/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/230804.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 Friday, August 4, 2023, Vol. 24, No. 156 Headlines F R A N C E NORIA 2021: DBRS Confirms B(high) Rating on Class F Notes NORIA 2023: DBRS Finalizes BB Rating on Class E Notes RENAULT SA: Moody's Upgrades CFR & Senior Unsecured Notes to Ba1 G E R M A N Y SPARK NETWORKS: Had Forbearance Deal Until Today I T A L Y 2WORLDS SRL: DBRS Cuts Class A Notes Rating to CCC AUTOFLORENCE 2: Fitch Hikes Rating on Class E Notes From 'BB+sf' BFF BANK: DBRS Assigns BB(high) LongTerm Issuer Rating S P A I N AUTONORIA SPAIN 2022: Fitch Affirms 'BB-sf' Rating on Cl. F Notes U N I T E D K I N G D O M AUXEY MIDCO: Fitch Publishes 'B' Long Term IDR, Outlook Positive BILLING AQUADROME: Administrators Confident of Finding Buyer CINEWORLD: Enters Administration, Share Trading Suspended EMF-UK 2008-1: Fitch Affirms 'BBsf' Rating on Class B1 Notes PREMIER BINGO: Enters Administration, Cowdenbeath Club Closed VIRIDIS DAC: DBRS Cuts Class D Notes Rating to BB WILKO: On Verge of Collapse, 12,000 Jobs at Risk [*] UK: Corporate Insolvencies Hit 14-Year High in 2Q 2023 X X X X X X X X [*] BOOK REVIEW: The Story of The Bank of America - - - - - =========== F R A N C E =========== NORIA 2021: DBRS Confirms B(high) Rating on Class F Notes --------------------------------------------------------- DBRS Ratings GmbH confirmed the following credit ratings on the notes (collectively, the Notes) issued by Noria 2021 (the Issuer): -- Class A Notes at AAA (sf) -- Class B Notes at AA (high) (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at BBB (high) (sf) -- Class E Notes at BB (high) (sf) -- Class F Notes at B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal maturity date. The credit ratings on the Class B, Class C, Class D, Class E, and Class F Notes address the ultimate payment of interest and ultimate repayment of principal by the legal maturity date while junior to other outstanding classes of notes, but the timely payment of scheduled interest when they are the senior-most tranche. The confirmations follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the June 2023 payment date; -- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and -- Current available credit enhancement to the Notes to cover the expected losses at their respective credit rating levels. The transaction is a French securitization collateralized by a portfolio of personal, debt consolidation, and sales finance loans granted by BNP Paribas Personal Finance (the originator). The transaction closed in July 2021 and included an initial 11-month revolving period, which ended on the June 2022 payment date. Following the end of the revolving period, the Notes have been amortizing on a pro rata basis and will continue to do so unless a sequential redemption event is triggered. PORTFOLIO PERFORMANCE As of the June 2023 payment date, loans that were one to two and two to three months delinquent represented 1.2% and 0.5% of the portfolio balance, respectively, while loans that were more than three months delinquent represented 0.4%. Gross cumulative defaults amounted to 3.0% of the original portfolio balance, with cumulative recoveries of 5.8% to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar received updated historical vintage data from the originator and updated its base case PD assumptions to 5.0%, down from 5.6% at the last annual review, and maintained its base case LGD assumption at 58.0%. CREDIT ENHANCEMENT The subordination of the respective junior notes provides credit enhancement to the rated notes. As of the June 2023 payment date, credit enhancement to the Class A, Class B, Class C, Class D, Class E, and Class F Notes remained unchanged since closing at 28.0%, 23.5%, 15.0%, 10.0%, 7.0%, and 4.5%, respectively, because of the pro rata amortization of the Notes. If a sequential redemption event is triggered, the principal repayment of the Notes will become sequential and nonreversible until the higher-ranked class of Notes is fully redeemed. The transaction benefits from a cash reserve equal to 1% of the Class A, Class B, Class C, and Class D Notes' balance, funded by the seller at closing. This reserve is available to the Issuer only when the principal collections are not sufficient to cover the interest deficiencies, which are defined as the shortfalls in senior expenses, swap payments, and interest on the Class A Notes and, if not subordinated, interest on the Class B, Class C, and Class D Notes. The reserve is currently at its target of EUR 5.4 million. A commingling reserve facility is also available to the Issuer if the specially dedicated account bank is rated below the required rating for the account bank or following a breach of its material obligations. The required amount is equal to the sum of 2.5% of the performing receivables and 0.6% of the outstanding principal balance of the initial receivables. BNP Paribas SA acts as the special dedicated account bank and the account bank for the transaction. Based on DBRS Morningstar's reference rating of AA on BNP Paribas SA (which is one notch below its Long Term Critical Obligations Rating of AA (high)), 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 credit ratings assigned to the Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. BNP Paribas Personal Finance acts as the swap counterparty for the transaction. DBRS Morningstar's private rating on BNP Paribas Personal Finance is consistent with the first rating threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology. DBRS Morningstar's credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this press release. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. NORIA 2023: DBRS Finalizes BB Rating on Class E Notes ----------------------------------------------------- DBRS Ratings GmbH finalized its provisional ratings on the following classes of notes (the Rated Notes) issued by Noria 2023 (the Issuer): -- Class A Notes at AA (high) (sf) -- Class B Notes at A (low) (sf) -- Class C Notes at BBB (high) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) -- Class F Notes at BB (low) (sf) DBRS Morningstar does not rate the Class G Notes also issued in this transaction. The rating of the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal maturity date. The ratings of the other classes of Rated Notes address the ultimate payment of interest while they are subordinated but the timely payment of scheduled interest when they are the senior-most class and the ultimate repayment of principal by the legal maturity date. The transaction is a securitization fund of French unsecured consumer loan receivables originated by BNP Paribas Personal Finance as the seller and the servicer, which is part of the BNP Paribas group. The ratings are based on a review of the following analytical considerations: -- The transaction's capital structure, including the form and sufficiency of available credit enhancement to support the projected expected net losses under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay the Rated Notes. -- The seller's financial strength and capabilities with respect to originations, underwriting, and servicing. -- The operational risk review of the seller, which DBRS Morningstar deems to be an acceptable servicer. -- The transaction parties' financial strength regarding their respective roles. -- The credit quality, diversification of the collateral, and historical and projected performance of the seller's portfolio. -- DBRS Morningstar's sovereign rating on the Republic of France at AA (high) with a Stable trend. -- The expected consistency of the transaction's legal structure with DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. TRANSACTION STRUCTURE The transaction represents the issuance of notes backed by a pool of approximately EUR 500 million of fixed-rate, unsecured, and amortizing personal loans; debt consolidation loans; and sales finance loans granted to individuals domiciled in France. The transaction features a 14-month scheduled revolving period during which time the Issuer will purchase new receivables that the seller may offer, provided that certain conditions set out in the transaction documents are satisfied. The transaction benefits from a liquidity reserve equal to 1.25% of the Rated Notes' balance funded by the seller at closing. The liquidity reserve will be available to the Issuer at all times when the principal collections are not sufficient to cover the interest deficiencies, which are defined as the shortfalls in senior expenses, swap payments, and interest on the Class A Notes, and if not subordinated, interest on the other classes of Rated Notes. The liquidity reserve is amortizing and will be replenished in the transaction waterfalls during the revolving period and the normal redemption period, subject to a floor of 0.5% of the initial balance of the Rated Notes. The transaction also benefits from a non-amortizing general reserve equal to 2.60% of the initial balance of the Rated Notes and Class G Notes, which was also funded by the seller at closing and will be available as part of the available funds to cover any shortfalls up to its replenishment in the interest waterfalls. A commingling reserve facility is also available to the Issuer if the specially dedicated account bank is rated below the account bank required rating or following a breach of its material obligations. The required amount is equal to the sum of 2.5% of the performing receivables and 0.6% of the outstanding principal balance of the initial receivables. COUNTERPARTIES BNP Paribas (acting through its Securities Services department) is the account bank for the transaction. Based on DBRS Morningstar's Long-Term Issuer Rating of AA (low) with a Stable trend on BNP Paribas, and downgrade provisions outlined in the transaction documents, DBRS Morningstar considers the risk arising from the exposure to the account bank to be commensurate with the ratings assigned. The seller is the initial swap counterparty for the transaction. DBRS Morningstar's private rating on the seller meets the criteria to act in such capacity. The transaction documents contain downgrade provisions largely consistent with DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology and the transaction will be monitored based on DBRS Morningstar's rating of the seller or its replacement. PORTFOLIO ASSUMPTIONS The seller, as the originator, has a long operating history of consumer loan lending. Its performance to date has been stable based on a detailed vintage analysis. DBRS Morningstar also benchmarked the portfolio performance to comparable consumer loan portfolios in France and revised its asset assumptions of lifetime gross default and recovery assumptions to 4.8% and 42%, respectively, based on the more stringent loan eligibility criteria and possible portfolio migration during the scheduled revolving period. DBRS Morningstar's credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the Rated Notes are the related Interest Amounts and Initial Principal Amounts. DBRS Morningstar's credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. RENAULT SA: Moody's Upgrades CFR & Senior Unsecured