/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/220720.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Wednesday, July 20, 2022, Vol. 23, No. 138 Headlines F R A N C E REXEL SA: S&P Raises Unsec. Notes Rating to 'BB+', Outlook Stable G E R M A N Y PRESTIGEBIDCO GMBH: Moody's Ups CFR to B1, Outlook Stable I T A L Y MOONEY GROUP: S&P Affirms 'BB-/B' ICRs, Outlook Stable N E T H E R L A N D S LOCOMOGO: Declared Bankrupt by Overijssel Court TYKN: Declared Bankrupt by The Hague Court S P A I N FT PYMES 15: DBRS Hikes Series B Notes Rating to B(high) SABADELL CONSUMO 2: DBRS Gives Prov. B(low) Rating to F Notes S W E D E N SAS AB: Reaches Wage Deal with Pilot Unions U N I T E D K I N G D O M CANTERBURY FINANCE 4: DBRS Hikes Class F Notes Rating to B ENERGY HELPLINE: Love Energy Buys Business Out of Administration GREENSILL CAPITAL: Credit Suisse Claims Recovery to Cost US$291MM GREENSILL CAPITAL: UK Withdraws Guarantees on GBP400MM Loans O'KEEFE GROUP: Byrne Group Acquires Assets Following CVA STARS UK: Moody's Assigns 'B2' CFR & Rates New EUR550MM Loan 'B2' TWIN BRIDGES 2022-2: S&P Assigns BB+ (sf) Rating to Class E Notes - - - - - =========== F R A N C E =========== REXEL SA: S&P Raises Unsec. Notes Rating to 'BB+', Outlook Stable ----------------------------------------------------------------- S&P Global Ratings raised its ratings on France-based electrical components distributor Rexel S.A. and its unsecured notes to 'BB+', and affirmed its 'B' short-term ratings. The stable outlook reflects S&P's view that Rexel will continue to weather the global macroeconomic uncertainties and supply chain tensions, while posting FFO to debt of 24%-28% in 2022-2023. S&P said, "Our upgrade reflects our view that Rexel can preserve its improved credit metrics. We have seen significant improvements in Rexel's operating performance, leading to higher-than-anticipated revenue and EBITDA in 2021. The positive trend continued to first-quarter 2022, with reported revenue increasing more than 30% year on year, in line with peers in the electrical equipment distribution market. Strong underlying demand for electrical products stemmed from the general recovery of the construction market following the pandemic's peak despite inflationary pressure and volatile commodity prices. This, combined with company-specific factors such as strong operating leverage, increased digitalization, and favorable pricing initiatives led to stronger-than-expected credit metrics. The S&P Global Ratings-adjusted FFO-to-debt ratio was about 29% in 2021 versus our previous base case of about 27%, and about 20% recorded in 2020 and 2019. "Rexel will continue to benefit from structural growth in the global electrical-component distribution market. We believe Rexel will continue to benefit from a structural trend in electrification stemming from the increasing share of electricity in energy consumption, which is in line with macroeconomic trends, along with increased spending on building renovation, utilities, and industry end markets to achieve energy savings. In our view, the recent significant rise in energy prices will further accelerate investments related to energy-efficiency solutions, which will boost demand for Rexel's products in the near to medium term. At the same time, the company has increased prices both on cable- and non-cable-related products as a means to pass through higher input costs with a limited impact on volume growth. Nevertheless, we anticipate higher prices will ease progressively in the next few quarters, reflecting a moderation in material prices and gradual normalization of copper prices. Rexel's strategic initiatives, such as a turnaround of lower profitability in certain countries, rationalization of store sizes, as well as productivity improvements via digitalization and automation, will further support its growth trajectory and profitability. We now anticipate organic revenue growth will be 2.0%-5.0% in 2022-2024, albeit with a slightly lower EBITDA margin of 8.0%-8.2%, reflecting the gradual decrease of raw material including copper prices. We now anticipate our adjusted FFO to debt ratio for Rexel at 25%-28% in 2022-2024, after 29% in 2021." Rexel's financial policies and medium-term ambitious are consistent with a higher rating. Recently, Rexel publicly released its medium-term capital allocation policy, which now includes bolt-on acquisitions that are expected to contribute EUR2 billion in revenue over the next four years, as well as share buybacks of about EUR400 million, at least a 40% dividend payout, and around 0.9% of sales capital expenditure (capex). Despite this, the company is now committed to a lower medium-term indebtedness ratio of maximum 2.0x instead of 2.5x. S&P said, "The company's new leverage target is equivalent to S&P Global Ratings-adjusted FFO to debt slightly over 20%, which is in line with the 20%-30% range we view as commensurate with a 'BB+' rating. Overall, we believe Rexel's updated medium-term capital allocation plan reduces the risk that the company will increase its leverage to levels that we view as inconsistent with the current rating. Although it's possible the company could incur additional debt to fund acquisitions, its public statement provides us with greater clarity on the limitations and magnitude of any potential releveraging." S&P said, "The stable outlook reflects our view that Rexel will continue to weather global macroeconomic uncertainties and supply chain tensions, while posting adjusted FFO to debt of 25%-28% in 2022-2023. "We could lower the ratings on Rexel if the group experienced severe margin pressure and weaker cash flows, such that FFO to debt falls below 20% with no swift recovery prospects. We would also downgrade Rexel if it were to adopt a more aggressive financial policy, including large share buybacks, and debt-funded acquisitions, leading to FFO to debt staying below 20%. "We would raise the ratings if Rexel's FFO debt is sustainably above 30%. In such a scenario, Rexel would need to demonstrate its ability and willingness to preserve such metrics. In our view, this scenario is unlikely in the next 24 months." ESG credit indicators: E-1, S-2, G-2 S&P said, "Environmental factors are a positive consideration in our credit rating analysis of Rexel. Environmental risk is comparatively low for electrical product distributors because they distribute, rather than develop, products and so are not as energy intensive as manufacturers. Rexel's product offering responds to new structural trends, such as the internet of things, digitalization, and greater demand for carbon-free products and solutions. To increase its market, Rexel has invested about EUR300 million in digital platforms in the past three years (about 2% of sales), which has enabled it to increase digital sales to 21% of total sales, and improve its profitability profile (digital sales are more profitable). Rexel was also the first French speculative-grade company to issue a sustainability-linked bond, which resulted in a record low interest rate of 2.125% for the company." ============= G E R M A N Y ============= PRESTIGEBIDCO GMBH: Moody's Ups CFR to B1, Outlook Stable --------------------------------------------------------- Moody's Investors Service has upgraded PrestigeBidCo GmbH's (BestSecret or the company) corporate family rating to B1 from B2 and its probability of default rating to B1-PD from B2-PD. Concurrently, Moody's assigned a B1 rating to the proposed EUR315 million backed senior secured floating rate notes due 2027 to be issued by the company. The outlook on all ratings has changed to stable from positive. The proceeds