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/raid1/www/Hosts/bankrupt/TCREUR_Public/220811.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, August 11, 2022, Vol. 23, No. 154 Headlines A Z E R B A I J A N BANK RESPUBLIKA: Moody's Affirms B3 Deposit Ratings, Outlook Pos. G E R M A N Y NURI GMBH: Files for Insolvency in Berlin G R E E C E ELLAKTOR S.A.: S&P Places 'CCC+/C' ICR on CreditWatch Developing I R E L A N D ENDO INT'L: Likely to File for Bankruptcy Amid Opioid Lawsuits MAN GLG II: Moody's Affirms B2 Rating on EUR7.7MM Class F Notes SADEREA LTD: S&P Lowers Rating on Repack Notes to 'CCC+' N E T H E R L A N D S EUROSAIL-NL 2007-2: Fitch Affirms CCC Ratings on 2 Tranches UPC HOLDING: Fitch Alters Outlook on 'BB-' LongTerm IDR to Stable S W I T Z E R L A N D TRANSOCEAN LTD: Secures $915-Mil. Contract for Petrobras 10000 U K R A I N E UKRAINE: Creditors Agree to Freeze Payments on US$20BB Bonds U N I T E D K I N G D O M AIM ALTITUDE: Eastleigh Council Owed GBP288K at Time of Collapse LUDGATE FUNDING 2006-FF1: Fitch Affirms BBsf Rating on Class E Debt NATEX: Blacklight Buys Scheme Out of Administration for GBP10MM+ POLLEN: Enters Administration After Acquisition Talks Fail STRATTON HAWKSMOOR 2022-1: Fitch Gives B-(EXP) Rating on 2 Tranches - - - - - =================== A Z E R B A I J A N =================== BANK RESPUBLIKA: Moody's Affirms B3 Deposit Ratings, Outlook Pos. ----------------------------------------------------------------- Moody's Investors Service has upgraded the Baseline Credit Assessments (BCAs) and deposit ratings of four Azerbaijan banks, namely, International Bank of Azerbaijan (IBA), Kapital Bank OJSC (Kapital Bank), OJSC XALQ BANK (Xalq Bank), and OJSC Bank of Baku (Bank of Baku). The outlooks on the long term deposit ratings of these banks has been changed to stable from positive. Concurrently, the rating agency affirmed Joint Stock Commercial Bank Respublika's (Bank Respublika) BCA and deposit ratings with positive outlook. Specifically, Moody's has: (1) upgraded to b1 from b2 the BCA and Adjusted BCA of IBA, upgraded to ba3 from b1 the BCA and Adjusted BCA of Kapital Bank, upgraded to b2 from b3 the BCAs and Adjusted BCAs of Xalq Bank and Bank of Baku, and affirmed Bank Respublika's b3 BCA and Adjusted BCA. (2) upgraded the long-term deposit ratings of IBA to Ba3 from B1, Kapital Bank to Ba2 from Ba3, Xalq Bank to B1 from B2, Bank of Baku to B2 from B3, and affirmed deposit ratings of Bank Respublika at B3. (3) changed the outlooks on the long-term deposit ratings of International Bank of Azerbaijan, Kapital Bank OJSC, OJSC XALQ BANK and Bank of Baku while maintaining the positive outlook for Bank Respublika. These rating actions reflect the rating agency's view that the operating environment for Azeri banks will improve in the next 12-18 months, as reflected by the upgrade of Azerbaijan sovereign rating. A List of Affected Credit Ratings is available at https://bit.ly/3SAQGlT RATINGS RATIONALE IMPROVING OPERATING ENVIRONMENT IN AZERBAIJAN WILL SUPPORT BANKS ASSET QUALITY AND BUSINESS GENERATION The rating actions take into account Moody's view that Azeri banks will benefit from an improving operating environment which is underpinned by stronger economic activity and a stable currency, thanks to high oil prices that are providing sufficient volumes of foreign currency inflows. After having demonstrated resilience throughout the coronavirus pandemic – resulting in a smaller recession than peers and maintaining a stable currency – Azerbaijan is weathering the Russia/Ukraine crisis with a strong economic recovery bolstered by high hydrocarbon prices. Despite Azerbaijan's strong trade links to Russia, the conflict has had limited impact on the economy, and Moody's expects Azerbaijan's real GDP to expand 4% this year. The rating agency expects the resilient economic activity to increasingly translate into stronger business opportunities and better asset quality for banks, improving the banks' standalone credit profiles. The stable outlooks of the long-term ratings reflect Moody's expectations that the financial performance of the affected banks will remain resilient. Azeri banks' nonperforming loans ratio improved to 4.7% at year-end 2021 from 9.4% as of end of 2019. Moody's expects the current high oil prices and stronger economic output to support banks' asset quality in the next 12-18 months. Consequently, the rating agency expects the banks' nonperforming loans ratio to remain stable, with limited downside risk. Higher oil prices tend to have a generalised positive impact on Azerbaijan's economy while improved foreign currency liquidity will support the stability of the manat, the local currency, supporting repayment capacity of foreign currency denominated borrowers. The rating agency also expects banks' business opportunities to improve due to higher economic activity, supporting their profitability. For Bank Respublika, the affirmation of the BCA and its ratings reflects the rating agency's view that the bank's liquidity buffers will remain at a good level while its relatively weaker capital will be sufficient to absorb any adverse asset quality developments following its above-peer loan growth in 2021. The positive outlook reflects expected improvement of the bank's standalone credit profile in the next 12-18 months. BANK-SPECIFIC FACTORS IBA The upgrade of the bank's BCA and Adjusted BCA to b1 from b2 reflects strong performance of IBA's loan portfolio as well as its robust profitability and capital adequacy levels. The upgrade of the bank's local and foreign currency long-term bank deposit ratings to Ba3 from B1 reflects both the improved creditworthiness of the bank and Moody's assumption of a high support to the bank from the government of Azerbaijan. IBA's asset quality continues to benefit from its modest exposure to sectors and segments that were more significantly affected by the pandemic-induced economic disruption. The bank's problem loans to gross loans reduced to 4.2% year-end 2021 and while the rating agency expects it to deteriorate slightly on account of high loan growth in 2021, it will remain contained. Moody's estimates IBA's capital adequacy, as measured by tangible common equity (TCE) to risk-weighted assets (RWA), at 31% as of year-end 2021 and considers this capital cushion, along with pre-provision income, strong enough to absorb higher loan losses. The bank's profitability is underpinned by its strong efficiency, with a cost-to-income ratio of 48% at year-end 2021. IBA also carries large volume of liquid assets, with a ratio of liquid banking assets to tangible banking assets at 68% as of end of 2021 and has a low reliance on market funds. Moody's expects the bank's liquidity to remain high in the next 12-18 months. Kapital Bank The upgrade of the bank's BCA and Adjusted BCA to ba3 from b1 reflects the healthy performance of its loan book as well as its solid profitability and liquidity. The upgrade of the local and foreign currency long-term bank deposit ratings to Ba2 reflects both the improved creditworthiness of the bank and Moody's assumption of a high support to the bank from the government of Azerbaijan. Kapital Bank's loan book performance continue to benefit from the bank's focus on its existing deposit clientele, including payroll customers, budget recipients and pensioners. As of year-end 2021 the ratio of problem loans to gross loans was 3.5%. The bank's capitalisation (TCE/ RWA of 13.6% as of end of 2021) and strong pre-provision profitability (ratio of pre-provision to risk weighted assets was 8.6% in 2021) that is supported by high net interest margins and strong efficiency, provide the bank with good buffers to absorb loan losses. Kapital Bank's reliance on market funds is limited, with a market funds ratio of 6% and a loan-to-deposit ratio of 50%. Concurrently, the bank holds good buffers of liquid assets with