Notes to Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the long-term corporate family rating of Renault S.A. (Renault or the group) to Ba1 from Ba2. Concurrently, Moody's has upgraded the group's probability of default rating to Ba1-PD from Ba2-PD, the rating of the senior unsecured EMTN programme to (P)Ba1 from (P)Ba2 and the ratings of the group's senior unsecured notes to Ba1 from Ba2. The outlook on the ratings remains stable. "The rating upgrade reflects Renault's continued improvement in profitability, driven by positive pricing and product mix effects, and the strong free cash flow generation, which allows Renault to reduce debt, including the full reimbursement French State guaranteed loan in the first half of 2023." said Matthias Heck, a Moody's Vice President -- Senior Credit Officer and Lead Analyst for Renault. "The stable outlook reflects the expectation that margins can be sustained at levels commensurate with a Ba1 rating, while Renault's debt/EBITDA will stay at more comfortable levels of around 2.75x-3.5x, notwithstanding the ongoing challenging macroeconomic environment and the execution risks linked to the new strategic plan." added Mr. Heck. RATINGS RATIONALE In the first half of 2023, Renault's automotive revenues increased by 27%, a strong outperformance on vehicle unit sales (+13.2%), driven by price effects (+8.8 percentage points) and mix effects (+3.5 percentage points). Concurrently, Renault's reported automotive sales margin increased to historically high levels of 6.2% in 1H 2023, after 2.1% in 1H 2022 and 4.2% in 2H 2022. Even excluding the positive one-off valuation effect related to project Horse (EUR275 million), the sales margin improved considerably to 5.1%. Renault's margin improvements were driven by price and mix effects, that overcompensated cost increases, especially for raw materials. The mix effects stem from sales growth due to recent model launches in the upper segments, and customer demand for higher trims. Renault's company-defined operational free cash flow in the automotive segment increased to EUR1.8 billion in 1H 2023, from nearly EUR1.0 billion in 1H 2022. On June 29, Renault already increased its reported group operating margin target (including financial services) to "7% - 8%" for 2023, compared to previously "superior or equal to 6%" and 7.6% actually achieved in 1H 2023. The company also expects its automotive free cash flow to exceed EUR2.5 billion, compared to the initial expectation of more than EUR2.0 billion. Renault's increased targets for 2023 indicate the significant progress in terms of the group's so-called "Renaulution" plan, which includes a reported group operating margin of more than 8% in 2025, and a free cash flow of more than EUR2 billion on average for the years 2023-25. Moody's notes this progress of the execution of the strategic plan by the new management, which is improving its credibility and track record. As a result, Renault's overall governance risks have improved to more moderate levels, so Moody's changed Renault's Governance Issuer Profile Score to G-3 from G-4. Moody's notes that the global market environment for automakers has been favourable in the first half of 2023, with around 10% higher light vehicle sales, and a particular strong recovery in Europe (+17%). Moody's expects a more stable volume development in the second half, leading to full year unit sales growth of 5.7%. Moody's also cautions that margins of automakers globally might suffer from a weakening consumer sentiment, once the current high order backlog has been worked out. Renault's recent new model launches in the upper segments, and the demand for higher trimmed versions, should, however, allow the company to improve its profitability against the expected global market trend. On a Moody's adjusted basis, the rating agency expects Renault's EBITA margins to improve to more than 6% in 2023, after 4.4% in 2022. Excluding the contribution from Nissan Motor Co., Ltd. (Baa3 stable, Nissan), Moody's expects Renault's margins to increase to around 5%, from 3.2% in 2022. Due to the higher profits and the repayment of the EUR1.0 billion state guaranteed loan in the first half, Moody's expects that Renault's debt/EBITDA (Moody's adjusted) will decline to around 3.0x in December 2023, well below the 4.3x at the end of December 2022. Renault's CFR of Ba1 reflects its position as one of Europe's largest car manufacturers, with a solid competitive position in France and good geographical diversity; the recent new model launches, with an advanced positioning in the area of hybrid and battery electric models; the execution of the strategic plan called "Renaulution", which aims to improve profitability and cash generation with evident signs of success; and its prudent financial policy, good liquidity and balanced debt maturity profile. The rating also reflects Renault's ownership of RCI Banque with its commercial brand Mobilize Financial Services, whose dividend payments contribute to Renault's industrial cash flows, and the 15% ownership of French government, which supported Renault with a EUR4 billion state guaranteed loan during the pandemic. Lastly, its long-established and recently rebalanced strategic alliance with Nissan and Mitsubishi Motors Corporation (Mitsubishi) has substantial synergy potential although the companies had material challenges to realize this in the past. The rating also incorporates Renault's history of very low profitability, which has only recently recovered to levels commensurate with the Ba1, and which Moody's expect to sustain going forward; its exposure to the cyclicality of the automotive industry; its high exposure to Europe, which represented more than 70% of the group's unit sales in the first half of 2023 (including France: 25%); the limited integration level of Renault's alliance with Nissan and Mitsubishi; and the ongoing high need for investment spending (capex and R&D) into alternative fuel and autonomous driving technology, which will constrain future free cash flow (FCF). Execution risk around the transition to electric vehicles continues to be significant. The global automotive industry remains at an early stage of a significant long-term transition to reduce carbon emissions by improving fuel efficiency and shifting to fully electric vehicles. Key risks for automakers, including Renault, include a loss of market share, inability to earn adequate profits and returns on electric vehicles, as well as inability to manufacture vehicles due to potential constraints in the supply of critical materials. That said, Renault has early developed and produced electric vehicles in Europe. In the first half of 2023, it sold nearly 74 thousand BEVs in Europe, a share of 9.2% of its vehicles sold in the region. With a volume growth of just 13% in the first half, Renault's momentum, however, lags somewhat behind most other European automakers, which have recently expanded their BEV product portfolio. Moreover, Renault's BEV share in its global unit sales amounted to just 6.8% in the first half of 2023, after 8.1% in 2022, which indicates that it has recently lost its early mover advantage and now ranks broadly in line with other rated European automakers. Given the still early stage of transformation, Renault is exposed to high carbon transition risk and also overall high environmental risks, which are reflected in Renault's Environmental Issuer Profile Score of E-4 (changed from E-3). Moody's believes, however, that Renault has taken positive steps to navigate the transition, including its plan to contribute its internal combustion engine and hybrid powertrain business into a 50/50 joint venture with Geely, followed by a potential strategic investment of Aramco. RATIONALE FOR THE STABLE OUTLOOK The stable rating outlook reflects the expectation that Renault's operating profit margins can be sustained in a range of 3% to 6% (Moody's adjusted EBITA, excluding Nissan contribution; 4% to 7% including Nissan), as Renault should benefit from price and margin effects, notwithstanding the ongoing challenging macroeconomic environment and the execution risks linked to the new strategic plan. The stable outlook also reflects the expectation, that Renault will be able to generate meaningful positive free cash flows in the high three-digit million Euro amounts (Moody's adjusted, after restructuring and dividends) at least, and keep Moody's adjusted Debt / EBITDA within a range of 2.75x – 3.5x over the next 12 to 18 months. LIQUIDITY Renault's liquidity profile is good. As of June 30, 2023, Renault's principal sources of liquidity consisted of cash and cash equivalents on the balance sheet, amounting to EUR13.5 billion; current financial assets of EUR1.4 billion; and undrawn committed credit lines of EUR3.3 billion. Including funds from operations, which Moody's expects to exceed EUR4.5 billion over the next 12 months, liquidity sources amount to more than EUR22 billion. These provide good coverage for liquidity requirements of well below EUR9 billion that could emerge during the next 12 months, including short-term debt maturities of around EUR3.4 billion, expected capital spending of around EUR3.0 billion, day-to-day needs (around EUR1.5 billion) and potential dividend payments for 2023. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Moody's would consider upgrading the ratings in case of (1) Moody's-adjusted EBITA margin excluding the at-equity contribution of Nissan sustainably in the mid-single digits (in percentage terms); (2) Moody's-adjusted Debt/EBITDA below 2.75x and (3) sustained positive FCF generation. A rating upgrade to Baa3 would also require more visibility of Renault's plan to open core activities to strategic and financial investors, including the use of proceeds consistent with the company's commitment to achieve an investment grade rating. Moreover, a rating upgrade would require continued progress in the company's BEV penetration in line with its major European peers. Renault's ratings could be downgraded in case of (1) Moody's-adjusted EBITA margin excluding the at-equity contribution of Nissan below 3%; (2) Moody's-adjusted Debt/EBITDA to consistently exceed 3.5x and (3) negative FCF for a prolonged period. Furthermore, a significant weakening of Renault's liquidity could trigger a rating downgrade. LIST OF AFFECTED RATINGS Issuer: Renault S.A. Upgrades: LT Corporate Family Rating, Upgraded to Ba1 from Ba2 Probability of Default Rating, Upgraded to Ba1-PD from Ba2-PD Senior Unsecured Medium-Term Note Program, Upgraded to (P)Ba1 from (P)Ba2 Senior Unsecured Regular Bond/Debenture, Upgraded to Ba1 from Ba2 Affirmations: Other Short Term, Affirmed (P)NP Commercial Paper, Affirmed NP Outlook Actions: Outlook, Remains Stable PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Automobile Manufacturers published in May 2021. ============= G E R M A N Y ============= SPARK NETWORKS: Had Forbearance Deal Until Today ------------------------------------------------ Spark Networks SE on July 28, 2023, entered into Amendment No. 6 to Forbearance Agreement, which extends the forbearance period termination date to August 4. On March 11, 2022, Spark entered into a Financing Agreement with