/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/231006.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, October 6, 2023, Vol. 24, No. 201 Headlines G E R M A N Y REVOCAR 2022: DBRS Hikes Class D Notes Rating to BB(High) I R E L A N D ALHAMBRA SME 2019-1: DBRS Confirms CCC Rating on Class C Notes FINANCE IRELAND 6: DBRS Finalizes BB(high) Rating on Class E Notes ION TRADING: S&P Affirms 'B-' Issuer Credit Rating, Outlook Stable MERRION SQUARE 2023-1: Fitch Gives BB-(EXP)sf Rating on Cl. F Notes MERRION SQUARE 2023-1: S&P Assigns Prelim. B (sf) Rating on F Notes I T A L Y AUTO ABS ITALIAN 2023-1: Fitch Gives BB+(EXP) Rating on Cl. E Notes U N I T E D K I N G D O M CARILLION PLC: Former Boss Faces 8-Year Board Disqualification D&J TIMBER: Set to Go Into Liquidation DEKANIA EUROPE II: Fitch Affirms 'CCsf' Rating on Class E Notes LOVE LANE: Enters Administration Again METRO BANK: Seeks to Raise Up to GBP600 Million in Funding REPAIR MAINTENANCE: Bought Out of Administration by RAP TAURUS 2019-2: DBRS Confirms BB Rating on Class E Notes X X X X X X X X [*] BOOK REVIEW: Dangerous Dreamers - - - - - ============= G E R M A N Y ============= REVOCAR 2022: DBRS Hikes Class D Notes Rating to BB(High) --------------------------------------------------------- DBRS Ratings GmbH took the following credit rating actions on the notes issued by RevoCar 2022 UG (haftungsbeschrankt) (the Issuer): -- Class A Notes confirmed at AAA (sf) -- Class B Notes upgraded to A (high) (sf) from A (sf) -- Class C Notes upgraded to A (low) (sf) from BBB (sf) -- Class D Notes upgraded to BB (high) (sf) from BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest and ultimate repayment of principal on or before the legal final maturity date in August 2035. The credit ratings on the Class B, Class C, and Class D Notes address the ultimate payment of interest and principal on or before the legal final maturity date. CREDIT RATING RATIONALE The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the August 2023 payment date; -- Updated probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and -- Current available credit enhancement to rated notes to cover the expected losses at their respective credit rating levels. The transaction is a static securitization of German auto loan receivables originated and serviced by Bank11 für Privatkunden und Handel GmbH (Bank11), granted primarily to private clients for the purchase of both new and used vehicles. The transaction closed in September 2022 with an initial portfolio balance of EUR 500.0 million. PORTFOLIO PERFORMANCE As of the August 2023 payment date, loans that were one to two months and two to three months in arrears represented 0.1% and 0.2% of the outstanding portfolio balance, respectively, while loans more than three months in arrears represented 0.2%. Gross cumulative defaults amounted to 0.3% of the aggregate initial collateral balance, with cumulative recoveries of 28.3% to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar received updated historical vintage data from the originator and conducted a loan-by-loan analysis of the remaining pool of receivables. DBRS Morningstar updated its base case PD and LGD assumptions to 1.8% and 54.8%, respectively. CREDIT ENHANCEMENT The subordination of the respective junior obligations provides credit enhancement to the rated notes in the transaction. As of the August 2023 payment date, credit enhancement to the Class A, Class B, Class C, and Class D Notes increased to 12.4%, 6.9%, 5.6%, and 3.9%, respectively, from 9.5%, 5.3%, 4.3%, and 3.0% as of the DBRS Morningstar initial credit rating in September 2022. The transaction benefits from an amortizing liquidity reserve, available to cover senior fees and expenses, swap payments, and interest payments on the Class A Notes. The reserve has a target balance equal to 0.9% of the outstanding collateral balance, subject to a floor of EUR 1,000,000. As of the August 2023 payment date, the reserve was at its target balance of EUR 3.5 million. The transaction also features a commingling reserve, funded by Bank11 at closing to EUR 1.2 million. The reserve has a target balance equal to 15.0% of the scheduled collections amount for the next collection period minus the commingling reserve reduction amount. As of the August 2023 payment date, there is no balance to the credit of the commingling reserve account. BNP Paribas S.A., Frankfurt branch (BNPP Frankfurt) acts as the account bank for the transaction. Based on DBRS Morningstar's private credit rating on BNPP Frankfurt, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. UniCredit Bank AG acts as the swap counterparty. DBRS Morningstar's private credit rating on UniCredit Bank AG 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 ratings on the rated notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. 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 defaults to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the term under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. ============= I R E L A N D ============= ALHAMBRA SME 2019-1: DBRS Confirms CCC Rating on Class C Notes -------------------------------------------------------------- DBRS Ratings GmbH confirmed its CCC (sf) credit rating on the Class C Notes issued by Alhambra SME Funding 2019-1 DAC (the Issuer). The credit rating on the Class C Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date. The confirmation follows an annual review of the transaction and is based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of 18 August 2023; -- Lifetime portfolio default rates, recovery rates, and expected loss assumptions on the remaining loans; and -- Current available credit enhancement (CE) to the Class C Notes to cover the expected losses at the CCC (sf) credit rating level. The transaction is a securitization collateralized by a portfolio of loans granted to Spanish small and medium-size enterprises and middle-market corporations. The loans were originated by Aptimus Capital Partners (Ireland) Limited and first warehoused at Be-Spoke Loan Funding DAC, which then sold the portfolio to the Issuer. Aptimus Capital Partners (London) Limited (ACPL) acts as the servicer to the Issuer. The name changes to Aptimus Capital Partners from Be-Spoke Capital occurred in February 2023. In June 2023, ACPL took over the roles of loan administrator, cash administrator, and calculation agent from BNP Paribas London Branch. The portfolio is static, and the loans were initially interest only with principal payments scheduled to start after August 2021. The transaction closed on November 21, 2019, and the legal final maturity date is November 30, 2028. PORTFOLIO PERFORMANCE As of August 18, 2023, 21 loans had defaulted since closing, raising the cumulative outstanding defaulted balance to EUR 105.5 million, or 38.4% of the initial portfolio balance, up from 37.6% at the last annual review. As of 18 August 2023, the portfolio's average credit quality measured by the DBRS Morningstar Risk Score stood at 30.6% (excluding the defaulted loans) compared with 31.8% at the last annual review. As of 18 August 2023, the portfolio had two borrowers with a credit estimate equivalent to a CCC (high) credit rating (excluding defaulted loans), representing 15.2% of the outstanding portfolio balance, up from 14.7% at the last annual review. The portfolio exhibits high borrower concentration, with the top 10 borrowers representing 79.8% of the outstanding portfolio balance (excluding defaulted loans), up from 58.4% at the last annual review. The portfolio also exhibits a high geographic concentration, with the largest exposures in Madrid and Aragon, representing 47.7% and 13.9% of the outstanding portfolio balance, respectively (excluding defaulted loans), up from 32.1% and 16.0%, at the last annual review. The increases in the borrower and geographic concentrations reflect the amortization of the portfolio. The entire portfolio (excluding defaulted loans), save for one loan, is amortizing compared with the last annual review, where approximately half of the portfolio hadn't started to amortize yet. The portfolio balance (excluding defaulted loans) is approximately EUR 45.3 million, down from EUR 112.0 million at the last annual review. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar conducted a loan-by-loan analysis of the performing pool of receivables as well as the defaulted loans. According to the transaction documentation, the defaulted status of the loan is not reversible despite the defaulted loan meeting payments according to a restructuring plan, for example. DBRS Morningstar considered approximately EUR 19.0 million in defaulted loan balance as reperforming, increasing the portfolio balance of performing loans to EUR 64.3 million from EUR 45.3 million, if reperforming loans were excluded. Restructured loans with high balloon payment beyond the legal final maturity date of the transaction were not considered in DBRS Morningstar asset analysis. However, restructured loans that were meeting their interest and principal payment plans were considered in the DBRS Morningstar cash flow analysis, but any principal payments beyond the legal final maturity date of the transaction were not considered. DBRS Morningstar excluded from its asset and cashflow analysis loans without a restructuring plan, and/or where the borrower was in court proceedings. The DBRS Morningstar Risk Score of the performing portfolio including the reperforming loans of EUR 19.0 million was conservatively assessed at 34.9%, up from 31.8% at the last annual review, which was based on the performing portfolio excluding all defaulted loans. DBRS Morningstar does not receive financial information anymore once the loan status becomes defaulted, therefore the DBRS Morningstar Risk Score for the reperforming loans is based on the last available credit estimate before the loan becomes defaulted. The weighted-average life (WAL) on the performing portfolio including the reperforming loans decreased to 0.8 year from 1.0 year on the performing portfolio excluding all defaulted loans at the last annual review. DBRS Morningstar maintained its recovery rate assumptions at 19.4% at the CCC (sf) credit rating level. CREDIT ENHANCEMENT The CE consists of overcollateralization and is calculated based on the outstanding portfolio balance (excluding defaulted loans) of EUR 45.3 million. As of the August 2023 payment date, the CE to the Class C Notes decreased to -16.9% from -12.3% at the last annual review, which is due to the additional defaulted loans. However, the Class C Notes' CE would increase to 17.6% if the portfolio balance of EUR 64.3 million (including the reperforming loans) were to be considered. The transaction benefits from a principal deficiency ledger (PDL) mechanism, whereby a PDL debit allocated to each class of notes records the outstanding balance of the loan at the time of default in the junior order of priority and interest is diverted from the interest waterfall to the principal waterfall to amortize the notes in sequential order of seniority. As of the August 2023 payment date, the Class C, Class D, Class E, Class Z1, and Class Z2 Notes' PDLs stood at EUR 7.7 million, EUR 23.6 million, EUR 13.8 million, EUR 19.3 million, and EUR 8.3 million, respectively (EUR 72.7 million in total). The transaction benefits from a liquidity reserve available to cover senior expenses and interest on the Class A to Class D notes as well as to cure all the PDLs, although it remained unfunded since the July 2020 payment date. However, the liquidity risk is mitigated by the interest payments on the Class C Notes being deferrable and due by the legal final maturity date and payments related to the transaction fees being minimal (less than EUR 10,000 monthly). Currently there is no deferred interest on the Class C Notes and all the excess spread cures the Class C Notes PDL. BNP Paribas S.A. Sucursal en Espana (previously BNP Paribas Securities Services, Spanish Branch) (BNP Spain) acts as the account bank for the transaction. Based on DBRS Morningstar's private rating on BNP Spain, 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 rating assigned to the Class C Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. DBRS Morningstar's credit rating on the Class C Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. DBRS Morningstar's credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) 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. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in euros unless otherwise noted. FINANCE IRELAND 6: DBRS Finalizes BB(high) Rating on Class E Notes ------------------------------------------------------------------ DBRS Ratings GmbH finalized its provisional credit ratings on the residential mortgage-backed notes to be issued by Finance Ireland RMBS No. 6 DAC (the Issuer) as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (low) (sf) -- Class E at BB (high) (sf) The credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal. The credit ratings on the Class B and Class C notes address the timely payment of interest once they are the senior most class of notes outstanding and the ultimate repayment of principal on or before the final maturity date. The credit ratings on the Class D and Class E notes address the ultimate payment of interest and principal. DBRS Morningstar does not rate the Class X, Class Y, and Class Z notes also issued in this transaction. CREDIT RATING RATIONALE The Issuer is a bankruptcy-remote special-purpose vehicle incorporated in the Republic of Ireland. The Issuer will use the proceeds of the notes to fund the purchase of prime and performing Irish owner-occupied (OO) mortgage loans secured over properties located in Ireland. The majority of the mortgage loans included in the portfolio were originated by Finance Ireland Credit Solutions DAC (Finance Ireland; the originator), however, a subset of these have been originated by Pepper Finance Corporation (Ireland) DAC (Pepper; the servicer) and have been subsequently sold to Finance Ireland on December 2018 together with the corresponding legal titles. This is the sixth securitization from Finance Ireland, following Finance Ireland RMBS No. 5 (Finance Ireland 5), which closed in October 2022. The initial mortgage portfolio consists of EUR 241 million of first-lien mortgage loans collateralized by OO residential properties in Ireland. The mortgages were mostly granted between 2019 and 2023, with a few cases dating back to 2016. The mortgage loans will be serviced by Pepper. DBRS Morningstar reviewed both the originator and the servicer via an online meeting in July 2023. Underwriting guidelines are in accordance with market practices observed in Ireland and are subject to the Central Bank of Ireland's macroprudential mortgage regulations, which specify restrictions on certain lending criteria. Intertrust Management Ireland Limited will act as the back-up servicer facilitator. As of 31 August 2023, all of the loans in the portfolio repay on an annuity basis. Only 1.9% of the loans in the mortgage portfolio were in arrears at closing with a portion of 0.3% being more than one month in arrears. Liquidity in the transaction is provided by the general reserve fund (GRF), which the Issuer can use to cover any shortfalls in interest payments for the rated notes (as long as no debit balance remains on principal deficiency ledgers). Liquidity for the Class A notes will be further supported by a liquidity reserve fund (LRF), to be fully funded at closing and then amortizing in line with the referred class of notes, which shall also feature a floor of EUR 1.4 million. The