the proportion of liquid banking assets to tangible banking assets at 55%. The rating agency expects the liquidity to remain high in the next 12-18 months. Xalq Bank The upgrade of the bank's BCA and Adjusted BCA to b2 from b3 reflects its improved asset quality as well as its solid capital adequacy level. The upgrade of the local and foreign currency long-term bank deposit ratings to B1 reflects both the improved creditworthiness of the bank and Moody's assumption of a moderate support to the bank from the government of Azerbaijan resulting in one notch of the support uplift from the bank's BCA of b2. Xalq Bank's ratio of problem loans to gross loans fell to 5.8% at year-end 2021 from 12.8% as of 2020, a combination of the government support programme, the waning impact of the coronavirus pandemic and an improving operating environment. The bank's TCE/RWAs ratio was 21% as of end of 2021, and this solid capitalisation is supported by its high ratio of shareholders equity to total assets which was 19%. This provides the bank with a good buffer to absorb any unexpected loan losses. However, Xalq Bank's profitability, with a net income ratio of 1.2% as of end of 2021, is restrained by its relatively lower net interest margins (3.3% at year-end 2021) and a relatively high cost-to-income ratio (65% in 2021). The bank's market funding has been stable at around 12% while the liquidity ratio has remained stable at 28% after rising from an average of 22% in the last three years prior to the pandemic. Bank of Baku The upgrade of the bank's BCA and Adjusted BCA to b2 from b3 reflects its improved asset quality and solid capital buffers. The upgrade of the local and foreign currency long-term bank deposit ratings to B2 reflects the improved creditworthiness of the bank. The bank's deposit ratings do not benefit from government support, and therefore the deposit ratings are at the same level with the bank's BCA of b2. Bank of Baku's problem loans ratio improved to 3.3% as of December 2021 from 8.1% in 2020. The bank focuses on unsecured consumer lending and the rating agency expects limited improvements in loan quality despite a stronger economic performance in Azerbaijan. However, more positively, Bank of Baku's loan book is predominantly denominated in local currency, which limits its vulnerability to exchange rate volatility. In addition, the bank has solid capital with a TCE/RWAs ratio of 21.1% and a shareholders' equity to total assets ratio of 22.6% as of December 2021. The rating agency expect the good capital buffers to provide a sufficient cushion to absorb loan losses. On the funding side, the rating agency considers Bank of Baku's high loan-to-deposit ratio, at 156% as of end of 2021, a credit negative. The bank's reliance on market funds, at 22% of tangible banking assets, was the highest among the Azeri rated banks. The rating agency considers market funding more confidence-sensitive and expensive. However, more positively, the bank's deposits base is more granular, and deposits have been historically stable. Additionally, the bank holds satisfactory level of liquid assets with a liquid banking assets ratio of 21% at end of 2021. Bank Respublika The affirmation of the bank's BCA and Adjusted BCA at b3 reflects its resilient asset quality and satisfactory liquidity buffers that is moderated by relatively weaker capital. The bank's deposit ratings do not benefit from government support because Moody's assigns a low support assumption, and therefore the deposit ratings are at the same level with the bank's BCA of b3. Despite Bank Respublika's material focus on small and medium enterprises (SME) lending and unsecured consumer lending, its problem loans to gross loans ratio declined to 2.0% at year-end 2021 from 7.1% in 2020. This is attributed to stronger underwriting standards, stable USD/AZN exchange rate which will likely be supported by higher oil prices, and the scale of state support provided to households, entrepreneurs and SMEs in Azerbaijan following the pandemic. However, the rating agency expects the bank's credit losses to remain elevated, and the problem loans to display some volatility in the near future, but within a tolerable range for a b3 BCA. Bank Respublika's profitability is constrained by weaker efficiency with a cost-to-income ratio of 89% in 2021 and a net income ratio of 0.8%. Bank Respublika's TCE ratio is weaker when compared to its global and domestic peers, and it reduced to 9.6% as of 2021 from 14.5% in 2020. This followed a 59% growth in loans and advances in 2021, which ballooned the banks' risk weighted assets. The rating agency expects the bank's TCE ratio to remain stable in the next 12-18 months because retained earnings will support capital generation, moderating impact of higher risk weighted assets. In line with the high loan growth, the bank's liquid assets ratio declined to 27% in 2021 from 42% in 2020. Moody's expects the funding and liquidity to stabilise at the current levels. GOVERNMENT SUPPORT ASSUMPTIONS UNCHANGED FOR ALL AFFECTED BANKS Moody's considers the probability of government support for IBA's and Kapital Bank's deposit ratings to remain high, while that for Xalq Bank's deposits to be moderate. This reflects the first two banks' larger asset and loan book size as well as higher systemic importance. The government support results in one notch of uplift for the three banks' deposit ratings from their respective BCAs. Moody's assumes low probability of government support for deposit ratings of Bank Respublika and Bank of Baku which does not result in any notches of uplift for the two banks' deposit ratings. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The banks' ratings can be upgraded if there are sustained improvements in their financial profiles. For Bank Respublika, an improvement in its capital metrics towards the average of its domestic peers would put upward pressure on its financial profile. The banks' deposit ratings could be downgraded following a weakness in standalone credit profiles that may result from deteriorating operating conditions, placing pressure on solvency and funding metrics. For Bank Respublika, a downgrade is unlikely over the next 12-18 month because of its positive outlook. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Banks Methodology published in July 2021. ============= G E R M A N Y ============= NURI GMBH: Files for Insolvency in Berlin ----------------------------------------- Oliver Knight at CoinDesk reports that cryptocurrency exchange Nuri GmbH has filed for insolvency in Berlin, according to a court filing. According to CoinDesk, Nuri said the sell-off in the crypto market coupled with the collapse of Celsius Network ultimately led to the decision. Nuri has said its users can still access deposits, CoinDesk relays, citing Reuters. The platform, previously called Bitwala, was founded in 2015. =========== G R E E C E =========== ELLAKTOR S.A.: S&P Places 'CCC+/C' ICR on CreditWatch Developing ---------------------------------------------------------------- S&P Global Ratings placed on CreditWatch with developing implications its 'CCC+/C' long- and short-term issuer credit ratings on Ellaktor S.A. and 'CCC+' issue rating on Ellaktor Value PLC's senior unsecured debt. S&P said, "The CreditWatch placement indicates that we could raise, lower, or affirm the ratings in the next 90 days depending on Ellaktor's strategy and capital structure as the disposal of the RES business progresses, as well as on our view of the impact of the disposal on the group's liquidity position and the group's management of cash flow from its construction business." On Aug. 1, 2022, Ellaktor S.A. offered to repurchase its EUR670 million senior unsecured notes maturing 2024, at 101% of the principal amount, prompted by a change of control by the framework agreement contracted on May 6, 2022, between its largest shareholders