. The transaction has four Fitch collateral quality matrices based on 18% and 23% top 10 obligor concentration limits, and 5% and 15% fixed rate obligation limits. Fitch's analysis was based on the two matrices specifying the 18% top 10 obligor concentration limit as the agency considered these as the most relevant, based on current and historical portfolios for this CLO. When analysing the matrix, Fitch applied a haircut of 1.5% to the weighted average recovery rate as the calculation in the transaction documentation is not in line with the latest CLO criteria. The Stable Outlook on the class A-1 to F notes reflects Fitch's expectation of sufficient credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with their ratings. Deviation from Model-Implied Ratings: The ratings assigned to all notes, except the class A-1, A-2, C-1 and C-2 notes, are one notch below their respective model-implied ratings. The deviations reflect the length of the remaining reinvestment period until November 2023, during which the portfolio can change significantly due to reinvestment or negative portfolio migration. Stable Asset Performance: The transaction's metrics indicate stable asset performance. As of the 31 January 2022 trustee report, the transaction is above par and is passing all coverage, collateral-quality and portfolio-profile tests. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors at the 'B'/'B-' level. The weighted average rating factor (WARF) as calculated by the trustee was 33.53, which is below the maximum covenant of 34.25. Fitch calculates the WARF at 25.08 under its updated criteria. High Recovery Expectations: Senior secured obligations comprise 96.2% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is 14.09%, and no obligor represents more than 1.74% of the portfolio balance as calculated by Fitch. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the recovery rate (RRR) by 25% at all rating levels in the stressed portfolio would result in downgrades of up to four notches, depending on the notes. -- Downgrades may occur if the build-up of the notes' credit enhancement (CE) does not compensate for a larger loss expectation than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels in the stressed portfolio would result in upgrades of up to three notches, depending on the notes. -- Except for the tranches rated at the highest 'AAAsf', upgrades may occur in case of better-than- expected portfolio credit quality and deal performance that leads to higher CE and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. AVOCA CLO XXIV: Fitch Affirms 'B-' Rating on Class F-R Notes ------------------------------------------------------------ Fitch Ratings has upgraded Avoca CLO XXIV DAC's class E-R notes, and affirmed the class A-R through D-R and F-R notes. The class B-1-R through F-R notes have been removed from Under Criteria Observation (UCO), and the Rating Outlooks for all classes remain Stable. DEBT RATING PRIOR ---- ------ ----- Avoca CLO XXIV DAC A-R XS2344780361 LT AAAsf Affirmed AAAsf B-1-R XS2344780445 LT AAsf Affirmed AAsf B-2-R XS2344780528 LT AAsf Affirmed AAsf C-R XS2344780791 LT Asf Affirmed Asf D-R XS2344781849 LT BBB-sf Affirmed BBB-sf E-R XS2344780957 LT BBsf Upgrade BB-sf F-R XS2344781179 LT B-sf Affirmed B-sf TRANSACTION SUMMARY Avoca CLO XXIV DAC is a cash flow collateralized loan obligation (CLO) comprised of mostly senior secured obligations. The transaction is actively managed by KKR Credit Advisors (Ireland) and will exit its reinvestment period in January 2026. KEY RATING DRIVERS CLO Criteria Update: The rating actions mainly reflect the impact of the recently updated Fitch CLOs and Corporate CDOs Rating Criteria and the shorter risk horizon incorporated in Fitch's updated stressed portfolio analysis. The analysis considered cash flow modelling results for the current portfolio and stressed portfolio is based on the Jan. 31, 2022 trustee report. Fitch's updated analysis applied the agency's collateral quality matrix specified in the transaction documentation. There are four matrices in this transaction, based on 16% and 20% top 10 largest obligors concentration limits and 0% and 10% fixed rate assets. The manager has the flexibility to interpolate a fixed rate limit between the 0% and 10% matrices and is currently covenanted to a 10% fixed rate limit. Fitch's analyzed the matrices specifying the 16% top 10 obligor limit and 0% and 10% fixed rate limit as the agency viewed this as the most rating relevant. The Stable Outlooks on the class A-R through F-R notes reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with such class's rating. Deviation from Model-Implied Ratings: The rating actions for the class B-1-R through E-R notes are one notch below their respective model implied ratings (MIR) produced from Fitch's cash flow analysis. The deviations reflect the remaining reinvestment period until January 2026, during which the portfolio can change due to reinvestment or negative portfolio migration. The rating actions for the class A-R and F-R notes were in line with their respective MIR. Stable Asset Performance: The transaction metrics indicate stable asset performance. The transaction is passing all coverage tests, collateral quality tests, and portfolio profile tests. Exposure to assets with a Fitch-derived rating (FDR) of 'CCC+' and below is 1.4% excluding non-rated assets, as calculated by Fitch. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors in the 'B'/'B-' category. The weighted average rating factor (WARF) as calculated by the trustee was 33.6, which is below the maximum covenant of 34.0. The WARF, as calculated by Fitch under the updated criteria, was 25.3. High Recovery Expectations: Senior secured obligations comprise 99.2% of the portfolio as calculated by the trustee. Fitch views the recovery prospects for these assets as more favorable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) reported by the trustee was 63.3%, against the covenant of 61.1%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is 10.8%, and no obligor represents more than 1.2% of the portfolio balance, as reported by the trustee. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the rating default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the rating recovery rate (RRR) by 25% at all rating levels in the stressed portfolio will result in downgrades of up to four notches, depending on the notes; -- Downgrades may occur if the build-up of the notes' credit enhancement (CE) does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels in the stressed portfolio would result in an upgrade of up to five notches, depending on the notes; -- Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the case of better than expected portfolio credit quality and deal performance that leads to higher CE and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. AVOCA CLO XXVI: Fitch Gives Final 'B-(EXP)' Rating on Class F Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Avoca CLO XXVI DAC, as detailed below. The assignment of final ratings is contingent on the final documents conforming to information already received. DEBT RATING ---- ------ Avoca CLO XXVI DAC A LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT B-(EXP)sf Expected Rating TRANSACTION SUMMARY Avoca CLO XXVI 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 issuance will be used to fund a portfolio with a target par of EUR400 million. The portfolio will be actively managed by KKR Credit Advisors (Ireland) Unlimited Company. The collateralised loan obligation (CLO) will have a 4.5-year reinvestment period and an 8.5-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 of the identified portfolio is 25.85. 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 of the identified portfolio is 62.55%. Diversified Portfolio (Positive): The indicative maximum exposure of the 10 largest obligors for assigning the expected ratings is 20% of the portfolio balance and fixed-rate obligations are limited to 10% of the portfolio. The transaction also includes various concentration limits, including the 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 4.5-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Neutral): The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant, to account for structural and reinvestment conditions after the reinvestment period, including the OC tests and Fitch's 'CCC' limitation passing after reinvestment, among other things. Combined with loan pre-payment expectations this ultimately reduces the maximum possible risk horizon of the portfolio. 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 five 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. DATA ADEQUACY Avoca CLO XXVI DAC The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. CIFC EURO I: Fitch Affirms B- Rating on Class F Notes ----------------------------------------------------- Fitch Ratings has upgraded CIFC European Funding CLO I DAC's class E notes and affirmed the A-R to D-R, and F notes. The class E and F notes have been removed from Under Criteria Observation (UCO). The Outlook for all classes is Stable. DEBT RATING PRIOR ---- ------ ----- CIFC European Funding CLO I DAC A-R XS2370635463 LT AAAsf Affirmed AAAsf B-1-R XS2370636271 LT AAsf Affirmed AAsf B-2-R XS2370636867 LT AAsf Affirmed AAsf C-R XS2370638301 LT Asf Affirmed Asf D-R XS2370638566 LT BBB-sf Affirmed BBB-sf E XS2020693987 LT BBsf Upgrade BB-sf F XS2020694100 LT B-sf Affirmed B-sf TRANSACTION SUMMARY CIFC European Funding CLO I DAC is a cash flow collateral loan obligation (CLO) mostly comprising senior secured obligations. The transaction is actively managed by CIFC CLO Management II LLC and will exit its reinvestment period on 15 January 2024. KEY RATING DRIVERS CLO Criteria Update and Cash Flow Modelling: The upgrade of the class E notes mainly reflects the impact of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria and the shorter risk horizon incorporated in Fitch's stressed portfolio analysis. The analysis considered modelling results for the current and stressed portfolios based on a trustee report as of 5 January 2022. The rating actions are based on Fitch's updated stressed portfolio analysis, which applied the agency's collateral quality matrix specified in the transaction documentation. The transaction has four Fitch collateral quality matrices based on 15% and 20% top 10 obligor concentration limits, and 0% and 7.5% fixed-rate obligation limits. Fitch's analysis was based on the two matrices specifying the 15% top 10 obligor concentration limit as the agency considered these as the most relevant, based on current and historical portfolios for this CLO. The weighted average life (WAL) used for the transaction's stressed portfolio and matrices analysis is reduced to 6.3 years after a 12-month reduction from the WAL covenant. This is to account for structural and reinvestment conditions after the reinvestment period, including the satisfaction of the coverage tests and Fitch's 'CCC' limit tests, together with a progressively decreasing WAL covenant. In the agency's opinion, these conditions reduce the effective risk horizon of the portfolio during stress periods. The Stable Outlook on the class A-R to F notes reflects Fitch's expectation of sufficient credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with their ratings. Deviation from Model-Implied Ratings: The rating of the class E note is one notch below its model-implied ratings. The deviation reflects the remaining reinvestment period until January 2024 during which the portfolio can change significantly as a result of reinvestment or negative portfolio migration. Stable Asset Performance: The transaction's metrics indicate stable asset performance. As of the 5 January 2022 trustee report, the aggregate portfolio amount, was 0.68% below the original target par amount. The transaction passed all collateral-quality, coverage and portfolio-profile tests. Exposure to assets with a Fitch-derived rating of 'CCC+' and below (excluding non-rated assets) is 3.2% as calculated by the trustee. 'B' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors at the 'B' level. The weighted average rating factor as calculated by the trustee was 24.01, which is below the maximum covenant of 26. High Recovery Expectations: Senior secured obligations comprise 98.4% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is 13.62%, and no obligor represents more than 1.52% of the portfolio balance as calculated by Fitch. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the recovery rate (RRR) by 25% at all rating levels in the stressed portfolio would result in downgrades of up to four notches, depending on the notes. -- Downgrades may occur if the build-up of the notes' credit enhancement (CE) following amortisation does not compensate for a larger loss expectation than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels in the stressed portfolio would result in upgrades of up to five notches, depending on the notes. -- Except for the tranches rated at the highest 'AAAsf', upgrades may occur in case of better-than- expected portfolio credit quality and deal performance, and continued amortisation that leads to higher CE and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY CIFC European Funding CLO I DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. CVC CORDATUS XV: Fitch Affirms B- Rating on Class F Notes --------------------------------------------------------- Fitch Ratings has affirmed CVC Cordatus Loan Fund XV DAC's notes. The class E and F notes have been removed from Under Criteria Observation (UCO). The Outlooks are Stable. DEBT RATING PRIOR ---- ------ ----- CVC Cordatus Loan Fund XV DAC A-R XS2382262793 LT AAAsf Affirmed AAAsf B-1-R XS2382262959 LT AAsf Affirmed AAsf B-2-R XS2382263171 LT AAsf Affirmed AAsf C-R XS2382263338 LT Asf Affirmed Asf D-R XS2382263502 LT BBB-sf Affirmed BBB-sf E XS2025846671 LT BB-sf Affirmed BB-sf F XS2025847216 LT B-sf Affirmed B-sf X XS2025843496 LT AAAsf Affirmed AAAsf TRANSACTION SUMMARY CVC Cordatus Loan Fund XV DAC is a cash flow CLO comprising mostly senior secured obligations. The transaction is actively managed by CVC Credit Partners European CLO Management LLP and will exit its reinvestment period in February 2024. KEY RATING DRIVERS Cash Flow Modelling: The analysis considered cash flow modelling results for the current and stressed portfolios based on the 31 December 2021 trustee report. The rating actions are based on the current portfolio, as well as Fitch's updated stressed portfolio analysis, which applied the agency's collateral quality matrix specified in the transaction documentation. The transaction has four matrices but Fitch analysed both fixed-rate matrices that correspond to a top 10 obligor concentration at 18%, since the top 10 obligor concentration of the portfolio has been close to or below 18%. The weighted average life (WAL) used for the transaction's stressed portfolio and matrices analysis is floored at six years after a 12-month reduction from the WAL covenant. This is to account for structural and reinvestment conditions after the reinvestment period, including the satisfaction of the coverage and Fitch 'CCC' limit tests, together with a progressively decreasing WAL covenant. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. The Stable Outlooks on all notes reflect Fitch's expectation of sufficient credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios that are commensurate with the ratings. Furthermore, the transaction is still in its reinvestment period and no deleveraging is expected. Stable Asset Performance: The transaction's metrics indicate stable asset performance. According to the trustee report, the transaction is approximately 0.83% below par and is passing all coverage, collateral quality and portfolio profile tests. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors at 'B'/'B-'. The weighted average rating factor (WARF) as calculated by the trustee was 24.85, which is below the maximum covenant of 28.00. High Recovery Expectations: Senior secured obligations comprise 98.4% of the portfolio as calculated by the trustee. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate reported by the trustee was 63%, against a minimum covenant at 58.3%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is 16.43%, and no obligor represents more than 2.09% of the portfolio balance, as reported by the trustee. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the rating default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the rating recovery rate (RRR) by 25% at all rating levels in the stressed portfolio will result in downgrades of up to five notches, depending on the notes. -- Downgrades may occur if the build-up of the notes' credit enhancement (CE) does not compensate for a larger loss expectation than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels in the stressed portfolio would result in upgrades of up to five notches, depending on the notes. -- Except for the tranche already at the highest 'AAAsf' rating, upgrades may occur in the case of better than expected portfolio credit quality and deal performance that leads to higher CE and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY CVC Cordatus Loan Fund XV DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. CVC CORDATUS XVI: Fitch Raises Class F Notes Rating to 'B' ---------------------------------------------------------- Fitch Ratings has upgraded CVC Cordatus Loan Fund XVI DAC's class D to F notes and affirmed the others. The class B through F notes have been removed from Under Criteria Observation (UCO). The Outlook for all classes is Stable. DEBT RATING PRIOR ---- ------ ----- CVC Cordatus Loan Fund XVI DAC A-1 XS2078646093 LT AAAsf Affirmed AAAsf A-2 XS2078646689 LT AAAsf Affirmed AAAsf B XS2078647497 LT AAsf Affirmed AAsf C-1 XS2078647901 LT Asf Affirmed Asf C-2 XS2078648545 LT Asf Affirmed Asf D XS2078649436 LT BBBsf Upgrade BBB-sf E XS2078649782 LT BBsf Upgrade BB-sf F XS2078650103 LT Bsf Upgrade B-sf X XS2078646176 LT AAAsf Affirmed AAAsf TRANSACTION SUMMARY CVC Cordatus Loan Fund XVI DAC is a cash flow collateralised loan obligation (CLO) mostly comprising senior secured obligations. The transaction is actively managed by CVC Credit Partners European CLO Management LLP and will exit its reinvestment period in June 2024. KEY RATING DRIVERS CLO Criteria Update and Cash-flow Modelling: The rating actions mainly reflect the impact of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria and the shorter risk horizon incorporated in Fitch's updated stressed portfolio analysis. The analysis considered cash flow modelling results for the current and stressed portfolios based on a trustee report published on 7 December 2021. The rating actions are based on Fitch's updated stressed portfolio analysis, which applied the agency's collateral quality matrix specified in the transaction documentation. The transaction has four matrices yet Fitch analysed both fixed-rate matrices that corresponds to a top 10 obligor concentration at 15.0% since the top 10 obligor concentration of the portfolio has been closer to 15.0%. In analysing the matrices, the agency applied a 1.5% haircut to the weighted average recovery rate (WARR) to reflect the inflated WARR due to the old recovery rate definition which is not in line with the latest criteria. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is floored at six years post a 12-month reduction from the WAL covenant to account for structural and reinvestment conditions after the reinvestment period, including the satisfaction of the OC tests and Fitch's 'CCC' limit, together with a linearly decreasing WAL covenant. These conditions would in the agency opinion reduce the effective risk horizon of the portfolio during stress period. The Stable Outlooks on all notes reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with the rating. The transaction is still in the reinvestment period so no deleveraging of the transaction is expected. Model-Implied Rating Deviation: The rating of class B to F is one notch below the model-implied rating. The deviation reflects the remaining reinvestment period till June 2024 during which the portfolio can change significantly due to reinvestment or negative portfolio migration. Stable Asset Performance: The transaction metrics indicate stable asset performance. Apart from a small failure of the weighted average spread test, the transaction is passing all coverage tests, collateral quality tests, and portfolio profile tests. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is 2.86% excluding non-rated assets as calculated by Fitch. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors in the 'B'/'B-' category. The weighted average rating factor (WARF) as calculated by the trustee was 33.53, which is below the maximum covenant of 34.0. The WARF, as calculated by Fitch under the updated criteria, was 24.58. High Recovery Expectations: Senior secured obligations comprise about 99% of the portfolio as calculated by the trustee. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch WARR reported by the trustee was 64.5%, against the covenant at 64.3%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is at about 14.98%, while the largest obligor represents about 1.9% of the portfolio balance, as reported by the trustee. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the rating default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the rating recovery rate (RRR) by 25% at all rating levels in the stressed portfolio will result in downgrades of up to three notches, depending on the notes. -- Downgrades may occur if the build-up of the notes' credit enhancement (CE) does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels in the stressed portfolio would result in an upgrade of up to five notches, depending on the notes. -- Except for the tranche already at the highest 'AAAsf' rating, upgrades may occur in the case of better than expected portfolio credit quality and deal performance that leads to higher CE and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY CVC Cordatus Loan Fund XVI DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. DRYDEN 73 EURO 2018: Fitch Affirms B- Rating on Class F Notes ------------------------------------------------------------- Fitch Ratings has upgraded Dryden 73 Euro CLO 2018 B.V. 's class D and E notes and affirmed the others. The class B-1 through F notes have been removed from Under Criteria Observation (UCO). The Outlooks are Stable. DEBT RATING PRIOR ---- ------ ----- Dryden 73 Euro CLO 2018 B.V. A-1 XS2063331974 LT AAAsf Affirmed AAAsf A-2 XS2063332600 LT AAAsf Affirmed AAAsf B-1 XS2063333244 LT AAsf Affirmed AAsf B-2 XS2063333913 LT AAsf Affirmed AAsf C-1 XS2063334481 LT Asf Affirmed Asf C-2 XS2063335298 LT Asf Affirmed Asf D XS2063335702 LT BBBsf Upgrade BBB-sf E XS2063336429 LT BBsf Upgrade BB-sf F XS2063336346 LT B-sf Affirmed B-sf TRANSACTION SUMMARY Dryden 73 Euro CLO 2018 B.V. is a cash flow CLO mostly comprising senior secured obligations. The transaction is actively managed by PGIM Limited and will exit its reinvestment period in July 2024. KEY RATING DRIVERS CLO Criteria Update: The rating actions mainly reflect the impact of Fitch's recently updated CLOs and Corporate CDOs Rating Criteria and the shorter risk horizon incorporated in Fitch's updated stressed portfolio analysis. The analysis considered cash flow modelling results for the current and stressed portfolios based on the 31 December 2021 trustee report. Fitch's updated analysis applied the agency's collateral quality matrices specified in the transaction documentation. The transaction has four matrices, based on 20% and 25% top 10 obligor concentration limits and 0% and 20% fixed-rate collateral limits. Fitch analysed the matrices specifying the 25% top 10 obligor limit as the agency viewed this as the most rating relevant. When analysing the matrices, Fitch applied a haircut of 1.5% to the weighted average recovery rate (WARR) as the calculation in the transaction documentation is not in line with the latest CLO criteria. The Stable Outlooks on all classes reflect Fitch's expectation that they have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with the rating. Deviation from Model-implied Ratings: With the exception of the class A and F notes, the notes' ratings are one notch below their respective model-implied ratings. The deviations reflect the remaining reinvestment period until July 2024, during which the portfolio can change significantly, due to reinvestment or negative portfolio migration. Stable Asset Performance: The transaction metrics indicate stable asset performance. The transaction is passing all coverage tests, collateral quality tests, and portfolio profile tests. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is 2.8% excluding non-rated assets, as calculated by the trustee. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors in the 'B'/'B-' category. The weighted average rating factor (WARF), as calculated by the trustee, was 33.9, which is below the maximum covenant of 34.0. The WARF, as calculated by Fitch under the updated criteria, was 25.5. High Recovery Expectations: Senior secured obligations comprise 91.2% of the portfolio as calculated by the trustee. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch WARR reported by the trustee was 61.6%, against the covenant at 61.5%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is 21.3%, and no obligor represents more than 3.0% of the portfolio balance, as reported by the trustee. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the recovery rate (RRR) by 25% at all rating levels in the stressed portfolio would result in downgrades of up to four notches, depending on the notes. -- Downgrades may occur if the build-up of the notes' credit enhancement (CE) following amortisation does not compensate for a larger loss expectation than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels in the stressed portfolio would result in upgrades of up to five notches, depending on the notes. -- Except for the tranches at the highest 'AAAsf' rating, upgrades may occur in case of better-than- expected portfolio credit quality and deal performance that leads to higher CE and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Dryden 73 Euro CLO 2018 B.V. Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. PENTA CLO 3: Fitch Puts 'B-' Rating on F Notes on Watch Evolving ---------------------------------------------------------------- Fitch Ratings has removed Penta CLO 3 DAC from Under Criteria Observation (UCO), placed the class B to F notes on Rating Watch Evolving (RWE) and affirmed the class A notes with Stable Outlook. DEBT RATING PRIOR ---- ------ ----- Penta CLO 3 DAC A XS1692079509 LT AAAsf Affirmed AAAsf B XS1692080184 LT AAsf Rating Watch On AAsf C XS1692081075 LT Asf Rating Watch On Asf D XS1692081588 LT BBBsf Rating Watch On BBBsf E XS1692082479 LT BB-sf Rating Watch On BB-sf F XS1692082636 LT B-sf Rating Watch On B-sf TRANSACTION SUMMARY Penta CLO 3 DAC is a cash flow CLO comprising mostly senior secured obligations. The transaction has exited its reinvestment period but it has not started to amortise yet. The asset manager is Partners Group (UK) Management Limited. The transaction is being reset. On the reset closing date, new notes will be issued and the proceeds will be used to redeem the existing rated notes. KEY RATING DRIVERS Transaction Under Reset: Fitch has placed the class B to F notes on RWE as the transaction reset is scheduled to close on the 23 March 2022. If the transaction reset is executed, the existing rated notes will be paid in full. Otherwise Fitch may upgrade the ratings when it resolves the RWE within six months, due to the impact of its recently updated CLOs and Corporate CDOs Rating Criteria. Reinvestment Period Ended: The transaction's reinvestment period ended in October 2021. The transaction is not passing the weighted average life (WAL) test, so the manager is not allowed to reinvest unscheduled collateral amortisation, credit-impaired or credit-improved sales. Broadly Stable Asset Performance: The portfolio has net par losses of 1.4% as of the latest available investor report. All coverage tests are passing. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is 4.9%, compared with the 7.5% limit. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors in the 'B'/'B-' category. The weighted average rating factor (WARF) as calculated by the trustee was 34.4, which is within the maximum covenant of 35.0. The WARF as calculated by Fitch under the latest criteria is 26.5. High Recovery Expectations: Senior secured obligations comprise 99.8% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is 13.4%, and no obligor represents more than 1.8% of the portfolio balance. Cash Flow Modelling: Fitch used a customised proprietary cash flow model to replicate the principal and interest waterfalls and the various structural features of the transaction, and to assess their effectiveness, including the structural protection provided by excess spread diverted through the par value and interest coverage tests. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- 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: -- If the reset is closed, the existing rated notes will be paid in full, otherwise the class B to F notes may be upgraded when Fitch resolves the RWE within six months. -- After the end of the reinvestment period, 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. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Penta CLO 3 DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. TORO EUROPEAN 6: Fitch Affirms B- Rating on Class F Notes --------------------------------------------------------- Fitch Ratings has affirmed all classes of notes in Toro European CLO 6 DAC. The class B-1, E and F notes have been removed from Under Criteria Observation, and all Rating Outlooks are Stable. DEBT RATING PRIOR ---- ------ ----- Toro European CLO 6 DAC A-R XS2376114976 LT AAAsf Affirmed AAAsf B-1 XS2027426969 LT AA+sf Affirmed AA+sf B-2-R XS2376115437 LT AA+sf Affirmed AA+sf C-R XS2376115783 LT Asf Affirmed Asf D-R XS2376115866 LT BBB-sf Affirmed BBB-sf E XS2027431027 LT BB-sf Affirmed BB-sf F XS2027431290 LT B-sf Affirmed B-sf TRANSACTION SUMMARY Toro European CLO 6 DAC is a cash flow CLO comprised of mostly senior secured obligations. The transaction is actively managed by Chenavari Credit Partners LLP and will exit its reinvestment period in January 2024. KEY RATING DRIVERS Cash Flow Modelling: The analysis considered cash flow modelling results for the current and stressed portfolio based on the Jan. 4, 2022 trustee report. The transaction has four matrices, based on 15% and 26.5% top 10 obligor limits and 0% and 10% fixed-rate assets. Fitch analyzed the matrices specifying the 15% top 10 obligor limit and 0% and 10% fixed-rate assets as the agency viewed these as the most rating relevant. The ratings assigned to all notes are in line with the model-implied ratings. The Stable Outlooks on all classes reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with such class's rating. Stable Asset Performance: The transaction metrics indicate stable asset performance. The transaction is passing all coverage tests, collateral quality tests, and portfolio profile tests. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is 3.8% excluding non-rated assets, as calculated by Fitch. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors in the 'B' category. The Fitch weighted average rating factor (WARF), as calculated by the trustee, was 25.1, which is below the maximum covenant of 27.0. High Recovery Expectations: Senior secured obligations comprise 96.7% of the portfolio as calculated by the trustee. Fitch views the recovery prospects for these assets as more favorable than for second-lien, unsecured and mezzanine assets. The Fitch weighted-average recovery rating reported by the trustee was 61.4%, against the covenant at 58.3%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is 15.0%, and no obligor represents more than 2.3% of the portfolio balance, as reported by the trustee. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase of the rating default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the rating recovery rate (RRR) by 25% at all rating levels in the stressed portfolio will result in downgrades of up to four notches, depending on the notes; -- Downgrades may occur if the build-up of the notes' credit enhancement (CE) does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels in the stressed portfolio would result in an upgrade of up to five notches, depending on the notes; -- Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the case of better than expected portfolio credit quality and deal performance that leads to higher CE and excess spread available to cover losses in the remaining portfolio. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Toro European CLO 6 DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. =================== K A Z A K H S T A N =================== SB ALFA-BANK: S&P Puts 'BB' LongTerm ICR on Watch Negative ---------------------------------------------------------- S&P Global Ratings placed its 'BB' long term issuer credit rating and 'kzA+' national scale rating on SB Alfa-Bank JSC on CreditWatch with negative implications. At the same time, S&P affirmed its 'B' short-term issuer credit rating on the bank. On Feb. 28, 2022, S&P Global Ratings lowered its long- and short-term ratings on Russian-based Alfa-Bank JSC and its holding company ABH Financial Ltd., following a similar action on Russia. S&P also placed the ratings on CreditWatch with negative implications on increased geopolitical and economic risks. S&P expects that any benefits SB Alfa-Bank JSC (ABK) receives via extraordinary support from immediate Russian parent Alfa-Bank JSC, or any other Alfa Banking group member, could narrow. S&P said, "We expect that ABK will be hit by the deterioration in Alfa Banking Group's overall creditworthiness. ABK is the Kazakhstan-based subsidiary of Alfa Banking Group, which provides banking services predominantly in Russia, Kazakhstan, and Ukraine, while Luxembourg-based holding company ABH Holdings S.A. is its ultimate parent. Following our rating action on Russia, we lowered our long- and short-term ratings on Russia-based Alfa-Bank JSC to 'BB+/B' from 'BBB-/A-3' and long-term ratings on its holding company ABH Financial Ltd. to 'BB-' from 'BB+'. We also placed our long-term ratings on Alfa-Bank JSC and ABH Financial Ltd. on CreditWatch with negative implications due to increased geopolitical and economic risks. We expect that potential deterioration in the group's creditworthiness, which is mostly spurred by Alfa-Bank JSC (85% of total group assets), will affect ABK due to reduced benefits from extraordinary group support." CreditWatch S&P said, "The CreditWatch negative placement reflects our opinion that increased geopolitical and economic risks in Russia will weigh on the overall creditworthiness of Alfa Banking Group and its subsidiaries, including ABK. In turn, we see a high likelihood of a negative rating action on ABK. "We aim to resolve the CreditWatch once we have more clarity on the full macroeconomic repercussions of the sanctions against Russia and related entities and the evolution of the geopolitical conflict, including visibility on the risk of new restrictions." VTB BANK (KAZAKHSTAN): S&P Suspends Issuer Credit Ratings --------------------------------------------------------- S&P Global Ratings lowered its long-term issuer credit rating on VTB Bank (Kazakhstan) to 'BB' from 'BB+', lowered its national scale rating to 'kzA+' from 'kzAA', placed the ratings on CreditWatch with negative implications, and suspended them. S&P also placed its 'BB/B' long- and short-term issuer credit ratings on VTB Bank (Georgia) on CreditWatch with negative implications and suspended them. The U.S. Department of the Treasury's Office of Foreign Assets Control (OFAC) introduced sanctions against VTB Bank JSC and its subsidiaries, including VTB Bank (Georgia) and VTB Bank (Kazakhstan), on Feb. 24, 2022. On Feb. 28, 2022, S&P Global Ratings lowered its long- and short-term issuer credit ratings on VTB Bank JSC to 'BB+/B' from 'BBB-/A-3, placed the ratings on CreditWatch with negative implications, and suspended the ratings. The CreditWatch negative placement at the time of suspension reflects S&P's view that the sanctions could have a negative effect on the financial profiles of the rated banks. OFAC's inclusion of VTB Bank (Georgia) and VTB Bank (Kazakhstan) in its Specially Designated Nationals and Blocked Persons (SDN) list could materially affect the banks' operations and financial profile. S&P therefore placed the ratings on both banks on CreditWatch with negative implications and suspended them. S&P will consider the suspension status of the ratings of the banks and might reinstate them if the OFAC sanctions are lifted, all else being equal. ===================== N E T H E R L A N D S ===================== VODAFONEZIGGO GROUP: S&P Affirms 'B+' LT ICR, Outlook Stable ------------------------------------------------------------ S&P Global Ratings affirmed its 'B+' long-term issuer credit rating on cable and telecom firm VodafoneZiggo Group B.V. (VodafoneZiggo). The stable outlook reflects S&P's expectation that continued solid operating performance by VodafoneZiggo will result in adjusted leverage of about 5.6x-5.8x and free operating cash flow (FOCF) to debt (adjusted for vendor financing) of about 5%-6% in 2022. S&P raised the SACP on VodafoneZiggo to 'b+' on sustained leverage below 6x and relatively healthy FOCF generation. VodafoneZiggo's S&P Global Ratings-adjusted leverage was about 5.8x and its FOCF to debt (adjusted for vendor financing) was about 6.5% in 2021. This was supported by revenue growth of 1.9%, thanks to significant mobile customer base growth and average revenue per user (ARPU) stabilization, continued strong fixed business-to-business (B2B) revenue growth, and a broadly stable underlying EBITDA margin (before exceptional items) and capital expenditure (capex). S&P said, "We expect continued gradual improvement in leverage for 2022 supported by mobile and fixed business-to-business (B2B) growth. We forecast that VodafoneZiggo's adjusted leverage will reduce slightly to 5.6x-5.8x, thanks to modest revenue growth of just above 1% and a broadly stable adjusted EBITDA margin of about 48%. The slightly lower revenue growth reflects our assumption of lower mobile revenue growth and continued decline in the fixed line customer base (albeit softer than in 2021) because of tough competition from Koninklijke KPN N.V. We forecast that VodafoneZiggo's FOCF to debt (adjusted for vendor financing) will reduce but still remain relatively healthy, at about 5%-6%. The reduction will stem from an increase in property and equipment (P&E) additions to 22%-24% of revenue, from 20.5% in 2021, reflecting accelerated investment in fixed (DOCSIS3.1) and mobile (5G) capacity and customer premises equipment (set-top boxes). The investments are intended to help VodafoneZiggo to maintain its network advantage and reduce its fixed-line customer churn. We think VodafoneZiggo's P&E additions could remain broadly stable in the medium term, or reduce only slightly, with capex intensity maintained at a level similar to that of KPN. A fairly prudent financial policy also supports the improved SACP. VodafoneZiggo's net total covenant leverage ratio of 4.42x at the end of 2021, down from 4.65x a year earlier, was below its 4.5x-5.0x target range thanks to a strong recent operating performance. S&P thinks that it could remain below the target range in 2022, or rise to only modestly within the range, based on VodafoneZiggo's financial guidance. This points to an extended prudent financial policy track record, with shareholder distributions consistently funded by relatively healthy free cash flow generation rather than additional debt. S&P said, "Within the current rating we no longer incorporate one notch of group support.With a 'b+' SACP, our VodafoneZiggo long-term issuer credit rating is capped at one notch below our 'BB-' rating on Liberty Global, because we view VodafoneZiggo as a moderately strategic subsidiary of Liberty Global. We do not apply a notch of group support from our 'BBB' rating on Vodafone Group, because we view Vodafone as having a limited willingness to independently support VodafoneZiggo (without corresponding support from Liberty Global), if needed. "The stable outlook reflects our expectation that continued solid operating performance by VodafoneZiggo will result in adjusted leverage of about 5.6x-5.8x and FOCF to debt (adjusted for vendor financing) of about 5%-6% in 2022. "We could raise the rating if VodafoneZiggo reduces its adjusted leverage to about 5x, while maintaining FOCF to debt (adjusted for vendor financing) above 5%. This would likely require a more conservative financial policy and potentially a partial IPO. "Alternatively, we could raise the rating if we revised upward our view of the strategic importance of VodafoneZiggo to either of its owners, for example following a buyout or ownership change. "We could lower the SACP if VodafoneZiggo's adjusted leverage increases sustainably above 6x, or its FOCF to debt (adjusted for vendor financing) falls to a low-single-digit percentage, for example due to tough competition from KPN and T-Mobile, elevated capex needs, or aggressive shareholder returns. For this to translate to ratings downside, we would also need to revise downward our view of the strategic importance of VodafoneZiggo to Liberty Global." ESG credit indicators: E-2, S-2, G-2 =========== R U S S I A =========== BANK OTKRITIE: Moody's Withdraws 'Ba2' LongTerm Deposit Ratings --------------------------------------------------------------- Moody's Investors Service has withdrawn the following ratings of Bank Otkritie Financial Corporation PJSC: Long-term Bank Deposit Ratings of Ba2 Short-term Bank Deposit Ratings of Not Prime Senior Unsecured Regular Bond/Debenture of Ba2 Long-term Counterparty Risk Ratings of Ba1 Short-term Counterparty Risk Ratings of Not Prime Long-term Counterparty Risk Assessment of Ba1(cr) Short-term Counterparty Risk Assessment of Not Prime(cr) Baseline Credit Assessment of b1 Adjusted Baseline Credit Assessment of b1 At the time of the withdrawal, the bank's long-term deposit and senior unsecured debt ratings carried a stable outlook and the bank's issuer outlook was also stable. RATINGS RATIONALE Moody's has decided to withdraw the ratings for its own business reasons. NOVIKOMBANK JSCB: Moody's Withdraws Ba3 LongTerm Deposit Ratings ---------------------------------------------------------------- Moody's Investors Service has withdrawn the following ratings of Novikombank JSCB: Long-term Bank Deposit Ratings of Ba3, outlook changed to Rating Withdrawn from Positive Short-term Bank Deposit Ratings of Not Prime Long-term Counterparty Risk Ratings of Ba2 Short-term Counterparty Risk Ratings of Not Prime Long-term Counterparty Risk Assessment of Ba2(cr) Short-term Counterparty Risk Assessment of Not Prime(cr) Baseline Credit Assessment of b2 Adjusted Baseline Credit Assessment of b2 Outlook Actions: Issuer: Novikombank JSCB Outlook, Changed To Rating Withdrawn From Positive At the time of the withdrawal, the bank's long-term deposit ratings carried a positive outlook and the bank's issuer outlook was also positive. RATINGS RATIONALE Moody's has decided to withdraw the ratings for its own business reasons. VEB.RF: S&P Cuts Foreign Currency Ratings to BB+, Suspends Ratings ------------------------------------------------------------------ S&P Global Ratings lowered its long- and short-term foreign currency ratings on Russian state-owned development corporation VEB.RF and VEB-Leasing to 'BB+/B' from 'BBB-/A-3' and its long- and short-term local currency ratings to 'BBB-/A-3' from 'BBB/A-2' and placed all ratings on CreditWatch with negative implications. S&P also suspended the ratings on VEB. S&P Global Ratings previously lowered the long-term foreign currency (FC) sovereign credit rating on Russia to 'BB+' from 'BBB-' and its long-term local currency (LC) rating to 'BBB-' from 'BBB' and placed them on CreditWatch with negative implications on Feb. 26, 2022. The U.S. Department of the Treasury's Office of Foreign Asset Control (OFAC) introduced sanctions against VEB.RF (VEB) and its subsidiaries, including VEB-Leasing, on Feb. 22, 2022, cutting VEB off from the U.S. financial system. S&P said, "We consider VEB as Russia's main development policy tool, whose creditworthiness is linked to that of the sovereign. The downgrade reflects similar actions we took on Russia on Feb. 26, 2022. We base our ratings on VEB on our opinion of its status as a government-related entity (GRE) with an almost certain likelihood of extraordinary support from the Russian government in the event of financial difficulties. Accordingly, we equalize our ratings on VEB with those on Russia." In accordance with S&P's criteria for GREs, its view that there is an almost certain likelihood of extraordinary government support is based on our assessment of VEB's: -- Critical role for Russia as the government's prime public development institution, a role that cannot be readily undertaken by a private entity; and -- Integral link with Russia. This is because of VEB's unique status as a state corporation operating under an institution-specific law, with strong oversight from the federal government, the key members of which are on the supervisory board. All of VEB's strategic decisions are made with the approval of the supervisory board. Also, the government has a proven track record of providing timely support to VEB in all circumstances, including through annual direct capital injections to VEB and a budgeted commitment for further injections. S&P suspended its ratings on VEB and VEB-Leasing because they have been included on OFAC's sanctions list. S&P will consider the suspension status of the ratings on VEB and VEB-Leasing and might reinstate them if the OFAC sanctions are lifted, all else being equal. [*] Moody's Reviews 18 Russian Sub-Sovereign Ratings for Downgrade ------------------------------------------------------------------ Moody's Investors Service, on March 1, 2022, placed on review for downgrade the ratings of sixteen Russian regions and cities and two government-related issuers. This rating action follows the potential weakening of Russia's credit profile as captured by the placement on review for downgrade of the sovereign government bond rating (Baa3) on February 25, 2022, which was triggered by Russia's further military operation in Ukraine. The decision to place Sub-sovereign ratings on review for downgrade reflects the potential deterioration of their credit profiles due to economic, financial and institutional linkages with the federal government. Specifically, Moody's has placed on review for downgrade the ratings of the cities of Moscow and St. Petersburg, SUE Vodokanal of St. Petersburg, OJSC "Western High-Speed Diameter", Moscow Oblast, Republic of Bashkortostan, Republic of Tatarstan, Autonomous-Okrug (region) of Khanty-Mansiysk, Samara Oblast, Chuvashia Republic, Krasnoyarsk Krai, Krasnodar Krai, Komi Republic, Oblast of Omsk, Oblast of Nizhniy Novgorod, City of Krasnodar, City of Omsk, City of Volgograd. The review will focus on the impact of growing systemic risks on Russian sub-sovereigns. During the review period, Moody's will evaluate the scale of the economic impact of the conflict and subsequent sanctions, significant and lasting negative changes in sub-sovereigns' cost of funding and market access, and the size and timeliness of potential financial support from the central government. RATINGS RATIONALE / FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS RATIONALE FOR INITIATING THE REVIEW FOR DOWNGRADE ON 16 REGIONAL AND LOCAL GOVERNMENTS' (RLGs') RATINGS The decision to place these ratings on review for downgrade reflects the potential deterioration of their credit profiles due to the economic, financial and institutional linkages with the federal government. Moody's will assess to which extent the conflict and related sanctions will negatively impact RLGs through lower corporate and personal income taxes and heightened spending pressure. Many regions' economic activity is concentrated in particular sectors, such as oil and gas, metal production, financial activities or petrochemicals, that could be directly affected by sanctions. Restrictions to import and export activities could also undermine key local taxpayers' ability to generate revenue and pay taxes, directly affecting RLGs' tax collection. In addition, the recently announced and potentially further sanctions on high-technology imports would impair medium-to long-term growth and diversification potential of local economies of many regions. Furthermore, turbulence on local financial markets would lead to higher borrowing costs for the RLGs and undermine access to market funding. At end-2021, local market funding accounted for 44% of total direct debt of all Russian regions, with the remaining 56% representing budget loans from the central government. Finally, a weaker credit quality for the sovereign would potentially diminish its ability to provide on-going support to the local public sector via transfers (about 25% of total RLG revenues in 2021) and cheap funding through budget loans. RATIONALE FOR INITIATING THE REVIEW FOR DOWNGRADE ON 2 GOVERNMENT RELATED ISSUERS' (GRIs') RATINGS The placement on review down of the Ba1 issuer ratings of SUE Vodokanal of St. Petersburg, and Ba2 senior unsecured rating of OJSC Western High-Speed Diameter reflects their status as government-related issuers that are fully owned by the St. Petersburg government. The review for downgrade of OJSC Western High-Speed Diameter's Ba2 bond rating reflects its link with the City of St. Petersburg and the guarantee that the Russian government provides on its bond principal payments. This guarantee covers overall principal payments and principal acceleration. FOCUS OF THE REVIEW FOR DOWNGRADE FOR ALL 16 RLGs AND 2 GRIs The review will focus on the impact of growing systemic risks on Russian sub-sovereigns, responding promptly to a rapidly evolving situation. Moody's will evaluate the scale of the economic impact of the conflict and subsequent sanctions, significant and lasting negative changes in sub-sovereigns' cost of funding and market access, and the size and timeliness of potential financial support from the central government. In this context, Moody's will also take into account the degree to which Russian sub-sovereigns are able to mitigate economic and financial disruption, via budget flexibility and liquidity buffers. The conclusion of the review will likely follow the conclusion of the review of Russia's sovereign rating. WHAT COULD CHANGE THE RATINGS UP/DOWN Given the review for downgrade, an upgrade of the sub-sovereign ratings is unlikely. Conversely, a downgrade of the sovereign's rating and/or indications of material negative economic or financial impacts on individual sub-sovereign's credit profiles would likely make a downward pressure on their ratings. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS ESG Credit Impact Score for the majority of Russian RLGs is moderately negative (CIS-3), except for the republic of Komi which has a highly negative Credit Impact Score (CIS-4). The CIS-3 reflects moderately negative to highly negative exposure to environmental score (E-3, E-4), low to neutral to highly negative exposure to social risk score (S-2, S-3, S4) and moderately negative exposure to governance score (G-3); combined with a fiscal resilience of RLGs budgets, accumulated liquidity buffers and central government support to address environmental and governance risks. Many Russian RLGs are exposed to environmental risk through carbon transition risk given their reliance on hydrocarbon and petrochemical sectors. In addition, Russian RLGs are also exposed to water management risks, physical climate risk and waste and pollution risk. A growing number of heatwaves and more volatile winter conditions are increasing pressure on the infrastructure and/or agriculture sectors of many Russian RLGs. Exposure to social risks ranges from S-2 for large economic centers which benefit from high labour income, reasonable access to education and health facilities to S-4 for regions with disperse and/or declining population or/and low incomes. Russian RLGs in their majority face moderate social risks from relatively low income levels, unfavourable demographic trends, which limit potential for growth and diversification of the local economies. The influence of governance on Russian RLGs is moderately negative (G-3 issuer profile), in line with assessment of governance in Russia, reflecting risks that are mainly related to weaknesses in the rule of law, property rights and control of corruption, as indicated in relatively low scores on international surveys; mitigated by relatively robust policy effectiveness. The specific economic indicators, as required by UK regulation, are not available for these entities. The following national economic indicators are relevant to the sovereign rating, which was used as an input to this credit rating action. Sovereign Issuer: Russia, Government of GDP per capita (PPP basis, US$): 28,053 (2020 Actual) (also known as Per Capita Income) Real GDP growth (% change): -2.7% (2020 Actual) (also known as GDP Growth) Inflation Rate (CPI, % change Dec/Dec): 4.9% (2020 Actual) Gen. Gov. Financial Balance/GDP: -4% (2020 Actual) (also known as Fiscal Balance) Current Account Balance/GDP: 2.4% (2020 Actual) (also known as External Balance) External debt/GDP: 31.5% (2020 Actual) Economic resiliency: ba1 Default history: At least one default event (on bonds and/or loans) has been recorded since 1983. SUMMARY OF MINUTES FROM RATING COMMITTEE On February 24, 2022, a rating committee was called to discuss the rating of the Bashkortostan, Republic of; Chuvashia, Republic of; Khanty-Mansiysk AO; Komi, Republic of; Krasnodar, City of; Krasnodar, Krai of; Krasnoyarsk, Krai of; Moscow, City of; Moscow, Oblast of; Nizhniy Novgorod, Oblast; OJSC Western High-Speed Diameter; Omsk, City of; Omsk, Oblast of; SUE Vodokanal of St. Petersburg; Samara, Oblast of; St. Petersburg, City of; Tatarstan, Republic of; Volgograd, City of. The main points raised during the discussion were: the systemic risk in which the issuers operate has materially increased. The principal methodology used in rating Moscow, City of, Nizhniy Novgorod, Oblast, St. Petersburg, City of, Moscow, Oblast of, Komi, Republic of, Krasnoyarsk, Krai of, Tatarstan, Republic of, Samara, Oblast of, Bashkortostan, Republic of, Krasnodar, Krai of, Khanty-Mansiysk AO, Chuvashia, Republic of, Omsk, Oblast of, Omsk, City of, Volgograd, City of and Krasnodar, City of was Regional and Local Governments published in January 2018. The weighting of all rating factors is described in the methodology used in this credit rating action, if applicable. RATINGS AFFECTED ON REVIEW FOR DOWNGRADE: Issuer: Bashkortostan, Republic of LT Issuer Rating, Placed on Review for Downgrade, currently Ba1 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba1 Issuer: Chuvashia, Republic of LT Issuer Rating, Placed on Review for Downgrade, currently Ba2 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba2 Issuer: Khanty-Mansiysk AO LT Issuer Rating, Placed on Review for Downgrade, currently Ba1 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba1 Issuer: Komi, Republic of LT Issuer Rating, Placed on Review for Downgrade, currently Ba3 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba3 Issuer: Krasnodar, City of LT Issuer Rating, Placed on Review for Downgrade, currently Ba3 Baseline Credit Assessment, Placed on Review for Downgrade, currently b1 Issuer: Krasnodar, Krai of LT Issuer Rating, Placed on Review for Downgrade, currently Ba2 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba2 LT Issuer Rating, Placed on Review for Downgrade, currently Ba2 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba2 Issuer: Moscow, City of LT Issuer Rating, Placed on Review for Downgrade, currently Baa3 Baseline Credit Assessment, Placed on Review for Downgrade, currently baa3 Issuer: Moscow, Oblast of LT Issuer Rating, Placed on Review for Downgrade, currently Ba1 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba1 Issuer: Nizhniy Novgorod, Oblast LT Issuer Rating, Placed on Review for Downgrade, currently Ba2 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba2 Issuer: OJSC Western High-Speed Diameter Backed Senior Unsecured Regular Bond/Debenture, Placed on Review for Downgrade, currently Ba2 Issuer: Omsk, City of LT Issuer Rating, Placed on Review for Downgrade, currently B1 Baseline Credit Assessment, Placed on Review for Downgrade, currently b2 Issuer: Omsk, Oblast of LT Issuer Rating, Placed on Review for Downgrade, currently Ba3 Baseline Credit Assessment, Placed on Review for Downgrade, currently b1 Issuer: Samara, Oblast of LT Issuer Rating, Placed on Review for Downgrade, currently Ba1 Senior Unsecured Regular Bond/Debenture, Placed on Review for Downgrade, currently Ba1 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba1 Issuer: St. Petersburg, City of LT Issuer Rating, Placed on Review for Downgrade, currently Baa3 Baseline Credit Assessment, Placed on Review for Downgrade, currently baa3 Issuer: SUE Vodokanal of St. Petersburg LT Issuer Rating, Placed on Review for Downgrade, currently Ba1 Issuer: Tatarstan, Republic of LT Issuer Rating, Placed on Review for Downgrade, currently Ba1 Baseline Credit Assessment, Placed on Review for Downgrade, currently ba1 Issuer: Volgograd, City of LT Issuer Rating, Placed on Review for Downgrade, currently B1 Baseline Credit Assessment, Placed on Review for Downgrade, currently b2 Outlook Actions: Issuer: Bashkortostan, Republic of Outlook, Changed To Rating Under Review From Stable Issuer: Chuvashia, Republic of Outlook, Changed To Rating Under Review From Stable Issuer: Khanty-Mansiysk AO Outlook, Changed To Rating Under Review From Stable Issuer: Komi, Republic of Outlook, Changed To Rating Under Review From Stable Issuer: Krasnodar, City of Outlook, Changed To Rating Under Review From Stable Issuer: Krasnodar, Krai of Outlook, Changed To Rating Under Review From Stable Issuer: Krasnoyarsk, Krai of Outlook, Changed To Rating Under Review From Stable Issuer: Moscow, City of Outlook, Changed To Rating Under Review From Stable Issuer: Moscow, Oblast of Outlook, Changed To Rating Under Review From Stable Issuer: Nizhniy Novgorod, Oblast Outlook, Changed To Rating Under Review From Stable Issuer: OJSC Western High-Speed Diameter Outlook, Changed To Rating Under Review From Stable Issuer: Omsk, City of Outlook, Changed To Rating Under Review From Stable Issuer: Omsk, Oblast of Outlook, Changed To Rating Under Review From Stable Issuer: Samara, Oblast of Outlook, Changed To Rating Under Review From Stable Issuer: St. Petersburg, City of Outlook, Changed To Rating Under Review From Stable Issuer: SUE Vodokanal of St. Petersburg Outlook, Changed To Rating Under Review From Stable Issuer: Tatarstan, Republic of Outlook, Changed To Rating Under Review From Stable Issuer: Volgograd, City of Outlook, Changed To Rating Under Review From Stable ========= S P A I N ========= EL CORTE INGLES: Fitch Alters Outlook on 'BB+' LT IDR to Stable --------------------------------------------------------------- Fitch Ratings has revised the Outlook of El Corte Ingles, S.A.'s (ECI) Long-Term Issuer Default Rating (IDR) at 'BB+' to Stable from Negative. The Outlook revision reflects clear signs of a strong rebound in operating performance and Fitch's expectation that funds from operations (FFO) adjusted net leverage will return to below 4.0x in FY23 (ending February 2023). It also acknowledges the group's efforts in optimising the capital structure and ability to manage inflation to recover profitability after the pandemic. The Mutua Madrilena (Mutua) transaction should help accelerate deleveraging towards positive sensitivities as long as proceeds are allocated to debt repayment. The rating reflects ECI's strong market position in Spain, the financial flexibility provided by a largely unencumbered real-estate asset base, enhancement of omni-channel capabilities, comfortable liquidity and early evidence of a successful business optimization strategy. Management is targeting an investment-grade rating, and Fitch believes this is within reach over the next two years provided the group maintains solid focus on cost management to improve profitability, reduces debt and adheres to conservative capital-allocation policies. KEY RATING DRIVERS Positive Signs of Recovery: FY22 trading signals a strong recovery in both top line and profitability after the intermittent closure of ECI's department stores and travel agency during full and partial lockdowns. Fitch expects material recovery of fashion retail supported by the resilient food segment, together with a still impaired travel segment damaged by the intermittent travel restrictions. Fitch expects revenue to reach 80% of pre-pandemic levels in FY23, with EBITDA margin turning positive aided by efficient cost-saving measures. Deleveraging to Accelerate: Fitch expects the disposal of the insurance division to Mutua to release EUR1.1 billion of proceeds for early debt repayment. The transaction is yet to be approved by authorities. It will significantly optimize the financial burden and maturities, which would otherwise depend on additional asset divestments. FFO-adjusted net leverage will remain high for the rating in FY22, but Fitch expects it to return within sensitivities by FY23 as performance normalises. Management has reaffirmed its commitment to attaining an investment-grade rating. Optimisation of Retail Model: ECI's digitalisation was accelerated during the lockdowns and part of its improved online penetration has been retained. The Logitravel merger in the travel agency segment will enhance online capabilities and leisure presence. Fitch believes ECI is in a good position to enter planned new activities such as energy, mobile phone services and home security by leveraging its existing infrastructure, client base, trust, brand, and store footfall. However, Fitch expects this new retail ecosystem to be delayed due to disrupted market conditions, especially in energy. Low but Resilient Profitability: Fitch expects ECI to progressively return to EBITDA margins of around 6.5%, and recover free cash flow (FCF) margins in the low single digits, after capex and dividends. Successful cost efficiencies in personnel and sourcing should moderate pressure from inflation, the impaired travel industry (20% of pre-pandemic revenue) and higher logistics cost linked to online development. Fitch also considers ECI's customer base less sensitive to prices, which is beneficial in an inflationary environment. The group was able to adapt its cost base during the pandemic, absorbing more than 80% of its revenue decline in 2020. Satisfactory Liquidity: ECI has efficiently managed debt maturities and rebuilt its liquidity buffer during the pandemic, by contracting a new state-guaranteed loan and issuing a bond in October 2020 while retaining good access to commercial paper. The group will profit from good cash-conversion capabilities and the ongoing working-capital optimisation. Temporary pressure on liquidity was mitigated by new debt raised in recent months. Flexibility from Real-Estate Portfolio: Fitch still views ECI's monetisation of its non-core real-estate portfolio as a source of potential financial flexibility as it owns a large real-estate portfolio valued at EUR16 billion in 2021. This valuation signals an impairment of EUR1.7 billion, reflecting the adoption of international market valuation methodologies, the closure of stores and ongoing digitalisation. Fitch no longer foresees imminent asset disposals following the Mutua transaction, but Fitch views this portfolio as source of operational flexibility that could be also used as collateral if needed. The group has monetised more than EUR1.1 billion from non-core real estate assets and businesses in the past five years. Largest Department Store in Europe: ECI derives 95% of its revenue from Spain, where it operates the only large department store chain. It has a privileged position due to its product and service offering, long-established brand, loyalty and prime locations. It also has hypermarkets integrated within department stores and a proximity store chain. Its large scale allows it to profitably sell financial products, including consumer loans, to finance purchases, via a 49%-owned joint venture with Banco Santander, S.A. (A-/Stable). ECI operates one leading travel agency in Spain and a small but highly profitable insurance business. DERIVATION SUMMARY ECI's IDR is at the same level as UK-based Marks and Spencer Group plc (BB+/Positive), reflecting similar scale, diversified offer and similar multi-channel capabilities. ECI has been more affected by the pandemic and is significantly more exposed to discretionary spending, although less to online competition. ECI's FFO adjusted net leverage is expected to be higher than M&S's during the progressive normalisation of business trends and margins, but metrics of both companies should converge by FY24. ECI is rated lower than Kohl's Corporation (BBB-/Stable), Falabella