Zoosk, Inc. and Spark Networks, Inc., the subsidiary guarantors party thereto, the lenders party thereto, and MGG Investment Group LP, as administrative agent and collateral agent, providing for senior secured term loans in the aggregate principal amount of $100 million. On August 5, 2022, the Company entered into Amendment No. 1 to Financing Agreement, which revised certain financial covenants related to the testing of the Company's quarterly leverage ratio and the Company's minimum market spend. On March 29, 2023, the Company entered into Amendment No. 2 to Financing Agreement and Forbearance Agreement, which granted forbearance until May 15, with respect to the Company's receipt of a going concern opinion on the condition that the Company retain a financial advisor, and amended the definition of Adjusted EBITDA in the Financing Agreement. On May 15, 2023, the Company entered into Amendment No. 1 to Forbearance Agreement, which extended the forbearance termination date to May 25, and added to the forbearance the Company's failure to deliver to the collateral agent a control agreement. On May 25, 2023, the Company entered into Amendment No. 2 to Forbearance Agreement, which extended the forbearance period termination date to June 15 and removed from the forbearance the Company's failure to deliver to the collateral agent a control agreement (as moot). No other changes were made to the Financing Agreement. On June 15, 2023, the Company entered into Amendment No. 3 to Forbearance Agreement, which extended the forbearance period termination date to July 14, conditioned on (i) by June 19, the delivery to MGG of an engagement letter appointing Adrian Frankum of Ankura Consulting Group, LLC as special project officer, (ii) by June 30, the Company causing its financial advisor to deliver to MGG a bottoms-up, step-by-step operational performance improvement plan with a fully integrated financial model, including restructuring options and future capital and liquidity requirements of the Company, (iii) by July 7, approval by the Company's board of directors of the Transition Plan, and (iv) by July 7, the Company engaging an auditor to provide an IDW-S6 opinion. On July 14, 2023, the Company entered into Amendment No. 4 to Forbearance Agreement, which extended the forbearance period termination date to July 21. On July 21, 2023, the Company entered into Amendment No. 5 to Forbearance Agreement, which extends the forbearance period termination date to July 28, and adds to the forbearance the Company's failure to meet minimum marketing spend requirements over a 12-month period. The parties agree that as of July 28, $99 million in principal is outstanding under the MGG Loan. A copy of Amendment No. 6 to Forbearance Agreement is available at https://tinyurl.com/3ccfyhtp MGG may be reached at: Kevin Griffin MGG INVESTMENT GROUP LP One Penn Plaza, 53rd Floor New York, NY 10119 E-mail: creditagreementnotices@mgginv.com About Spark Networks Spark Networks SE provides social dating platforms for meaningful relationships focusing on the 40+ age demographic and faith-based affiliations, including Zoosk, EliteSingles, SilverSingles, Christian Mingle, Jdate, and JSwipe, among others. The Company's brands are tailored to quality dating with real users looking for love and companionship in a safe and comfortable environment. The Company is domiciled in Germany with significant corporate operations, including executive leadership, accounting and finance, located in the United States. In its most recent quarterly report filed in May for the three-month period ended March 31, 2023, Spark reported $163.7 million in total assets and $175.8 million in total liabilities. Spark said there is substantial doubt about its ability to continue as a going concern within one year after the March 2023 quarterly report is issued. Spark said the Company has generated losses from operations, continues to have declines in revenues, incurred impairment charges to its Zoosk goodwill and intangible assets, has cash outflows from operations and has a working capital deficiency. Based on these conditions and events, the Company said it may not be able to comply with the covenants under its Financing Agreement over the next 12 months, specifically related to the maximum leverage ratio covenant. The Company plans to alleviate these conditions and events by implementing additional cost reduction measures to reduce operating expenses and optimize net working capital and profit. ========= I T A L Y ========= 2WORLDS SRL: DBRS Cuts Class A Notes Rating to CCC -------------------------------------------------- DBRS Ratings GmbH took the following credit rating actions on the notes issued by 2Worlds S.r.l. (the Issuer): -- Class A Notes downgraded to CCC (sf) from CCC (high) (sf) -- Class B Notes confirmed at CC (sf) The trend on Class A remains Negative and Class B no longer carries a trend. The transaction represents the issuance of the Class A, Class B, and Class J Notes (collectively, the Notes) backed by a EUR 1.0 billion gross book value (GBV) mixed pool of Italian nonperforming secured and unsecured loans originated by Banco di Desio e della Brianza S.p.A. (Banco Desio; the Originator) and Banca Popolare di Spoleto S.p.A., which merged by incorporation into Banco Desio in May 2019. The credit rating assigned to the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the transaction's final maturity date, while the credit rating assigned to the Class B Notes addresses the ultimate payment of both interest and principal on or before final maturity. DBRS Morningstar does not rate the Class J Notes. The receivables are serviced by Cerved Credit Management S.p.A. (Cerved or the Special Servicer). Cerved Master Services S.p.A. acts as the master servicer, while Banca Finanziaria Internazionale S.p.A. (formerly Securitization Services S.p.A.) operates as the backup servicer. As of December 2022, the portfolio's GBV totalled EUR 711.0 million. CREDIT RATING RATIONALE The credit rating actions follow a review of the transaction and are based on the following analytical considerations: -- Transaction performance: An assessment of portfolio recoveries as of 31 December 2022, focusing on: (1) a comparison between actual collections and the Special Servicer's initial business plan forecast; (2) the collection performance observed over recent months; and (3) a comparison between the current performance and DBRS Morningstar's expectations. -- Updated business plan: The Special Servicer's latest updated business plan as of December 2021, received in June 2022, and the comparison with the initial collection expectations. Cerved provided the required updated business plan as of December 2022 to the monitoring agent, which has not been released yet, pending the monitoring agent's approval and the authorization for its release. -- Portfolio characteristics: The loan pool composition as of December 2022 and the evolution of its core features since issuance. -- Transaction liquidating structure: The order of priority entails a fully sequential amortization of the Notes (i.e., the Class B Notes will begin to amortize following the full repayment of the Class A Notes and the Class J Notes will amortize following the repayment of the Class B Notes). Additionally, interest payments on the Class B Notes become subordinated to principal payments on the Class A Notes if the net cumulative collection ratio or the present value cumulative profitability ratio is lower than 85%. These triggers were breached since the July 2022 interest payment date (IPD). Per the January 2023 investor report, the cumulative net collection ratio is 79.0% and the net present value cumulative profitability ratio is 110.6%. -- Liquidity support: The transaction benefits from an amortizing cash reserve providing liquidity to the structure by covering potential interest shortfalls on the Class A Notes and senior fees. The cash reserve target amount is equal to 4.05% of the Class A and Class B Notes' principal outstanding balance and is currently fully funded. -- Interest rate risk: The transaction is exposed to interest rate risk in a rising interest rate environment because of an increasing strike rate of the interest rate cap agreement that will expire on the July 2027 IPD. TRANSACTION AND PERFORMANCE According to the latest investor report from January 2023, the outstanding principal amounts of the Class A, Class B, and Class J Notes were EUR 131.7 million, EUR 30.2 million, and EUR 9.0 million, respectively. As of the January 2023 payment date, the balance of the Class A Notes has amortized by 54.3% since issuance and the current aggregated transaction balance was EUR 170.9 million. As of December 2022, the transaction was performing below the Special Servicer's business plan expectations. The actual cumulative gross collections equalled EUR 219.1 million at the end of December, whereas the Special Servicer's initial business plan estimated cumulative gross collections of EUR 307.6 million for the same period. Therefore, as of December 2022, the transaction was underperforming by EUR 88.5 million (-28.8%) compared with the initial business plan expectations. At issuance, DBRS Morningstar estimated cumulative gross collections for the same period of EUR 146.4 million at the BBB (low) (sf) stressed scenario and EUR 168.5 million at the B (low) (sf) stressed scenario. Therefore, as of December 2022, the transaction was performing above DBRS Morningstar's initial stressed expectations in both the BBB (low) (sf) and B (low) (sf) scenarios. The latest updated portfolio business plan, combined with the actual cumulative gross collections of EUR 180.9 million as of December 2021, results in a total of EUR 361.6 million, which is 19.0% lower than the total gross disposition proceeds of EUR 446.6 million estimated in the initial business plan. DBRS Morningstar notes that during 2022 the Special Services has also underperformed the latest updated business plan by approximately EUR 23.2 million. Excluding actual collections, the Special Servicer's expected future collections from January 2023 now amount to EUR 119.2 million. In DBRS Morningstar's CCC (sf) scenario, the Special Servicer's updated forecast was only adjusted in terms of the actual collections to date and the timing of future expected collections. Considering senior costs and interest due on the notes, DBRS Morningstar believes the full repayment of the Class A and Class B principal is increasingly unlikely, but considering the transaction structure, a payment default on the bonds would likely only occur in a few years from now. Moreover, as a consequence of the breach of certain representations and warranties given by the Originator pursuant to the Receivables Transfer Agreement, the Issuer is entering into a settlement agreement (the Settlement Agreement) with the Originator. In accordance with the Settlement Agreement, the Originator has agreed to (1) pay the Issuer EUR 3.0 million as indemnity for such breach, regardless of the expiration of the warranty period, and (2) repurchase certain receivables from the Issuer by entering into a repurchase agreement (the Repurchase Agreement and, together with the Settlement