Reggeborgh and Motor Oil (Hellas) Corinth Refineries S.A. (Motor oil), respectively, 46.6% and 29.9% stakes. S&P said, "In our view, Ellaktor's offer to repurchase its EUR670 million of senior notes with the proceeds of the RES disposal reduces refinancing risk ahead the 2024 expiration of its largest toll road concession.According to the group's announcement on Aug. 1, 2022, the offer is for 101% of the principal amount of the notes and the repayment should occur shortly after Sept. 21, 2022. Pending visibility on the acceptance, we believe the transaction reduces uncertainty over Ellaktor's ability to repay the notes maturing in 2024, particularly considering that Attiki Odos' toll road concession (the main contributor to the group's operational cash flow) expires in September 2024. The repayment of the notes will be underpinned by a backstop facility, to be signed with Greek banks. In turn, the group plans to repay the backstop facility with the proceeds from the planned sale of the majority of Ellaktor's RES division to Motor Oil. This sale is set to usher in cash proceeds of about EUR683 million. It is expected to close by year-end and is subject to approval at Ellaktor's extraordinary general meeting on August 25. The sale also needs to be approved by the Hellenic Competition Commission. Consequently, at this stage, we don't have full visibility on the final terms of the RES spin-off process, new capital structure, and impact on restricted group. "The planned sale of the RES division could improve the sustainability of Ellaktor's capital structure but there's still uncertainty around the group's updated strategy. The repayment of Ellaktor's notes, combined with the disposal of the RES division, would significantly reduce Ellaktor's consolidated debt, since most of the debt within the restricted group's subsidiaries is reported within the RES segment (EUR266.3 million of gross debt as of March 2022). The group's debt, as adjusted by S&P Global Ratings, would notably include the debt at Moreas toll road concession (EUR426.2 million of gross debt as of March 2022), which we continue to consolidate in our analysis. Adjusted debt also captures limited gross debt at other operating subsidiaries of approximately EUR100 million. Nevertheless, the RES segment represents the second-largest contributor to the group's EBITDA, having contributed about EUR84 million of a total EUR164 million EBITDA in 2021. Also, the RES segment reported a margin of about 79.0%. Post-sale of the RES business, Ellaktor's concession segment would be the main driver of EBITDA (about EUR143 million in 2021). We note that the Attiki Odos concession--the main contributor to the group's operational cash flow (and 75%-80% of concession revenue)--expires in October 2024. We also note that the construction business, although it brings in most of the revenue, has historically been loss making. The environment businesses represents a relatively limited contribution (about EUR17 million EBITDA in 2021). These factors cloud our visibility on the group's next steps. "The limited track record of sustainability of the construction division and the expiration of Attiki Odos in October 2024 have constrained Ellaktor's credit profile and will continue to do so over the longer term. Absent additional cash flows as Attiki Odos matures, new development opportunities, and the successful turnaround of the construction segment, the group's leverage could remain high beyond 2024 and question the long-term sustainability of the capital structure, in our view. In May 2022, eight parties had submitted their interest for the tender launched on Attiki Odos concession by the Hellenic Republic Asset Development Fund (HRADF), including Ellaktor. We understand the preferred bidder could be selected between fourth-quarter 2022 and first-quarter 2023. The group anticipates its construction subsidiary, AKTOR, will return to profitability from 2022 onwards, on the back of increased backlog (EUR2.5 billion in 2021, up 37% from 2020), its efforts toward exiting non-profitable contracts, and the EUR120.5 million capital increase completed on August 2021. That said, the construction operations, to date, have not exhibited much stabilization, despite delivering improved performance in first-quarter 2022 with break-even EBITDA after about EUR75 million negative EBITDA in 2021. Furthermore, we believe the current inflationary environment could continue to create earnings and working capital volatility at AKTOR during the next 12-18 months. "The new shareholder structure could support the group's performance. In our view, Greenhill's exit from Ellaktor's shareholder structure, announced in May 2022, provides an end to the conflicts with Reggeborgh. This had previously hindered Ellaktor's efforts to recover and stabilize its credit profile. In our view, the entrance of energy group Motor Oil could yield synergies across all business lines. On June 30, 2022, the extraordinary assembly elected three new board members from Motor Oil. The number of independent directors remains at around 40%. We will closely monitor how shareholders fuse their strategies and visions and how the combined strategy brings about stronger performance and rating support." The CreditWatch developing indicates that S&P could raise, lower, or affirm the ratings in the next 90 days depending on Ellaktor-s strategy and capital structure following the disposal of the RES business, as well as on its view of its liquidity position. In particular, S&P will observe: -- The progress of the sale of the RES business and how the group's strategy evolves. S&P notes that the completion of the RES disposal and the management of cash flow from the construction business will be key considerations. -- The degree of certainty regarding Ellaktor's capital structure and financial policies following the disposal, as well as its liquidity management. S&P said, "We could raise our rating on the company to 'B-' upon completion of the RES business disposal and repayment of Ellaktor's notes if we believe the group can maintain a sustainable capital structure and generate positive free operating cash flow by stabilizing the construction business. This would require more visibility on Ellaktor's capital structure and strategy post the spin-off of the RES business, in addition to the application of the RES sale proceeds to the repayment of the backstop facility. "We could affirm our rating at 'CCC+' if questions persist over the group's ability to maintain a sustainable capital structure and manage its liquidity needs, particularly in the construction segment. "We could lower our rating if we considered that Ellaktor cannot repay its notes or believed liquidity could weaken materially post the sale of the RES business, signaling increased default risk." ESG credit indicators: E-2, S-2, G-4 S&P said, "Governance factors are a negative consideration in our credit rating analysis for Ellaktor. High turnover in management, the board, and among shareholders hinders the company's ability to execute its strategy and address challenges in its construction business, weighing on the group's leverage and liquidity. Also, in April 2021, shareholder misalignment jeopardized the approval of the share capital increase, which was eventually completed in August 2021. In May 2022, Greenhill Investments Limited and Kiloman Holdings Limited sold their 29.9% stake to Motor Oil, which should provide an end to the conflict between two major shareholders (Reggeborgh and Greenhill) and pave the way for the two largest shareholders to focus on the recovery and stability of Ellaktor's credit profile. We will closely monitor how the new shareholders collaborate over the coming months and if this yields improved performance. Environmental and social factors have an overall neutral influence. Although COVID-19-related disruptions hurt toll road traffic in 