/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/240116.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 Tuesday, January 16, 2024, Vol. 25, No. 12 Headlines I R E L A N D HAYFIN EMERALD XII: S&P Assigns B-(sf) Rating on Class F Notes TIKEHAU CLO V: Moody's Affirms B3 Rating on EUR12.1MM Cl. F Notes I T A L Y DECO 2019-VIVALDI: DBRS Keeps B(high) on Class D Debt on Review LIMA CORPORATE: S&P Withdraws 'B-' LongTerm Issuer Credit Rating L U X E M B O U R G COVIS PARENT: Moody's Withdraws 'Caa3' Corporate Family Rating S P A I N SANTANDER CONSUMO 4: DBRS Confirms BB(low) Rating on Series E Notes U N I T E D K I N G D O M BEAUMONT ABS: Debts Total More Than GBP7 Million, Documents Show CANTERBURY FINANCE 4: DBRS Hikes Class F Notes Rating to B(high) DURHAM MORTGAGES A: DBRS Confirms BB(low) Rating on Class F Notes HILLBROOKE HOTELS: Woodford Takes Over Two Venues LA PERLA: Italian Court Wants to Halt Sale STEWART MILNE: Future of North West Development Sites Uncertain STEWART MILNE: Meetings Held to Offer Legal Support to Workers TXM PLANT: Administrators Explore Sale Following Collapse - - - - - ============= I R E L A N D ============= HAYFIN EMERALD XII: S&P Assigns B-(sf) Rating on Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Hayfin Emerald CLO XII DAC's class A, B-1, B-2, C, D, E, and F notes. At closing, the issuer also issued unrated subordinated notes. Under the transaction documents, the rated notes pay quarterly interest unless there is a frequency switch event. Following this, the notes will switch to semiannual payment. The portfolio's reinvestment period will end on Jan. 25, 2026. The ratings assigned to the notes reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. Portfolio benchmarks CURRENT S&P Global Ratings weighted-average rating factor 2,816.08 Default rate dispersion 511.84 Weighted-average life (years) 4.48 Obligor diversity measure 83.16 Industry diversity measure 16.63 Regional diversity measure 1.21 Transaction key metrics CURRENT Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.0 'AAA' weighted-average recovery (%) 34.99 Actual weighted-average spread (%) 4.16 Actual weighted-average coupon (%) 3.74 Asset priming obligations and uptier priming debt Under the transaction documents, the issuer can purchase asset priming (drop down) obligations and/or uptier priming debt to address the risk where a distressed obligor could either move collateral outside the existing creditors' covenant group or incur new money debt senior to the existing creditors. Rating rationale S&P said, "The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR375 million target par amount, the actual weighted-average spread of 4.16%, the actual weighted-average coupon of 3.74%, and the actual portfolio's weighted-average recovery rates at each rating level. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria at the time of assigning final ratings. "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's legal structure is bankruptcy remote, in line with our legal criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our assigned ratings are commensurate with the available credit enhancement for the class A, B-1, B-2, C, D, E, and F notes. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B-1 to E notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our ratings on the notes. "The class F notes' current break-even default rate (BDR) cushion is negative at the 'B-' rating level. Based on the portfolio's actual characteristics and additional overlaying factors, including our long-term corporate default rates and recent economic outlook, we believe this class is able to sustain a steady-state scenario, in accordance with our criteria." S&P's analysis reflects several factors, including: -- The class F notes' available credit enhancement is in the same range as that of other CLOs S&P has rated and that have recently been issued in Europe. -- S&P's BDR at the 'B-' rating level is 21.19% versus a portfolio default rate of 13.89% if it was to consider a long-term sustainable default rate of 3.1% for a portfolio with a weighted-average life of 4.48 years. -- Whether the tranche is vulnerable to non-payment soon. -- If there is a one-in-two chance for this note to default. -- If S&P envisions this tranche to default in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F notes is commensurate with a 'B- (sf)' rating. "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A to E notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F notes." Ratings CLASS RATING* AMOUNT SUB (%) INTEREST RATE§ (MIL. EUR) A AAA (sf) 223.50 40.40 3M EURIBOR + 1.74% B-1 AA (sf) 34.90 28.80 3M EURIBOR + 3.10% B-2 AA (sf) 8.60 28.80 6.825% C A (sf) 21.40 23.09 3M EURIBOR + 4.00% D BBB- (sf) 24.20 16.64 3M EURIBOR + 5.79% E BB- (sf) 16.20 12.32 3M EURIBOR + 8.04% F B- (sf) 13.80 8.64 3M EURIBOR + 8.23% Sub. NR 25.475 N/A N/A * The ratings assigned to the class A, B-1, and B-2 notes address timely interest and ultimate principal payments. The ratings assigned to the class C, D, E, and F notes address ultimate interest and principal payments. § The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. 