S.A. (BBB/Stable) and El Puerto de Liverpool, S.A.B. de C.V. (BBB+/Stable). The main factors for the rating differential are lower profitability and higher leverage, although ECI had similar FCF generation before the pandemic. Until recently ECI was rated above North American peers Dillard's, Inc. (BBB-/Stable) and Macy's Inc. (BBB-/Stable), which were upgraded following exceptionally strong margins in 2021 related to a strong rebound in activity after the lockdowns and a reduction in promotional expenses, which have enabled them to reduce leverage. These two companies had declining EBITDAR margins before the pandemic and were facing fiercer online competition. ECI benefits from lower profit volatility than them due to its dominant market position in Spain with more gradual penetration of e-commerce and its presence in the more resilient food segment. Compared with peers, ECI benefits from the flexibility provided by owning most of its real-estate assets (similar to Dillard's), with an appraisal value of EUR16 billion in 2021. This ownership provides ECI with strong financial and operational flexibility and underpins its solvency through the cycle. KEY ASSUMPTIONS -- EUR1.1 billion in net proceeds received in FY23 from the Mutua transaction, composed of EUR550 million from the divestment of a 50.01% stake in the insurance division and EUR555 million from the sale of treasury shares representing an 8% stake in ECI. -- FY22 revenue growing around 20%, driven by a normalisation of non-food retail sales and a partial recovery of the travel agency division; de-consolidation of the insurance division in FY22. -- Group revenue growth at around 10% in FY23 and 5% in FY24 and FY25, supported by a recovery of the travel agency division in addition to low-single-digit growth at the retail division. -- EBITDA margin (including dividends received from the JVs Financiera ECI and Seguros) above 5.5% in FY22, 6% in FY23 and progressively increasing towards 6.6% by FY25. -- Capex of around EUR330 million in FY22, rebounding to 3% of revenue over FY23-FY25. -- Working-capital inflows of EUR250 million in FY22 followed by modest working-capital inflows from FY23 to FY25. -- Disposals of non-core and real-estate assets of EUR100 million in FY22. -- Acquisition of Sanchez Romero for EUR40 million in FY22. No further net acquisition projected, with any potential acquisitions assumed to be offset by divestments. -- Dividends of EUR30 million in FY22, followed by EUR75 million in FY23 and a 40% payout policy thereafter. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- FFO adjusted net leverage sustainably below 3.3x and total adjusted debt/operating EBITDAR below 3.5x; -- FFO fixed-charge cover sustainably above 4.0x; -- FFO margin sustainably above 7% and continuing positive FCF; -- Maintenance of solid strategy execution along with a conservative financial structure, continuous strengthening of corporate governance and enhanced information disclosures. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- FFO-adjusted net leverage remaining above 3.8x and total adjusted debt/operating EBITDAR above 4.0x by FY24; -- FFO fixed-charge cover below 3.5x by FY23; -- Longer and slower recovery after the pandemic, leading to deterioration in organic sales growth and profit margins, with FFO margin sustainably below 4%; -- Negative FCF margin not compensated with asset disposals or other forms of external support, leading to tightening liquidity. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Non-Financial Corporate issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. LIQUIDITY AND DEBT STRUCTURE Satisfactory Liquidity: Fitch expects that at end-FY22 ECI will have around EUR300 million (EUR358 million at end-1HFY22) in readily available cash, with liquidity supported by an undrawn EUR1.1 billion revolving credit facility maturing in June 2025. In FY22 the company used available cash on hand to reduce its gross debt, including the repayment of its EUR600 million bond at Hipercor level. In FY21 ECI showed good ability to manage debt maturities, raise debt and build a comfortable liquidity buffer to mitigate the impact of the pandemic, In addition, the group retained good access to national commercial paper programmes during the pandemic. ECI has no material new maturities until FY24 and the financial covenant waiver on its bank debt has been extended until February 2022. ECI's liquidity will strengthen substantially in mid-2022 thanks to EUR1.1 billion in net proceeds from the Mutua transaction (to be approved), which Fitch expects to be used to reduce gross debt by advancing the payment of maturities due in later years, including its outstanding Instituto de Credito Oficial (ICO) loan. ISSUER PROFILE El Corte Ingles, SA (ECI) is the largest department store chain in Spain and Europe, operating 88 stores in Spain and two in Portugal. In addition, ECI operates one of the leading retail and B2B travel agencies in Spain. The group offers a broad range of products including fashion, home, culture and leisure and electronics; and it also present in food retail with hypermarkets and an independent proximity supermarket chain. 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 W I T Z E R L A N D ===================== NORD STREAM 2: Insists Hasn't Filed for Insolvency Amid Sanctions ----------------------------------------------------------------- Michael Shields at Reuters reports that Swiss-based Russian gas pipeline operator Nord Stream 2 AG has not filed for insolvency, it said on March 2. "We do not confirm the media reports that Nord Stream 2 has filed for bankruptcy. "The company only informed the local authorities that the company had to terminate contracts with employees following the imposition of U.S. sanctions on the company," Reuters quotes Nord Stream 2 AG as saying in emailed comments. The firm, based in Zug, Switzerland, was considering filing for insolvency, two sources familiar with the situation told Reuters earlier this week, as it attempts to settle claims ahead of a U.S. sanction deadline for entities to stop dealings with it, Reuters relates. Separately, Zug's cantonal economy director, Silvia Thalmann, said that process had not been activated, Reuters notes. "We know that Nord Stream 2 is facing enormous payment difficulties. The company has not until now filed for bankruptcy with the Zug Commercial Registry Office," Ms. Thalmann, as cited by Reuters, said. The 1,230 km (767 mile) Nord Stream 2 pipeline from Russia to Germany had not begun commercial operations as it awaited German certification, Reuters states. That approval process was put on hold last week as a result of the escalating Ukraine crisis, Reuters discloses. =========== T U R K E Y =========== ANADOLU ANONIM: Fitch Lowers Insurer Finc'l Strength Rating to BB- ------------------------------------------------------------------ Fitch Ratings has downgraded Anadolu Anonim Turk Sigorta Sirketi's (Anadolu Sigorta) Insurer Financial Strength (IFS) Rating to 'BB-' from 'BB'. The Outlook is Negative. KEY RATING DRIVERS The downgrade follows Fitch's similar action on Turkey's Long-Term Local-Currency Issuer Default Rating (IDR) on 11 February 2022, and the subsequent downgrades of Turkish banks' ratings. Today's rating action reflects Anadolu Sigorta's substantial exposure to Turkish financial assets and to the wider Turkish economy. The IFS Rating reflects Anadolu Sigorta's most favourable company profile in Turkey, substantial exposure to Turkish assets, notably government bonds and local-bank deposits, and adequate capitalisation. The rating also reflects adequate profitability and reinsurance protection. The downgrade of Turkey's sovereign rating reflects Turkey's increased vulnerabilities in terms of high inflation, low external liquidity and weak policy credibility, which affect Fitch's assessment of 'industry profile and operating environment' (IPOE). Fitch views Anadolu Sigorta's overall company profile as 'most favourable', compared with other Turkish insurers, supported by the company's very strong position in the highly competitive Turkish insurance market. Anadolu Sigorta at end-2021 was the second-largest non-life insurer in Turkey by premium income, with a market share of 12%. Most of Anadolu Sigorta's investment portfolio comprised Turkish government and local banks' bonds and deposits in Turkish banks at end-2021. The company's credit quality is therefore highly correlated with that of the sovereign and of Turkish banks. Fitch estimates that Anadolu Sigorta's risky assets stood at approximately 260% of capital at end-2021. Fitch estimates that Anadolu Sigorta's capitalisation, as measured by Fitch's Prism Factor-Based Model, deteriorated to below 'Adequate' at end-2021, mainly due to a weakening of the credit quality of investments to the 'B' from 'BB' category. The company's regulatory solvency ratio was comfortably above 100% at end-2021. Anadolu Sigorta's overall financial performance remained adequate in 2021, with net income of TRY522 million (2020: TRY461 million). As in prior years, profitability was driven by investment income, while its underwriting result significantly deteriorated as measured by a combined ratio of 126% (2020: 106%). This was driven by worsening performance across most lines of business, especially the motor third-party liability and motor damage amid a return of mobility to pre-pandemic levels and surging inflation and lira depreciation affecting the cost of spare parts. Its fire-and-natural disaster line was also affected by flash floods and wildfires. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Material deterioration in the company's investment quality and business-profile prospects, which could stem from a downgrade of Turkey's Long-Term Local-Currency IDR or major Turkish banks' ratings. Factor that could, individually or collectively, lead to positive rating action /upgrade: -- The Outlook could be revised to Stable if the Outlook on Turkey's Long-Term Local-Currency IDR or major Turkish banks' ratings is revised to Stable. 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. [*] Fitch Cuts Foreign Curr. IDRs on Units of Turkish Banks to 'B' ------------------------------------------------------------------ Fitch Ratings, on Feb. 25, 2022, downgraded the Long-Term Foreign-Currency Issuer Default Ratings (LTFC IDRs) of subsidiaries of Turkish banks to 'B' from 'B+'. The Outlooks are Negative. Fitch has also downgraded the Long-Term Local-Currency (LTLC) IDRs of subsidiaries of foreign-owned banks to 'B+' from 'BB-' and placed the LTLC IDRs of subsidiaries of local private banks on Rating Watch Negative (RWN). The rating actions follow the downgrade of Turkey's sovereign rating on February 11, 2022. Policy-driven financial stress episodes of higher frequency and intensity have increased Turkey's vulnerabilities in terms of high inflation, low external liquidity and weak policy credibility. Fitch does not expect the authorities' policy response to reduce inflation, including FX-protected deposits, targeted credit and capital flow measures, will sustainably ease macroeconomic and financial stability risks. The companies' IDRs are equalised with those of their parents, reflecting Fitch's view that they are core and highly integrated subsidiaries. The Outlooks (and RWN) on the LT IDRs mirror those on the respective parents. Fitch has withdrawn the companies' Support Ratings as they are no longer relevant to the agency's coverage following the publication of its updated Non-Bank Financial Institutions Rating Criteria on January 31, 2022. In line with the updated criteria, Fitch has assigned Shareholder Support Ratings (SSR) of 'b' to the banks' subsidiaries. KEY RATING DRIVERS LT IDRs: Subsidiaries of foreign owned banks: -- Alternatif Finansal Kiralama AS -- Deniz Finansal Kiralama A.S. -- Garanti Faktoring A.S. -- Garanti Finansal Kiralama A.S. -- QNB Finans Finansal Kiralama A.S. -- QNB Finans Faktoring A.S. Subsidiaries of local banks: -- Ak Finansal Kiralama A.S. -- Is Finansal Kiralama A.S. -- Yapi Kredi Faktoring A.S. -- Yapi Kredi Finansal Kiralama A.O. -- Yapi Kredi Yatirim Menkul Degerler A.S. The ratings of the NBFI subsidiaries of Turkish banks reflect their roles in their groups, enhancing the parents' franchises, product offering and growth prospects, and that they are majority owned by their parents (or parent group companies). The subsidiaries offer core products and services (leasing, factoring and investment services) in the domestic Turkish market. The Negative Outlooks (and RWN on the LTLC IDRs of local private banks' subsidiaries) mirror those on the parent banks. These in turn reflect operating environment pressures and the implications of the macroeconomic volatility on the credit profiles of their banking groups. All of the companies in this review share the same branding as their parents, are highly integrated within their banking groups in terms of risk and IT systems, and draw most of their senior management and underwriting practices from parent banks. The subsidiaries benefit from the strong franchises of their parent groups and mostly share the same customer base, with a high share of referrals from their respective groups. In addition, the cost of support would be low as the subsidiaries are small relative to their parents, with total assets not exceeding 5% of group assets (mostly 2%-3%). These factors lead Fitch to believe that the propensity of the parent banks to support their subsidiaries remains very high. TEB Finansman A.S.: TEB Finansman's ratings are driven by potential support from BNP Paribas S.A. (BNPP; A+/Stable). In Fitch's view, BNPP's propensity to support TEB Finansman, is closely aligned with that of support for its sister bank in Turkey, Turk Ekonomi Bankasi (TEB) A.S. (B/Negative). This is based on common brand association between the two and significant reputational damage in the event of a subsidiary default, notwithstanding differences in their respective legal structure. The Outlooks on TEB Finansman's Long-Term IDRs are aligned with that on TEB Bank, and mirrors that on the Turkish sovereign. SSRs AND NATIONAL RATINGS The companies' 'b' SSRs are capped by the respective parents' creditworthiness and hence limited probability of support. National Ratings reflect creditworthiness relative in local currency to other local issuers, which was not affected by the recent downgrade of the sovereign or by the increasing challenges in operating environment. RATING SENSITIVITIES The subsidiaries' ratings are sensitive to changes in the parents' ratings and Fitch's view of the ability and willingness of the parents to provide support in case of need. Factors that could, individually or collectively, lead to negative rating action/downgrade or widening of notching with the parent: -- The Negative Outlooks on the LT IDRs (as well RWN on LTLC IDRs of subsidiaries of local private banks) of the companies in this review mirror those on the parents and therefore are sensitive to further marked deterioration in the operating environment or a sovereign downgrade. -- The ratings could be notched down from their respective parents if the subsidiaries become materially larger relative to the respective banks' ability to provide support; or the subsidiaries' strategic importance is materially reduced, for example, through a substantial reduction in business referrals, levels of operational and management integration, a reduced level of ownership or a prolonged period of underperformance. However, these considerations do not form part of Fitch's base case, given the subsidiaries' small sizes relative to their parents and key roles within their respective groups. -- The LT IDRs are sensitive to negative sovereign rating action, particularly if triggered by further weakening in Turkey's external finances that leads to increased government intervention risk or weaker ability or propensity of support from the respective banking groups. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- The Outlooks on the companies' LT IDRs could be revised in line with the parent banks to Stable, reflecting reduced operating environment risks. -- Upgrades of all the companies' LT IDRs are unlikely in the short term. 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. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The ratings are driven by the support from their respective parents. 