from the proposed issuance will be used to repay the existing backed senior secured notes due December 2023 totaling EUR260 million and pay transaction fees and related costs. Moody's expects the existing backed senior secured notes will be repaid upon closing of the refinancing transaction and to withdraw the B2 rating of this instrument at that stage. RATINGS RATIONALE The rating action reflects the company's improved liquidity profile, on the basis of the successful completion of its announced refinancing transaction. With the proposed backed senior secured bond issuance the company will address the refinancing risk of its backed senior secured bond due in December 2023 supported by cash on balance sheet of around EUR83 million as of June 30, 2022. At the same time and despite a slightly higher debt quantum under the proposed transaction, leverage will remain acceptable for a B1 rating rather than a B2. This transaction also demonstrates the company's balanced financial policy, and the fact that the sponsor-owner, Permira, is willing to support the future growth of the business while keeping leverage at a modest level. Moody's decision to upgrade the CFR also reflects the strong credit metrics of BestSecret, supported by strong trading performance in 2021, with high double digit sales and earnings growth. BestSecret's Moody's-adjusted leverage stood at 3.6x at end-March 2022, below Moody's 4.0x threshold required for an upgrade. While the proposed transaction includes around EUR55 million of additional debt, BestSecret will retain strong credit metrics, with leverage expected by the rating agency to approach 3.5x before year-end 2022, compared to 3.8x pro forma the transaction at end-March 2022. Despite the current challenging economic environment, Moody's expects BestSecret will continue its solid top line growth trajectory, supported by continued growth in online sales, a trend that has accelerated with the pandemic, and fueled by the company's recent marketing investments and increased digital capabilities. Moody's also believes that the company's off-price offering, with its large discounts, will be favoured by customers in the context of ongoing inflationary pressures. The company has recently engaged in a new warehouse project in Poland in order to significantly scale up its business operations. With the new warehouse, BestSecret will triple its volume capacity, allowing the company to continue its strong growth trajectory, over time. However, the new warehouse, which is expected to be completed by end-2023, involves significant capital spending, of at least EUR150 million. This, together with continued investments into the development of technology and data analytics capabilities, will translate into high investments and hence negative free cash flows in the next two years. The new fulfilment centre project also entails some execution risks, linked to inflationary pressures and supply chain challenges, which could delay its completion or increase its cost. At the same time, Moody's believes that this project will significantly support BestSecret's sales and earnings over time. The B1 CFR reflects BestSecret's (1) strong track record of double-digit online revenue growth in percentage terms, (2) its exclusive, invitation-only membership model and strong supplier relationships; (3) its active customer relationship management, which allows for cost-efficient marketing investments compared to peers and results in high retention rates, supporting margins; (4) its good track record of profitable growth over the past five years including during the coronavirus pandemic, allowing for continued deleveraging; and (5) its adequate liquidity pro forma the transaction, despite substantial capital spending in the next two years. At the same time, the B1 CFR is constrained by (1) the high capital spending in the next two years for a new warehouse project, which will limit free cash flows (FCF); (2) the company's exposure to the highly competitive online and offline fashion retail industry, where some companies are much larger than BestSecret; (3) reliance on suppliers of popular brands to provide merchandise at attractive prices to satisfy customers' demands; (4) a highly seasonal business model, with high working capital requirements, driven by inventory management; and (5) some revenue concentration in Germany despite strong international growth. In terms of the company's corporate governance, BestSecret is controlled by Permira, which — as is often the case with private-equity firms — means the shareholders have some tolerance for leverage and governance can be comparatively less transparent than, for example, with publicly listed companies. That being said, to date, the company has demonstrated a good track record in deleveraging, with no dividends since the 2016 leveraged buy-out transaction. Also, the proposed refinancing transaction implies a moderate amount of debt and suggests that Permira favours investment in the future growth of the business rather than shareholder distribution. These governance considerations were key rating drivers in line with Moody's ESG framework. LIQUIDITY Pro forma the proposed transaction, BestSecret's liquidity is adequate. The company's liquidity is supported by: (1) an initial cash balance of around EUR83 million as of June 30, 2022; (2) access to new revolving credit facility (RCF) of EUR110 million, expected to be fully available at closing of the transaction. Moody's expects these sources of liquidity, together with solid operating cash flows, to be sufficient to cover the company's high capital spending needs for the next two years. Moody's expects at least half of expansion capital spending to be financed through internal cash flows. The company's business is highly seasonal, with sales, inventory and liquidity subject to intra-year fluctuations. Sales and EBITDA are typically highest in the fourth quarter of the year because of the Christmas shopping season and Cyber week. The new RCF is subject to a springing senior net leverage covenant, with a limit of 4.75x, tested on a quarterly basis, only when the RCF is drawn more than 40%. The capacity under this covenant is ample pro forma the proposed transaction (pro forma net leverage of 2.4x as of the end of March 2022). RATIONALE FOR STABLE OUTLOOK The stable outlook reflects Moody's expectation of continued growth in sales and earnings led by growing online penetration in fashion retailing in the company's main markets. This will lead to a reduction in leverage to around 3.5x in the next 12 to 18 months. The outlook also assumes that the company will continue to invest in the development of its online activities while maintaining adequate liquidity and no significant change in financial policy, with the sponsor-owner continuing to support the development of the business. STRUCTURAL CONSIDERATIONS The B1 rating assigned to the proposed EUR315 million backed senior secured notes due 2027 issued by PrestigeBidCo GmbH reflects their presence as the largest debt instrument in the capital structure, ranking pari passu with the EUR110 million RCF. The backed senior secured notes and the RCF benefit from a similar maintenance guarantor package, including upstream guarantees from guarantor subsidiaries, representing substantially all of BestSecret's consolidated EBITDA. Both instruments are secured, on a first-priority basis, by certain share pledges, security assignments over intercompany receivables, and security over material bank accounts. The probability of default rating of B1-PD reflects the use of a 50% family recovery assumption, consistent with a capital structure including a mix of bond and bank debt. The capital structure has limited covenants overall, with the lenders relying only on incurrence covenants contained in the senior secured notes indentures, as well as one maintenance covenant defined as net leverage, with ample capacity initially, only tested if outstanding borrowings under the RCF are equal to or greater than 40% of the overall commitment. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Given the rating action and the inflationary pressures that could constrain earnings growth, further positive rating pressure is unlikely in the next 12-18 months. However, overtime, positive pressure could develop if the company generates sustained revenue growth, EBITDA and margin improvement, such that its Moody's-adjusted gross debt/EBITDA is sustainably maintained below 3.0x and EBIT/interest expense rises above 3.0x. An upgrade would also require more robust FCF, approaching 10% of Moody's-adjusted gross debt and the maintenance of adequate liquidity, while demonstrating a balanced financial policy. Downward pressure on the ratings could arise if earnings weaken such that (1) adjusted Debt/EBITDA increases towards 4.0x; (2) EBIT/Interest falls sustainably below 1.5x; (3) FCF/Debt remains below 5%, or (4) the liquidity profile weakens. Any material debt-funded acquisition or more aggressive financial policy could further put pressure on the ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Retail published in November 2021. COMPANY PROFILE PrestigeBidCo GmbH is the 100% shareholder of Best Secret GmbH, which was founded in 1924 as a wholesale fabrics business. The company now operates as a members-only off-price fashion retailer. Headquartered in Munich, the company offers premium and affordable luxury designer brand clothing and accessories at discounted prices for men, women and children through online and in-store channels. In 2021, BestSecret generated 93% of its revenue through its online platform BestSecret, with the remaining 7% generated offline from its four stores. Over the same period, 72% of BestSecret's net sales were generated from Germany and 28% internationally, mainly from Austria, Switzerland and Sweden. In 2021, the company reported revenue of EUR942.9 million and EBITDA (as adjusted by the company) of EUR138.7 million. In 2016, the private equity firm Permira acquired a majority stake in BestSecret from Ardian (previously Axa Private Equity). The two founding families, Schustermann and Borenstein, remain minority shareholders of the company. ========= I T A L Y ========= MOONEY GROUP: S&P Affirms 'BB-/B' ICRs, Outlook Stable ------------------------------------------------------ S&P Global Ratings affirmed its 'BB-/B' long- and short-term issuer credit ratings on banking services provider Mooney Group SpA and its 'BB-' issue rating on Mooney's senior secured notes. On July 14, 2022, private equity sponsor CVC transferred its 70% shareholding in Mooney to Intesa Sanpaolo and Enel. As a result, Mooney is now 50%/50% owned by Intesa and Enel. The stable outlook reflects S&P's belief that Mooney will continue to be a good strategic fit for Intesa over the next 12 months. Rating Action Rationale S&P said, "Mooney will remain substantially indebted, in line with our current assessment, despite the exit of the financial sponsor. Following CVC's sale of its stake in Mooney, we started calculating leverage metrics on a net basis, whereas we typically do not net cash from debt for entities owned by a financial sponsor. This reflects our belief that private equity investors tend to favor acquisitive and debt-financed strategies. However, Mooney's forecast financial debt will remain material even if calculated on a net basis due to the company's small cash balances and still-limited cash generation capacity. Specifically, we now forecast S&P Global Ratings-adjusted net debt to EBITDA to average 6.0x-6.5x in 2022 and 2023, compared with our previous forecast of gross debt to EBITDA at 7.0x-7.5x over the same period. Likewise, we now anticipate S&P Global Ratings-adjusted funds from operations (FFO) to net debt to average 12.0%-12.5% in 2022 and 2023, compared with our previous forecast of FFO to gross debt averaging 10.5%-11.0%. "We consider the transaction positively, although it will not materially improve business prospects. In our view, the entrance of Enel in the shareholder base is positive. Enel is the largest Italian electric utility and one of the biggest in Europe. The company was already providing a range of payment services through Enel X Pay, which Enel pledged for Mooney upon transaction close. While some of these proximity payment services overlap with Mooney's current offering, Enel X Pay also handles payments for Enel's electric vehicle charging stations, a business with good long-term prospects. That said, we believe the scale brought by Enel X Pay (we estimate incremental EBITDA not to meaningfully exceed EUR10 million), as well as the revenue diversification, are very limited and unlikely to become material over the outlook horizon. "The transaction confirms Mooney's importance for Intesa's strategy. The increase of Intesa's stake to 50% is an attestation of Mooney's strategic role for the Italian banking group. Despite Intesa initially holding only 30% of Mooney, we anticipated and acknowledged the tight business relationship and synergies between the two issuers, as subsequently demonstrated by the strong growth of Mooney's proximity banking services proposition: revenue from banking services reportedly increased by 63% and credit card services by 106% in 2021. As a result, our ratings on Mooney continue to incorporate three notches of group support from Intesa. As of today, we do not consider Enel to be more likely to support Mooney than Intesa. We will, however, monitor future developments to assess whether our view has changed." Outlook The stable outlook reflects S&P's view that Mooney's role for Intesa will not change over the next 12 months and its cash flow capacity will not significantly deteriorate. Downside scenario S&P could lower the ratings on Mooney if cash flows meaningfully deteriorate following weaker-than-expected economic performance or fiercer competition. Upside scenario S&P said, "Although unlikely at this stage, we could raise the ratings if we conclude that Mooney's financial policy has improved and we anticipate S&P Global Ratings-adjusted FFO to debt will sustainably increase above 12% and S&P Global Ratings-adjusted debt to EBITDA decline below 5x. We could also raise the ratings if we concluded Mooney had started generating positive cash flows on a consistent and recurrent basis." ===================== N E T H E R L A N D S ===================== LOCOMOGO: Declared Bankrupt by Overijssel Court ----------------------------------------------- Silicon Canals reports that Dutch startup LoCoMoGo has declared bankruptcy this month. According to Silicon Canals, Locomogo Holding BV, under the name Kipkemoi Enterprise BV in Amsterdam (Noord-Holland), was declared bankrupt by the court in Overijssel. Bankruptcy filings are expected to rise in 2022 as governments withdraw measures adopted to help companies stay afloat during the COVID-19 pandemic, Silicon Canals relays, citing trade credit insurer Euler Hermes. In the Netherlands, around 166 bankruptcies were issued in June, a decrease from 241 reached in the previous month, reveals Statista report, Silicon Canals notes. There is no clear reason as to what caused the bankruptcy of the Dutch startup in question, Silicon Canals states. Founded by Kibet Kipkemoi, LoCoMoGo was born from the belief