3M -- Three month. EURIBOR -- Euro Interbank Offered Rate. NR -- Not rated. N/A -- Not applicable. TIKEHAU CLO V: Moody's Affirms B3 Rating on EUR12.1MM Cl. F Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Tikehau CLO V DAC: EUR36,800,000 Class B-1 Senior Secured Floating Rate Notes due 2032, Upgraded to Aa1 (sf); previously on Sep 5, 2019 Definitive Rating Assigned Aa2 (sf) EUR5,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032, Upgraded to Aa1 (sf); previously on Sep 5, 2019 Definitive Rating Assigned Aa2 (sf) EUR19,300,000 Class C-1 Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to A1 (sf); previously on Sep 5, 2019 Definitive Rating Assigned A2 (sf) EUR7,100,000 Class C-2 Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to A1 (sf); previously on Sep 5, 2019 Definitive Rating Assigned A2 (sf) EUR24,800,000 Class D-1 Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Baa2 (sf); previously on Sep 5, 2019 Definitive Rating Assigned Baa3 (sf) EUR6,000,000 Class D-2 Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Baa2 (sf); previously on Sep 5, 2019 Definitive Rating Assigned Baa3 (sf) Moody's has also affirmed the ratings on the following notes: EUR272,800,000 Class A Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on Sep 5, 2019 Definitive Rating Assigned Aaa (sf) EUR25,300,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032, Affirmed Ba3 (sf); previously on Sep 5, 2019 Definitive Rating Assigned Ba3 (sf) EUR12,100,000 Class F Senior Secured Deferrable Floating Rate Notes due 2032, Affirmed B3 (sf); previously on Sep 5, 2019 Definitive Rating Assigned B3 (sf) Tikehau CLO V DAC, issued in September 2019, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by Tikehau Capital Europe Limited. The transaction's reinvestment period will end in January 2024. RATINGS RATIONALE The rating upgrades on the Classes B-1, B-2, C-1, C-2, D-1 and D-2 notes are primarily a result of the benefit of the shorter period of time remaining before the end of the reinvestment period in January 2024. The affirmations on the ratings on the Classes A, E and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. In particular, Moody's assumed that the deal will benefit from a shorter amortisation profile, lower weighted average rating factor, higher weighted average recovery rate and higher spread levels than it had assumed at the last review in August 2023. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: EUR435.64m Defaulted Securities: EUR4.52m Diversity Score: 61 Weighted Average Rating Factor (WARF): 2882 Weighted Average Life (WAL): 4.22 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 4.03% Weighted Average Coupon (WAC): 4.64% Weighted Average Recovery Rate (WARR): 43.78% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance methodology" published in October 2023. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: Once reaching the end of the reinvestment period in January 2024, The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ========= I T A L Y ========= DECO 2019-VIVALDI: DBRS Keeps B(high) on Class D Debt on Review --------------------------------------------------------------- DBRS Ratings GmbH maintained the Under Review with Positive Implications (UR-Pos.) status on the following classes of notes (the notes) issued by Deco 2019 - Vivaldi S.r.l. and Pietra Nera Uno S.R.L.: Deco 2019 - Vivaldi S.r.l. -- Class A rated A (high) (sf) -- Class B rated BBB (sf) -- Class C rated BB (high) (sf) -- Class D rated B (high) (sf) Pietra Nera Uno S.R.L. -- Class A rated A (sf) -- Class B rated BBB (sf) -- Class C rated BB (high) (sf) -- Class D rated BB (sf) -- Class E rated B (high) (sf) CREDIT RATING RATIONALE DBRS Morningstar initially assigned the UR-Pos. status on the notes on October 13, 2023, as a result of the removal of a stress scenario regime for sovereigns rated in the "A" category or below. In particular, DBRS Morningstar has determined that macroeconomic risk for securitized assets in lower rated countries is in most cases reflected in historical data that is used in the structured finance credit rating analysis. While the credit rating impact of the changes is positive and an upgrade would be also supported by the overall good performances of the commercial real estate loans underlying the affected transactions as at the November 2023 interest payment dates (IPD), DBRS Morningstar decided to maintain the UR-Pos. status on the notes until it has completed a more in-depth review of the transactions. DBRS Morningstar's credit ratings on the 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 Payment Amounts and the related Class Outstanding Balances. DBRS Morningstar's credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the notes do not address Euribor Excess Amounts, Pro Rata Default Interest Amounts, and Note Exit 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 euros unless otherwise noted. LIMA CORPORATE: S&P Withdraws 'B-' LongTerm Issuer Credit Rating ---------------------------------------------------------------- S&P Global Ratings withdrew its 'B-' long-term issuer credit rating on orthopedic implants maker Lima Corporate SpA and its 'B+' issue rating on the EUR65 million super senior revolving credit facility, which has been fully repaid. The outlook on Lima Corporate was stable at the time of the withdrawal. S&P previously withdrew its 'B-' issue rating on the EUR310 million senior secured floating-rate notes as these have been redeemed. S&P withdrew the ratings at the issuer's request, after U.S.