Agreement, the Agreements), with a total GBV as of March 2023 of EUR 22.4 million, for a consideration of EUR 8.0 million. DBRS Morningstar reviewed the impact of such Agreements and concluded that entering into the Agreements in the form submitted to DBRS Morningstar, will not, in and of itself, result in a downgrade or withdrawal of the CCC (sf) rating with a Negative trend on the Class A Notes and the CC (sf) rating on the Class B Notes. The final maturity date of the transaction is in January 2037. DBRS Morningstar's credit ratings on the Class A and Class B Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this press release. DBRS Morningstar's credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. AUTOFLORENCE 2: Fitch Hikes Rating on Class E Notes From 'BB+sf' ---------------------------------------------------------------- Fitch Ratings has upgraded Autoflorence 2 S.r.l.'s class C, D and E asset-backed securities and affirmed the rest. ENTITY/DEBT RATING PRIOR ---------- ------ ----- Autoflorence 2 S.r.l. Class A IT0005456949 LT AAsf Affirmed AAsf Class B IT0005456956 LT A+sf Affirmed A+sf Class C IT0005456964 LT Asf Upgrade BBB+sf Class D IT0005456972 LT A-sf Upgrade BBBsf Class E IT0005456980 LT BBBsf Upgrade BB+sf TRANSACTION SUMMARY The transaction is a securitisation of Italian auto loans originated by Findomestic Banca S.p.A., which specialises in consumer lending and is part of BNP Paribas S.A. (A+/Stable/F1). KEY RATING DRIVERS Revised Asset Assumptions Support Upgrades: Fitch has lowered the default base cases for the Autoflorence 2 sub-pools to 2.5% for new vehicles and to 2.8% for used vehicles from 3.0% and 3.3%, respectively. The assumptions take into account the resilience of Findomestic's loan book as shown in the historical vintages provided by the originator with limited deterioration during periods of economic stress. Fitch has also revised the default stress multiple downwards to 4.25x from 4.5x for all sub pools following the end of the 12-month revolving period. For the same reason Fitch's analysis now based on the actual pool rather than a stressed composition. Deteriorating Asset Performance Outlook: Fitch expects some moderate asset performance deterioration stemming from inflationary pressures and rising rates, which may squeeze borrowers' affordability. Asset assumptions reflect Fitch's forward-looking view and are supported by the performance of outstanding transactions and the originator loan's book in periods of economic stress. Sequential Switch Protects Tail Risk: The class A to F notes can repay pro rata until a sequential redemption event occurs, which is if cumulative defaults on the portfolio exceed certain thresholds or a principal deficiency is recorded. Fitch believes the switch to sequential amortisation in its expected case is unlikely during the next two years, given Fitch expectations of portfolio performance compared with defined triggers. The mandatory switch to sequential pay-down when the outstanding collateral balance falls below 10% successfully mitigates tail risk, in Fitch view. Payment Interruption Risk Mitigated: Principal can be drawn to cover for senior fees and interest shortfall on the class A to C notes; if principal drawings are insufficient to cover for shortfall and if interest on the class B and C notes are not deferred, a liquidity reserve available only to the class A to C notes can be used. Class D and E interest is paid ultimately by the legal final maturity of the notes unlike for the class A to C notes, which receive timely interest payments when they are most senior in the capital structure. 'AAsf' Sovereign Cap: The class A notes are rated 'AAsf', six notches above Italy's rating (BBB/Stable/F2), which is the highest achievable rating for Italian structured finance and covered bonds. The Stable Outlook on the senior notes reflects that on the sovereign Long-Term Issuer Default Rating (IDR). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The class A notes' rating is sensitive to changes in Italy's Long-Term IDR. A downgrade of Italy's IDR and the related rating cap for Italian structured finance transactions, currently 'AAsf', could trigger a downgrade of the class A notes' rating. Unexpected increases in the frequency of defaults or decreases in recovery rates that could produce larger loss levels than the base case and could result in negative rating action on the notes. For example, a simultaneous increase of the default base case by 25% and a decrease of the recovery base case by 25% would lead to a downgrade of the class A, B and E notes by one notch and the class C and D notes by two notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade of Italy's IDR and the related rating cap for Italian structured finance transactions, currently 'AAsf', could trigger an upgrade of the class A notes' rating if available credit enhancement is sufficient to compensate higher rating stresses. For the class B, C, D and E notes, an unexpected decrease in the frequency of defaults or increase in recovery rates that would produce smaller loss levels than the base case could result in a positive rating action. For example, a simultaneous decrease in the default base case by 25% and increase in the recovery base case by 25% would lead to an upgrade of the class B and D notes by two notches, the class C notes by one notch, and the class E notes by three notches. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with any assumptions, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BFF BANK: DBRS Assigns BB(high) LongTerm Issuer Rating ------------------------------------------------------ DBRS Ratings GmbH assigned first-time public ratings to BFF Bank S.p.A. (BFF or the Bank), including a Long-Term Issuer Rating of BB (high) and a Short-Term Issuer Rating of R-3. The Bank's Long-Term Deposits Rating is BBB (low), one notch above the Intrinsic Assessment (IA) to reflect the legal framework in place in Italy which has full depositor preference in bank insolvency and resolution proceedings. The trend on all ratings is Stable. The Bank's IA is BB (high) and its Support Assessment is SA3. A full list of rating actions is included at the end of this press release. KEY RATING CONSIDERATIONS The BB (high) IA reflects the Bank's small size as well as its leading position in the niche sector of management and non-recourse factoring of trade receivables due from the public administration (PA) and National Healthcare System (NHS), and its improved business diversification by product and geography achieved via acquisitions. The ratings also consider BFF's adequate capitalization and asset quality profiles which mainly benefit from its asset concentration in the public sector. BFF's factoring and lending business proved to be strongly profitable and resilient, primarily driven by higher interest margins, a leaner cost structure and lower credit costs compared to domestic banks. While DBRS Morningstar expects BFF's profitability to remain above domestic banks in the foreseeable future and to benefit from improved revenue diversification, the ratings also take into account that recent net profit levels included one-off gains which, however, were not paid out as dividends. The ratings also incorporate BFF's high, albeit reduced, reliance on wholesale funding sources and its sound liquidity position. At the same time, the ratings consider the concentration risk arising from BFF's sizeable exposure to Italian sovereign bonds. The Stable trend reflects that the Bank's risks are broadly balanced at BB (high) rating level. In addition, the Stable trend takes into account DBRS Morningstar's view that BFF should navigate the current challenging operating environment affected by higher interest rates, high inflation and sluggish economic growth given its business focus on public administrations which typically entail less risk than the private sector during adverse economic cycles. RATING DRIVERS An upgrade would require a significant reduction in concentration risk related to the Italian sovereign bond portfolio and/or a lower reliance on wholesale funding sources while maintaining sound profitability, asset quality and capitalization. A downgrade would likely be driven by a material deterioration in the Bank's asset quality. Any sign of significant worsening in the funding and liquidity profile would also contribute to a downgrade. RATING RATIONALE Franchise Combined Building Block (BB) Assessment: Moderate/Weak With approximately EUR 12 billion of total assets at end-March 2023, BFF is a small Italian bank specialized in the management and non-recourse factoring of trade receivables due from the PA and NHS. While holding a market share below 2% in the overall Italian factoring industry, BFF is a leader in niche factoring with PA and NHS. The Bank has grown its factoring and lending business across Europe over the years organically and inorganically via acquisitions of Magellan in Poland, and IOS Finance in Spain. As a result, BFF currently operates in 9 European countries, although Italy remains the main market. In addition, in 2021 BFF entered the securities services, and banking & corporate payment businesses in Italy through the acquisition of DEPObank - Banca depositaria italiana S.p.A. (DEPObank). Since 2017, BFF has been listed on the Italian stock exchange and as of end-March 2023, 94% of BFF's shares were floating on the market. Earnings Combined Building Block (BB) Assessment: Good BFF's earnings power has been strong in recent years, driven by higher interest margins, a leaner cost structure and lower credit costs compared to domestic banks. The Bank's revenue mix has become more diversified, however DBRS Morningstar recognizes that recent net profit levels included one-off gains, such as the badwill from the acquisition of DEPObank and some changes in the accounting of its revenues. Net income was up 55% Year-On-Year (YOY) in Q1 2023 (up 38% YOY excluding one-off items), implying an annualized return on equity (ROE) of 24%, in line with the average 26% in 2010-2022. Total revenues were up 22% YOY in Q1 2023, and mainly consist of net interest income (NII) originated by the purchase of discounted invoices as well as the late payment interests (LPIs) on overdue invoices. Based on the way BFF accounts for LPIs and recovery cost rights, at end-March 2023 the Bank had EUR 548 million of off-balance profit reserves not recognized in its P&L. NII was up 25% YOY in Q1 2023 and we expect it to grow further in 2023 driven by higher rates and the lag in repricing of assets compared to liabilities. Net fees, mostly attributable to the securities services and payment businesses, were 16% of total revenues in Q1 2023. Other income was up 66% YOY in Q1 2023 mainly due to a capital gain from the sale of Italian government bonds. BFF's cost-to-income ratio was 40% in Q1 2023, down from 47% in Q1 2022, and has generally proved to be better than the national average. The Bank's annualized cost of risk was just 5 bps in Q1 2023, in line with the average 8 bps in 2018-2022, which testifies to the modest credit risk embedded in its business model due to its operations mostly being transacted with the PA. Risk Combined