2020, the decline has been in line with peers (24% decrease for Attiki Odos in 2020). Toll road traffic is recovering, having reached pre-pandemic levels for the second half of 2021." ============= I R E L A N D ============= ENDO INT'L: Likely to File for Bankruptcy Amid Opioid Lawsuits -------------------------------------------------------------- Alexander Gladstone and Soma Biswas at The Wall Street Journal report that Endo International PLC, a pharmaceutical manufacturer facing thousands of lawsuits alleging it fueled the opioid addiction crisis, said on Aug. 9 that it is likely to file for bankruptcy imminently. According to the Journal, the company said it is in negotiations with a group of senior lenders that it expects will result in an agreement for a chapter 11 filing. Endo also said that it is in discussions with opioid litigants as well as other creditors but didn't say that it has reached a proposed deal with them, the Journal relates. About Endo International plc Endo International plc (NASDAQ: ENDP) -- http://www.endo.com/-- is a holding company that conducts business through its operating subsidiaries. The Company's focus is on pharmaceutical products and it targets areas where it believes it can build leading positions. Endo International reported a net loss of $613.24 million for the year ended Dec. 31, 2021. As of March 31, 2022, the Company had $8.45 billion in total assets, $1.38 billion in total current liabilities, $15.96 million in deferred income taxes, $8.04 billion in long-term debt (less current portion), $5 million in long-term legal settlement accrual (less current portion), $31.69 million in operating lease liabilities (less current portion), $288.43 million in other liabilities, and a total shareholders' deficit of $1.31 billion. * * * As reported by the TCR on July 4, 2022, S&P Global Ratings lowered its issuer credit rating on Endo International PLC to 'CC' from 'CCC'. S&P said the downgrade reflects Endo's entrance into a 30-day grace period for interest non-payment, making a near-term bankruptcy filing or distressed exchange almost an inevitability. MAN GLG II: Moody's Affirms B2 Rating on EUR7.7MM Class F Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Man GLG Euro CLO II D.A.C.: EUR43,900,000 Class B Senior Secured Floating Rate Notes due 2030, Upgraded to Aaa (sf); previously on Feb 8, 2021 Upgraded to Aa1 (sf) EUR17,700,000 Class C Deferrable Mezzanine Floating Rate Notes due 2030, Upgraded to Aa3 (sf); previously on Feb 8, 2021 Upgraded to A1 (sf) Moody's has also affirmed the ratings on the following notes: EUR207,000,000 (current outstanding EUR124.9M) Class A-1 Senior Secured Floating Rate Notes due 2030, Affirmed Aaa (sf); previously on Feb 8, 2021 Affirmed Aaa (sf) EUR10,000,000 (current outstanding EUR6.03M) Class A-2 Senior Secured Fixed Rate Notes due 2030, Affirmed Aaa (sf); previously on Feb 8, 2021 Affirmed Aaa (sf) EUR17,300,000 Class D Deferrable Mezzanine Floating Rate Notes due 2030, Affirmed Baa2 (sf); previously on Feb 8, 2021 Affirmed Baa2 (sf) EUR19,200,000 Class E Deferrable Junior Floating Rate Notes due 2030, Affirmed Ba2 (sf); previously on Feb 8, 2021 Affirmed Ba2 (sf) EUR7,700,000 Class F Deferrable Junior Floating Rate Notes due 2030, Affirmed B2 (sf); previously on Feb 8, 2021 Affirmed B2 (sf) Man GLG Euro CLO II D.A.C., issued in December 2016 and partially refinanced in August 2019, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by GLG Partners LP. The transaction's reinvestment period ended in January 2021. RATINGS RATIONALE The rating upgrades on the Class B and Class C notes are primarily a result of the significant deleveraging of the Class A-1 and Class A-2 notes following amortisation of the underlying portfolio since the last rating action in February 2021. The Class A-1 and Class A-2 notes have paid down by approximately EUR82.09 million (40%) and EUR3.97 million (40%) respectively since the last rating action in February 2021. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior tranches. According to the trustee report dated July 2022 [1] the Class A/B, Class C, Class D, Class E and Class F OC ratios are reported at 140.05%, 127.71%, 117.59%, 108.08% and 104.68% compared to January 2021 [2] levels of 130.85%, 122.54%, 115.37%, 108.34% and 105.76%, respectively. Moody's notes that the July 2022 [1] principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: EUR249.2M Defaulted Securities: EUR7.3M Diversity Score: 51 Weighted Average Rating Factor (WARF): 2987 Weighted Average Life (WAL): 3.77 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.76% Weighted Average Coupon (WAC): 5.87% Weighted Average Recovery Rate (WARR): 43.62% Par haircut in OC tests and interest diversion test: 1.37% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank and swap providers using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in June 2022. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the rating: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. SADEREA LTD: S&P Lowers Rating on Repack Notes to 'CCC+' -------------------------------------------------------- S&P Global Ratings lowered to 'CCC+' from 'B-' its credit rating on Saderea Ltd.'s repack notes. The downgrade follows S&P's Aug. 5, 2022, rating action on the Republic of Ghana. On Aug. 5, 2022 S&P lowered to 'CCC+' from 'B' its long-term sovereign rating on the Republic of Ghana. Under S&P's "Global Methodology For Rating Repackaged Securities" criteria, it weak-links its rating on Saderea's repack notes to the lowest of: -- S&P's long-term sovereign rating on the Republic of Ghana as the underlying collateral issuer; and -- S&P's issuer credit rating (ICR) on Citibank N.A. (London branch), as custodian, which we derive from our ICR on Citibank N.A., as branch parent. ===================== N E T H E R L A N D S ===================== EUROSAIL-NL 2007-2: Fitch Affirms CCC Ratings on 2 Tranches ----------------------------------------------------------- Fitch Ratings has upgraded Eurosail-NL 2007-1 B.V.'s (Eurosail 2007-1) class D notes and affirmed the others. Fitch has also affirmed Eurosail-NL 2007-2 B.V. (Eurosail 2007-2), and EMF-NL Prime 2008-A B.V. (EMF). Eurosail-NL 2007-2 B.V. Class A XS0327216569 LT A+sf Affirmed A+sf Class B XS0327217880 LT B-sf Affirmed B-sf Class C XS0327218425 LT CCCsf Affirmed CCCsf Class D1 XS0327219159 LT CCCsf Affirmed CCCsf Class M XS0330526772 LT BBBsf Affirmed BBBsf Eurosail-NL 2007-1 B.V. Class A XS0307254259 LT A+sf Affirmed A+sf Class B XS0307256114 LT A+sf Affirmed A+sf Class C XS0307257435 LT A+sf Affirmed A+sf Class D XS0307260496 LT BB+sf Upgrade BBsf Class E1 XS0307265370 LT CCCsf Affirmed CCCsf EMF-NL Prime 2008-A B.V. Class A2 XS0362465535 LT Bsf Affirmed Bsf Class A3 XS0362465881 LT Bsf Affirmed Bsf Class B XS0362466186 LT CCCsf Affirmed CCCsf Class C XS0362466269 LT CCsf Affirmed CCsf Class D XS0362466772 LT CCsf Affirmed CCsf TRANSACTION SUMMARY The transactions are securitisations of Dutch non-conforming residential mortgages originated by ELQ Portefeuille I BV and partially by Quion 50 (EMF only). KEY RATING DRIVERS Mostly Improving Asset Performance: Portfolio performance data as of March 2022 is characterised by mostly stable arrears for EMF, and decreasing delinquencies in the two Eurosail deals. The absolute level of late-stage arrears has decreased to below 1% in the Eurosail transactions (about 0.9% and 0.7% of arrears of three months or more in Eurosail 2007-1 and Eurosail 2007-2, respectively), while remaining at an elevated level of 2.3% in EMF. In Fitch's Netherlands All Deals Index, which reflects the performance of mostly prime portfolios, arrears of three months or more currently are at 0.2% (as of July 2022). Originator Adjustment Increases Losses: Given the significant portion of borrowers with adverse credit characteristics, Fitch applied originator adjustments of 3.5x for all three