that every child can learn to code and have fun while doing it. The company creates products that teach children aged 4 to 12 coding through games. TYKN: Declared Bankrupt by The Hague Court ------------------------------------------ Silicon Canals reports that Dutch startup Tykn has declared bankruptcy this month. Tykn, The Hague-headquartered blockchain-based digital identity management platform, was declared bankrupt by the court in The Hague on July 14, Silicon Canals relates. There is no clear reason as to what caused the bankruptcy of the Dutch startup in question, Silicon Canals notes. Bankruptcy filings are expected to rise in 2022 as governments withdraw measures adopted to help companies stay afloat during the COVID-19 pandemic, Silicon Canals relays, citing trade credit insurer Euler Hermes. In the Netherlands, around 166 bankruptcies were issued in June, a decrease from 241 reached in the previous month, reveals Statista report, Silicon Canals. Founded in 2016 by Khalid Maliki and Jimmy J.P. Snoek, Tykn's platform allows organisations to issue tamper-proof digital credentials which are verifiable anywhere, at any time. ========= S P A I N ========= FT PYMES 15: DBRS Hikes Series B Notes Rating to B(high) -------------------------------------------------------- DBRS Ratings GmbH upgraded and confirmed its ratings of the notes issued by FT PYMES Santander 15 (the Issuer), as follows: -- Series A Notes upgraded to AA (high) (sf) from A (high) (sf) -- Series B Notes upgraded to B (high) (sf) from CCC (low) (sf) -- Series C Notes confirmed at C (sf) The rating of the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal maturity date in April 2051. The ratings of the Series B and Series C Notes address the ultimate payment of interest and principal on or before the legal maturity date. The rating actions follow an annual review of the transaction and are based on the following analytical considerations: -- The portfolio performance, in terms of delinquencies, defaults, and losses, as of the April 2022 payment date; -- The one-year base case probability of default (PD), default and recovery rates based on the current portfolio of receivables; -- The current available credit enhancement to the Series A and Series B Notes to cover the expected losses assumed at their respective rating levels; and -- The current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic. The Series C Notes were issued to fund the reserve fund and are in a first-loss position supported only by available excess spread. Given the characteristics of the Series C Notes, as defined in the transaction documents, the default would most likely be recognized at maturity or following an early termination of the transaction. The transaction is a cash flow securitization collateralized by a portfolio of secured and unsecured term loans and credit lines originated by Banco Santander SA (Santander), Banesto, and Banif (prior to their integration into Santander) to corporates, small and medium-sized enterprises (SMEs), and self-employed individuals based in Spain. The transaction included a 24-month revolving period that ended in December 2021 and the Series A Notes have been amortizing since then. PORTFOLIO PERFORMANCE As of the April 2022 payment date, loans two to three months in arrears represented 0.2% of the outstanding portfolio balance, up from 0.1% in October 2021. The 90+-day delinquency ratio increased to 0.5% from 0.4%, and the cumulative default ratio increased to 0.3% from 0.1% in the same period. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar maintained its one-year base case PD assumption of 2.25% but applied coronavirus adjustments, which increased the one-year base case PD to 2.47%. DBRS Morningstar conducted a loan-by-loan analysis of the outstanding balance of the receivables and updated its default and recovery assumptions based on the current pool of receivables, moving away from the worst-case portfolio composition applied during the revolving period. CREDIT ENHANCEMENT The Series A Notes benefit from 31.9% of credit enhancement provided by the subordination of the Series B Notes and the reserve fund, up from 27.0% last year. The Series B Notes benefit from 6.4% of credit enhancement provided by the reserve fund, up from 5.5% last year. The reserve fund was funded through the issuance of the Series C Notes and is available to cover senior fees and interest and principal on the Series A and Series B Notes. As of the April 2022 payment date, the reserve fund was at its target level of EUR 150.0 million. The reserve fund can amortize if certain conditions related to the performance of the portfolio and deleveraging of the transaction are met, subject to the floor of EUR 75.0 million. Santander acts as the account bank for the transaction. Based on the account bank's reference rating of A (high), which is one notch below the DBRS Morningstar Long Term Critical Obligations Rating of Santander of AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structures, DBRS Morningstar considers the risk arising from the exposure to Santander to be consistent with the rating assigned to the Series A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. The coronavirus and the resulting isolation measures had caused an immediate economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many SME transactions. The ratings are based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar increased the expected default rate on receivables granted to obligors operating in certain industries based on their perceived exposure to the adverse disruptions of the coronavirus. As per DBRS Morningstar's assessment, 3.4% of the outstanding portfolio balance, represented industries classified in the high-risk economic sectors. This led the underlying one-year PDs to be multiplied by 1.5 times. DBRS Morningstar also conducted an additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand high levels of payment holidays in the portfolio. Notes: All figures are in euros unless otherwise noted. SABADELL CONSUMO 2: DBRS Gives Prov. B(low) Rating to F Notes ------------------------------------------------------------- DBRS Ratings GmbH assigned provisional ratings to the following classes of notes to be issued by Sabadell Consumo 2 FT (the Issuer): -- Class A Notes at AAA (sf) -- Class B Notes at AA (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (high) (sf) -- Class F Notes at B (low) (sf) DBRS Morningstar did not assign ratings to the Class G and Class H Notes also expected to be issued in this transaction. The rating of the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in December 2034. The rating of the Class B Notes addresses the ultimate payment of interest, but timely once most senior, and the ultimate repayment of principal by the legal maturity date. The ratings of the Class C, Class D, Class E, and Class F Notes (together with the Class A and Class B Notes, the Rated Notes) address the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date. The provisional ratings are based on information provided to DBRS Morningstar by the Issuer and its agents as of the date of this press release. These ratings will be finalized upon review of the final version of the transaction documents and of the relevant opinions. If the information therein were substantially different, DBRS Morningstar may assign different final ratings to the Rated Notes. This transaction represents the issuance of the Class A, Class B, Class C, Class D, Class E, Class F, and Class G Notes (the Collateralized Notes) backed by a portfolio of approximately EUR 750 million of fixed-rate receivables related