Building Block (BB) Assessment: Moderate/Weak DBRS Morningstar considers BFF's risk profile as adequate given its business focus on public administrations which typically entail less risk than the private sector. The Bank's customer loan book reached a Q1 historical high of around EUR 5 billion at end-March 2023, up 30% YOY, and 65% concentrated in Italy. BFF's gross non-performing exposure (NPE) ratio was 6.6% at end-March 2023 (or 6.1% net of provisions), up from 3.2% at end-2021 due to a more severe accounting of the new Definition of Default (DoD). NPEs mostly consist of past-due arising from PA late payments, and exposures to municipalities in conservatorship which are classified as bad loans by regulation despite BFF's legal entitlement to receive 100% of the principal and LPIs at the end of the recovery process. Total NPE coverage ratio was around 7.4% at end-March 2023 and has generally been low in recent years, due to BFF's historically high NPE recovery rate. However, DBRS Morningstar notes that gross Stage 2 loans (loans where credit risk has increased since origination), were around 20% of BFF's total gross loans at end-2022, up from around 6% at end-2018. BFF maintains a large exposure to Italian sovereign bonds which were around EUR 5.6 billion at end-March 2023, or 48% of its total assets and 12 times its Common Equity Tier 1 (CET1) Capital. The exposure is fully reclassified as held to collect (HTC), however the increase in interest rates led to the formation of unrealized losses of around EUR 115 million at end-March 2023, or 426 bps of capital. Funding and Liquidity Combined Building Block (BB) Assessment: Moderate/Weak In DBRS Morningstar's view, BFF's funding profile has improved since the acquisition of DEPObank, however its reliance on wholesale sources remains significant and exposes the Bank to market trends and funding concentration risk. Total deposits, including customer and bank deposits, were 65% of total funding at end-March 2023, of which 78% came from transaction services and the remaining 22% were digital deposits. Total deposits were down 23% from end-2021 to end-March 2023, mainly due to the loss of Arca and Anima clients, only partly offset by higher digital deposits. BFF regularly makes use of short-term repurchase agreements backed by sovereign bonds with stable counterparties, representing 34% of total funding at end-March 2023. In line with BFF's funding cost optimization strategy after the acquisition of DEPObank, debt securities issued were just EUR 39 million at end-March 2023, entirely consisting of senior preferred bonds, which matured in May 2023. As of end-March 2023, BFF's Liquidity Coverage Ratio (LCR) was 195.3%, and its Net Stable Funding Ratio (NSFR) was 152.6%. Capitalization Combined Building Block (BB) Assessment: Moderate DBRS Morningstar sees BFF's capital position as adequate, underpinned by its strong profitability and low capital absorbing business model given its asset concentration in the public sector. However, the Bank's dividend policy limits its ability to grow capital organically. At end-March 2023, BFF reported a CET1 ratio of 17% and a Total Capital ratio (TCR) of 22.6% (both net of around EUR 53 million of accrued dividends), up from 16.9% and 22.3% at end-2022. The Bank's capitalization has improved in recent years mainly driven by a regulatory reduction in the risk weight applied to NHS and other PA from 2020, the incorporation of DEPObank's capital light businesses, retained earnings, and EUR 150 million Additional Tier 1 (AT1) issuance in 2022 which more than offset EUR 100 million Tier 2 bond early repayment and the implementation of the new DoD. As a result, at end-March 2023 BFF held solid buffers of 800 bps and 1,010 bps respectively over its SREP minimum requirements for CET1 and Total Capital ratios. As BFF's dividend policy provided for the full distribution of adjusted earnings in excess of 15% internal target for TCR, the Bank paid around EUR 615 million in dividends since its Initial Public Offering (IPO) in 2017, or around 77% of its IPO market cap. As part of its 2028 strategic plan, BFF's revised dividend policy is based on an internal target of 12% for CET1, in addition to 15% TCR as long as requested by the ECB. Notes: All figures are in EUR unless otherwise noted. ========= S P A I N ========= AUTONORIA SPAIN 2022: Fitch Affirms 'BB-sf' Rating on Cl. F Notes ----------------------------------------------------------------- Fitch Ratings has affirmed Autonoria Spain 2022, FT's notes. ENTITY/DEBT RATING PRIOR ---------- ------ ----- AutoNoria Spain 2022, FT Class A ES0305652002 LT AAAsf Affirmed AAAsf Class B ES0305652010 LT AA+sf Affirmed AA+sf Class C ES0305652028 LT A+sf Affirmed A+sf Class D ES0305652036 LT Asf Affirmed Asf Class E ES0305652044 LT BB+sf Affirmed BB+sf Class F ES0305652051 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY AutoNoria Spain 2022, FT is a revolving securitisation of a portfolio of fully amortising auto loans originated in Spain by Banco Cetelem S.A.U. (Cetelem, the seller and originator, unrated). Cetelem is a specialist lender fully owned by BNP Paribas S.A. (A+/Stable/F1). KEY RATING DRIVERS Mild Weakening in Asset Performance: The affirmation considers Fitch expectation of mild deterioration of asset performance, consistent with a weaker macroeconomic outlook linked to inflationary pressures that negatively affect real household wages and disposable income. The transaction is protected by the portfolio's weighted average seasoning of more than a year, low share of loans in arrears over 90 days (about 0.1% of current portfolio balance as at the latest reporting period), and low share of cumulative gross defaults (about 0.3% of initial portfolio balance). The portfolio includes loans for the acquisition of cars (new and used), motorcycles and recreational vehicles. Fitch has calibrated asset assumptions for each product separately, reflecting different performance expectations and product features. Fitch has assumed base-case remaining life default and recovery rates of 3.5% (unchanged since closing) and 20.0% (from 20.4% at closing), respectively, considering current portfolio composition and performance, Cetelem's updated historical data, Spain's economic outlook and the originator's underwriting and servicing strategies. The lifetime default rate base case, considering amortisation and prior defaults, is 3.2%. Pro-rata Amortisation: Fitch's analysis reflects that the class A to G notes are amortising pro-rata until the occurrence of a sequential amortisation event if gross cumulative defaults (as a percentage of initial portfolio balance excluding revolving period purchases) on the portfolio exceed specified thresholds or the class G principal deficiency ledger exceeds 0.5% of the performing portfolio balance. Fitch do not expect the trigger to be breached in the short to medium term due to the observed performance. Fitch also views the tail risk posed by the pro rata paydown as mitigated by the mandatory switch to sequential amortisation when the notes' balance falls below 10% of the initial balance. Servicing Disruption Risk Mitigated: Fitch views the cash reserve as adequate to mitigate payment interruption risk in a scenario of servicer disruption. It is available to cover senior costs and class A to F interest for over three months, which Fitch view as sufficient to implement an alternative arrangement. Mezzanine, Junior Notes' Ratings Capped: The maximum achievable ratings for the class B notes is 'AA+sf' and for the class C to F notes 'A+sf', as per Fitch's Counterparty Criteria. This is due to the minimum eligibility rating thresholds defined for the hedge provider and guarantor of 'A-' or 'F1' and 'BBB' or 'F2', respectively, which are insufficient to support 'AAAsf' and 'AAsf' ratings. These rating caps do not apply to the senior class A notes that operate minimum counterparty ratings of 'A' or 'F1', commensurate with the highest rating category. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- For the class A notes, a downgrade of Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions. This is because these notes are rated at the maximum achievable rating, six notches above the sovereign IDR. -- Long-term asset performance deterioration, such as increased delinquencies or reduced portfolio yield, which could be driven by changes in portfolio characteristics, macroeconomic conditions, business practices or the legislative landscape. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- The class A notes are rated at the highest level on Fitch's scale and cannot be upgraded. -- For the class D to F notes, credit enhancement ratios increasing as the transaction deleverages, able to fully compensate the credit losses and cash flow stresses commensurate with higher rating scenarios. For the class B and C notes, updated swap counterparty eligibility triggers that would allow the notes' ratings to be higher than the established rating caps. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY AutoNoria Spain 2022, FT Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. =========================== U N I T E D K I N G D O M =========================== AUXEY MIDCO: Fitch Publishes 'B' Long Term IDR, Outlook Positive ---------------------------------------------------------------- Fitch Ratings has published Auxey Midco Limited's (AMS) Long-Term Issuer Default Rating (IDR) of 'B' and senior secured instrument rating of 'B+' with a Recovery Rating of 'RR3'. The Outlook is Positive. AMS' ratings reflect its small size, limited customer diversification and exposure to macro-economic pressures. Rating strengths include its market leadership across its niches, long-term contracted revenue visibility, industry growth drivers and an asset-light business model that supports free cash flow (FCF) generation and deleveraging capacity. The Positive Outlook reflects Fitch expectation that EBITDA gross leverage will fall below Fitch upgrade threshold of 4.0x by FY2024, from 5.0x in FY21. An increase in business scale, improved diversification with continued positive FCF and stable, consistent and resilient operating performance would also support a rating upgrade. AMS has extended the maturity of its term loans and revolving credit facility under an amend and extend (A&E) agreement, by adding two years to the revolving facility and term loan, taking it to 2026 and 2027, respectively. This transaction has reduced refinancing risk and is neutral to AMS's leverage. KEY RATING DRIVERS NFI Growth Continuing: AMS reported a strong improvement in net fee income (NFI) and EBITDA in 2022: NFI rose by 54% in 2022, to GBP510 million, and EBITDA to GBP90 million. Both were driven by organic growth as open vacancies in the UK increased from December 2021 until May 2022. While vacancies have been declining since then, current vacancies are still materially higher than previous averages. This should support continued organic NFI growth in 2023, in addition to contributions from recent acquisitions including CNL advisors, FlexAbility and HirePower. Exposure to Cyclicality: As a business process outsourcer, AMS is typically more entrenched in its client operations than recruitment peers who are more dependent on hiring volumes with lower switching costs. AMS' contracts typically include minimum fee protection, which reduces exposure to market volatility. The NFI decline was lower for AMS than some of its peers in 2020, when hiring activity was disrupted. The recovery of its peers was also slower after that, with fee growth lagging in FY21 and FY22. 