transactions. These adjustments address the portfolios' sub-standard credit quality and the weak performance reported since closing compared with prime Dutch RMBS. Fitch has floored the performance adjustment factor at 100% to reflect the back-loaded risk profile from interest-only loans in combination with non-prime borrowers. Eurosail Capped at 'Asf' Category: Fitch currently views the Eurosail transactions' portfolio characteristics as incompatible with high investment-grade categories ('AAsf' or higher). The cap aims to account for residual uncertainty around high maturity concentrations of interest-only loans in combination with the non-standard nature of the assets in both portfolios. Consequently, Fitch has capped the transactions' ratings in the 'Asf' rating category. As a result, Eurosail 2007-1's class A, B and C notes and Eurosail 2007-2's class A notes have been affirmed below their model-implied ratings. EMF Ratings Capped at 'Bsf': In the absence of liquidity protection, principal borrowing or other mitigants, EMF depends solely on interest collections to meet timely interest payments on the class A2 and A3 notes, in particular in the event of servicing disruption. In Fitch's view, the notes are not compatible with ratings above 'Bsf', at least as long as the reserve fund is not sustainably replenished, which we consider unlikely at present due to about EUR6 million of uncleared losses in the principal deficiency ledger (PDL), which ranks senior to the reserve. Eurosail 2007-1, Eurosail 2007-2, and EMF have an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to weaker underwriting standards applied by the originator that have manifested in weaker-than-market performance of the asset portfolio, as reflected in originator adjustments to the FF. This has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults or decreases in recovery rates could produce larger losses and reduce available revenue funds. Lower available revenue funds may jeopardise the transactions' ability to meet timely or ultimate interest payment obligations. Since the notes can be called net of the PDL, occurrence of material PDLs in Fitch's cash flow analysis over the life of the transactions may trigger negative rating action. Fitch has tested an increase in defaults of 15% and a decrease in recoveries of 15%. In this scenario, Eurosail 2007-1's class D notes' model-implied ratings would be five notches lower than the current rating, Eurosail 2007-2's class M notes' model-implied ratings would be three notches lower than the current rating, and EMF-NL Prime 2008-A's class A2/A3 notes' model-implied ratings would be one notch lower than the current ratings. Factors 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 higher- than-expected available revenue funds late in the transactions' lives and potentially upgrades, as long as no cap applies. For instance, Fitch tested an additional rating sensitivity scenario by applying a decrease in the weighted average foreclosure frequency of 15% and an increase in the weighted average recovery rate of 15%, all else equal. In such scenario, Eurosail 2007-1's class D notes' model-implied ratings would be one notch higher, and Eurosail 2007-2's class M and class B notes' model-implied ratings would be four and 11 notches higher than the current ratings, and EMF-NL Prime 2008-A's class A2/A3 notes' model-implied ratings would be four notches higher than the current ratings. Higher available revenue funds could also result in an increase in excess spread, which could replenish Eurosail 2007-2's and EMF's reserve funds. If EMF's reserve fund is replenished sustainably, all else being equal, the 'Bsf' rating cap on class A2 and A3 notes could be lifted and the notes could be upgraded. UPC HOLDING: Fitch Alters Outlook on 'BB-' LongTerm IDR to Stable ----------------------------------------------------------------- Fitch Ratings has revised UPC Holding BV's (UPC) Outlook to Stable from Negative, while affirming its Long-Term Issuer Default Rating (IDR) at 'BB-'. The revision of the Outlook to Stable reflects UPC's deleveraging capacity resulting from deal-related synergies over the next two years. Waning integration cost and growing synergies should lead to funds from operations (FFO) net leverage falling to within our rating thresholds by 2023. Fitch have relaxed its FFO net leverage thresholds by 0.2x following the acquisition of Sunrise Communications AG (Sunrise). This brings the thresholds in line with that of other Liberty Global (LG)-owned telecom peers like Telenet Group Holding and reflects its view that increased penetration of fixed mobile convergence (FMC) after the Sunrise acquisition has improved the company's operating profile. KEY RATING DRIVERS Sunrise Synergies Support Outlook: UPC is targeting Sunrise-deal synergies of CHF325 million per year, after recognising around CHF50 million-CHF100 million in 2021. Synergies include digital subscriber line offloading, savings from migrating mobile virtual network operator customers to the Sunrise network and other headcount savings. Integration costs were large at around CHF100 million in 2021 and UPC has guided higher still at CHF150 million for 2022. Fitch assumes a slower increase of synergy savings than UPC's projections but for them to exceed integration costs in 2023. This should mean EBITDA growth in the year and gradual deleveraging to our thresholds, as underlined by the Stable Outlook. FMC Improves Operating Profile: The Sunrise acquisition combined Sunrise's strong number two position in mobile with UPC's extensively built-out 1Gbps speed cable network and strong number two position in fixed-line networks. UPC's improved market position should help it reduce churn as demonstrated by growth in revenue-generating units and subscriber numbers across the last 12 months. Fitch believes the enlarged UPC has both stronger up- and cross-selling opportunities and should be better placed to secure B2B customer growth, benefiting from Sunrise's high-quality mobile network. Thresholds Relaxed: As a result of the improvements to UPC's operating profile Fitch have relaxed our FFO net leverage thresholds by 0.2x for both an upgrade and downgrade. Fitch’s downgrade leverage threshold to 'B+' has been increased to 5.2x, in line with other liberty global-owned peers such as Telenet (BB-/Stable) and VodafoneZiggo Group B.V. (B+/Stable) where the upgrade threshold to 'BB-' is 5.2x. Limited Leverage Headroom: The use of UPC Poland disposal proceeds to repay debt during 2022 is likely to be leverage-neutral after UPC Poland's EBITDA is deconsolidated. Fitch expects low EBITDA growth in 2022 and assume excess cash flows will be up-streamed to the parent company leading to FFO net leverage for 2022 being above our 5.2x downgrade threshold at 5.5x. Fitch sees good visibility for EBITDA growth in 2023 as synergies become fully realised, which should reduce leverage to our thresholds by 2023. With limited leverage headroom, failure to extract expected synergies or an increase in competitive intensity may delay deleveraging, which could lead to a negative rating action if leverage remains consistently above 5.2x. Highly Competitive Swiss Market: The Swiss market is dominated by Swisscom, which held subscriber market shares of 49.5% and 57.9% respectively across broadband and post-paid mobile at end-2021 according to ComCom. Unlike other LG-owned telecom peers UPC has not announced plans to increase prices in 2022, citing lower inflation in Switzerland. Fitch expects revenue growth reported in euros to be stable in line with UPC's guidance. High Quality Network: Sunrise's 5G coverage is broad and its network quality is one of the strongest in Switzerland. UPC's DOCSIS3.1 network is capable of gigabit speeds and covers around 2.5 million homes. Fitch expects the high-speed fixed broadband growth in Switzerland to be driven by fibre to