to general consumer loan contracts originated by Banco de Sabadell, S.A. (Banco Sabadell; the originator and servicer), granted to individuals residing in Spain for the purchase of consumer goods or services in general terms and disbursed directly to borrowers. The originator will also service the portfolio. The Class H Notes will be issued to fund the initial cash reserve and the initial expenses. DBRS Morningstar based its ratings on a review of the following analytical considerations: -- The transaction's capital structure, including form and sufficiency of available credit enhancement; -- Relevant credit enhancement in the form of subordination, excess spread, and the availability of the cash reserve; -- Credit enhancement levels that are sufficient to support DBRS Morningstar's projected cumulative net losses under various stressed cash flow assumptions; -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the rated notes; -- Banco Sabadell's financial strength and its capabilities with regard to originations, underwriting, and servicing; -- The transaction parties' financial strength with regard to their respective roles; -- DBRS Morningstar's operational risk review of Banco Sabadell, which it deemed to be an acceptable servicer; -- The credit quality, diversification of the collateral, and historical and projected performance of the seller's portfolio; and -- The expected consistency of the transaction's legal structure with DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions that are expected to address the true sale of the assets to the Issuer. TRANSACTION STRUCTURE The transaction allocates payments on a combined interest and principal priority of payments basis and benefits from an amortizing EUR 8.8 million cash reserve (corresponding to 1.17% of the Collateralized Notes) funded through part of the subscription proceeds of the Class H Notes. The cash reserve covers senior expenses, swap payments, and interests on the Collateralized Notes. The cash reserve is part of the available funds. The repayment of the notes will start on the first payment date in September 2022 on a pro rata basis unless certain events occur, such as a breach of performance triggers, servicer insolvency, or servicer termination (Subordination Events). Under these circumstances, the principal repayment of the notes will become fully sequential and the switch is not reversible. The Class H Notes will be repaid with available funds up to their target amortization amount. Interest and principal payments on the notes will be made monthly on the 24th of every month. The notes pay floating interest rate, indexed to one-month Euribor, whereas the total portfolio pays a fixed interest rate. The interest rate risk arising from the mismatch between the Issuer's liabilities and the portfolio is hedged through an interest rate swap agreement with an eligible counterparty. At inception, the weighted-average portfolio yield is about 7.2%, well exceeding the senior cost and interest payable by the Issuer; hence, the transaction benefits from a considerable excess of interest collections that the Issuer can apply to offset losses occurring in the current and previous periods. However, excess not used in a period will be released toward junior payments in the waterfall. COUNTERPARTIES The Issuer bank account is held at Societe Generale S.A, Sucursal en Espana (SG or the account bank). Based on DBRS Morningstar's private rating of SG, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to SG to be consistent with the rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. JP Morgan SE is the interest rate swap counterparty. DBRS Morningstar privately rates JP Morgan SE and concluded that it meets DBRS Morningstar's minimum requirements to act in this role. The transaction documents contain downgrade provisions consistent with DBRS Morningstar's criteria with respect to its role. Notes: All figures are in euros unless otherwise noted. =========== S W E D E N =========== SAS AB: Reaches Wage Deal with Pilot Unions ------------------------------------------- Anna Ringstrom and Gwladys Fouche at Reuters report that SAS and pilots unions reached a wage deal on July 18, ending a strike over a new collective bargaining agreement that has grounded hundreds of flights and thrown the airline's future into doubt. A majority of SAS pilots in Sweden, Denmark and Norway walked out on July 4 triggering a strike that SAS has said cost it between US$10 million to US$13 million per day, Reuters relates. "What I'm hearing from the negotiation room is that we have a deal," a spokesperson for Dansk Metal, one of the unions representing SAS pilots, told Reuters, adding the agreement was not yet finalised. "We have a deal, now we are just getting the last signatures," SAS Chairman Carsten Dilling told Swedish business daily Dagens Industri, Reuters notes. Meanwhile, SAS, as cited by Reuters, said in a statement that a deal had not yet been concluded. "While the mediation has moved in the right direction, no agreement has yet been signed between the two parties," Reuters quotes the airline as saying. Even with an end to the strike, the long-struggling airline still faces major challenges as it needs to slash costs and attract new investors to survive, Reuters discloses. About Scandinavian Airlines SAS AB is Scandinavia's leading airline. It has main hubs in Copenhagen, Oslo and Stockholm, and flies to destinations in Europe, USA and Asia. In addition to flight operations, SAS offers ground handling services, technical maintenance and air cargo services. SAS is a founder member of the Star Alliance, and together with its partner airlines offers a wide network worldwide. On the Web: https://www.sasgroup.net SAS AB and its affiliates, including Scandinavian Airlines Systems Denmark-Norway-Sweden and Scandinavian Airlines of North America Inc., sought protection under Chapter 11 of the U.S. Bankruptcy Code (Bankr. S.D.N.Y. Case No. 22-10925) on July 5, 2022. In the petition filed by Erno Hilden, as authorized representative, the Debtor SAS AB estimated assets between $10 billion and $50 billion and liabilities between $1 billion and $10 billion. Weil, Gotshal & Manges LLP is serving as global legal counsel and Mannheimer Swartling Advokatbyra AB is serving as Swedish legal counsel to SAS. Seabury Securities LLC and Skandinaviska Enskilda Banken AB are serving as investment bankers, Seabury is also serving as restructuring advisor. FTI Consulting is serving as financial advisor. Kroll Restructuring Advisors is the claims agent. =========================== U N I T E D K I N G D O M =========================== CANTERBURY FINANCE 4: DBRS Hikes Class F Notes Rating to B ---------------------------------------------------------- DBRS Ratings Limited took the following rating actions on the bonds issued by Canterbury Finance 4 Plc (the Issuer): -- Class A1 notes confirmed at AAA (sf) -- Class A2 notes confirmed at AAA (sf) -- Class B notes upgraded to AA (high) (sf) from AA (sf) -- Class C notes upgraded to A (high) (sf) from A (low) (sf) -- Class D notes upgraded to BBB (high) (sf) from BBB (sf) -- Class E notes upgraded to BB (high) (sf) from BB (sf) -- Class F notes upgraded to B (sf) from B (low) (sf) -- Class X notes upgraded to AAA (sf) from B (sf) The ratings of the Class A1, Class A2, and Class X notes address the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in May 2058. The ratings of the Class B, Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and principal on or before the legal final maturity date. The rating actions follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses. -- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables. -- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels. The transaction is a securitization of buy-to-let residential mortgage loans originated and serviced by OneSavings Bank plc. PORTFOLIO PERFORMANCE As of June 2022, loans two to three months in arrears represented 0.3% of the outstanding portfolio balance, and loans at least three months in arrears represented 0.2% of the outstanding portfolio balance. As of June 2022, the cumulative default ratio was 0.0%. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions to 4.8% and 25.4%, respectively. CREDIT ENHANCEMENT As of the June 2022 payment date, credit enhancement to the Class A1, Class A2, Class B, Class C, Class D, Class E, and Class F notes was 19.7%, 19.7%, 15.3%, 10.5%, 7.4%, 4.6%, and 1.5%, respectively, up from 17.8%, 17.8%, 13.8%, 9.5%, 6.8%, 4.3%, and 1.5%, at the DBRS Morningstar initial rating, respectively. Credit enhancement is provided by the subordination of the junior classes of notes and a general reserve fund. The Class X notes do not benefit from hard credit enhancement in the form of subordination, but are paid down through the use of available excess spread. To date, the Class X notes have been paid down to GBP 29.6 million, from GBP 68.3 million at transaction close. The transaction benefits from the general reserve fund of GBP 23.1 million, available to cover senior fees, interest, and principal (via the principal deficiency ledgers) on the Class A1 to Class F notes. Elavon Financial Services DAC, U.K. Branch acts as the account bank for the transaction. Based on the DBRS Morningstar private rating of Elavon Financial Services DAC, U.K. Branch, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. Lloyds Bank Corporate Markets plc acts as the swap counterparty for the transaction. DBRS Morningstar's private rating of Lloyds Bank Corporate Markets plc is consistent with the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in British pound sterling unless otherwise noted. ENERGY HELPLINE: Love Energy Buys Business Out of Administration ---------------------------------------------------------------- Shelina Begum at TheBusinessDesk.com reports that business utilities marketplace, Love Energy Savings, has acquired a competitor which fell into administration earlier in the year. Energy Helpline, which provides a free energy switch service to help consumers find the best gas and electricity deal, entered into administration in April following soaring energy prices, which prompted suppliers to withdraw their cheapest tariffs resulting in the collapse of 31 energy companies since the start of 2022, TheBusinessDesk.com relates. According to TheBusinessDesk.com, the addition of Energy Helpline brand to Bolton-based Love Energy Savings portfolio is expected to bring a new wave of customers to the business which has diversified its product offering to now include water, telecoms and waste for business customers. GREENSILL CAPITAL: Credit Suisse Claims Recovery to Cost US$291MM ----------------------------------------------------------------- Owen Walker at The Financial Times reports that Credit Suisse has warned clients that its effort to recover the money it lent via failed finance company Greensill Capital will cost US$291 million, as the Swiss bank braces for five years of long court battles and contested insurance claims. According to the FT, the total is more than double its previous estimate of US$145 million, which it had said it would spend in a year, and is a blow to the bank's wealthy clients who already face billions of dollars of losses from the US$10 billion of supply chain finance funds it set up with Greensill. "The revised provisions cover a term until 2026, a much longer term than the initial provisions, which explains the increase versus the previously disclosed figures," the FT quotes the bank as saying in an update to clients on July 18. Credit Suisse last year suspended a US$10 billion suite of supply chain finance funds linked to Greensill, which collapsed into administration amid allegations of fraud, the FT recounts. While US$7.3 billion has been collected, the bank has warned that about $2bn will be difficult to recoup, the FT discloses. The decision to make clients shoulder the extra costs has spread further discontent among the funds' 1,200 investors, the FT states. They were told by the bank's advisers and in marketing material that they were investing in low-risk products, fully insured against losses, the FT notes. The costs include legal and restructuring advisory fees, insolvency fees and money paid to prop up Greensill and pay its skeleton staff, which last year cost US$10 million, according to the FT. "It's devastating that the investors are paying for all these expenses that are based on a mess up by Credit Suisse," one investor in the funds told the FT. "Most importantly, a big chunk of these expenses are keeping Greensill alive." If a skeleton staff at Greensill is not kept on, the bank says it would not be able to claim for non-payment of invoices under the company's insurance policies, the FT relays. "The recovery work that Credit Suisse continues to prioritise on behalf of fund investors inevitably incurs external expenses," the FT quotes the bank as saying on July 18. "Credit Suisse is fronting as much of this expense as possible and will seek to recoup the amount that we have incurred when appropriate." In an attempt to quell investor anger, Credit Suisse introduced a fee waiver programme for clients invested in the funds, which led to a CHF29 million (US$30 million) hit to the bank's revenues in the first three months of the year, the FT discloses. Credit Suisse has identified US$2.3 billion linked to three debtors-- industrialist Sanjeev Gupta's troubled GFG Alliance, US mining business Bluestone Resources and SoftBank-backed construction company Katerra -- that has been difficult to recoup, according to the FT. GREENSILL CAPITAL: UK Withdraws Guarantees on GBP400MM Loans ------------------------------------------------------------ Robert Smith and Jim Pickard at The Financial Times report that the UK government has withdrawn guarantees on GBP400 million of loans Greensill Capital made to companies linked to Sanjeev Gupta, the metals magnate whose business empire is under criminal investigation for suspected fraud and money laundering. According to the FT, in a letter published on July 18, the British Business Bank -- the state-owned lender that administered many of the UK's emergency coronavirus virus lending schemes -- said that guarantees backing Greensill's loans to large businesses had been "terminated" following an investigation into its lending practices. The British Business Bank first announced last year that it had temporarily suspended the guarantees on these loans, pending an investigation into the once-hyped lending start-up's compliance with the terms of the scheme, the FT recounts. The letter to the House of Commons' influential public accounts committee confirms that Kwasi Kwarteng, business secretary, accepted its recommendation to terminate the guarantees permanently in April, the FT notes. In 2020, Greensill lent GBP400 million under the Coronavirus Large Business Interruption Loan Scheme (CLBILS), which benefited from an 80% government guarantee, the FT discloses. All of these loans were extended to companies either owned by -- or connected to -- Mr. Gupta, the FT states. The public accounts committee later said that this practice appeared to "flagrantly contravene" a GBP50 million cap on loans Greensill could make to a single company, the FT relays. The