2022 EBITDA Margin Decline: Its Fitch-calculated EBITDA margin declined to 17.6% in FY22 from 19.2% in FY21, primarily due to wage inflation. Staff costs represent about three quarters of the company's operating expenses. Fitch expect it to be able to pass on increases in these costs in 2023, with more than half of the new contracts including some indexation. 2023 Macroeconomic Challenges: Fitch expect AMS's markets to face tougher economic conditions in the second half of 2023, as the effect of higher interest rates constrains economic growth. This may put pressure on hiring volumes in the second half of 2023 and early 2024. The recurring revenue stream and the asset-light business model are expected to see the company generate sustained positive FCF in the mid-single digit of revenue up to 2026. AMS has some flexibility in its cost base, through ongoing savings initiatives or reallocation of staff to more cost-efficient countries which should provide margin protection. Low Leverage: EBITDA leverage was above the 6.0x downgrade threshold in 2019 and 2020 before deleveraging to 5.0x in 2021. Given moderate exposure to macroeconomic cyclicality, leverage could increase during major slowdowns in hiring activity. While the debt quantum rose in 2022, a strong EBITDA rise resulted in EBITDA leverage falling to about 4.2x in 2022. Maintaining EBITDA leverage below 4.0x throughout the cycle is one of the prerequisites for an upgrade. Limited Customer Diversification: Fitch estimate that there is a large concentration of NFI among the largest 15 customers, spread across financial services, pharmaceuticals, defence, engineering and public sectors. AMS is small relative to recruitment and wider business services (BS) peers in the 'B' rating range. The company is relatively more exposed to individual contract loss risk, and a material reduction in scope on any of its largest contracts could constrain EBITDA growth. DERIVATION SUMMARY Looking across the BS rated peer universe and based on a comparative analysis using Fitch BS Navigator, AMS's rating is consistent with the single B rating range. This is primarily due to its relatively small size, limited customer diversification and higher leverage than peers in the BB and BBB rating ranges. AMS has high EBITDA margins for a business process outsourcer, good cash flow generation and ample organic deleveraging capacity at its 'B' rating. KEY ASSUMPTIONS Fitch's Key Assumptions within Fitch Rating Case for the Issuer: -- NFI growth in FY23 of 7%, followed by mid-single digit growth driven by contract scope expansion and new contract wins; -- Fitch-defined EBITDA margin of 17.3% in 2023, declining to 16.6% in 2024; -- Annual working capital outflow between GBP10-15 million; -- Capex as a percentage of NFI about 2.2% per year; and -- No M&A spending or dividend payments between FY22 and FY25. KEY RECOVERY RATING ASSUMPTION -- The recovery analysis assumes that AMS would be considered a going concern in bankruptcy and that it would be reorganised rather than liquidated; -- A 10% administrative claim; -- Fitch going concern EBITDA estimate of GBP55 million reflects Fitch's view of a sustainable, post-reorganisation EBITDA; -- An enterprise value multiple of 5.5x is used to calculate a post-reorganisation valuation and reflects a distressed multiple; and -- Fitch treat the GBP40 million invoice discounting facility as super senior as Fitch assume its replacement by another form of senior funding upon default. The revolving credit facility of GBP40 million, which ranks pari-passu with the term loan B, is also assumed to be fully drawn at default. On that basis, Fitch waterfall analysis suggests a recovery percentage for the senior secured debt in the RR3 band, consistent with an instrument rating of 'B+'. The waterfall generated recovery computation based on current metrics and assumptions is 60%. RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to Upgrade: -- Larger size with EBITDA trending above GBP100 million, combined with sustainably higher FCF; -- More diversified customer base and services offering that strengthens the operating profile; -- EBITDA leverage below 4.0x throughout the cycle; and -- EBITDA interest Cover sustainably above 3.0x. Factors That Could, Individually or Collectively, Lead to the Outlook Being Revised to Stable: -- Sustained operating underperformance in one or more markets, due to a cyclical operating environment or competitive pressures that could slow down the company's deleveraging prospects. Factors That Could, Individually or Collectively, Lead to Downgrade: -- EBITDA leverage above 6.0x throughout the cycle; -- EBITDA interest cover sustainably below 2.5x; -- Consistently negative FCF generation. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Non-Financial Corporate issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. LIQUIDITY AND DEBT STRUCTURE Satisfactory Liquidity Profile: Liquidity is supported by cash balances of GBP62 million at end-2022 and the availability of GBP30.4 million from its GBP40 million revolving credit facility (RCF) (net of GBP9.6 million of guarantees and foreign-exchange lines). Fitch expects AMS to return to FCF positive by the end of FY23, after being temporarily negative in 2022, although this will depend on the scale and direction of working capital movements. The company also has access to a GBP36 million and USD5 million invoice discounting facility. ISSUER PROFILE AMS, headquartered in London, is a provider of talent acquisition and management services to over 200 corporations, primarily multinational blue-chip corporations across eight sectors and 120 countries. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BILLING AQUADROME: Administrators Confident of Finding Buyer ------------------------------------------------------------ Logan MacLeod at Northampton Chronicle & Echo reports that administrators in charge of selling two Northampton holiday parks in financial turmoil say they are "very confident" of finding a buyer. Billing Aquadrome and Cogenhoe Mill holiday parks, owned by the Royale Life Group, went into administration on Thursday, July 6, Northampton Chronicle & Echo relates. According to Northampton Chronicle & Echo, the parks were subsequently taken over by joint administrators, Daniel Smith and Oliver Haunch of Grant Thornton LLP, who have since been searching for a buyer for the sites. Speaking to Chron and Echo on Tuesday, Aug. 1, Mr. Smith provided an update on the sale of the parks. He said: "It's an ongoing process. It's not advertised as such anywhere but various financial institutions have made approaches to the administrators. "We have had a very positive response of people lining up to seek to buy the asset. We have absolutely no doubt that they will be sold. We're very confident." Mr. Smith declined to reveal a figure when asked how much the site may sell for, Northampton Chronicle & Echo notes. In a previous letter sent out by the administrators, residents were reassured the site's sale is progressing, Northampton Chronicle & Echo discloses. "The sales team will continue to seek interest for the sale of caravans and the joint administrators, with the support of the secured creditors, are considering an applicable sales plan to generate additional interest and growth for the parks," Northampton Chronicle & Echo quotes the letter as saying. The site will be in administration for an initial period of up to a maximum of 12 months however this may be extended by creditors or court approval, if required, the letter states, according to Northampton Chronicle & Echo. CINEWORLD: Enters Administration, Share Trading Suspended --------------------------------------------------------- Naman Ramachandran at Variety reports that the Cineworld cinema chain entered administration as expected on July 31. Simon J. Appell, Ian J. Partridge and Catherine M Williamson of AlixPartners U.K. LLP have been appointed as joint administrators of the group, Variety relates. From Aug. 1, the company's shares will no longer be listed and traded on the London Stock Exchange, Variety discloses. "The restructuring of the group, which will be implemented by way of the administration process, will transform the group's balance sheet and provide it with significant additional liquidity to fund its long-term strategy," Variety quotes Cineworld as saying in a statement. Cineworld recently revealed details of a planned restructuring that will allow it to exit U.S. Chapter 11 bankruptcy strictures. The U.K.-listed company owns or operates cinemas in the U.K., continental Europe and the U.S.'s Regal chain, Variety notes. While existing shareholders are largely wiped out, the restructuring moves include an US$800 million rights issue, the release of some US$4.35 billion of the group's funded indebtedness and the provision of US$1.71 billion of new debt financing, Variety states. Within those new borrowings is a revolving credit facility secured since the group's last statement a few weeks ago, Variety notes. The restructuring will "transform the group's balance sheet and provide it with significant additional liquidity to fund its long-term strategy," Variety quotes Cineworld as saying in a statement on July 28. The proposed restructuring also sees a continuation of administration by court-appointed administrators of Cineworld Group PLC, the U.K.