-listed medical technology company Enovis Corp acquired Lima Corporate. =================== L U X E M B O U R G =================== COVIS PARENT: Moody's Withdraws 'Caa3' Corporate Family Rating -------------------------------------------------------------- Moody's Investors Service has withdrawn all ratings of Covis Parent SCA (Covis or the company), including its Caa3 corporate family rating and Ca-PD/LD probability of default rating. Concurrently, Moody's has withdrawn the Ca ratings on the currently outstanding $676 million equivalent backed senior secured first lien term loans, split into a euro-denominated term loan and dollar-denominated term loan B, and the $100 million backed senior secured revolving credit facility (RCF). Both these facilities are borrowed by the company's subsidiary Covis Finco S.a r.l. Moody's has also withdrawn the B3 rating on the $64 million backed senior secured first lien term loan borrowed by Covis Finco S.a r.l. The outlook prior to the withdrawal was negative for both entities. The action follows the company's payment default on a proportion of its debt facilities and the commencement of restructuring discussions in December 2023. RATINGS RATIONALE Moody's has decided to withdraw the ratings for its own business reasons. COMPANY PROFILE Covis, headquartered in Zug (Switzerland) and Luxembourg, markets and distributes a portfolio of patent-protected and mature drugs in the respiratory and critical care areas, with a presence in over 50 countries. Founded in 2011, it was acquired by funds affiliated with Apollo Global Management, Inc. in March 2020. In 2022, Covis reported revenue and EBITDA pre-exceptionals of $429 million and $181 million respectively. ========= S P A I N ========= SANTANDER CONSUMO 4: DBRS Confirms BB(low) Rating on Series E Notes ------------------------------------------------------------------- DBRS Ratings GmbH (DBRS Morningstar) confirmed its credit ratings on the following series of notes (collectively, the Rated Notes) issued by FT Santander Consumo 4 (the Issuer): -- Series A Notes at AA (sf) -- Series B Notes at A (high) (sf) -- Series C Notes at A (low) (sf) -- Series D Notes at BBB (low) (sf) -- Series E Notes at BB (low) (sf) DBRS Morningstar does not rate the Series F Notes issued in this transaction. The credit rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date. The credit ratings on the Series B, Series C, Series D, and Series E Notes address the ultimate payment of interest and the ultimate payment of principal on or before the legal final maturity date in June 2038. The confirmations follow an annual review of the transaction and are based on the following analytical considerations: -- The portfolio performance, in terms of delinquencies and defaults, as of the September 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 Rated Notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization collateralized by receivables related to consumer loans granted by Banco Santander SA (Banco Santander; the originator) to private individuals residing in Spain. The originator also services the portfolio. The transaction closed in February 2021 and included an initial 13-month revolving period, which ended on the March 2022 payment date. PORTFOLIO PERFORMANCE As of September 2023, loans that were one to two months and two to three months in arrears represented 0.3% and 0.2% of the outstanding portfolio balance, respectively, while loans more than three months in arrears represented 3.8%. Gross cumulative defaults amounted to 1.3% of the aggregate initial portfolio balance. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar maintained its base case PD and LGD assumptions at 4.9% and 78.7%, respectively. CREDIT ENHANCEMENT The subordination of the respective junior obligations provides credit enhancement to the Rated Notes. As of the September 2023 payment date, credit enhancement to the Series A, Series B, Series C, Series D, and Series E Notes was 15.8%, 8.8%, 6.0%, 2.9%, and 0.0%, respectively. The credit enhancement levels have remained unchanged since DBRS Morningstar's initial credit ratings due to the initial revolving period and the current pro rata amortization of the Rated Notes. The Rated Notes will continue to pay on a pro rata basis unless certain events such as a breach of performance triggers, a servicer insolvency, or a servicer termination occur. Under these circumstances, the principal repayment of the Rated Notes will become fully sequential and the switch is not reversible. The transaction benefits from an amortizing cash reserve funded through the subscription proceeds of the Series F Notes, which represents 2.0% of the Rated Notes. The cash reserve can be used to cover senior costs and interest on the Series A Notes, Series B Notes, Series C Notes, Series D Notes, and Series E Notes. The cash reserve is currently at its targeted amount of EUR 15.75 million. Banco Santander acts as the account bank for the transaction. Based on DBRS Morningstar's Long-Term Issuer