British Business Bank told the FT that the connected nature of the borrowers was "not the sole" reason for withdrawing the guarantees. "There were a number of breaches that prompted our decision," the bank added. The FT first revealed in October 2020 that multiple entities linked to Gupta were receiving government-backed loans through Greensill. Last year the FT reported that the metals magnate carved up his business empire to further maximise the amount of UK taxpayer-backed loans it could draw, under a plan his company dubbed a "CLBIL Restructuring". The withdrawal of the guarantees is likely to shift losses on to small towns in Germany, which held deposits in a Bremen-based banking subsidiary of Greensill that made the loans, the FT notes. The administrator of Greensill Bank may therefore look to challenge the termination of the UK government backstop in order to increase recoveries for depositors, the FT says. Germany's financial watchdog has filed a criminal complaint against Greensill Bank's management for suspected balance sheet manipulation, citing its lending to Gupta's GFG Alliance as an area of concern, the FT discloses. The CLBILS loans are also under scrutiny from the UK's Serious Fraud Office, which last year announced it was probing GFG and its "financing arrangements with Greensill Capital", according to the FT. O'KEEFE GROUP: Byrne Group Acquires Assets Following CVA -------------------------------------------------------- Grant Prior at Construction Enquirer reports that Byrne Group has bought the properties and plant of civils contractors O'Keefe Group. O'Keefe has been struggling financially and struck a Company Voluntary Arrangement with its creditors last year, Construction Enquirer relates. Concrete frame specialist and contractor Byrne Group has now established O'Keefe Construction (Byrne Group) Limited and O'Keefe Demolition (Byrne Group) Limited. The O'Keefe name will now sit alongside Byrne Bros (Formwork) and Ellmers as part of the enlarged Byrne Group. According to Construction Enquirer, O'Keefe's senior leadership team all remain and staff contracts of employment and entitlements, and plant, equipment and yards remain in place ensuring a seamless continuation of identified contracts. Latest full group results posted at Companies House for the year to May 31, 2020, show a pre-tax loss of GBP1.8 million from a turnover of GBP61.1 million as the business employed 178 staff, Construction Enquirer discloses. O'Keefe ran into difficulties with the onset of Covid, with over GBP40 million of contract start dates slipping, Construction Enquirer relays. Following the CVA in September 2021, O'Keefe has been hit by huge price increases in the supply of materials combined with a reluctance from the credit industry to support the business, Construction Enquirer notes. The demise of Caledonian Modular in March 2022, with whom O'Keefe were working on two projects, meant that despite continued shareholder support, the directors of O'Keefe needed to find a further cash injection, Construction Enquirer states. STARS UK: Moody's Assigns 'B2' CFR & Rates New EUR550MM Loan 'B2' ----------------------------------------------------------------- Moody's Investors Service has assigned a B2 corporate family rating and B2-PD probability of default rating to Stars UK Bidco Limited ('Theramex') in the context of the group's acquisition by funds controlled by The Carlyle Group and PAI Partners. Moody's has also assigned B2 ratings to the proposed EUR550 million senior secured first lien term loan B and pari passu ranking EUR100 million multicurrency senior secured revolving credit facility (RCF), both maturing in 2029 and for which Stars UK Bidco Limited is the borrower. The outlook is stable. Concurrently, Moody's has withdrawn the existing B2 CFR and B2-PD PDR of IWH UK Finco Limited. RATINGS RATIONALE "The rating assignments principally reflect the solid momentum in Theramex's performance, which drives Moody's expectation that Moody's adjusted leverage will remain sustainably below 6.0x while the company will also maintain material free cash flow generation" says Frederic Duranson, a Moody's Vice President/Senior Analyst and lead analyst for Theramex. Moody's calculates an adjusted gross debt/EBITDA of 5.9x at the end of March 2022 (pro forma for the new capital structure). Despite the relatively material increase in debt quantum (approximately EUR110 million) from the new LBO, opening leverage will be in line with the requirements for a B2 CFR thanks to the current momentum in operating and financial performance which has led management EBITDA to increase by EUR14.5 million in the first quarter of 2022 alone. The company's two largest products play a pivotal role in Theramex's current performance. Increased awareness drives continued penetration of menopause product Evorel in the UK while contraception product Zoely benefits from the slow recovery in the contraception market. In the first quarter, about a fifth of the company's revenue growth came from order phasing effects which is expected to reverse later in the year while the strong demand in the UK for hormonal replacement therapies is supporting growth for Evorel. However, Moody's expects overall revenue and EBITDA growth in 2022 to reach double digit percentages. Recent or new launches of Bijuva in menopause and Livogiva, a biosimilar of Forteo in osteoporosis, will support this growth but launch support costs as well as a catch up in sales and marketing costs are expected to modestly erode margins. Moody's forecasts a flattening base revenue in 2023-2024 primarily because of upcoming patent expirations in Zoely's main European markets representing around 8% of total revenue. The rating agency expects new products' contribution to ramp up although execution risks exist in relation to consumer product Femarelle, which represents a new channel for the company and where numerous competitors are already present, and Livogiva, which operates in a very competitive space too. Theramex generates solid free cash flow (FCF, after interest and before product licences and acquisitions) which Moody's estimates will reach at least EUR40 million per annum under the new capital structure. Cash uses apart from interest will remain modest even if ongoing revenue growth will result in some working capital usage which product transfers can temporarily increase as well as capex. Drug licence acquisitions (in-licensing) are typically reported as part of capex but are discretionary in nature. Even including these, Moody's expects that Theramex will generate materially positive FCF if it were to continue to execute deals involving small upfront and milestone payments, as it has done over the course of 2020 and 2021. The B2 CFR also reflects Theramex's balanced global geographic footprint, with diversity within its main region (Europe) and healthy margins, especially versus generics players. Pricing risk is also modest given the substantial proportion of self-pay products. However, the company has a degree of product concentration, with the three largest representing around 45% of revenue. It is also exposed to supply chain disruption risk and supplier concentration with Teva Pharmaceutical Industries Ltd (Ba2, stable) and has an overall small scale in terms of revenue and EBITDA. ESG CONSIDERATIONS The B2 CFR and stable outlook also incorporate social considerations including risks related to product safety and responsible production. The security of supply is also a key social risk which constrained revenue historically. Governance risks that Moody's considers in Theramex's credit profile include the risk