-listed parent company, Variety says. The administration order does not apply to any of the operating companies or subsidiaries, Variety notes. And former Cinepolis boss Eduardo Acuna is poised to take over as Cineworld's next CEO, replacing Mooky Greidinger, Variety discloses. The statement on July 28 made it clear again that the restructuring does not provide for any recovery for holders of Cineworld's existing equity interests, according to Variety. EMF-UK 2008-1: Fitch Affirms 'BBsf' Rating on Class B1 Notes ------------------------------------------------------------ Fitch Ratings has affirmed EMF-UK 2008-1 Plc's notes. ENTITY/DEBT RATING PRIOR ---------- ------ ---- EMF-UK 2008-1 Plc Class A1a XS0352932643 LT AAAsf Affirmed AAAsf Class A2a XS1099724525 LT AAAsf Affirmed AAAsf Class A3a XS1099725415 LT A+sf Affirmed A+sf Class B1 XS0352308075 LT BBsf Affirmed BBsf Class B2 XS1099725928 LT CCCsf Affirmed CCCsf TRANSACTION SUMMARY The transaction comprises non-conforming UK mortgage loans originated by Southern Pacific Mortgage Limited, Preferred Mortgages Limited (formerly wholly-owned subsidiaries of Lehman Brothers), London Mortgage Company and Alliance & Leicester Plc. KEY RATING DRIVERS Gradually Increasing Credit Enhancement: The notes are currently repaying on a pro-rata basis, but the transaction's reserve fund is non-amortising. Further, in September 2022 the transaction repaid sequentially for one interest payment date (IPD) before switching back to pro-rata due to a pro-rata trigger breach (drawdown, albeit limited, on the reserve fund). This has led to a gradual increase in credit enhancement (CE), driving the affirmations. Performance May Worsen: Loans in arrears by one month or more increased to 15.6% from 10.1%, while three-months arrears rose sharply to 10.4% from 7.9% between June 2022 and June 2023. Both figures have risen to their highest levels since the transaction's closing in 2008. Given the current challenging asset outlook for the sector, asset performance could further deteriorate. The potential worsening of performance has been factored into the rating affirmation because the rating of the class B1 notes is constrained at one notch below their model-implied rating (MIR). Volatile Fees, Declining Excess Spread: Over the last year, excess spread in the transaction has declined to zero due to the combined effect of higher interest payments on the outstanding notes, rising arrears and increased third-party fees paid by the transaction, which rank senior in the waterfall. Consequently, interest due on the class B2 notes was deferred at the last payment date and a small draw on the reserve fund was also reported at the June 2022 IPD. The reduction in excess spread indicates some deterioration in the transaction's performance. Also, Fitch believes that the higher fees observed in recent periods may have been linked to the transition of the notes' coupon to SONIA from Libor. Fitch expect fees to reduce from the recent amounts observed. However, the Negative Outlook on the class B1 notes reflects the risk of further excess spread erosion due to deterioration of portfolio performance, draws on the reserve fund and the vulnerability of the rating to higher fee assumptions that could be applied if no decrease is observed in the medium term. Floored Performance Adjustment Factor: Fitch calculated a performance adjustment factor (PAF) of 47% for the owner-occupied (OO) sub-pool, based on its approach set out in the UK RMBS criteria and the transaction's historical performance. The OO sub pool features a significant proportion of interest-only loans at 73%, which Fitch views as having higher default risk at maturity when the full principal balance of the loans becomes due. To account for the back-loaded risk profile of the OO sub-pool, Fitch has floored the PAF at 100% in its asset modelling. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: The transaction's performance may be affected by adverse changes in market conditions and economic environment. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce 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 negative rating actions depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the weighted average foreclosure frequency (WAFF) and a 15% decrease in the weighted average recovery rate would lead to a downgrade of the class B1 notes to 'CCCsf' and no impact on the rest. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 credit enhancement and, potentially, upgrades. Fitch found that a decrease in the WAFF of 15% and an increase in the WARR of 15% would lead to an upgrade of up to two rating categories for the class B1 notes while the class A3a notes would remain capped at 'A+sf' for payment interruption risk. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with any assumptions, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS EMF-UK 2008-1 Plc has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the pool exhibiting an interest-only maturity concentration of legacy non-conforming owner-occupied loans of greater than 20%, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. EMF-UK 2008-1 Plc has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a significant proportion of the pool containing owner-occupied loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PREMIER BINGO: Enters Administration, Cowdenbeath Club Closed ------------------------------------------------------------- Ally McRoberts at Central Fife Times reports that Premier Bingo announced that its Cowdenbeath club has closed with immediate effect. A post on their Facebook page said that the hall on High Street, as well as their premises in Alloa and Perth, would shut with the company plunged into administration, Central Fife Times relates. According to Central Fife Times, the customer announcement, late on Aug. 1, stated: "Due to circumstances outwith our control we regret to announce that Premier Bingo will cease trading immediately. "All clubs are now closed and the company is in administration. "We will make a statement after this process has finished." VIRIDIS DAC: DBRS Cuts Class D Notes Rating to BB ------------------------------------------------- DBRS Ratings Limited downgraded its ratings of the Commercial Mortgage-Backed Floating-Rate Notes Due July 2029 (the notes) issued by Viridis (European Loan Conduit No. 38) DAC (the Issuer), as follows: -- Class A notes to AA (sf) from AAA (sf) -- Class B notes to A (low) (sf) from AA (low) (sf) -- Class C notes to BBB (sf) from A (low) (sf) -- Class D notes to BB (sf) from BBB (low) (sf) -- Class E notes to B (high) (sf) from BB (high) (sf) All trends are negative. CREDIT RATING RATIONALE The rating downgrades reflect the fact that, although the loan is currently performing, the cash flow generated by the property and the vacancy level have not materially improved since issuance and the sponsor is still quite far away from completing the initial business plan. There is uncertainty regarding the refinancing of the loan, which matures on 20 July 2024, unless there is a material improvement in the rental income generated by the property within the next 12 months and/or there is an equity injection from the Sponsor. It is also expected that the loan will be in debt yield (DY) cash trap at the July 2023 interest payment date (IPD). The loan-to-value ratio (LTV) has also increased since the reduction in the market value of the property based on the August 2022 revaluation by Savills. DBRS Morningstar also expects to see a further reduction in the market value of the property in the upcoming 2023 valuation. The Negative trends on the notes reflect the current reduced liquidity on the office sector. The transaction was originally backed by a GBP 192 million senior loan, which was split into two facilities: Facility A, which totalled GBP 150 million (which is the securitized loan), and Facility B (a syndicated loan, not forming part of the commercial mortgage-backed securities (CMBS) transaction), which totalled GBP 42 million. The senior loan refinanced the borrower's existing debt. The senior loan was advanced by Morgan Stanley Bank, N.A. to Aldgate Tower S.A.R.L., which is controlled by Brookfield Property Partners L.P. (Brookfield) and China Life Insurance Company Limited (China Life). The senior loan was secured by the Aldgate Tower (a modern Grade A office tower) in the outskirts of the City of London. In April 2021, Savills valued the Aldgate Tower building at GBP 330 million, representing a 58.2% day-one LTV. The LTV at the April 2023 IPD increased to 64.0% from 58.2% at issuance. The increase in the LTV is due to the August 2022 revaluation by Savills, which reduced the market value of the property by 9.1% to GBP 300 million. The Servicer confirmed that a 2023 valuation will be carried out. Given the current reduced liquidity in the office sector, we expect to see a further reduction in the market value of the property in the 2023 revaluation. The April 2023 investor report confirms that the DY increased to 7.24% from 6.10 % at the April 2021 cut-off, and 6.81% in the April 2022 investor report. There are no DY or LTV financial covenants applicable either prior to a permitted transfer or following a permitted transfer. DBRS Morningstar's view is that potential performance deteriorations can be captured and mitigated by the presence of the tightening cash trap covenants in the facility agreement. The loan is structured with increasingly stringent DY cash trap covenants requiring the sponsors to improve the asset performance in order to remain compliant with the loan terms. The DY covenants are tested quarterly on each IPD in years 2 and 3 at 7% and 8%, respectively. Additionally, the structure includes a senior LTV cash trap covenant set at 70% LTV for the three-year loan term. Given the increasingly stringent DY cash trap covenants and the long-run trend of the DY, DBRS expects that the DY cash trap will be breached at the July 2023 IPD. If the DY cash trap covenant is breached at the July 2023 IPD, after accounting for payments of interest, the remaining excess cash will be transferred to the cash trap account. The current loan balance stands at GBP 192 million. The Net Debt is the principal amount outstanding less cash held in the deposit, reserve and cash trap accounts. In April 2023, the Net Debt amount was GBP 191,999,800. The senior loan carries a floating rate of Sterling Overnight Index Average (Sonia; floored at 0%) plus a 2.85% margin for a three-year term. The interest rate risk is fully hedged with a prepaid cap, with a maximum strike rate of 1.0% provided by Standard Chartered Bank, and a term expiring on the loan termination date. The interest-only loan has a three-year term to 20 July 2024 and was structured with no extension options. There is no scheduled amortization. The loan previously benefited from a GBP 2.7 million capex/tenant improvement reserve (amortized to GBP 1.7 million in July 2021) and a GBP 5 million interest reserve. Both the reserves are no longer available. The property was fully let until just before issuance; however, as at the 20 April 2021 cut-off date, because of the loss of a key tenant, the property was only 72% occupied. This was mitigated by: (1) the transaction benefiting from a loan-level interest reserve of GBP 5 million, which could be released to the borrower on the latter of occupancy being greater than 90%, or the interest coverage ratio (which is the ratio of projected net rental income (NRI) to the sum of finance costs payable to the finance parties under the loan finance documents) equalling or exceeding 1.80x; and (2) a loan-level capex reserve of GBP 2.7 million (amortized to GBP 1.7 million at issuance, with the loan-level capex reserve being available to fund deficits in interest shortfall reserve amounts). At the January 2022 IPD, the conditions to release the loan-level interest reserve of GBP 5 million were temporarily met, and consequently GBP 5 million was released to the borrower at the borrower's request. However, such condition was met only at the January 2022 IPD until the July 2022 IPD, when the occupancy rate was 90.3%. At the April 2023 IPD, the occupancy rate was 85.5%. The transaction also benefits from an issuer liquidity reserve in an aggregate amount of GBP 5,789,448. The issuer liquidity reserve can be used to cover interest shortfalls on the Class A, B, C, and D notes. According to DBRS Morningstar's analysis, the issuer liquidity reserve amount, as at closing, provided interest payment on the covered notes up to 17.6 months or 8.6 months based on the interest rate cap strike rate of 1% or on the Sonia cap of 