the home and unlike Telenet and VMEDO2 UK Limited (BB-/Stable) UPC has not announced plans to roll out its own fibre network. While this may limit wholesale revenue opportunities, its fibre wholesale agreements should ensure the company maintains a competitive service offering, helping to protect its market share. DERIVATION SUMMARY UPC's rating is positioned solidly within the leveraged telecom peer group. Its most obvious peers are the other LG cable operations - VMED O2 Limited (BB-/Stable) and Telenet (BB-/Stable). VodafoneZiggo Group B.V of the Netherlands, a joint venture between LG and Vodafone, is a further benchmark. With its stronger FMC position post-Sunrise, Fitch views UPC's profile as more aligned with that of VMED O2 and Telenet with an improved competitive position on convergence offering and materially larger scale. KEY ASSUMPTIONS Fitch's key assumptions within its rating case for the issuer: -- Revenue to grow 1.2% yoy for 2022, before stabilising at around 0.5% growth to 2025. Revenue growth to benefit from revenue synergies from the Sunrise deal including cross- and up-selling the existing subscriber base; -- EBITDA margin excl. costs to capture (CtC) to increase to 41.4% in 2025 from 38.5% in 2022, driven by the gradually increasing impact of realised synergies; -- Operating and capex integration costs totalling about CHF300 million between 2022 and 2025 with a peak of CHF150 million in 2022, and gradually declining to almost zero in 2025. CtC is split one third to operating expenses and two thirds to capex; -- Capex excluding integration costs and synergies at 16%-18% of revenue for 2022-2025. Integration capex in 2022 to peak at 20.1% of revenue before declining thereafter; -- Working-capital cash outflows of around EUR43 million per year for 2022-2025; -- Excess cash flows to be up-streamed to the parent company via intercompany loan payments such that year-end cash is around EUR20 million-EUR50 million per year for 2022-2025. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A firm commitment by UPC to a more conservative financial policy for example, FFO net leverage of 4.5x (equivalent to around 4.3x Fitch-defined net debt/EBITDA); -- Material improvement in operational performance evident in key performance indicator (KPI) trends, in particular reported net customer additions/losses and broadband customer metrics; -- Cash flow from operations (CFO) less capex/gross debt to remain consistently in high single digits. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- FFO net leverage consistently above 5.2x (equivalent to around 5.0x Fitch-defined net debt/EBITDA); -- CFO less capex / gross debt consistently at or below 3%; -- Deterioration in performance of the Swiss cable operations, in particular sustained loss of broadband customers. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Non-Financial Corporate issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. LIQUIDITY AND DEBT STRUCTURE Strong Liquidity: At end-June 2022, UPC had an unrestricted cash balance of EUR10.2 million. It reported a sound free cash flow (FCF) margin at around 14% in 2021. Fitch expects this to continue with FCF margins of around 6%-15% during 2022-2025. Its liquidity is further supported by long-dated maturities and an outstanding revolving credit facility of EUR713.6 million undrawn at end-June 2022. Other than vendor-financing debt, UPC has no debt maturities before 2028. UPC's floating-rate debt is hedged with derivative instruments. ISSUER PROFILE UPC is an LG-owned converged cable and mobile operator in Switzerland and Slovakia. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. RATING ACTIONS ENTITY/DEBT RATING RECOVERY PRIOR ---- ------ -------- ----- UPC Broadband Finco B.V. senior secured LT BB+ Affirmed RR2 BB+ UPC Financing Partnership senior secured LT BB+ Affirmed RR2 BB+ UPC Holding BV LT IDR BB- Affirmed BB- senior unsecured LT B Affirmed RR6 B UPCB Finance VII Limited senior secured LT BB+ Affirmed RR2 BB+ UPC Broadband Holding B.V. senior secured LT BB+ Affirmed RR2 BB+ ===================== S W I T Z E R L A N D ===================== TRANSOCEAN LTD: Secures $915-Mil. Contract for Petrobras 10000 -------------------------------------------------------------- Transocean Ltd.'s ultra-deepwater drillship, Petrobras 10000, received a 5.8-year contract for work offshore Brazil with a national oil company. The contract adds an estimated $915 million in backlog and is expected to commence in October 2023 and end in August 2029. The estimated firm backlog excludes income associated with the customer's anticipated use of the Company's patented dual-activity technology on the Petrobras 10000. About Transocean Transocean Ltd. is an international provider of offshore contract drilling services for oil and gas wells. The Company specializes in technically demanding sectors of the offshore drilling business with a particular focus on ultra-deepwater and harsh environment drilling services. Transocean reported a net loss of $591 million for the year ended Dec. 31, 2021, a net loss of $568 million for the year ended Dec. 31, 2020, and a net loss of $1.25 billion for the year ended Dec. 31, 2019. As of June 30, 2022, the Company had $20.55 billion in total assets, $1.53 billion in total current liabilities, $7.84 billion in total long-term liabilities, and $11.17 billion in total equity. * * * As reported by the TCR on July 11, 2022, S&P Global Ratings lowered its issuer credit rating on Switzerland-based offshore drilling company Transocean Ltd to 'CCC-' from 'CCC'. S&P's 'CCC-' issuer credit rating reflects its view that the Company will execute a distressed exchange or debt restructuring over the next six months. ============= U K R A I N E ============= UKRAINE: Creditors Agree to Freeze Payments on US$20BB Bonds ------------------------------------------------------------ Jorgelina do Rosario at Reuters reports that Ukraine's overseas creditors have backed its request for a two-year freeze on payments on almost US$20 billion in international bonds, according to a regulatory filing on Wednesday, Aug. 10, a move that will allow the war-torn country to avoid a debt default. With no sign of peace or a ceasefire on the horizon nearly six months after Russia's invasion began on Feb. 24, bondholders have agreed to postpone sovereign interest and capital payments for 13 Ukrainian sovereign bonds maturing between 2022 and 2033, Reuters relates. =========================== U N I T E D K I N G D O M =========================== AIM ALTITUDE: Eastleigh Council Owed GBP288K at Time of Collapse ---------------------------------------------------------------- Darren Slade at Daily Echo reports that council tax payers were owed hundreds of thousands of pounds when a manufacturer at a site owned by Eastleigh council went into administration, documents suggest. Aim Altitude (UK) Ltd, which makes interiors for commercial aircraft, was placed into administration in June, along with parent company Aim Altitude Ltd., Daily Echo recounts. Most of the companies' assets were sold straight away to another arm of their Chinese owner, AVIC, for GBP2 million, Daily Echo notes. According to Daily Echo, a report by administrators says Aim Altitude (UK) Ltd owed GBP288,000 to Eastleigh Borough Council. The authority bought its factory site near Bournemouth Airport for GBP18.7 million in 2017 as part of its investments in commercial property, Daily Echo discloses. Eastleigh council says the debt is the "type of risk that any landlord builds into the management of their commercial portfolio", Daily Echo relays. The report on the Aim Altitude companies by administrators at Grant Thornton said Aim Altitude (UK) owed a total of GBP6.7 million to unsecured creditors, Daily Echo notes. It is not clear how much money will be available to those creditors, because parent company Aim Altitude Ltd is expected to