notes' terms and conditions allow interest payments, other than on the Class A, Class B, and Class C notes when they are the most senior notes outstanding, to be deferred if the available funds are insufficient. Credit enhancement for the Class A notes is calculated at 8.74% and is provided by the subordination of the Class B to Class E notes, the Class Z notes, and the reserve funds. Credit enhancement for the Class B notes is calculated at 5.49% and is provided by the subordination of the Class C to Class E notes, the Class Z notes, and the reserve funds. Credit enhancement for the Class C notes is calculated at 3.74% and is provided by the subordination of the Class D to Class E notes, the Class Z notes, and the reserve funds. Credit enhancement for the Class D notes is calculated at 2.49% and is provided by the subordination of the Class E notes, the Class Z notes, and the reserve funds. Credit enhancement for the Class E notes is calculated at 1.49% and is provided by the subordination of the Class Z notes, and the reserve funds. A key structural feature is the provisioning mechanism in the transaction that is linked to the arrears status of a loan besides the usual provisioning based on losses. The degree of provisioning increases in line with increases in the number of months in a loan's arrears status. This is positive for the transaction as provisioning based on the arrears status traps any excess spread much earlier for a loan that may ultimately end up in foreclosure. In order to hedge against the possible variance between the fixed rates of interest payable on the fixed-rate loans in the portfolio and the interest rate under the notes calculated by reference to the three-month Euribor, the Issuer will enter into a fixed-to-floating interest rate swap transaction with BofA Securities Europe SA (privately rated by DBRS Morningstar). The Issuer can restructure the hedging agreement to increase the notional of the original swap agreement in order to hedge the exposure to additional fixed-rate loans resulting from product switches and further advances before the step-up date. For the increased portion of the notional, the Issuer will pay the prevailing mid-market swap rate on the swap determination date following the collection period during which the switch to the fixed rate occurred. The fixed-rate loans are subject to a floor of 1.5% margin over the prevailing mid-market swap rate at the time of switch/reset, less any applicable swap adjustment charges. DBRS Morningstar modelled a locked-in post-swap margin of 1.5% minus a swap adjustment charge for all loans that reset to a new fixed rate or switch to a fixed rate before the step-up date. To hedge the floating-rate portion of the portfolio, the loans that are currently paying a standard variable rate (SVR) rate, revert to SVR, or switch to SVR are subject to a minimum rate of one-month Euribor (floored at zero) plus 2.4%. Borrower collections are held with the Governor and Company of the Bank of Ireland and The Allied Irish Banks, p.l.c. (both rated by DBRS Morningstar with a long-term Critical Obligations Rating of A (high), Stable trend) and are deposited on the next business day into the Issuer transaction account held with Elavon Financial Services DAC, UK Branch (Elavon). DBRS Morningstar's private rating on Elavon in its role as the Issuer Account Bank is consistent with the threshold for the account bank outlined in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology, given the ratings assigned to the notes. DBRS Morningstar based its credit ratings on a review of the following analytical considerations: -- The transaction capital structure and form and sufficiency of available credit enhancement. -- The credit quality of the mortgage portfolio and the ability of the servicer to perform collection and resolution activities. DBRS Morningstar calculated probability of default (PD), loss given default (LGD), and expected loss (EL) outputs on the mortgage portfolio. DBRS Morningstar uses the PD, LGD, and ELs as inputs into the cash flow tool. DBRS Morningstar analyzed the mortgage portfolio in accordance with DBRS Morningstar's "European RMBS Insight Methodology: Irish Addendum". -- The ability of the transaction to withstand stressed cash flow assumptions and repay the Class A, Class B, Class C, Class D, and Class E notes according to the terms of the transaction documents. DBRS Morningstar analyzed the transaction structure using Intex DealMaker. -- The sovereign rating of AA (low) with a Stable trend (as of the date of this press release) on the Republic of Ireland. -- The consistency of the legal structure with DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions addressing the assignment of the assets to the Issuer. DBRS Morningstar's credit rating on the rated notes addresses 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 the related Class Balances. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) 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. ION TRADING: S&P Affirms 'B-' Issuer Credit Rating, Outlook Stable ------------------------------------------------------------------ S&P Global Ratings affirmed its 'B-' ratings on trading software provider ION Trading Technologies Ltd. (ION Markets) and its first-lien term loans and notes. S&P said, "The stable outlook reflects our view that ION Markets' revenue will continue to rise on the back of price increases, new product sales, and cross-selling opportunities. Similarly, we expect moderate EBITDA margin expansion, thereby enabling the company to deleverage organically toward 7x-8x in 2024, and free operating cash flow to debt staying below 5% due to rising interest costs. "We reassessed our view of ION Markets' ownership structure as a non-financial sponsor controlled. We no longer view the company as a private equity portfolio company, but we acknowledge that the owner, ION Group, has operated the entities at high leverage levels. ION Group also owns sister entities such as ION corporates, ION Analytics, Cedacri Group, and Cerved. Our reassessment is based on the group's concentrated founder/CEO ownership, industry-focused operating capabilities, and differentiated investment horizon (ION has never sold any of the entities under management). In addition, the ION Investment Group has an infinite investment horizon and has never sold any of the entities under management. This supports our view that the group is not a financial sponsor that buys companies and tries to unlock value through efficiencies and cost cuts with the purpose of selling them at a higher multiple. That said, we assume ION Group will continue to operate the entities under management with high leverage while engaging in dividend recapitalizations. None of the rated entities owned by the ION Group have an issuer credit rating higher than 'B', reflecting the group's generally aggressive financial policy stance. Nonetheless, we note that ION Group has never had a default in its over 20-year history. "The relationship between ION Markets and the other ION Group companies influence our view of the group's overall creditworthiness. While all the businesses owned by the ION Group cater to the financial markets, each company either serves a different part of the industry or offers a distinct solution. However, the sharing of the ION brand name, co-mingling of representation across the board of directors at the portfolio companies, and long-term buy-and-hold philosophy with a concentrated founder ownership at the parent level, lead us to believe ION Markets' creditworthiness would be influenced by the entire group. We believe the parent entity would likely provide extraordinary support in most circumstances if ION Markets encountered financial distress. Any deterioration or strengthening of an individual company could affect our rating