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 K R A I N E ============= IR BANK JSC: Moody's Withdraws 'B3' LongTerm Deposit Ratings ------------------------------------------------------------ Moody's Investors Service has withdrawn the following ratings of IR Bank JSC: Long-term Bank Deposit Ratings of B3 Short-term Bank Deposit Ratings of Not Prime Long-term Counterparty Risk Ratings of B2 Short-term Counterparty Risk Ratings of Not Prime Long-term Counterparty Risk Assessment of B2(cr) Short-term Counterparty Risk Assessment of Not Prime(cr) Baseline Credit Assessment of b3 Adjusted Baseline Credit Assessment of b3 NSR Long-term Bank Deposit Rating of Baa1.ua NSR Long-term Counterparty Risk Ratings of A1.ua At the time of the withdrawal, the bank's long-term deposit ratings carried a stable outlook and the bank's issuer outlook was also stable. RATINGS RATIONALE Moody's has decided to withdraw the ratings for its own business reasons. Moody's withdrawal of the bank's follows the National Bank of Ukraine's (NBU) announcement on February 25, 2022 that it decided to revoke the license and liquidate IR Bank JSC, in accordance with the NBU's resolution "On the peculiarities of terminating banks under martial law" from February 24, 2022. KYIV CITY: Moody's Lowers LongTerm Issuer Ratings to 'Caa1' ----------------------------------------------------------- Moody's Investors Service has downgraded the City of Kyiv's and the City of Kharkiv's long-term issuer (domestic and foreign currency) ratings to Caa1 from B3 and placed these ratings on review for further downgrade. Concomitantly Moody's has changed both cities' Baseline Credit Assessments (BCA) to caa1 from b3 and placed them on review for further downgrade. The rating action follows Moody's decision to place on review for downgrade the Ukrainian government's rating of B3 on February 25, 2022. In addition to the tragic loss of life, the decision to downgrade the ratings reflects the devastating effects of the military conflict with Russia on the local economies, including physical damage to infrastructure, a significant and prolonged loss in economic activity and employment, with consequent negative impact on key tax revenue sources and spending pressure for the two cities. The decision to place the ratings of Kyiv and Kharkiv on review for further downgrade reflects the uncertainty about the long-term social and economic damage that the two cities will suffer. Moody's will assess the emerging economic and financial costs for the cities against their fiscal buffers. A sustained conflict would weigh on investments and the restoration of the social and economic normalcy, potentially undermining the cities' credit profile for a prolonged period of time. RATINGS RATIONALE RATIONALE FOR THE RATING DOWNGRADES KYIV AND KHARKIV The military conflict in Ukraine heightens credit risks for Kyiv and Kharkiv. The most relevant direct effects include casualties among the population, physical damage to real estate and infrastructure, loss in economic activity and employment. While it is difficult to assess the long-term impact of the conflict, the two cities will likely face unprecedented challenges to mitigate the social and the economic disruption over the next months. Against this backdrop, the City of Kyiv entered this crisis with a relatively wealthy and diversified economy, strong financial fundamentals and low debt levels at an estimated 17% of operating revenues in 2021, all of which provides some shock absorption capacity. Similarly, the City of Kharkiv displays a relatively developed economy, solid financials and a moderate debt burden at an estimated 45% of operating revenue in 2021. A historically conservative approach to budget spending allowed the city to maintain its budget position close to balance over the last four years. Both cities are exposed to systemic risk from the Ukraine sovereign, which has increased, given their close operational and financial linkages. As such, Kyiv and Kharkiv are (1) highly reliant on tax revenues and intergovernmental revenues, (2) exposed to potential decisions of the central government to protect its own budget at the expense of regional and local governments (3) tighter financing conditions, including market access and refinancing risks. Moody's has changed both cities' Baseline Credit Assessments (BCAs) to caa1 from b3 and placed them on review for further downgrade. The Caa1 ratings also incorporate a low level of extraordinary support from the Ukrainian Government for both the City of Kyiv and the City of Kharkiv. RATIONALE FOR INITIATING THE REVIEW FOR FURTHER DOWNGRADE —KYIV AND KHARKIV— The decision to place the issuer ratings of Kyiv and Kharkiv on review for further downgrade reflects the need to assess the extent to which the conflict leads to sustained economic and fiscal damage for the two cities. Moody's will examine the negative implications from (i) tax reduction caused by losses in the economic activity (ii) increase in spending to mitigate the social and the economic effects of the crisis (iii) tightening external financial conditions, including lack of market access, all of which could affect their liquidity profiles and ultimately debt service capacity. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS KYIV The City of Kyiv's ESG Credit Impact Score is highly negative (CIS-4), reflecting moderately negative exposure to environmental and social risks, along with highly negative governance risk. These exposures are not sufficiently mitigated by financial resilience and federal government support. The E issuer profile score is moderately negative (E-3), reflecting moderate exposure to physical climate risks and natural capital and neutral-to-low risks for most environmental factors. The moderately negative S issuer profile score (S-3) reflects moderately negative risks from most social factors, other than labour and income and education (which score neutral-to-low). The highly negative issuer profile score (G-4) captures the negative risk from Kyiv's overall institutional and governance framework that is improving but still weak. Ukrainian politics across different layers of government in the past decades showed cases of unpredictable decisions, including several defaults, fundamental management changes and overall weak institutional strength. KHARKIV The City of Kharkiv's ESG Credit Impact Score is highly negative (CIS-4), reflecting highly negative exposure to environmental and governance risks, along with moderately negative exposure to social risk. These exposures are not sufficiently mitigated by financial resilience and central government support. The E issuer profile score is highly negative (E-4), reflecting highly negative risks exposure to physical and climate risk including elevated heat stress and significant pressure on municipal water systems. The moderately negative S issuer profile score (S-3) reflects moderately negative risks from most social factors, such as demographics, labour and income, health and safety and access to basic services. The highly negative issuer profile score (G-4) captures the negative risk from Kharkiv's overall institutional and governance framework that is improving but still weak. Ukrainian politics across different layers of government in the past decades showed cases of unpredictable decisions, including several defaults, fundamental management changes and overall weak institutional strength. The specific economic indicators, as required by EU regulation, are not available for City of Kharkiv and City of Kyiv. The following national economic indicators are relevant to the sovereign rating, which was used as an input to this credit rating action. Sovereign Issuer: Ukraine, Government of GDP per capita (PPP basis, US$): 13,129 (2020 Actual) (also known as Per Capita Income) Real GDP growth (% change): -3.8% (2020 Actual) (also known as GDP Growth) Inflation Rate (CPI, % change Dec/Dec): 5% (2020 Actual) Gen. Gov. Financial Balance/GDP: -5.7% (2020 Actual) (also known as Fiscal Balance) Current Account Balance/GDP: 3.4% (2020 Actual) (also known as External Balance) External debt/GDP: [not available] Economic resiliency: b2 Default history: At least one default event (on bonds and/or loans) has been recorded since 1983. SUMMARY OF MINUTES FROM RATING COMMITTEE On February 24, 2022, a rating committee was called to discuss the rating of the Kharkiv, City of and Kyiv, City of. The main points raised during the discussion were: The issuers' economic fundamentals, including its economic strength, have materially decreased. The systemic risk in which the issuers operate has materially increased. FACTORS THAT COULD RESULT IN CONFIRMATION OF THE CURRENT RATINGS Either city's Caa1 rating would likely be confirmed at its current level if disruption arising from the conflict was to be short lived resulting in only limited economic and financial disruption and significant external financial support was provided to shore up the country's and the cities' financing position and operations. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS An upgrade of the two cities' ratings is remote given the review for downgrade. An increasing likelihood of very large and long-lasting economic and social shock, possibly accompanied by a strained liquidity situation, that pointed to an increasing likelihood of default would likely lead to a downgrade. The principal methodology used in these ratings was Regional and Local Governments published in January 2018. KYIV CITY: S&P Lowers Sovereign Credit Rating to B-, On Watch Neg. ------------------------------------------------------------------ S&P Global Ratings, on March 1, 2022, downgraded the Ukrainian capital City of Kyiv to 'B-' from 'B'. The rating was then placed on CreditWatch with negative implications. On Feb. 25, 2022, S&P lowered its long-term sovereign credit rating on Ukraine to 'B-' from 'B' and placed the ratings on CreditWatch negative. As a "sovereign rating" (as defined in EU CRA Regulation 1060/2009 "EU CRA Regulation"), the ratings on the city of Kyiv are subject to certain publication restrictions set out in Art 8a of the EU CRA Regulation, including publication in accordance with a pre-established calendar. Under the EU CRA Regulation, deviations from the announced calendar are allowed only in limited circumstances and must be accompanied by a detailed explanation of the reasons for the deviation. In this case, the deviation was caused by the risk of significant macroeconomic fallout from military intervention in Ukraine and the subsequent sovereign rating action. The next scheduled publication on the city of Kyiv is on April 29, 2022. CreditWatch The CreditWatch placement stems from S&P's view of multiple risks to Ukraine's economy, public finances, and financial and political stability stemming from Russia's military assault. S&P expects to resolve the CreditWatch within 90 days. It could lower the ratings further, even if the sovereign rating remains unchanged, should it expects military actions or their consequences to limit the city's authorities ability to service debt. Rationale The rating action follows S&P's downgrade of Ukraine on Feb. 25, 2022. Under S&P's methodology, a local or regional government (LRG) can be rated higher than its sovereign if it believes that it exhibits certain characteristics, as described in "Criteria | Governments | International Public Finance: Methodology: Rating Non-U.S. Local And Regional Governments Higher Than The Sovereign," published Dec. 15, 2014. These include: -- The LRG's ability to maintain stronger credit characteristics than the sovereign in a stress scenario, such as having predominantly locally derived revenue (that is, a lack of dependence on central government revenue, subsidies, or other government transfers); -- An institutional framework that is predictable, stable, and limits the risk of negative sovereign intervention, such as revenue and expenditure autonomy supported by both constitutional and statutory provisions; and -- The LRG's ability to mitigate negative intervention from the sovereign through high financial flexibility and independent treasury management. S&P does not currently believe that Ukrainian LRGs, including Kyiv, meet these conditions. In accordance with S&P's relevant policies and procedures, the Rating Committee was composed of analysts that are qualified to vote in the committee, with sufficient experience to convey the appropriate level of knowledge and understanding of the methodology applicable. At the onset of the committee, the chair confirmed that the information provided to the Rating Committee by the primary analyst had been distributed in a timely manner and was sufficient for Committee members to make an informed decision. After the primary analyst gave opening remarks and explained the recommendation, the Committee discussed key rating factors and critical issues in accordance with the relevant criteria. Qualitative and quantitative risk factors were considered and discussed, looking at track-record and forecasts. The committee's assessment of the key rating factors is reflected in the Ratings Score Snapshot above. The chair ensured every voting member was given the opportunity to articulate his/her opinion. The chair or designee reviewed the draft report to ensure consistency with the Committee decision. The views and the decision of the rating committee are summarized in the above rationale and outlook. The weighting of all rating factors is described in the methodology used in this rating action. Ratings List DOWNGRADED; CREDITWATCH/OUTLOOK ACTION TO FROM KYIV (CITY OF) Issuer Credit Rating B-/Watch Neg/-- B/Stable/-- [*] Fitch Lowers Foreign Currency IDRs of 7 Ukrainian Banks to CCC- ------------------------------------------------------------------- Fitch Ratings, on March 1, 2022, downgraded the Long-Term Foreign Currency (LTFC) Issuer Default Ratings (IDRs) of seven Ukrainian banks to 'CCC-' from 'B'. The Viability Ratings (VRs) of all banks have been downgraded to 'ccc'. The affected banks are: - JSC CB PRIVATBANK (Privat); - JSC State Savings Bank of Ukraine (Oschadbank); - JSC The State Export-Import Bank of Ukraine (Ukreximbank); - JSB Ukrgasbank (Ukrgas); ProCredit Bank (Ukraine) (PCBU); - Joint Stock Company First Ukrainian International Bank (FUIB); and - JSC Alfa-Bank (ABU). The rating actions follow the downgrade of Ukraine's sovereign ratings to 'CCC' from 'B', reflecting the military invasion by Russia, which has resulted in heightened risks to Ukraine's external and public finances, macro-financial and political stability. The Country Ceiling was also downgraded to 'B-' from 'B'. Rating Withdrawals Fitch has assigned Government Support Ratings (GSRs) to and FUIB and ABU. This follows the withdrawal of FUIB's Support Rating and Support Rating Floor, as they are no longer relevant to the agency's coverage following the publication of its updated Bank Rating Criteria on 12 November 2021, and of ABU's Shareholder Support Rating (SSR), as Fitch believes support from the bank's private shareholders is less certain in the current stress. KEY RATING DRIVERS LTFC IDRs The downgrades of the banks' LTFC IDRs to 'CCC-' from 'B' capture the heightened country and sovereign risks and the potential for an extended period of restrictions on certain operations of the banking system. Capital and exchange controls have been in place since 24 February in order to reduce the risks of deposit and capital outflows. These measures, which include restrictions on cross-border foreign-currency (FC) payments, suspension of the FX market and prohibition of FC cash withdrawals, could help preserve banks' FC buffers and sovereign FX reserves, but also impede the banking sector's ability to service FC obligations, in particular FC deposits. These constraints are reflected in the 'CCC-'IDRs, which is one notch below Ukraine's 'CCC' LT IDR. Our base-case expectation is that existing controls would not prevent banks servicing their external FC obligations. The banking sector's external debt accounted for a low 3% of sector total liabilities at end-2021 (equal to a moderate 6% of sovereign FX reserves) and is largely concentrated at Oschadbank and Ukreximbank. Their next Eurobond repayments are limited in size, and are due on 10 March 2022 (USD35 million for Oschadbank) and on 27 April 2022 (USD34 million for Ukreximbank). Long-Term Local-Currency (LTLC) IDRs The banks' LTLC IDRs have been downgraded to 'CCC', in line with the sovereign LTLC IDR and the banks' 'ccc' VRs. These are one notch higher than the LTFC IDRs due to the limited regulatory restrictions on operations in local currency. The banking sector's LC liquidity management is currently supported by cash withdrawal limits in place, while the National Bank of Ukraine (NBU) is also offering unprecedent LC liquidity support to banks (through unsecured refinancing loans). At end-2021, the sector's highly liquid assets accounted for 22% of total deposits, and unpledged government bonds (which could be at least partly placed with the NBU to raise extra liquidity in hryvnia) were equivalent to a further 54% of total deposits. There had only been moderate deposits outflows by the beginning of the military conflict on February 24. VRs The downgrades of the VRs to 'ccc' reflect the strong correlation between the banks' standalone credit profiles and broader country and sovereign risks. The 'ccc' VRs are one notch higher than the 'CCC-' LTFC IDRs, as in accordance with Fitch's Bank Rating Criteria, the former do not reflect potential regulatory restrictions. Extensive regulatory forbearance granted by the NBU should help banks manage their asset quality and solvency metrics in the near term, although risks to standalone profiles are exceptionally high. GSRs, SSRs The GSRs of state-owned Privat, Oschadbank, Ukreximbank and Ukrgas have been downgraded to 'ccc-' from 'b', reflecting the sovereign downgrade and the impact of the regulatory intervention in FC. In Fitch's view, the propensity of the Ukrainian authorities to provide support to these four banks remains high given their majority ownership by the state and systemic importance. The downgrade of PCBU's SSR to 'ccc-' from 'b' reflects potential constraints on the bank's ability to utilise potential support from its foreign parent, ProCredit Holding AG & Co. KGaA (PCH, BBB/Stable), in particular to service FC obligations. GSRs of ABU and FUIB of 'ns' reflect Fitch's opinion that support from the Ukrainian authorities cannot be relied on. DEBT RATINGS The ratings of the senior unsecured debt of Oschadbank and Ukreximbank, issued by UK-registered SSB No.1 PLC and BIZ Finance PLC, respectively, have been downgraded to 'CCC-' from 'B'. They are aligned with the banks' LTFC IDRs. Ukreximbank's subordinated debt, issued by Biz Finance PLC, has been downgraded to 'CC' from 'CCC'. This is one notch below the bank's 'CCC-' IDR, reflecting likely below-average recoveries in case of default. ABU's senior unsecured debt ratings are aligned with its LTLC IDR and National Rating. NATIONAL RATINGS The National Ratings are unaffected by this rating action. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- The IDRs and VRs of the seven banks are primarily sensitive to changes in the sovereign ratings and to potential operational constraints or regulatory restrictions on the fulfilment of certain obligations. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- The banks' LTFC IDRs could be upgraded on an upgrade of the sovereign IDRs and/or removal of the restrictions on their FC operations. OTHER DEBT AND ISSUER RATINGS: RATING SENSITIVITIES SUBSIDIARIES AND AFFILIATES: RATING SENSITIVITIES VR ADJUSTMENTS The earnings & profitability score of 'ccc' has been assigned below the 'bb' category implied score for Privat and FUIB, due to the following adjustment reasons: earnings stability (negative). 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. Criteria Variation Fitch's view of existing and potential further restrictions on foreign currency payments means Fitch views default risk of Ukrainian banks in FC as slightly higher than their failure risk. As a result, Fitch has capped the LTFC IDRs of the banks at 'CCC-', one notch below their VRs. As such, Fitch has varied its criteria to permit VRs one notch above banks' LTFC IDRs where the latter are not capped by Ukraine's Country Ceiling of 'B-', but rather by Fitch's broader view of potential restrictions on FC payments in the banking system. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The ratings of Privat, Oschadbank, Ukreximbank and Ukrgas are linked to the Ukraine's sovereign ratings. The ratings of PCBU are linked to those of its parent. ESG CONSIDERATIONS Oschadbank and Ukreximbank both have an ESG Governance Structure score of '4', which reflects the high influence of the government over both banks' business operations and strategy development. This has a moderately negative impact on the credit profiles due to governance risks and potential involvement in directed financing, in Fitch's view, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. [*] Moody's Puts 7 Ukrainian Banks Under Review for Downgrade ------------------------------------------------------------- Moody's Investors Service, on March 1, 2022, placed on review for downgrade the long-term ratings and assessments of seven Ukrainian banks following Moody's review for downgrade of Ukraine's B3 sovereign rating on February 25, 2022. Specifically, the following ratings and assessments were affected by the rating action: (1) The long-term bank deposit ratings, Baseline Credit Assessments (BCAs), Counterparty Risk Ratings (CRRs), Counterparty Risk Assessments (CR Assessments) of seven banks (Privatbank, Savings Bank of Ukraine, Ukreximbank, JSC "Raiffeisen Bank", Pivdennyi Bank, JSCB, TASCOMBANK JSC, Bank Vostok PJSC); (2) The long-term senior unsecured debt ratings of two banks (Savings Bank of Ukraine and Ukreximbank); (3) The long-term subordinated debt rating of one bank (Ukreximbank); (4) The National Scale Ratings (NSRs) of five banks (Savings Bank of Ukraine, JSC "Raiffeisen Bank", Pivdennyi Bank, JSCB, TASCOMBANK JSC, Bank Vostok PJSC) A List of Affected Credit Ratings is available at https://bit.ly/3MqKbyW RATINGS RATIONALE / FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The review for downgrade of the seven banks' ratings and assessments reflects Moody's expectations that their ratings will likely be downgraded in case of a downgrade of the sovereign rating, given that most banks have large direct exposure (more than 100% of their shareholders' equity) to the domestic debt issued by the national government, and that this therefore constrains Ukrainian banks' BCAs to the same level as the country's sovereign rating. The rating action also captures Moody's view that a protracted military conflict in Ukraine would heighten liquidity challenges in the banking system, severely disrupt the banks' operating environment and ultimately lead to a significant deterioration in the banks' credit profiles. On February 24, Ukraine declared martial law and the National Bank of Ukraine (NBU) imposed temporary measures impacting the banking system, including restrictions on certain cash transactions to address increasing liquidity challenges facing the banks. A positive rating action on the financial institutions' ratings is currently unlikely, given the review for downgrade. However, their ratings could be confirmed in the event of confirmation of the Ukraine's sovereign debt rating. The ratings could be downgraded in the event of a downgrade of the Ukraine's sovereign debt rating, and/or severe deterioration of the banks' operating environment or credit fundamentals. [*] Moody's Takes Actions on 4 Ukrainian Corporates --------------------------------------------------- Moody's Investors Service, on March 1, 2022, took action on four Ukrainian corporates. The rating actions follow Moody's decision on February 25 to place Government of Ukraine's B3 foreign and domestic currency long-term issuer ratings on review for downgrade. Ukraine's local- and foreign-currency ceilings remain unchanged at B2. Moody's has downgraded to B3 from B2 and placed on review for downgrade the corporate family ratings (CFRs) of the following companies to reflect credit linkages with the Ukraine sovereign: MHP SE (MHP) B3 CFR, B3-PD probability of default rating (PDR) on review for downgrade from B2 stable, B2-PD Baa2.ua national scale rating (NSR) on review for downgrade from A2.ua Ferrexpo plc (Ferrexpo) B3 CFR, B3-PD PDR on review for downgrade from B2 negative, B2-PD Metinvest B.V. (Metinvest) B3 CFR, B3-PD PDR on review for downgrade from B2 stable, B2-PD Baa2.ua NSR on review for downgrade from A1.ua Moody's has placed on review the corporate family ratings (CFRs) of the following company to reflect credit linkages with the Ukraine sovereign: DTEK Energy B.V. (DTEK Energy) Caa3 CFR, Caa3-PD PDR on review for downgrade from Caa3 stable, Caa3-PD The outlooks of the above entities have been changed to ratings under review. A List of the Affected Credit Ratings is available at https://bit.ly/3hsABgJ The rating actions on these corporates were triggered by Russia's (Government of Russia, Baa3 on review for downgrade) further military operation in Ukraine which started on February 24, 2022. These events represent a significant further elevation of the geopolitical risks. An extensive conflict could pose a risk to the Ukraine's government's liquidity and external positions given the country's sizeable external maturities in the coming years and the reliance of its economy on foreign-currency funding. RATINGS RATIONALE FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS RATIONALE FOR PLACEMENT ON REVIEW The affected corporates are exposed to Ukraine's political, legal, fiscal and regulatory environment to varying degrees. Three of them, namely MHP SE, Ferrexpo plc, Metinvest B.V. were downgraded to the sovereign rating level from the country ceiling level, to reflect in particular concerns over these companies' ability to continue operating uninterruptedly in the midst of the military conflict and geopolitical crisis in Ukraine, have access to the necessary infrastructure to enable them to freely export their goods and meet debt service requirements in the currently extraordinarily stressed circumstances. Metinvest announced that it put some equipment of Ilyich Iron and Steel Works and Azovstal in a suspension mode on February 24 for seven days until further notice. This decision was made by Metinvest's crisis response center to ensure the safety of its employees and preserve the equipment. MHP put out an update on the effects of the military action on its operations. Because of the ceased trade channels the company has encountered difficulties with its supply chain and is currently unable to export any Ukrainian produce. Inevitably, this is causing the company to incur significant unplanned losses. MHP has declared that it will not cease production in order to ensure the National Food Security of Ukraine. Moody's notes that MHP has sizeable cash reserves that should allow it to service short-term debt, while the bulk of its debt payment obligations is deferred until 2024 and beyond when its eurobonds mature. Ferrexpo has issued force majeure notices to certain customers given that the ability to transport via rail and through ports remains unclear. Ferrexpo also decided to delay the publication date of its 2021 full year results, which were previously scheduled for March 16, 2022, given that management attention is focused on the current situation. However, Ferrexpo is also in a net cash position with only limited trade financing liabilities outstanding. DTEK Energy B.V.'s Caa3 rating was placed on review, reflecting the risk that its weak liquidity could be exacerbated by payment delays from customers or reduced electricity output, which could result from damage to transmission networks or to DTEK Energy's own assets. Further depreciation of the hryvnia could also reduce cash flows relative to the company's US dollar-denominated debt. The review period will allow Moody's to assess how the current geopolitical tensions develop and their scale, duration and spillover effects on the affected corporates' credit profiles, and the extent to which these tensions and a possible extensive conflict will lead to physical damage to assets and a sustained economic damage. In particular, Moody's will examine the potential negative implications for the companies' liquidity amid heightened borrowing costs and a sustained depreciation of the hryvnia, especially in the event of sustained foreign investor outflows. Moody's will look to conclude the review when these credit implications are more evident, particularly as the impact of the conflict becomes clearer. Further downgrade could be driven by 1) sovereign downgrade and 2) evidence of a weakening in the companies' credit profiles as a result of pronounced physical damage to assets, market and logistics disruptions, cash flow generation and impaired liquidity. PRINCIPAL METHODOLOGIES The principal methodology used in rating Metinvest B.V. was Steel published in November 2021. COMPANY PROFILES MHP SE (MHP), domiciled in Cyprus, is one of Ukraine's leading agro-industrial groups. The company's operations include the production of poultry and sunflower oil, and the production and sale of convenience foods. The company is vertically integrated into grain and fodder production, and has one of the largest land banks in Ukraine. For the 12 months that ended September 30, 2021, the company's total revenue and Moody's-adjusted EBITDA amounted to $2.1 billion and $625 million, respectively. MHP's controlling beneficiary shareholder, with a stake of around 60%, is Yuriy Kosyuk, the company's founder and CEO. The company has traded on the London Stock Exchange since its May 2008 IPO. Metinvest B.V. (Metinvest), registered in the Netherlands, is the holding company of a vertically integrated steel and mining group, Metinvest, with assets in Ukraine, the European Union (EU), the UK and the US. The company produces finished flat and long steel products, pipes, rails, semifinished steel products (slabs), pig iron and coke products, iron ore and coking coal concentrate, and iron ore pellets. In 2020, Metinvest reported revenue of $10.5 billion (2019: $10.8 billion) and its Moody's-adjusted EBITDA was $1,715 million (2019: $1,141 million). Metinvest's major shareholders are System Capital Management (71.24%) and SMART group (23.76%). Headquartered in Switzerland and incorporated in the UK, Ferrexpo plc (Ferrexpo) is a mid-sized iron ore pellet producer with mining and processing assets located in Ukraine. The company engages in the mining, processing and selling of iron ore pellets. It exports all of its production abroad, with around 45% of last twelve months ending June 2021 revenue of $2.3 billion generated in Asia, 42% in Europe and the rest primarily in Turkey and MENA. Ferrexpo is listed on the London Stock Exchange, with 50.3% of its shares held by Fevamotinico S.a.r.l, a Luxembourg based holding company owned by Kostyantin Zhevago, with the remaining shareholding representing free float. DTEK Energy B.V. (DTEK Energy) is Ukraine's largest private power generator. As of January 2022, the group operated eight thermal power generation plants with total installed capacity of 13.3 gigawatts, three coal processing plants, nine coal mines and two coal-related machinery manufacturers. DTEK Energy accounted for 16% of Ukraine's total generated electricity in 2021 and 60% of Ukrainian coal production, all of which was consumed in the company's thermal power plants. DTEK Energy is indirectly owned by DTEK B.V., which also operates electricity distribution and supply, renewable energy, gas production and commodity trading businesses in Ukraine. DTEK B.V. is fully owned by the financial and industrial group System Capital Management, whose 100% shareholder is Rinat Akhmetov. =========================== U N I T E D K I N G D O M =========================== CONSORT HEALTHCARE: S&P Lowers Bond Rating to 'CCC', Outlook Neg. ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on Consort Healthcare (Tameside) PLC's (ProjectCo) bonds to 'CCC' from 'B-'. The recovery rating remains '4'. The negative outlook reflects the increasing possibility of liquidity shortfall over the next 12 months upon potential high deductions, such as those declared throughout 2021. S&P said, "We believe the protracted and difficult negotiations between U.K.