make a claim against its subsidiary Aim Altitude (UK) Ltd for intercompany loans and management charges, according to Daily Echo. There could also be "potentially significant breach of contract claims" which could run into tens of millions of pounds, Daily Echo says. Aim Altitude Ltd also owed GBP2.7 million to unsecured creditors, but its own parent business -- AVIC Cabin Systems Co -- was expected to make a claim against it and to be its largest unsecured creditor, Daily Echo states. All 383 jobs at the group were saved when most of the assets were sold to AVIC Cabin Systems (UK) Ltd, another business owned by AVIC Cabin Systems Co., Daily Echo discloses. The company is also listed as owing GBP332,000 to Christchurch Borough Council, the local authority which previously covered its Bournemouth Airport site. LUDGATE FUNDING 2006-FF1: Fitch Affirms BBsf Rating on Class E Debt ------------------------------------------------------------------- Fitch Ratings has upgraded 14 tranches of the Ludgate Funding plc series - Ludgate 06, 07 and 08 - and affirmed the remaining eight as detailed below. The Outlook is Stable. All ratings have been removed from Under Criteria Observations (UCO), apart from the class A notes. Ludgate Funding Plc's Series 2008-W1 Class A1 XS0353588386 LT AAAsf Affirmed AAAsf Class A2b XS0353589608 LT AAAsf Affirmed AAAsf Class Bb XS0353591505 LT AA+sf Upgrade AAsf Class Cb XS0353594434 LT AA-sf Upgrade Asf Class D XS0353595597 LT Asf Upgrade BBB+sf Class E XS0353600348 LT BBB+sf Upgrade BB+sf Ludgate Funding Plc Series 2006 FF1 Class A2a XS0274267862 LT AAAsf Affirmed AAAsf Class A2b XS0274271203 LT AAAsf Affirmed AAAsf Class Ba XS0274268241 LT AA+sf Upgrade AAsf Class Bb XS0274271898 LT AA+sf Upgrade AAsf Class C XS0274272359 LT AA-sf Upgrade A-sf Class D XS0274272862 LT BBB+sf Upgrade BBB-sf Class E XS0274269645 LT BBsf Affirmed BBsf Ludgate Funding Plc Series 2007 FF1 Class A2a XS0304503534 LT AAAsf Affirmed AAAsf Class A2b XS0304504003 LT AAAsf Affirmed AAAsf Class Bb XS0304508681 LT A+sf Upgrade BBB+sf Class Cb XS0304509739 LT BBB+sf Upgrade BBB-sf Class Da XS0304510158 LT BB+sf Upgrade BBsf Class Db XS0304512105 LT BB+sf Upgrade BBsf Class E XS0304515546 LT B-sf Affirmed B-sf Class Ma XS0304504698 LT AA+sf Upgrade AA-sf Class Mb XS0304505232 LT AA+sf Upgrade AA-sf TRANSACTION SUMMARY The three Ludgate Funding plc transactions are secured by loans originated by Wave (formerly Freedom Funding Limited) and purchased by Merrill Lynch International Bank Limited. The loans are buy-to-let (BTL) and non-conforming owner-occupied (OO) and secured against properties located in England and Wales. KEY RATING DRIVERS Removed from UCO: Fitch updated its UK RMBS Rating Criteria on May 23, 2022 to include its latest sustainable house prices, house price indexation and gross disposable household income for each of the 12 UK regions. The changes increased the multiple for all regions other than the north east and northern Ireland. Its sustainable house prices are now higher in all regions except northern Ireland. This has a positive impact on recovery rates (RR) and, consequently, Fitch's expected loss in UK RMBS transactions, resulting in today's rating actions. Fitch also reduced its foreclosure frequency (FF) assumptions for loans in arrears based on a review of historical data from its UK RMBS rating portfolio. The changes better align our assumptions with observed performance in the expected case and incorporate a margin of safety at the 'Bsf' level. Credit Enhancement (CE) Accumulation: All classes of notes benefit from the availability of non-amortising reserves. Unless a performance trigger is breached, pro-rata amortisation will continue until the notes fall below 10% of their initial balance. This has led to a gradual increase in CE, which supported the affirmations and the upgrades. Furthermore, due to an incorrect allocation of funds in the October 2021 interest payment date (IPD) according to Fitch, Ludgate 2007 FF1 has been subject to sequential amortisation for three IPDs. This has led to a faster build-up of CE for the most senior notes but a slower one for the junior notes. In October 2021, funds that should have been saved for the next IPD (January 2022) were released in advance, which resulted in a shortfall in January 2022. This triggered the use of the reserve fund and therefore a pro-rata amortisation trigger breach, but which has since been replenished to target. Fitch expects the pro-rata amortisation to resume in October 2022. Ratings Lower than Model-Implied: The ratings on Ludgate 2006 FF1 class D and E notes, Ludgate 2007 FF1 class B, C, D, and E notes and Ludgate 2008-W1 class E notes are one notch below their respective model-implied ratings. This reflects Fitch's view that a modest increase in arrears could result in lower model-implied ratings towards the current ratings in future analyses. Stable Performance and Arrears: Arrears levels remain limited across the three transactions, with three-month plus arrears under 2.5%. Despite increases during the pandemic, during the last three IPDs the figures came close to low pre-pandemic levels, and in all cases well below the Fitch index for non-conforming deals. Performance of the three Ludgate transactions remain among the best in the non-conforming sector. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The transactions' performance may be affected by adverse changes in market conditions and economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults and could reduce CE available to the notes. Fitch conducted sensitivity analyses by stressing each transaction's base case FF and recovery rate (RR) assumptions, and examining the rating implications on all classes of issued notes. A 15% increase in weighted average (WA) FF and a 15% decrease in WARR indicates downgrades of no more than six notches for the class E notes across all three transactions. Factors 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 and, potentially, upgrades. Fitch tested an additional rating sensitivity scenario by applying a decrease in the WAFF of 15% and an increase in the WARR of 15%. The results indicate upgrades of up to six notches for the class E notes across all three transactions. NATEX: Blacklight Buys Scheme Out of Administration for GBP10MM+ ---------------------------------------------------------------- Julia Hatmaker at North West Place reports that Blacklight Capital Partners has purchased Natex, a 574-apartment student accommodation scheme off Norton Street, and rebranded it as Limelight. According to North West Place, the deal is understood to have been more than GBP10 million. Falconer Chester Hall had designed Limelight, then Natex, for Mount Property Group. Natex topped out in January last year but hit a roadblock when the SPV attached to it, Mount Group Student Natex, went into administration in October, North West Place recounts. Administrator Mazars reported that the SPV owed GBP39 million to creditors, North West Place discloses. Blacklight has taken full ownership of the project, which had been a fractional sales scheme, North West Place states. Under changes made by Blacklight, Limelight's GDV has increased to GBP55 million, North West Place says. Work has already begun onsite as well, North West Place relays. Blacklight aims to open Limelight for the beginning of the September 2023 academic year, according to North West Place. POLLEN: Enters Administration After Acquisition Talks Fail ---------------------------------------------------------- James Hanley at IQ reports that UK-based music, travel and experiences start-up Pollen has fallen into administration, just three months after raising US$150 million in new funding. The embattled firm's parent company Streetteam Software Limited has called in insolvency specialist Kroll to "administer its restructuring", IQ relates. "The management team have been