that deleveraging is derailed by the use of debt to fund licence acquisitions and the company's access to qualified staff and resulting costs to cope with further product acquisitions and transitions of products from vendors. LIQUIDITY Theramex's liquidity profile is adequate. While the transaction is structured without any cash at closing, Moody's expects annual free cash flow generation of at least EUR40 million and Theramex will benefit from a new 6.5-year EUR100 million senior secured revolving credit facility (RCF). The RCF only has a springing maintenance covenant based on net leverage, tested if drawn at 40% or more. STRUCTURAL CONSIDERATIONS The B2 ratings on the proposed EUR550 million senior secured term loan B and EUR100 million RCF, borrowed by Stars UK Bidco Limited, are in line with the CFR and reflect the fact that they are the only debt instruments in the restricted group. The broader capital structure also includes EUR125 million of third-party PIK debt issued at a holdco above the restricted group. While not part of Moody's ratios, it is credit negative to the extent that it creates structural complexity and future refinancing risk. RATING OUTLOOK The stable outlook reflects Moody's expectations that Theramex will be able to sustain its market position and successfully launch new products without experiencing any major supply issues. As a result, the outlook assumes continued revenue and EBITDA growth and ensuing gross deleveraging as well as materially positive free cash flow generation. Finally, the outlook also incorporates Moody's expectation that the company will not embark on any debt-funded acquisitions or make debt-funded shareholders' distributions. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Upward pressure on Theramex's ratings could develop should the company (1) continue to grow revenue and EBITDA following the expiration of the Zoely patent, and (2) reduce its product and supplier concentration, and (3) reduce Moody's-adjusted leverage below 4.5x on a permanent basis, and (4) increase Moody's-adjusted FCF/debt to well above 10% continuously. Upward ratings pressure would also require the absence of shareholder distributions and material debt-funded acquisitions. Theramex's ratings could be under downward pressure if (1) revenue and EBITDA decline organically or in case of significant supply, operational or litigation issues or, (2) Moody's-adjusted gross debt/EBITDA fails to reduce sustainably well below 6.0x, including as a result of debt-funded transactions, or, (3) FCF generation reduces to below 5% of Moody's-adjusted debt or the liquidity position deteriorates materially. LIST OF AFFECTED RATINGS Assignments: Issuer: Stars UK Bidco Limited Probability of Default Rating, Assigned B2-PD LT Corporate Family Rating, Assigned B2 Senior Secured Bank Credit Facility, Assigned B2 Withdrawals: Issuer: IWH UK Finco Limited Probability of Default Rating, Withdrawn, previously rated B2-PD LT Corporate Family Rating, Withdrawn, previously rated B2 Outlook Actions: Issuer: Stars UK Bidco Limited Outlook, Assigned Stable Issuer: IWH UK Finco Limited Outlook, Changed To Ratings Withdrawn From Stable PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Pharmaceuticals published in November 2021. CORPORATE PROFILE Headquartered in London, UK, Theramex is primarily a sales and marketing organisation focused on women's health. The majority of its portfolio is made up of women's health branded and generic prescription drugs acquired from Teva by private equity firm CVC Capital Partners in January 2018. In the 12 months ended March 2022, Theramex generated revenue of EUR296 million and EBITDA before exceptional items of EUR101 million. TWIN BRIDGES 2022-2: S&P Assigns BB+ (sf) Rating to Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Twin Bridges 2022-2 PLC's (TB 2022-2) class A, B, C-Dfrd, D-Dfrd, and E-Dfrd notes. At the same time, TB 2022-2 will issue unrated class Z1-Dfrd and Z2-Dfrd notes, and certificates. TB 2022-2 is a static RMBS transaction that securitizes a portfolio of BTL mortgage loans secured on properties in the U.K. The loans in the pool were originated between 2015 and 2022, with most originated in 2022, by Paratus AMC Ltd., a non-bank specialist lender, under the Foundation Home Loans brand. The collateral comprises first-lien U.K. BTL residential mortgage loans made to both commercial and individual borrowers. In contrast with the previous Twin Bridges 2022-1 PLC transaction, there will be no prefunded amount. The first interest payment date will be in December 2022. The transaction benefits from liquidity support provided by a nonamortizing reserve fund (broken down into a liquidity reserve fund and a credit reserve), and principal can also be used to pay senior fees and interest on the notes, subject to certain conditions. Credit enhancement for the rated notes will consist of subordination and the credit reserve from the closing date and overcollateralization following the step-up date. The overcollateralization will result from the release of the excess amount from the revenue priority of payments to the principal priority of payments, after any subordinated swap payment amounts are due (if any) are paid. The transaction incorporates a swap to hedge the mismatch between the notes, which pay a coupon based on the compounded daily Sterling Overnight Index Average (SONIA), and the loans, which primarily pay a fixed-rate interest before reversion. At closing, the issuer will use the issuance proceeds to purchase the full beneficial interest in the mortgage loans from the seller. The issuer grants security over all its assets in favor of the security trustee. S&P said, "Our ratings on the class A and B notes address the timely payment of interest and ultimate payment of principal, although the terms and conditions of the class B notes allow for the deferral of interest until they are the most senior class outstanding. Our ratings on the class C-Dfrd, D-Dfrd, and E-Dfrd notes address ultimate payment of principal and interest while they are not the most senior class outstanding. TB 2022-2 will also issue unrated class Z1-Dfrd and Z2-Dfrd notes. Our cash flow analysis indicates that the available credit enhancement for the class E-Dfrd notes is commensurate with a higher rating than that currently assigned, however, we have considered its sensitivity to credit deterioration or increase in recovery timing, coupled with its position in the sequential waterfall. "There are no rating constraints in the transaction under our counterparty, operational risk, or structured finance sovereign risk criteria. We consider the issuer to be bankruptcy remote." Ratings CLASS RATING* CLASS SIZE (%) A AAA (sf) 83.00 B AA- (sf) 7.75 C-Dfrd A- (sf) 3.25 D-Dfrd BBB (sf) 1.50 E-Dfrd BB+ (sf) 1.00 Z1-Dfrd NR 3.50 Z2-Dfrd NR 1.00 Certificates NR N/A *S&P's ratings on the class A and B notes address the timely payment of interest and ultimate payment of principal, although the terms and conditions of the class B notes allow for the deferral of interest until they are the most senior class outstanding. Its ratings on the class C-Dfrd, D-Dfrd, and E-Dfrd notes address ultimate payment of principal and interest while they are not the most senior class outstanding. NR--Not rated. N/A--Not applicable. ********* 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. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR Europe subscription rate is US$775 per half-year, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are US$25 each. For subscription information, contact Peter Chapman at 215-945-7000. * * * End of Transmission * * *