Rating of A (high) on Banco Santander (one notch below its Long Term Critical Obligations Rating (COR) of AA (low)), the downgrade provisions outlined in the transaction's documents, and other mitigating factors inherent in the transaction's structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Rated Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. An interest rate swap is in place to hedge fixed-floating interest rate risk, with Banco Santander acting as the swap counterparty. Based on its COR and the collateral posting provisions included in the documentation, DBRS Morningstar considers the risk arising from the swap counterparty to be consistent with the credit ratings assigned to the Rated Notes, in accordance with 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 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 defaults 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. =========================== U N I T E D K I N G D O M =========================== BEAUMONT ABS: Debts Total More Than GBP7 Million, Documents Show ---------------------------------------------------------------- John Hyde at The Law Society Gazette reports that debts at one of the collapsed Metamorph network of firms have shot up to more than GBP7 million, new documents have revealed. According to The Law Society Gazette, a progress report for the liquidation of West Yorkshire outfit Beaumont ABS states that unsecured creditors have made 13 claims, totalling GBP5.8 million. This was far beyond the estimated total liability of GBP1.4 million set out in the statement of affairs published in December 2022, The Law Society Gazette states. Of the 78 potential creditors identified then, 68 have yet to make claims, The Law Society Gazette notes. Beaumont ABS was the first of the Metamorph Group companies to fold. It went into liquidation in November 2022 after being subject to a winding-up petition from estate agency Connells Limited, The Law Society Gazette recounts. The total of GBP2.3 million in the statement of affairs included almost GBP36,000 owed to Connells, and GBP182,000 and GBP96,000 respectively to fellow estate agents Spicerhaart and Sequence, The Law Society Gazette discloses. The firm also owed more than GBP39,000 in coronavirus support payments, The Law Society Gazette states. On top of the unsecured creditors, HM Revenue & Customs has lodged a final claim of around GBP779,000, while Barclays is owed almost GBP600,000 as a secured creditor, bringing the total owed to GBP7.19 million, The Law Society Gazette notes. According to The Law Society Gazette, the report, from insolvency firm Macintyre Hudson LLP, said that all creditors are likely to receive nothing. No realisations have been recovered from Beaumont's assets and the SRA's intervention -- effected in December 2022 -- means that nothing will be realised from any remaining work in progress, The Law Society Gazette states. Liquidators said there remain several ongoing investigations which may lead to some recoveries, including an in-depth review of the company's bank statements, The Law Society Gazette notes. All Metamorph firms have now closed, with the SRA intervening into several of the practices around a year ago. CANTERBURY FINANCE 4: DBRS Hikes Class F Notes Rating to B(high) ---------------------------------------------------------------- DBRS Ratings Limited took the following credit rating actions on the notes issued by Canterbury Finance 4 PLC (the Issuer): -- Class A2 notes confirmed at AAA (sf) -- Class B notes upgraded to AAA (sf) from AA (high) (sf) -- Class C notes upgraded to AA (high) (sf) from A (high) (sf) -- Class D notes upgraded to AA (low) (sf) from A (low) (sf) -- Class E notes upgraded to BBB (sf) from BB (high) (sf) -- Class F notes upgraded to B (high) (sf) from B (sf) The credit ratings on the Class A2 and Class B notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date in May 2058. The credit ratings on the Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and principal on or before the legal final maturity date. The 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. -- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables. -- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization of buy-to-let residential mortgage loans originated and serviced by OneSavings Bank plc. PORTFOLIO PERFORMANCE As of November 2023, loans two to three months in arrears represented 0.6% of the outstanding portfolio balance, and loans at least three months in arrears represented 1.8% of the outstanding portfolio balance. As of November 2023, the cumulative default ratio was 0.0%. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base-case PD and LGD assumptions at the B (sf) credit rating level to 5.1% and 11.8%, respectively. CREDIT ENHANCEMENT As of the November 2023 payment date, credit enhancement to the Class A2, Class B, Class C, Class D, Class E, and Class F notes was 38.2%, 29.2%, 19.6%, 13.4%, 7.7%, and 1.5%, respectively, up from 19.7%, 15.3%, 10.5%, 7.4%, 4.6%, and 1.5% at the last annual review, respectively. Credit enhancement is provided by the subordination of the junior classes of notes and a general reserve fund. The transaction benefits from a general reserve fund of GBP 11.6 million, available to cover senior fees, interest, and principal (via the principal deficiency ledgers) on the Class A2 to Class F notes. Elavon Financial Services DAC, U.K. Branch acts as the account bank for the transaction. Based on DBRS Morningstar's private credit rating on Elavon Financial Services DAC, U.K. Branch, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Class A2 and Class B notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. Lloyds Bank Corporate Markets plc acts as the swap counterparty for the transaction. DBRS Morningstar's private credit rating on Lloyds Bank Corporate Markets plc is above 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 notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. DBRS Morningstar's credit ratings on the notes also address the credit risk associated with the increased rate of interest applicable to the notes if the notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents. 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 British pound sterling unless otherwise noted. DURHAM MORTGAGES A: DBRS Confirms BB(low) Rating on Class F Notes ----------------------------------------------------------------- DBRS Ratings Limited confirmed its credit ratings on the following notes (together, the Rated Notes) issued by Durham Mortgages A plc (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 BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date. The credit rating on the Class B Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date while junior and the timely payment of interest while the most senior class outstanding. The credit ratings on the Class C, Class D, Class E, and Class F Notes address the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date. 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 November 2023 payment date; -- Portfolio default rate (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 Issuer is a securitization of owner-occupied residential mortgages originated by Bradford & Bingley plc and Mortgage Express, LCC; sold by Dorset Home Loans Limited; and serviced by Topaz Finance Limited (Topaz). PORTFOLIO PERFORMANCE As of 31 October 2023, loans two to three months in arrears represented 1.8% of the outstanding portfolio balance, up from 0.8% one year prior. Loans more than three months in arrears represented 6.9%, up from 2.5% one year prior. The cumulative default ratio was 0.2%. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) credit rating level to 11.5% and 5.9%, respectively. CREDIT ENHANCEMENT Credit enhancement to the Rated Notes is provided by the subordination of the junior notes and a general reserve fund. As of the November 2023 payment date, credit enhancement to the Rated Notes had increased from the time of DBRS Morningstar's initial credit rating as follows: -- Class A Notes: 23.7%, up from 15.0%; -- Class B Notes: 17.6%, up from 11.0%; -- Class C Notes: 12.4%, up from 7.7%; -- Class D Notes: 8.5%, up from 5.1%; -- Class E Notes: 5.5%, up from 3.2%; and -- Class F Notes: 3.9%, up from 2.2%. The transaction benefits from a liquidity reserve fund, which covers senior fees and interest on the Class A Notes. The liquidity reserve fund is funded to its target level of GBP 8.6 million, equal to 0.5% of the Class A Notes' initial balance. The general reserve fund is non-amortizing and covers senior fees, interest on the Class A to Class F Notes (where the Class B to Class F Notes are subject to a principal deficiency ledger (PDL) condition of 10%), and principal losses via the PDLs on the Class A to Class F Notes. The general reserve fund is funded to its target balance of GBP 25.0 million, equal to 1.25% of the initial portfolio balance. Citibank N.A./London Branch (Citibank London) acts as the account bank for the transaction. Based on DBRS Morningstar's private credit rating on Citibank London, 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 rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology. DBRS Morningstar's credit ratings on the notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. DBRS Morningstar's credit ratings on the notes also address the credit risk associated with the increased rate of interest applicable to the notes if the notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents. 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 British pound sterling unless otherwise noted. HILLBROOKE HOTELS: Woodford Takes Over Two Venues ------------------------------------------------- Andrea Scholes at LincsOnline reports that a hotel and inn are operating under new management since the previous owner went into administration. According to LincsOnline, Woodford has taken the reins at the William Cecil and the Bull and Swan in Stamford. Companies House reports that former owner Hillbrooke Hotels (Burghley) went into administration on Dec. 13, LincsOnline relates. "Woodford became the new custodians of the William Cecil and the Bull and Swan in December. All employees remain and we look forward to welcoming guests as usual, with all events and weddings going ahead as normal and all guest deposits and vouchers being honoured," LincsOnline quotes a spokesperson for Woodford as saying. "Both properties also continue to work