in ongoing negotiations with a potential buyer for the parent company but have been unable to agree to terms in an appropriate time frame, leaving the board and shareholders agreeing the best option is to restructure the business," IQ quotes it as saying in an official statement. Streetteam says bids have already been received for its customer-facing subsidiary firms "meaning customer experiences and refunds will not be affected", IQ notes. Last month, the company was reported to have drafted in investment bank Goldman Sachs to assist its bid to find a buyer, IQ discloses. According to IQ, accounts filed with Companies House showed Streetteam recorded losses of GBP51.4 million in 2021, which followed a loss of GBP39.3 million in 2020. Pollen raised US$150 million in a Series C round in April, only to let over 150 members of staff go in the UK and US a month later, IQ recounts. Earlier, it raised over US$100 million in venture capital funding from investors including Kindred, Northzone, Sienna Capital, Backed and Draper Spirit, while the UK government's Future Fund also previously invested in the firm, IQ states. "Despite strong growth since Streetteam Software Ltd's inception eight years ago, the knock-on effects of Covid-19 over the last two years, which decimated much of the travel sector, together with the tech stock crash and current consumer uncertainty in light of global economic conditions, put too much pressure on the business whilst at a critical stage of a scale-up's maturity," the statement added. "The management team are working hard to get the best outcome for all stakeholders, whilst working with shareholders to find affected employees alternative positions in their portfolio of companies." Pollen, which was reported to have missed its June payroll and delayed its July payroll, runs two offerings: Pollen Presents, which curates experiences for customers across travel, music, and more; and Pollen+ which partners with promoters and music festivals to offer customers who book through its platforms perks at events. STRATTON HAWKSMOOR 2022-1: Fitch Gives B-(EXP) Rating on 2 Tranches ------------------------------------------------------------------- Fitch Ratings has assigned Stratton Hawksmoor 2022-1 PLC's notes expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed. Stratton Hawksmoor 2022-1 PLC Class A1 XS2503012515 LT AAA(EXP)sf Expected Rating Class A2 XS2503012606 LT AAA(EXP)sf Expected Rating Class B XS2503012788 LT AA+(EXP)sf Expected Rating Class C XS2503012861 LT A+(EXP)sf Expected Rating Class D XS2503012945 LT BBB+(EXP)sf Expected Rating Class E XS2503013083 LT BBB+(EXP)sf Expected Rating Class F XS2503014727 LT BB(EXP)sf Expected Rating Class G XS2503014990 LT B-(EXP)sf Expected Rating Class X1 XS2503013752 LT B-(EXP)sf Expected Rating Class X2 XS2503013836 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Stratton Hawksmoor 2022-1 plc is a securitisation of non-prime owner-occupied (OO) and buy-to-let (BTL) mortgages backed by properties in the UK. The mortgages were originated primarily before 2009 (over 99% by current balance) and previously securitised in four transactions - Hawksmoor Mortgage Funding 2019-1 PLC, Stratton Mortgage Funding 2019 PLC, Clavis Securities PLC Series 2006-1, and Clavis Securities PLC Series 2007-1. KEY RATING DRIVERS Seasoned Non-Prime Loans: The asset pool presents characteristics that were commonplace in UK non-conforming origination prior to the credit crisis. The collateral portfolio contains seasoned loans (15.7 years on average), a high proportion of borrowers with adverse credit histories and early stage arrears. In addition, the OO sub-pool also contains a high proportion of interest-only (IO) loans (74.3%) and borrowers who self-certified their incomes (26.5%). Both sub-pools contain loans in arrears but the BTL sub-pool has a materially lower proportion. Fitch Ratings considered the historical performances of previous transactions in its analysis and found them to be generally in line with sector indices. The OO and BTL portions of the pool were analysed under Fitch's non-conforming and BTL Criteria assumptions respectively with a lender adjustment of 1.0x. Low-Indexed WA CLTVs: The mortgage portfolio has benefited from considerable growth in property values leading to a weighted average (WA) indexed current loan-to-value (CLTV) of 49.4%. This contrasts with the WA original LTV (OLTV) of 83.0% and in turn led to a fairly strong recovery rate (RR) assumption of 92.5% at 'Bsf'. This is despite the portfolio being 76.4% composed of interest-only loans. This low CLTV should minimise any material loss if a significant proportion of IO borrowers are unable to make their bullet payments. Interest Rate Compression: The loan interest rate margins in the collateral pool presented a wide dispersion. Fitch performed a yield compression analysis in line with its UK RMBS Criteria. However, margin compression from prepayments is expected to be limited given the high seasoning of the assets and the low interest rate environment in recent years. Fitch's rating determination was informed by sensitivities to lower margin compression from prepayments. Multiple Servicer Platforms: The transaction's collateral portfolio will be serviced by three different servicers, each in charge of a different sub-pool. Fitch considers that this feature, together with the availability of a liquidity reserve and a reserve fund, mitigates the risk of a payment interruption arising from a servicer default. In the event that a servicer defaulted on its obligations, Fitch believes that the continued operations of the others would prevent any non-payment of non-deferrable interest. Additionally, a back-up servicer facilitator is in place, reducing the expected time it would take to assign a new servicer. Unhedged Basis Risk: The pool contains 94.1% loans linked to the Bank of England base rate (BBR), 1.6% linked to Libor and 4.4% linked to a standard variable rate. There will be no hedge in place at close. As the notes will pay daily compounded SONIA, the transaction will be exposed to basis risk between the BBR and SONIA. Fitch has incorporated this risk into its analysis by implementing a margin reduction of 0.15% in the rising and stable interest rate stress scenarios, in line with its UK RMBS Criteria. Note Interest Cap: The interest-bearing notes from class B and below are subject to a cap on daily compounded SONIA at 8.0%. The maximum interest amount due will be equal to the cap plus the relevant margin. As the asset pool comprises floating-rate loans and such a cap does not apply to the asset yield, this transaction feature is positive for the notes' credit risk in rising interest rate scenarios and neutral in stable or decreasing interest rate scenarios. This transaction feature has been captured in Fitch's analysis in line with its Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The transaction performance may be affected by changes in market conditions and economic environment. Weakening economic 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 note ratings susceptible to potential negative rating actions depending on the extent of the decline in recoveries. Fitch conducts sensitivity analyses by stressing both a transaction's base-case foreclosure frequency (FF) and recovery rate (RR) assumptions, and examining the rating implications on all classes of issued notes. A 15% increase in the weighted average FFFF and a 15% decrease in the weighted average RR indicate downgrades of between three and six notches across the capital structure. Factors 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 consideration for potential upgrades. 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 impact on all notes except the class A notes could be upgrades of between one and four notches. ********* 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 * * *