4%, respectively. The transaction, expected to repay on or before July 2024, is structured with a five-year tail period to allow the special servicer to work out the loan by July 2029 at the latest, which is the final legal maturity of the notes. As of the April 2023 IPD, the servicer reported an adjusted NRI of GBP 13,904,366. Rent shall be deemed to have been received for any rent-free period that falls during the calculation period. The weighted-average unexpired lease term (WAULT) and the weighted-average unexpired lease term to break option (WAULB) have also remained relatively long (i.e., longer than the maturity of the loan) at 7.05 years and 5.89 years, respectively. The tenant profile is not very granular or diversified and currently includes a tenant that is in administration and a tenant whose rent is being paid by a guarantor. Both tenants are within the top five largest tenants by annual contractual rent. The property has significant tenant concentration and exposure to a single firm (a consultancy). In DBRS Morningstar's view, the risk can be mitigated by the high credit quality of the tenant. The largest tenant represents 33.23% of the annual contractual rent in the portfolio and the second-largest tenant represents 21.88% of the annual contractual rent (so the two largest tenants represent 55.11% of the annual contractual rent), while the top five tenants provide in total circa 86.06% of the gross rental income ("GRI") of the portfolio, and the top 10 tenants provide in total circa 99.37% of the annual contractual rent. During the period March 25, 2023 to June 23, 2023, the collections for the period were 79.4%, 82% of these arrears were paid on or before the due date, and 13.6% were paid within three weeks of the due date. Total rent arrears are GBP 747,226 and there are also service charge arrears of GBP 220,140. DBRS Morningstar updated the DBRS Morningstar net cash flow (NCF) to GBP 11,061,777 with a 20.4% haircut to the latest reported issuer NCF of GBP 13,904,366. DBRS Morningstar cap rate was also increased to 5.5% from 5%, resulting in a DBRS Morningstar value of GBP 201,123,218, which reflects a 32.96% haircut to the latest valuation.. DBRS Morningstar also updated the DBRS Morningstar maintained all other assumptions. DBRS Morningstar's credit rating on Class A, B, C, D, and Class E of the commercial mortgage-backed floating notes issued by Viridis (European Loan Conduit No.38) DAC addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this Press Release. DBRS Morningstar's credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, pro rata default interest, Sonia Excess Amount, and prepayment fees. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in Pound Sterling unless otherwise noted. WILKO: On Verge of Collapse, 12,000 Jobs at Risk ------------------------------------------------ Hannah Boland at The Telegraph reports that Wilko is on the brink of collapse putting 12,000 jobs at risk after it said it was preparing to appoint administrators. According to The Telegraph, the discount retailer said it was in talks over a rescue deal, but had yet to receive an offer which would provide it with enough liquidity in the time it has available as it battles "mounting cash pressures". It said it was still racing to secure a rescue deal, but had been left with no choice but to take a step closer to administration, The Telegraph relates. It filed a notice to appoint administrators on Thursday, Aug. 3, The Telegraph discloses. This gives Wilko management a two-week deadline to find a buyer for all or parts of the business, The Telegraph notes. The court notice also provides Wilko with protection from action by creditors as it attempts to strike a rescue deal, The Telegraph states. Last month, it was reported that a host of large general merchandise chains had been approached about a deal for Wilko, The Telegraph recounts. The retailer, which trades from around 400 stores, has been controlled by the Wilkinson family since it was founded in 1930 by JK Wilkinson. At the time, Wilko said it welcomed "new approaches to recapitalise the business through a combination of refinancing options of debt and equity release to provide a stable platform to activate the next phase of the recovery", The Telegraph relays. It followed discussions over an equity raise to recapitalise the business, with PricewaterHouseCoopers having led talks earlier this year, The Telegraph notes. The company was also exploring options for a court voluntary arrangement, which would allow it to slash its rent bill, The Telegraph discloses. The moves were all part of a push to free up cash, after the retailer was hit by inflationary pressures and shoppers' scaling back, The Telegraph states. Wilko had already been handed a GBP40 million lifeline from turnaround specialist Hilco in January, and received a GBP48 million cash injection in November after it sold and leased back its Worksop distribution centre, The Telegraph recounts. It also recently pushed through a series of executive changes in an effort to improve performance, The Telegraph notes. [*] UK: Corporate Insolvencies Hit 14-Year High in 2Q 2023 ---------------------------------------------------------- Andrew Goldman at Bournemouth Echo reports that corporate insolvencies have hit a 14-year high over the last three months, says UK insolvency and restructuring trade body R3. This has been put down to a rise in Creditors' Voluntary Liquidations, administrations and Company Voluntary Arrangements, Bournemouth Echo relates. R3 southern regional chair Garry Lee is warning that many businesses across the south have run out of steam with owners choosing to close their firms -- and more will follow unless the economic picture improves, Bournemouth Echo discloses. According to Bournemouth Echo, Mr. Lee said: "More and more businesses are running out of road or rope. Directors are choosing to close down their firms while the decision is still theirs, while an increasing number of creditors -- including HMRC -- are turning to winding-up petitions to recover the debts they're owed. "When the pandemic ended, many directors thought and hoped things would improve, but instead they've faced rising costs, supply chain issues and a customer base that is tightening its purse strings to cope with the cost of living. "Business owners remain worried about customer demand, rising costs and the state of the economy, while high interest rates may affect access to rescue funding and could deprive saveable firms of a lifeline. "Unless the economic picture improves, it's likely more businesses will need an insolvency process to help resolve their financial issues, and numbers will remain high throughout the rest of this year." =============== X X X X X X X X =============== [*] BOOK REVIEW: The Story of The Bank of America ------------------------------------------------- Author: Marquis James and Bessie R. James Publisher: Beard Books Softcover: 592 pages List Price: $31.80 Order your personal copy today at http://www.amazon.com/exec/obidos/ASIN/1587981459/internetbankrupt The Bank of America began as the Bank of Italy in 1904. A. P. Giannini was motivated to found the Bank out of his indignation over the neglect by other banks of the Italian community in San Francisco's North Beach area. Local residents were quickly drawn to Giannini's new type of bank suited for their social circumstances, financial needs, and plans and aspirations. Before Giannini's Bank of Italy, the field was dominated by large, well-connected, and politically influential banks typified by the magnate J. P. Morgan's House of Morgan catering to corporations and the wealthy industrialists and their families of the Gilded Age. Giannini's Bank proved to be a timely enterprise with great potential far beyond its founder's original aims. The early 1900s following the Gilded Age was a time of spreading democratization in American society with large numbers of immigrants being assimilated. It was also a time of considerable industrial growth after the heyday of the tycoons such as Morgan, Rockefeller, and Carnegie in the latter 1800s. Giannini's idea was also helped by the growth of California in its early stages of becoming one of the most prosperous and most populous states. As California grew, so did the Bank of America. A. P. Giannini was the perfect type of individual to oversee the growth of a bank that stood in sharp contrast to the House of Morgan and which reflected broad changes in American society and business. Giannini followed the quick success of his North Beach bank with Bank of Italy branches elsewhere in San Francisco. With the success of these followed branches throughout California's agricultural valleys and Los Angeles as Giannini reached out to populations of other average persons generally ignored by the traditional banks. Throughout the rapid growth of his bank, Giannini never lost touch with his original motive for creating a bank suited for the average individual. When he died at 80 years of age in 1949, he lived in the same house as he did when he opened the original Bank of Italy; and his estate was less than half a million dollars. Throughout all the stages of the Bank of America's growth, business recessions and depressions, and changes in American society, including increased government regulation, the Bank continued to reflect its founder's purposes for it. In the 1920s, the Bank of Italy became a part of the corporation Transamerica. In 1930, the Bank was merged with the Bank of America of California. The newly formed bank was given the name the Bank of America National Trust and Savings Association, with Giannini appointed as chairman of the committee to work out the details of the merger. In 1930, he selected Elisha Walker to head Transamerica so he could be free to pursue his interest of establishing a national bank with the same goals and nature as his original Bank of Italy. But becoming alarmed over Walker's proposed measures for dealing with the pressures of the Depression, Giannini waged a battle involving board members, stockholders, and allies he had worked with in the past to regain control of Transamerica. In 1936, A. P. Giannini's son, Lawrence Mario, succeeded his father as president of Bank of America, with A. P. remaining as chairman of the board. The story of Bank of America is largely the story of A. P. Giannini: his ideas, his values, his ambitions, his goals, his personality. The co-authors follow the stages of the Bank's growth by focusing on the genteel, yet driven and innovative, A. P. Giannini. There's a balance of basic business material such as stock prices, rationale of momentous business decisions, and balance-sheet data, with portrayals of outsized characters of the time. Among these, besides Giannini, are the federal government official Henry Morgenthau and Charles Stern, California's superintendent of banks in the early 1900s. With this balance, The Story of the Bank of America is an engaging and informative work for readers of more technical business books and human-interest business stories alike. ********* 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 2023. 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 * * *