on ION Markets. "We expect ION Markets will report leverage at about 8.1x at end-2023, accounting for the company's recently announced incremental loan placement. In September 2023, ION Markets tapped a privately placed term loan of EUR205 million. We expect it will be used equally for redistribution within the ION Group and to add cash to the balance sheet. As a result we expect leverage at year-end will be higher than the 7.6x in we had previously forecast. We have not made any other material change to our forecast since the publication of the Full Analysis "ION Trading Technologies Ltd." on July 10, 2023. "The stable outlook reflects our view that ION Markets' revenue will continue to expand on the back of price increases, new product sales, and cross-selling opportunities. It also reflects our expectation of a moderate EBITDA margin expansion. This should enable the company to deleverage organically toward 7x-8x in 2024. We expect FOCF to debt will remain below 5%, due to rising interest costs. "We see a downgrade as remote, given the company's sound liquidity and cash flow. We could lower the rating if ION Markets' free operating cash flow (FOCF) turns negative and remains that way for a long period, or if the company experience liquidity pressure. This could happen if the company loses key customers, due to increased competition and economic volatility." A negative action would also stem from a similar scenario for the entire group. S&P could raise its rating if ION Markets commits to deleveraging on a sustained basis on the back of EBITDA growth, and if it limits its debt intake, leading to: -- Adjusted leverage below 8x; and -- FOCF to debt above 5% on a prolonged basis. Alternatively, S&P could take a positive action if it saw the credit quality of the entire group strengthen. MERRION SQUARE 2023-1: Fitch Gives BB-(EXP)sf Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned Merrion Square Residential 2023-1 DAC (MS 23-1) expected ratings as detailed below. The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed. Entity/Debt Rating ----------- ------ Merrion Square Residential 2023-1 DAC A XS2647846463 LT AAA(EXP)sf Expected Rating B XS2647846976 LT AA+(EXP)sf Expected Rating C XS2647847198 LT A(EXP)sf Expected Rating D XS2647847354 LT BBB+(EXP)sf Expected Rating E XS2647847438 LT BB+(EXP)sf Expected Rating F XS2647847602 LT BB-(EXP)sf Expected Rating RFN XS2647849723 LT NR(EXP)sf Expected Rating X XS2647850226 LT NR(EXP)sf Expected Rating Z1 XS2647849996 LT NR(EXP)sf Expected Rating Z2 XS2647850143 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY MS 23-1 is a securitisation of first-lien Irish residential and commercial mortgage assets originated predominantly between 2005 and 2008 by several lenders. Of the loans, 54.7% by current balance consist of owner-occupied (OO) loans, 29.5% buy-to-let and 15.8% of small and medium-sized enterprise (SME) loans. The pool was previously securitised across Shamrock 2021-1 DAC and Strandhill RMBS DAC, neither of which were Fitch-rated transactions. KEY RATING DRIVERS Restructured Loan Portfolio: The portfolio contains a high proportion of loans subject to forbearance and restructuring arrangements (39.8%) as well as historical performance worse than the market average since 2014, and particularly the OO assets. This led Fitch to apply an originator adjustment of 1.3x to reflect potential performance variation not already captured in the 'Bsf' weighted average (WA) foreclosure frequency (FF). As a result of applying higher 'Bsf' FF assumptions, lower stress multiples were applied to ensure FF assumptions at higher rating levels were not overstated and remain stable throughout the life of the transaction. The borrowers in the pool have an average pay rate of over 100% of the monthly payment due since 2014. Borrowers that have undergone restructuring have had an average pay rate less than 100% since 2014, although pay rates in the last 12 months have been over 102%. SME Loans Criteria Variation: The pool contains 15.8% (by current balance) of SME loans backed by either land or commercial properties. These are granular small balances loans that are mostly agricultural loans to farmers (9%) and small businesses (6.8%), with an average balance lower than for the residential sub-pools. The valuations for these loans are subject to commercial market-value-decline assumptions as stated in the European RMBS Rating Criteria, and no indexation benefit was applied to the SME loans. Fitch determined the WAFF for the SME sub-pool of the portfolio based on historical performance data. In addition, Fitch also assessed the impact of subsidies supporting the performance of the agricultural loans in line with its SME Balance Sheet Securitisation Rating Criteria. The determination of the WAFF for the SME sub-pool represents a variation to the European RMBS Rating Criteria and SME Balance Sheet Securitisation Rating Criteria. Interest Deferrals Expected: Fitch expects the class C to F notes to experience deferrals of interest. The class C and D notes have model-implied-ratings in the 'Asf' and 'BBBsf' rating categories, and therefore in Fitch's expected scenario, Fitch assessed the projected deferrals in line with the Global Structured Finance Rating Criteria. Fitch concluded the expected deferrals for the class C and D notes were compatible with 'Asf' and 'BBBsf' category ratings. The class C to F notes pay interest (and principal) on an ultimate basis and any deferrals unpaid prior to maturity will not be an event of default. Property Valuations Criteria Variation: The original valuations were only available for 1,696 properties; around 34.1% by property count. Updated valuations were provided for 4,240 properties (of which 1,095 had both original and updated valuations), which were either desktop or drive-by valuations undertaken between 2015-2019. Where an updated valuation was used (only in the absence of an original valuation) Fitch applied a 5% haircut to the valuation amount. This is a criteria variation from the European RMBS Rating Criteria. Predominantly Floating-Rate Loans, Partially Hedged: Of the loans in the portfolio, 40.2% track the European Central Bank (ECB) base rate with a WA margin of 1.0% and 34.3% track a Euribor-linked rate with a WA margin of 2.1%. There will be no swap to hedge the mismatch between the ECB tracker-linked assets and the Euribor-based notes, exposing the transaction to potential basis risk. For the ECB-linked loans, Fitch stressed the transaction cash flows for this mismatch in line with its criteria. Minimum SVR Modelled: The rest of the floating-rate loans are on a standard variable rate (SVR, 20.1% of the portfolio balance). The SVR loans will have a minimum documented all-in rate of one-month Euribor plus 2.5%, which largely mitigates the mismatch with the notes and therefore these loans were treated as Euribor-linked loans in the rating analysis. Fixed-rate loans are limited to 5.4% of the pool, of which 4.9% are fixed for life. An interest rate cap will be in place to partially hedge the transaction against rising interest rates. Criteria Variation For desktop and drive-by valuation Fitch applied a 5% haircut to the valuation amount, which is a criteria variation from the European RMBS Rating Criteria. Fitch determined the WAFF for the SME sub-pool of the portfolio based on historical performance data. The determination of the WAFF for the SME sub-pool represents a variation to the European RMBS Rating Criteria and SME Balance Sheet Securitisation Rating Criteria. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by changes in market conditions and the economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce credit enhancement (CE) available to the notes. In addition, unanticipated declines in recoveries could result in lower net proceeds, which may make certain notes' ratings susceptible to negative rating action depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the WAFF and a 15% decrease in the WA recovery rate (RR) indicate downgrades of up to three notches. A downgrade of the European Union's rating (AAA/Stable/F1+) may also affect the note ratings given the reliance on subsidies supporting SME loan performance in the portfolio. Fitch tested a sensitivity whereby a 100% WAFF was assumed for the SME loans in ratings above 'A+sf' (a scenario where the European Union's rating is downgraded by up to four notches), which led to a model-implied two-notch downgrade of the class A and B notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and upgrades. Fitch found a decrease in the WAFF of 15% and an increase in the WARR of 15% indicate upgrades of up to four notches on the junior notes. DATA ADEQUACY Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the loan-by-loan level pool tape information. These findings were considered in this analysis as set out more fully in the Asset Analysis section of the new issue report. Overall and together with the assumptions referred to above, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. 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. MERRION SQUARE 2023-1: S&P Assigns Prelim. B (sf) Rating on F Notes ------------------------------------------------------------------- S&P Global Ratings has assigned preliminary credit ratings to Merrion Square Residential 2023-1 DAC's (Merrion 2023-1) class A to F-Dfrd Irish RMBS notes. Merrion 2023-1 is a static RMBS transaction securitizing a portfolio of loans comprising owner-occupied, buy-to-let (BTL), commercial assets, and land assets, secured over properties in Ireland. The securitization comprises three purchased portfolios, Nore (41.5% of the pool), Strandhill (32.8%), and Monaco (25.7%). Each of these sub-portfolios were previously securitized in RMBS loan transactions. The portfolio aggregates assets from eight Irish originators. Ulster Bank Ireland DAC, Danske Bank A/S, and Stepstone Mortgages Funding DAC originated the loans in the Nore sub-pool. Agricultural Credit Corporation Loan Management (ACCLM) originated the loans in the Strandhill sub-pool. Permanent TSB PLC, Bank of Scotland (Ireland) Ltd., Start Mortgages DAC, and NUA Mortgages Ltd. originated the loans in the Monaco sub-pool. S&P said, "Of the loan pool, we calculate 19.6% of loans in arrears, with 14.2% in severe arrears (90+ day arrears). The portfolio's residential portion has 19.6% of reperforming loans. The assets are well-seasoned, with most originated between 2004 and 2008. "We consider the pool as higher risk than a fully residential portfolio given there are small commercial and agricultural land loans in the portfolio. This is particularly reflected in the loss severity in the analysis. "Our preliminary rating on the class A notes addresses the timely payment of interest and the ultimate payment of principal. Our preliminary ratings on the class B-Dfrd to F-Dfrd notes address the ultimate payment of interest and principal. The class B-Dfrd to F-Dfrd notes can continue to defer interest even when they become the most senior class outstanding. Interest will accrue on any deferred interest amounts at the respective note rate." A liquidity reserve fund supports the timely payment of interest on the class A and B-Dfrd notes. This will be fully funded at closing to its required level of 2.0% of the classes' balances. Furthermore, the issuer will be able to use principal to cover certain senior items. A non-liquidity reserve fund supports the class B-Dfrd to F-Dfrd notes. This is available to cover any interest shortfalls and principal deficiency ledger (PDL) amounts outstanding. Start Mortgages DAC (Start Mortgages) and Pepper Finance Corp. (Ireland) DAC (Pepper), the administrators, are the servicers. In addition, the issuer administration consultant, Hudson Advisors Ireland DAC, helps devise the mandate for special servicing, which Start Mortgages is implementing. At closing, the issuer will use the issuance proceeds to purchase the beneficial interest in the mortgage loans from the seller. The issuer grants security over all its assets in the security trustee's. S&P considers the issuer to be bankruptcy remote under its legal criteria. S&P said, "Under our operational risk criteria, we have considered the administrators and issuer administration consultant as performance key transaction parties. Under our criteria, operational, sovereign, or counterparty risks do not constrain our preliminary ratings. The documented replacement triggers and collateral posting framework under the cap agreement support a maximum rating of 'AAA' under our counterparty risk criteria." Preliminary ratings CLASS RATING CLASS SIZE (%) A AAA (sf) 75.50 B-Dfrd AA+ (sf) 3.50 C-Dfrd A+ (sf) 5.25 D-Dfrd BBB+ (sf) 2.25 E-Dfrd BB+ (sf) 2.50 F-Dfrd B (sf) 1.25 RFN NR 2.00 Z1 NR 4.50 Z2 NR 5.25 X NR N/A NR--Not rated. N/A--Not applicable. ========= I T A L Y ========= AUTO ABS ITALIAN 2023-1: Fitch Gives BB+(EXP) Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned Auto ABS Italian Stella Loans 2023-1 S.r.l.'s notes expected ratings. The assignment of final ratings is contingent on the receipt of final documentation conforming to information already reviewed. Entity/Debt Rating ----------- ------ Auto ABS Italian Stella Loans 2023-1 S.r.l. Class A notes IT0005565798 LT AA(EXP)sf Expected Rating Class B notes IT0005565806 LT A(EXP)sf Expected Rating Class C notes IT0005565814 LT BBB(EXP)sf Expected Rating Class D notes IT0005565822 LT BBB-(EXP)sf Expected Rating Class E notes IT0005565830 LT BB+(EXP)sf Expected Rating Class Z notes IT0005565855 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is a 14-month revolving securitisation of Italian auto loans originated by Stellantis Financial Services Italia S.p.A. (not rated), the financial captive company of Stellantis N.V. (BBB+/Stable). The proceeds of the euro-denominated notes will be used to fund the purchase of a portfolio comprising auto loans with balloon or standard amortisation granted to private or commercial borrowers to finance new and used cars. Part of the proceeds will be used to fund a cash reserve. KEY RATING DRIVERS Low Expected Defaults: Fitch has observed lower historical default rates than for other captive auto loan lenders operating in Italy. Asset assumptions were derived for different products separately (balloon versus amortising, new versus used cars, commercial versus private borrowers), reflecting different performance expectations and product features. Fitch has assumed a WA base-case lifetime default and recovery rate of 1.9% and 43.0%, respectively, for the stressed portfolio. Significant Balloon Risk: The initial portfolio consists of balloon loans for about 58.6% of the pool balance, while the remainder comprises amortising auto loans. Balloon loan borrowers may face a payment shock at maturity if they cannot refinance the balloon amount, return the car to the dealer or sell it. Fitch has considered this additional default risk by applying a higher default multiple for balloon loans. The weighted average (WA) default multiple for the stressed portfolio is 5.7x at 'AAsf' for the stressed portfolio. Sensitivity to Pro Rata Amortisation: The class A to D notes can repay pro rata until a sequential redemption event occurs. In its base case scenario, Fitch views the switch to sequential amortisation as unlikely, given the portfolio loss expectations compared with performance triggers. The mandatory switch to sequential pay-down when the outstanding collateral balance falls below a certain threshold successfully mitigates tail risk. Replacement Servicer Fee Reserve: The transaction features an amortising replacement servicer fee reserve (RSFR), funded by Santander Consumer Finance, S.A. (SCF, A-/Stable/F2), subject to certain triggers. The SPV will rely on the reserve to cover the fees charged by a replacement servicer. In Fitch's view, the RSFR provides coverage of 'AAsf' 0.9% servicing fees for the entire lifetime of the transaction, independently of the point in time the reserve needs to be filled by SCF. Therefore, Fitch did not model servicing fees in its cash flow analysis. 