closely with our loyal local suppliers." The businesses are both located in High Street St Martin's, LincsOnline notes. LA PERLA: Italian Court Wants to Halt Sale ------------------------------------------ Antonio Vanuzzo at Bloomberg News reports that an Italian court is seeking to halt the sale of luxury lingerie firm La Perla after a UK judge ordered the liquidation of the holding company to recoup unpaid tax debts. The Bologna court ruled the seizure of all the assets in London-based unit La Perla Global Management Ltd., including its valuable brand, according to local unions, Bloomberg relates. STEWART MILNE: Future of North West Development Sites Uncertain --------------------------------------------------------------- Mark Dowling at The Standard reports that work on completing a large housing development on the outskirts of Ellesmere Port is uncertain after the homebuilder fell into administration. On Jan. 12, Stewart Milne Homes North West England called in administrators Matthew Tait and Kiri Holland, The Standard relates. The result means that the future of construction work at its North West sites faces an uncertain future at this stage, The Standard notes. That includes Stewart Milne's completion work on the Palladian Gardens development on land at the former Roften Works, a Second World War artillery factory, by Hooton Road, Hooton, The Standard discloses. Work started after the plans gained planning permission for 265 homes in February 2018, the site development previously gaining approval in June 2012, The Standard recounts. According to The Standard, the Stewart Milne website, which is now blank save for the administration notice, says the intention is to continue work on the site, along with its three other sites in the North West, funded by Homes England. The notice reads: "This administration is at a very early stage. However, our present intention is to work closely with Homes England and other stakeholders as well as the retained management and staff to develop a strategy that results in the continued delivery, where possible in line with our duties to creditors, of the Company's four housing developments." The North West arm of the business is being treated as separate to the rest of the Stewart Milne business, which went into administration on Jan. 8 and ceased trading with immediate effect, The Standard states. Administrators are to contact the relevant stakeholders for the developments. STEWART MILNE: Meetings Held to Offer Legal Support to Workers -------------------------------------------------------------- BBC News reports that meetings to offer legal support to workers who lost their jobs after Stewart Milne Group collapsed are being held. The construction firm went into administration last week with the loss of more than 200 jobs, BBC recounts. According to BBC, administrator Teneo said 217 jobs would be directly affected but it is feared hundreds of other sub-contractor roles will also be impacted. The Unite union said meetings were being held in Dundee and then Aberdeen, BBC relates. The union is exploring possible legal action over what it described as a lack of consultation in advance of redundancies, BBC discloses. Stewart Milne Group was put up for sale in April 2022 after Mr. Milne announced his retirement, which he later postponed in a bid to secure the firm's future, BBC recounts. His company was hit hard by the Covid pandemic, which saw construction firms forced to down tools for months, BBC relays. Lloyds Banking Group, as cited by BBC, said it had attempted to find a solution that would place the business on a "sounder financial footing" and avoid insolvency. Mr. Milne said that two bids were made to buy his firm after "significant interest", but Lloyds did not accept them and withdrew funding, BBC notes. TXM PLANT: Administrators Explore Sale Following Collapse --------------------------------------------------------- Business Sale reports that a Wigan-based supplier of road rail vehicles has fallen into administration after facing falling demand amid budgetary constraints across the industry. Clare Boardman and Kristian Shuttleworth of Teneo Financial Advisory Limited have been appointed as joint administrators of TXM Plant Ltd, Equipment and Track Solutions Ltd and Bacchus Newco, Business Sale relates. According to the joint administrators the group has been hit by continued cost pressures resulting from high inflation and interest rates, Business Sale discloses. Amid these difficulties, the group explored numerous options, including a sale process, raising additional capital and refinancing existing debt, Business Sale notes. However, these efforts proved unsuccessful, leading to the decision to appoint administrators, Business Sale states. The joint administrators are working alongside all stakeholders, including key customers, to explore the possibility of a sale of the business or, alternatively, to undertake an orderly wind-down, according to Business Sale. Approximately 45 employees have been retained to assist in this process, but around 150 have been made redundant, Business Sale relays. ********* 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 2024. 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 * * *