-based SPV Consort Healthcare (Tameside) PLC (ProjectCo) and Glossop Integrated Care NHS Foundation Trust (the Trust) exposes Tameside to a potentially unsustainable financial position. "Prolonged failure to reach a settlement agreement and the expiry of the standstill agreement on Jan. 28, 2022, could result in high deductions being reapplied, or a material payment related to the settlement. "We forecast that Tameside may not have enough liquidity to meet its September 2022 debt instalment, despite all the reserve accounts. Tameside has limited capacity to improve its position, absent a significant improvement in negotiations with the Trust." Consort Healthcare (Tameside) PLC (ProjectCo), a limited-purpose vehicle, used the bond proceeds to finance the design, construction, and operation of the project for the Tameside and Glossop Integrated Care NHS Foundation Trust (the Trust) under a 34-year project agreement, as part of the U.K. government's private finance initiative (PFI) program. The project comprises an 86-bed acute diagnostic and treatment center, a mental health facility, and a surface car park. The final phase of project construction was completed by Balfour Beatty Construction Northern Ltd. and Balfour Beatty Engineering Services Ltd. (together, Balfour Beatty) as scheduled in 2011. ProjectCo contracts out its facilities management (FM) service obligations to Engie GDF Suez (Engie; rebranded from Cofely U.K. Ltd., formerly Balfour Beatty's U.K. FM business) under a back-to-back FM service agreement. The Trust retains soft FM risk. -- An availability-based revenue stream from the Trust to ProjectCo independent of volume or market risk. -- Potential default of the ProjectCo on debt service in September 2022 if the Trust does not extend a standstill agreement, thereby resulting in another round of deductions and eroding the financial stability of the ProjectCo. -- Exposure to a liquidity crisis if there is an adverse financial settlement caused by the delayed and protracted negotiations on the settlement agreement. -- Strained relationship between ProjectCo and the Trust. There is an increasing risk of a liquidity shortfall over the next 12 months if the Trust reimposes significant deductions. Tameside could face a liquidity shortfall to meet its debt service due Sept. 30, 2022, absent progress on the negotiations with the Trust, in S&P's view. This follows difficulties progressing the negotiations between Tameside and the Trust, including the pending extension to the standstill agreement that would prevent future revenue deductions. S&P said, "We think the protracted nature of the discussions and limited progress toward settlement lowers the probability of an amicable resolution between the two parties. This exposes Tameside to a complex adjudication process in addition to the risk of high deductions being reapplied. We anticipate, under some scenarios, that Tameside may have to rely on its debt service reserve account (DSRA) to meet its debt service due on March 31, 2022." Protracted and difficult negotiations persist between Tameside and the Trust. In January 2021 the Trust--frustrated by the slow progress on the resolution of the project's long-outstanding fire defects--commenced material deductions from the unitary charge. Even though only about 16% of the total declared amount was withheld by the Trust, deferring the remainder, this led to liquidity pressure on the debt service payment due Sept. 30, 2021. The Trust alleviated the pressure by returning some of the deductions. In June 2021, the ProjectCo and Trust signed a three-month standstill agreement to stall the significant deductions GBP2.8 million withheld by the Trust since January 2021-June 2021. The standstill agreement was extended fortnightly, unlike for rated peers that benefitted from at least six-month standstill periods. In S&P's view, the short-term nature of the extension, while temporarily staving off deductions, did not provide a sufficient timeframe for the parties to reach a common ground. Environmental, Social, And Governance (ESG) S&P said, "Social and governance aspects are the most relevant in our analysis of U.K. hospitals. The COVID-19 pandemic has put a spotlight on the hospitals, highlighting the crucial role they play in society's ability to function. Particularly, the safety and health of the patients at the hospitals. It is crucial for Tameside to complete the remedial works on the long outstanding fire defects, fulfilling its social responsibility. Furthermore, its governance will play an important role in monitoring the remedial works and reaching a consensus with the Trust on a settlement agreement in relation to the fire defects. A delay in reaching a consensus or failure to extend the standstill agreement may result in significant financial impact. "The negative outlook reflects our view that Tameside faces heightened pressure to repay the September 2022 debt service given potential liquidity constraints in case of reimposed deductions or adverse settlement terms. "We could lower the ratings if Tameside uses its DSRA for the March payment and deductions are reapplied, depleting its liquidity, and it does not have sufficient funds to repay the upcoming debt service due September 2022. "We could also lower the ratings if Tameside's financials are eroded due to adverse terms in the settlement agreement. "We could raise the ratings if the Trust and ProjectCo reach the settlement agreement on favorable terms, providing protection from future deductions and if Tameside's financial position becomes sustainable after the agreement." DAWNFRESH SEAFOODS: FRP Seeks Buyer for Seafood Farming Business ---------------------------------------------------------------- Business Sale reports that administrators from FRP are seeking a buyer for Scottish seafood business Dawnfresh Farming, following the collapse of its parent company. Dawnfresh Seafoods and RR Spink & Sons (Arbroath), among the UK's biggest producers and processors of seafood, fell into administration as a result of issues including cash flow problems and rising costs, Business Sale relates. The administrators have secured the sale of RR Spink & Sons, which operates from a facility in Arbroath, to Lossie Seafoods, part of the Associated Seafoods Limited group, Business Sale discloses. However, the company's loss-making Uddingston facility has been closed with immediate effect, Business Sale notes. According to Business Sale, administrators will now market assets from the Uddingston site, including land, buildings and plant, for sale and wind up the facility. Subsidiary Dawnfresh Farming will continue to trade solvently while FRP seek a buyer and look to realise value from remaining assets, Business Sale states. The business was founded in 1973 and headquartered at the Uddingston site. In addition to its production and processing facilities at Arbroath and Uddingston, the company operates seven farms throughout Northern Ireland and Scotland. It offers a range of services, including fish processing and supply, to clients in retail, food service, wholesale and the export market. The company also produces branded products, including Loch Etive and RR Spink. The business has undertaken significant investment in its plant and systems over recent years, as it sought to reduce costs and improve efficiency, Business Sale relates. However, it has struggled due to rising costs, unsustainable cash flow issues and overcapacity at the Uddingston facility, ultimately leading to the company entering administration, Business Sale recounts. FRP Advisory partners Tom MacLennan, Callum Carmichael and Michelle Elliot were appointed as joint administrators, Business Sale discloses. EUROSAIL PRIME-UK 2007-A: Fitch Cuts Rating on Class B Notes to B- ------------------------------------------------------------------ Fitch Ratings has downgraded Eurosail Prime-UK 2007-A PLC's class B notes and removed them from Rating Watch Negative (RWN). The rating actions follow a change in Fitch's UK RMBS Rating Criteria. All other tranches have been affirmed. DEBT RATING PRIOR ---- ------ ----- Eurosail Prime-UK 2007-A PLC Class A1 XS0328494157 LT AAAsf Affirmed AAAsf Class A2 (restructured) XS1074651628 LT AAAsf Affirmed AAAsf Class B (restructured) XS1074654481 LT B-sf Downgrade Bsf Class C (restructured) XS1074654648 LT CCCsf Affirmed CCCsf Class M (restructured) XS1074652782 LT B+sf Affirmed B+sf TRANSACTION SUMMARY The transaction comprises non-conforming and buy-to-let UK mortgage loans originated by Southern Pacific Mortgage Limited (formerly a wholly-owned subsidiary of Lehman Brothers) and Alliance & Leicester. KEY RATING DRIVERS New UK RMBS Criteria Drives Downgrade: Fitch placed Eurosail Prime-UK 2007-A's class B notes on RWN in September 2021 as a result of a change in its UK RMBS Criteria for notes with a model-implied rating (MIR) lower than 'B-sf'. Under the updated criteria, Fitch determines a rating for notes with a MIR lower than 'B-sf'in the range of 'Csf' to 'B-sf' instead of up to 'B+sf' previously. The downgrade of the class B notes reflects this change. Elevated Fee Levels: The fees paid by the transaction have risen over the past two years. Fitch does not expect the very high fees incurred in 2020 and 2021 to be sustained and as a result has not changed its fee assumptions for this transaction, as it will wait to see expected trends over the medium term. If this trend continues, Fitch may adjust its fixed fee assumptions used for analysing the transaction, which could adversely affect the junior notes in the structure. Interest-only Concentration Risks: A significant segment of the owner-occupied portion of the transaction pool comprises interest-only loans (78.1%). This represents an elevated back-loaded risk profile for the portfolios. Due to the material concentration of interest-only loans, Fitch floored the performance adjustment factor at 100% in line with its UK RMBS Rating Criteria. Base Rate-Linked Notes: All of the loans in the pool are linked to Bank of England base rate. The transaction lacks any form of swap agreement to hedge basis risk arising from the mismatch between Libor-linked notes and base rate-linked loans. Fitch applied a basis risk adjustment in accordance with its UK RMBS Rating Criteria, reducing the margins of the loans in order to account for this discrepancy. Macroeconomic Adjustment: Fitch applied foreclosure frequency (FF) macroeconomic adjustments to the UK non-conforming sub-pool of the transaction because of the expectation of a temporary mortgage underperformance (see Fitch Ratings to Apply Macroeconomic Adjustments for UK Non-Conforming RMBS to Replace Additional Stress). With the government's repossession ban ended, there is still uncertainty regarding the borrowers' performance in the UK non-conforming mortgage sector where many borrowers have already rolled into late arrears over recent months. Borrowers' payment ability may also be challenged with the end of the coronavirus job retention and self-employed income-support schemes. The adjustment is of 1.58x at 'Bsf' while no adjustment is applied at 'AAAsf' as assumptions are deemed sufficiently remote at this level. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The transaction's performance may be affected by changes in market conditions and economic environment. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce credit enhancement (CE) available to the notes. -- Additionally, unanticipated declines in recoveries could also result in lower net proceeds, which may make certain notes susceptible to potential negative rating action depending on the extent of the decline in recoveries. Fitch conducts sensitivity analyses by stressing both a transaction's base case FF and recovery rate (RR) assumptions, and examining the rating implications on all classes of issued notes. Fitch tested a 15% increase in the weighted average (WA) FF and a 15% decrease in the WARR. The results indicate up to an adverse rating impact of up to three notches. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and potential upgrades. Furthermore, a decrease in transaction fees back to average long-term levels could result in an upgrade of the class M notes. Fitch tested an additional rating sensitivity scenario by applying a decrease in the FF of 15% and an increase in the RR of 15%. The ratings on the subordinated notes could be upgraded by up to five notches. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Eurosail Prime-UK 2007-A PLC 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. Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. 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 ES 2007-A has an ESG Relevance Score of '4' for "Human Rights, Community Relations, Access & Affordability" due to a significant proportion of the pools containing owner-occupied loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. ES 2007-A has an ESG Relevance Score of '4' for "Customer Welfare - Fair Messaging, Privacy & Data Security" due to the pools exhibiting an interest-only maturity concentration of legacy non-conforming owner-occupied loans of greater than 20%, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. INTERSERVE PLC: Administration Process Completed ------------------------------------------------ Greg Pitcher at Construction News reports that Interserve plc has been officially wound up at the High Court -- although protracted efforts to get hold of its shares in a Qatari business will continue. According to Construction News, documents filed on Companies House this week reveal that a legal order was made on Jan. 21 bringing to a close EY-Parthenon's 1,044-day administration of the former company, Interserve plc went into administration on March 15, 2019, after its shareholders voted down a deleveraging plan, resulting in its subsidiary companies being sold to the group's lenders in a pre-pack administration, Construction News relates. This led to debt of GBP815 million and other liabilities of more than GBP200 million being effectively wiped out by stakeholders in exchange for equity in the new parent company, Interserve Group Limited, Construction News discloses. The end of the administration process had previously been delayed due to the transfer of shares of Interserve plc's stake in Qatari business Al Binaa Contracting Company to Interserve Group Ltd., Construction News notes. EY, as cited by Construction News, said documentation had been submitted to Qatari tax authorities but "due to the complexity of the process and the ongoing impact of COVID-19, tax clearance has still not yet been received . . . and is unlikely to be obtained in the next few months". It had previously been stated that after the disposal is completed, EY would be able to calculate how much the collapsed plc owed HMRC, Construction News relays. The administrator said it would continue to work on this matter, and to file corporation tax and VAT returns for Interserve plc, despite the end of the administration process, according to Construction News. A progress report published on Companies House this week confirmed that secured creditors would get no further cash from Interserve plc, Construction News discloses. The administrators estimate their own fees at almost GBP1.4 million, Construction News states. LEVARHT: Enters Administration, Court Grants Moratorium ------------------------------------------------------- Mike Knowles at Eurofruit reports that Dutch fresh produce trader Levarht has been placed into administration, the company has confirmed. In a statement, the North Holland-based company said that the Amsterdam District Court had granted "a moratorium on payments" to JM Levarht & Zonen BV, which is known more commonly as Levarht, Eurofruit relates. MR van Zanten of CMS Derks Star Busmann has been appointed as the group's administrator, and will assess whether its commercial activities can continue, Eurofruit discloses. Levarht's fruit and vegetable wholesale business involved the purchase and sale of products across the globe. Levarht currently employs approximately 290 employees, and in the meantime, its business will continue "as much as possible", Eurofruit states. The company said during a "cooling-off period" announced by the court, suppliers cannot exercise any rights, Eurofruit notes. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter-Europe is a daily newsletter co- published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante, Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman, Editors. Copyright 2022. All rights reserved. ISSN 1529-2754. 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