'AAsf' Sovereign Cap: Italian structured finance transactions are capped at six notches above Italy's Issuer Default Rating (BBB/Stable/F2), which is the case for the class A notes. The Stable Outlook on the notes reflects that on the sovereign. 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. An unexpected increase in the frequency of defaults or decrease of the recovery rates could produce larger losses than the base case. 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 downgrades of up to three notches for the class A to E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The class A notes' rating is sensitive to changes in Italy's Long-Term IDR. 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, provided credit enhancement is sufficient to withstand stresses associated with higher rating scenarios. An unexpected decrease of the frequency of defaults or increase of the recovery rates could produce smaller losses lower than the base case. For example, a simultaneous decrease of the default base case by 25% and an increase of the recovery base case by 25% would lead to upgrades of up to three notches for the class B to E notes. DATA ADEQUACY Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS 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 =========================== CARILLION PLC: Former Boss Faces 8-Year Board Disqualification -------------------------------------------------------------- August Graham and Anna Wise and Tamlyn Jones at BusinessLive report that the former boss of failed outsourcing and construction giant Carillion has been banned by the Insolvency Service from leading a business for the next eight years. Richard Howson will not be able to be a director of a UK company after the authority said he ought to have known that the way some contracts were reported "concealed the reality of the deterioration", BusinessLive relates. Wolverhampton-based Carillion collapsed in January 2018 amid debts worth GBP7 billion, leaving a string of projects in its wake across the UK, BusinessLive recounts. Mr. Howson was appointed chief executive of Carillion in 2011 and stepped down from the post in July 2017, BusinessLive notes. According to BusinessLive, the Insolvency Service also said the former chief executive "ought" to have known of the "false accounting, of the profit overstatement and of the net debt understatement and of the concealment from the auditors" around what payments Carillion was obliged to make to a consultancy called Wipro. He also signed off on a GBP54.4 million dividend, which was paid in June 2017, but "could not be justified by reference to the . . . financial statements", the Insolvency Service, as cited by BusinessLive, said. Carillion issued a profit warning just a month after the dividend was paid out to shareholders, BusinessLive notes. Less than a year later, the firm -- which employed around 12,000 people -- collapsed, BusinessLive relays. Carillion plc is a British multinational facilities management and construction services company headquartered in Wolverhampton, United Kingdom. D&J TIMBER: Set to Go Into Liquidation -------------------------------------- Sam Greenway at Worcester News reports that a troubled city firm looks set to go into liquidation. D&J Timber Buildings was last open for trading on August 11, Worcester News relates. According to Worcester News, a Forfeiture Notice from landowners Lansdowne Rodway Estates Limited was later posted on the gates of the Unit D1 site of the Blackpole Trading Estate East-based business. It told the firm, which supplies sheds, garden buildings, landscape products, fencing, Durapost and decorative garden products, that bailiffs acting on behalf of the landlord had "re-entered these premises and the lease is hereby determined", Worcester News recounts. Now an insolvency notice has been posted on The Gazette - the official public record, Worcester News discloses. It reads: "Notice is hereby given that the directors of the company are convening a virtual meeting of creditors to be held on October 4, 2023, at 2:30 p.m., for the purpose of deciding on the nomination of a liquidator. "Nominated Liquidator: Timothy James Heaselgrave (IP number 9193) of The Timothy James Partnership Limited, Kidderminster Road, Bromsgrove." In an update on the firm's listing on Companies House, dated for September 20, there is a cessation and confirmation statement, Worcester News states. Joy Cox, who ran the firm with son Daniel Cox, is stated to no longer be a person of significant control, Worcester News notes. DEKANIA EUROPE II: Fitch Affirms 'CCsf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has upgraded Dekania Europe CDO II Plc's class C notes and affirmed the rest. Fitch has also affirmed all of Dekania Europe CDO III Plc's notes. Entity/Debt Rating Prior ----------- ------ ----- Dekania Europe CDO II Plc Class C XS0265871409 LT BBBsf Upgrade BBB-sf Class D1 XS0265875145 LT CCCsf Affirmed CCCsf Class D2 XS0266479913 LT CCCsf Affirmed CCCsf Class E XS0265883164 LT CCsf Affirmed CCsf Dekania Europe CDO III Plc Class B XS0298467159 LT BBBsf Affirmed BBBsf Class C XS0298467407 LT CCCsf Affirmed CCCsf Class D XS0298468637 LT CCsf Affirmed CCsf Class E XS0298469361 LT Csf Affirmed Csf Class F XS0298469874 LT Csf Affirmed Csf TRANSACTION SUMMARY Dekania Europe CDO II and III are cash flow CDOs managed by Dekania Capital Management, LLC, an affiliate of Cohen & Company Securities, LLC. The notes are backed primarily by euro-denominated hybrid capital securities and subordinated bonds issued predominantly by small and mid-sized European insurance companies and to a lesser extent, banks. KEY RATING DRIVERS Improved Credit Quality Drives Upgrade: Fitch has upgraded Dekania II's EUR14.2 million class C notes due to the mildly improved credit quality of the underlying portfolio. The notes are backed by a highly-rated EUR12 million asset that will mature in early 2026. Additionally, the reclassification of the interest on the one perpetual asset to principal has contributed to the EUR340,000 paydown over the past year. There is EUR27 million in other performing assets maturing before the notes' legal final maturity in 2037 backing the class C notes. The class D and below notes have been affirmed at 'CCCsf' and below as the reclassified interest to principal from the one perpetual asset is unlikely to be able to pay down these notes while all other underlying assets are maturing near or after the legal final maturity of the notes. Paydown in Dekania III: Fitch has affirmed the EUR6.8 million class B notes, which have been paid down by EUR1.3 million over the past year. The paydown is due to interest from three perpetual assets totalling EUR35.5 million, which has been reclassified to principal. In addition, the notes have an underlying highly rated asset representing EUR1 million that matures in 2026. Fitch believes that the scheduled amortisation, together with the reclassified interest to principal from these perpetual assets, will be sufficient to redeem the notes in full before legal final maturity. The notes' rating is commensurate with the credit quality of these assets. All other notes have been affirmed at 'CCCsf' or below. There is only EUR14 million of performing assets that are not perpetual backing the class C notes with an outstanding notional of EUR21.1 million. The scheduled amortisation together with reclassified interest to principal would be sufficient to redeem the notes, barring further defaults among the lower-rated assets. High Obligor Concentration: The transactions are in their tail periods and each has only six performing assets and one defaulted asset backing. Consequently, Fitch has capped the ratings at 'BBBsf' in line with its CLOs and Corporate CDOs Rating Criteria. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase of the default rate (RDR) at all rating levels by 25% of the mean RDR and a decrease of the recovery rate (RRR) by 25% at all rating levels will result in downgrades of no more than one notch of the most senior notes. Downgrades may occur if the build-up of the notes' credit enhancement following amortisation does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A reduction of the RDR at all rating levels by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels would have no impact on the most senior notes as the notes are capped at 'BBBsf'. DATA ADEQUACY Dekania Europe CDO II Plc, Dekania Europe CDO III Plc Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. 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 pools ahead of the transaction's initial closing. The subsequent performance of the transaction[s] over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. LOVE LANE: Enters Administration Again -------------------------------------- Jon Robinson at BusinessLive reports that a Liverpool-based brewery has collapsed into administration again almost 18 months after being rescued by a former Iceland boss. Love Lane Brewery first entered administration in June last year, owing more than GBP1.5 million to its creditors, BusinessLive recounts. At the time, the business was saved after former Iceland boss Nick Canning invested a further GBP300,000 in the company, BusinessLive notes. Mr. Canning increased his shareholding in the business after it underwent a pre-pack administration deal that was overseen by Steven Muncaster and Steve Clancy in the Manchester office of Kroll, BusinessLive discloses. However Love Lane Brewery, whose beer was recently served at the 151 st Open golf tournament at Royal Liverpool, has entered administration again, with Paul Stanley and Jason Greenhalgh of Begbies Traynor appointed to oversee the process, BusinessLive relates. The bar at 62-64 Bridgewater Street in the Baltic Triangle will continue trading, BusinessLive states. According to BusinessLive, Paul Stanley, regional managing partner of Begbies Traynor, added: "This is a difficult time for the leisure and hospitality sector in general. Many small breweries have launched during the past decade and the craft beer industry was going strong until economic conditions dramatically changed. METRO BANK: Seeks to Raise Up to GBP600 Million in Funding ---------------------------------------------------------- Laura Noonan and Stephen Morris at The Financial Times report that Metro Bank is seeking to raise up to GBP600 million after its share price fell almost 50% in recent weeks, said people with knowledge of the plan. According to the FT, the people said the UK challenger bank is in talks with investors about raising GBP250 million in equity funding and GBP350 million in debt to shore up its balance sheet, the people said. The talks came after regulators last month failed to approve a request from Metro to lower the capital requirements attached to its mortgage business, the FT states. Metro has hired Morgan Stanley to provide strategic advice and lead any potential capital raise, said a person familiar with the decision, the FT notes. Rating agency Fitch put Metro on negative watch earlier on Oct. 4, citing increased risks to its business model, capital position and funding of the company, which had a market capitalisation of about GBP85 million at close on Oct. 4 after a 98% plunge in the past five years, the FT relates. Fitch also called attention to the GBP350 million of senior bonds that Metro must refinance by next October, the FT discloses. REPAIR MAINTENANCE: Bought Out of Administration by RAP ------------------------------------------------------- Business Sale reports that two MRO (maintenance, repair and operations) distributors with operations in Yorkshire, Lancashire and Merseyside have been acquired out of administration. According to Business Sale, Repair Maintenance & Overhaul (RMO) and Gatley Fluid Power, which are both registered in Grimsby, have been acquired by Brighton-registered RAP Industrials. RAP Industrials has acquired the business and assets of both companies as a going concern from James Hitchens and Chris Petts of Grant Thornton UK, who were appointed as joint administrators of the RMO and Gatley group of companies, Business Sale relates. The firms are distributors of all MRO products, including electrical, mechanical, hydraulics and pneumatics, instrumentation and engineering consumables. Following the acquisition, which secures all 33 jobs at the companies, operations will continue at all of their existing trading premises, Business Sale states. In its accounts for the year to November 30 2022, RMO Ltd had fixed assets of GBP278,121 and current assets of GBP5.6 million, with net assets amounting to GBP548,746, Business Sale discloses. Gatley Fluid Power Ltd, meanwhile, had GBP203,615 in fixed assets and GBP513,312 in current assets, with net assets standing at GBP64,905, Business Sale notes. TAURUS 2019-2: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------- DBRS Ratings Limited confirmed its credit ratings on the commercial mortgage-backed floating-rate notes due November 2029 issued by Taurus 2019-2 UK DAC (the Issuer) as follows: -- Class A notes confirmed at AAA (sf) -- Class B notes confirmed at AA (sf) -- Class C notes confirmed at A (sf) -- Class D notes confirmed at BBB (low) (sf) -- Class E notes confirmed at BB (sf) The trends on all credit ratings remained Stable. The credit rating confirmations follow the stable performance of the securitized senior loan over the last 12 months. The transaction is a securitization of a 92.1% interest in a GBP 418.1 million (loan-to-value ratio (LTV) of 63.9%) floating-rate senior commercial real estate loan advanced by Bank of America Merrill Lynch International DAC (Bank of America) to borrowers sponsored by Blackstone Group L.P. For the purpose of satisfying the applicable risk retention requirements, Bank of America also advanced a GBP 19.2 million loan (the Issuer Loan) to the Issuer on the closing date. The senior loan was advanced to refinance the indebtedness of 126 urban logistic and multi-let industrial properties that are well diversified throughout the UK with strategic locations in and around major logistics hubs. Additionally, Planeta Industries S.A. provided a coterminous GBP 65.0 million mezzanine loan with an LTV of 73.9%, which was repaid in full. Since the utilization date, the senior loan has been deleveraging by nearly 5% down to GBP 397.1 million as at the August 2023 interest payment date (IPD). The GBP 21.0 million total repayment on the senior loan is the result of 15 property sales since February 2021. As a consequence, the Issuer has received a total of GBP 19.3 million principal receipts since issuance, which were used to pay down the notes (95%) and the Issuer Loan (5%) on a pro rata basis. According to Cushman & Wakefield's (C&W) revaluation as of 31 March 2023, the aggregate value of the remaining 111 properties was GBP 735.7 million, which is 1.3% higher than the previous valuation on a like-for-like basis. However, the reported LTV of the senior loan stood at 54.0% in August 2023. This is slightly higher than last year's LTV of 52.1%, since C&W did not include a 5% portfolio premium, which was previously included in the LTV calculation. The net rental income increased by 12.6% year over year to GBP 43.6 million from GBP 38.6 million in August 2022, resulting in a debt yield (DY) of 11.0% in August 2023 compared with 9.7% in August 2022 and 8.1% at issuance. Vacancy slightly decreased to 8.1% from 8.5% as at the last annual review, well below 11.6% level at issuance. There is no scheduled amortization before the completion of a permitted change of control (COC), at which time the borrower must repay the aggregate outstanding principal amount on the senior loan in quarterly instalments equal to 0.25% of the outstanding principal amount as at the date of the permitted COC. To date, no COC occurred. The senior loan was initially scheduled to mature on 15 November 2021, with three conditional one-year extension options available. In accordance with the senior facility agreement, the senior loan term was extended twice by one year to 15 November 2023 (the second extended maturity date), with one more extension option available to the borrower. According to the senior facility agreement, notice for another one-year extension should be delivered not less than 30 days and not more than 90 days prior to the first extended maturity date. The senior loan carries a floating interest rate with a Sterling Overnight Index Average (Sonia) benchmark plus a margin of 2.1% per annum. The senior loan is 95.0% hedged with an interest rate cap, provided by Bank of America N.A., London branch, with a strike rate of 2.64%. DBRS Morningstar revised its net cash flow (NCF) assumption to GBP 30.6 million from GBP 29.0 million at issuance, and kept its cap rate assumption at 6.54%, the same as at issuance. This translates into a DBRS Morningstar value of GBP 469.1 million, representing a 36.2% haircut to C&W's most recent valuation. The transaction benefits from a liquidity facility, provided by Bank of America N.A., London branch, that the Issuer can use to cover interest shortfalls on the Class A and Class B notes. The liquidity facility commitment was GBP 8.0 million at issuance, with GBP 7.6 million outstanding on the August 2023 IPD, providing 9.5 months and 6.4 months of coverage on the covered notes based on the cap strike of 2.64% and the Sonia notes cap of 5.0% after loan maturity, respectively. In addition to the liquidity reserve, the transaction also features a GBP 50,000 issuer reserve to cover the Issuer's senior expenses. The legal final maturity of the notes is in November 2029, five years after fully extended loan maturity. Considering the remaining one-year extension option that is conditional upon the senior loan being hedged, the latest loan maturity date is 17 November 2024. Given the security structure and jurisdiction of the underlying senior loan, DBRS Morningstar believes that this provides sufficient time to enforce the loan collateral, if necessary, and repay the noteholders. Cash trap covenants are set on a DY at 8.3% and on an LTV at 71.4%. The senior loan structure does not include financial default covenants unless there is a permitted COC, after which the default covenants are based on LTV and DY. The LTV ratio is set at a level that is not greater than the sum of the LTV ratio on the permitted COC date and an additional 15.0%. Additionally, the new obligors must ensure that, after the permitted COC date, the DY is not less than the greater of 85.0% of the DY as of the permitted COC date or 6.75%. DBRS Morningstar's credit rating on Taurus 2019-2 UK DAC addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Sonia Excess Amounts, Pro Rata Default Interest Amounts, and Exit Payment Amount. 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 British pound sterling unless otherwise noted. =============== X X X X X X X X =============== [*] BOOK REVIEW: Dangerous Dreamers ----------------------------------- Dangerous Dreamers: The Financial Innovators from Charles Merrill to Michael Milken Author: Robert Sobel Publisher: Beard Books Softcover: 271 pages List Price: $34.95 Order your own personal copy at http://www.beardbooks.com/beardbooks/dangerous_dreamers.html "For the rest of his life, Milken will be accused of crimes for which he was not charged and to which he did not plead guilty." Milken is -- as anyone familiar with junk bonds and the scandals surrounding them in the 1980s knows -- Michael Milken of the Drexel Burnham banking and investment firm. In this book, noted business writer Robert Sobel analyzes the Milken criminal case and the many other phenomena of the period that lay the basis for the modern-day financial industry. However, the author's perspective is broader than the sensationalistic excesses and purported crimes of Milken and his like. Sobel is interested in the individuals and businesses that introduced and developed financial concepts, vehicles, and transactions that increased the wealth of millions of average persons. Sobel's examination of the byplay between financial chicanery and economic revitalization extends back to the Gilded Age of the latter 1800s and early 1900s. This was a time when Jim Fisk, Jay Gould, and others were making fortunes through skulduggery and manipulation of the financial markets, while Cornelius Vanderbilt and others were building the "world's finest railroad system." Later, in the "Junk Decade of the 1980s," as Ivan Boesky and others were reaping fortunes from "dubious" transactions, financial firms such as Forstmann Little and Kohlberg Kravis Roberts "played major positive roles in the largest restructuring of American industry since the turn of the century." While Sobel does not try to defend the excesses and illegalities of individuals and companies, he basically sees the Milkens of the world as "vehicles through which the phenomena of junk finance and leveraged buyouts played themselves out." This was the "Conglomerate Era." Mergers and acquisitions were at the center of financial and economic activity, and CEOs at major corporations were in competition to grow their corporations. Milken, Boesky, and others provided the means for this end. However, it is important to note that they did not originate the mergers and acquisition phenomenon. At first, Milken et al. were much appreciated by major corporations and the financial industry. However, when mergers and acquisition excesses began to bear sour fruit, Milken and his company Drexel Burnham took the brunt of public indignation. The government's search for villains then began. Sobel examines the ripple effects of financial innovators who became financial pariahs. Milken's journey, for example, cannot be unraveled from that of a company such as Beatrice. Starting in 1960, the food company Beatrice started making large-scale acquisitions. CEO Williams Karnes, who "ran a tight, lean ship, with a small office staff," was succeeded by corporate heads who brought in corporate jets and limousines, greatly increased staff, and moved into regal office space. James Dutt of Beatrice is singled out as symptomatic of the heedless mindset that crept into corporate America in the 1980s. Sobol's tale of the complexities and ambivalence of this transitional period is bolstered by memorable portraits of key players and companies. In so doing, he demonstrates once more why he has long been recognized as one of the country's most important business writers. About the Author Robert Sobel was born in 1931 and died in 1999. He was a prolific historian of American business life, writing or editing more than 50 books and hundreds of articles and corporate profiles. He was a professor of business at Hofstra University for 43 years and held a Ph.D. from New York University. Besides producing books, articles, book reviews, scripts for television and audiotapes, he was a weekly columnist for Newsday from 1972 to 1988. At the time of his death he was a contributing editor to Barron's Magazine. ********* 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 * * *