/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/240205.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 Monday, February 5, 2024, Vol. 25, No. 26 Headlines C Y P R U S MHP SE: Fitch Affirms 'CC' LongTerm IDRs MHP SE: Moody's Affirms 'Caa3' CFR & Alters Outlook to Stable G R E E C E GRIFONAS FINANCE 1: Fitch Affirms 'B-sf' Rating on Class C Notes I R E L A N D BLACKROCK EUROPEAN: S&P Affirms 'BB-(sf)' Rating on Cl. E-R Notes NEWHAVEN CLO II: Moody's Affirms B2 Rating on EUR13.2MM F-R Notes PENTA CLO 4: Moody's Affirms B2 Rating on EUR10.45MM Class F Notes TORO EUROPEAN 5: Moody's Affirms B2 Rating on EUR11.85MM F Notes L U X E M B O U R G AI CONVOY: Fitch Affirms 'B' LongTerm IDR, Outlook Stable ARVOS LUXCO: S&P Cuts ICR to 'CC' on Virtual Certainty of Default INEOS GROUP: Fitch Lowers IDR to 'BB', Outlook Stable NEXA RESOURCES: Moody's Alters Outlook on 'Ba2' CFR to Negative M A C E D O N I A EURONICKEL INDUSTRIES: Court Opens Bankruptcy Proceedings N E T H E R L A N D S BARENTZ MIDCO: Moody's Alters Outlook on 'B2' CFR to Negative GREENKO ENERGY: Fitch Alters Outlook on 'BB' LongTerm IDR to Stable JUBILEE PLACE 3: Moody's Hikes Rating on Class X2 Notes to B1 R O M A N I A ELEFANT.RO: Files Request to Open Insolvency Proceedings S P A I N AUTONORIA SPAIN 2021: Fitch Hikes Rating on Class F Notes to 'BBsf' FONCAIXA FTGENCAT 5: Moody's Affirms C Rating on EUR26.5MM D Notes PAX MIDCO: S&P Affirms 'B-' ICR & Alters Outlook to Positive S W E D E N REDHALO MIDCO: Moody's Ups CFR & Senior Secured Term Loans to B2 U N I T E D K I N G D O M ABRA GROUP: Moody's Lowers CFR to Caa3 & Alters Outlook to Negative BRIDGEGATE FUNDING: S&P Lowers Class E Notes Rating to 'B-' CO-OPERATIVE BANK: Fitch Hikes LongTerm IDR to BB+, Outlook Pos. CORINTHIAN DEVELOPMENTS: Goes Into Administration FONTWELL SECURITIES 2016: Fitch Affirms B-sf Rating on Cl. S Notes INTERNATIONAL GAME: Fitch Affirms BB+ LongTerm IDR, Outlook Stable INTERNATIONAL PERSONAL: Moody's Affirms 'Ba3' CFR, Outlook Stable JUPITER MORTGAGE 1: Fitch Assigns Final CCC Rating on Class X Notes LUDGATE FUNDING 2007: Fitch Affirms B- Rating on Class E Debt REDHALO MIDCO: S&P Gives 'B' Rating on Term Loan B-3 for Repricing REKOM UK: Confirms Plans to Close 17 Venues Under Pre-pack Deal SMALL ROBOT: Enters Liquidation, Seeks Buyer for Assets STRATTON HAWKSMOOR 2022-1: Fitch Affirms B-sf Rating on 2 Tranches STRATTON MORTGAGE 2024-1: Fitch Assigns 'BB-sf' Rating on E Notes SYNTHOMER PLC: S&P Lowers ICR to 'BB-' on High Leverage YOUNGS TRANSPORTATION: Goes Into Administration X X X X X X X X [*] BOND PRICING: For the Week January 29 to February 2, 2024 - - - - - =========== C Y P R U S =========== MHP SE: Fitch Affirms 'CC' LongTerm IDRs ---------------------------------------- Fitch Ratings has affirmed MHP SE's Long-Term Foreign- and Local-Currency Issuer Default Ratings (IDRs) at 'CC'. Its senior unsecured rating has been affirmed at 'C' with a Recovery Rating of 'RR5'. MHP's ratings affirmation reflect its view that, even after the partial buyback of its maturing 2024 bond, its credit risk remains high. MHP remains challenged by severe operational disruptions from the ongoing Russian invasion in Ukraine - the main production and sourcing region for the company - as well as high refinancing and liquidity risks, which together lead to a high probability of default. The ratings assume MHP will continue to be able to refinance its existing short-term credit facilities for its operating needs, while access to new funding is likely to remain limited in the near term. KEY RATING DRIVERS Tender Offer Eases Refinancing Risk: MHP - between September 2023 and January 2024 - partially redeemed USD289 million of its USD500 million 7.75% senior notes maturing in May 2024 through a new USD400 million facility provided by three international and developments financial institutions. Fitch does not treat it as a distressed debt exchange despite the terms being below par as the exchange was conducted with voluntary participation of investors with no evidence of coercion. The buyback has improved MHP's liability management, easing refinancing requirements but refinancing risk remains high. Fitch estimates that its available cash balance of USD400 million as of end-2023 and expected modest free cash flow (FCF) generation in 2024 will allow MHP to repay the remaining outstanding USD211 million notes. Short-Term Financing Availability Key: MHP's operations remain highly reliant on continued availability of working-capital facilities to fund sowing campaigns, and to ensure operational continuity and the ability to export. In light of the latest continued support MHP has received from banks and with most of its credit facilities having been refinanced, Fitch assumes the company will maintain access to these facilities to ensure operational continuity to 2026. Liquidity is also supported by a strong cash balance of EUR400 million at end-2023, but it may deteriorate quickly given limited access to capital markets for Ukrainian corporates. Moratorium on Debt Service Unclear: The National Bank of Ukraine's moratorium on cross-border foreign-currency payments potentially limits companies' ability to service their foreign-currency obligations. Exceptions can be made to this moratorium but it is unclear how these will be applied in practice, given disruption caused by the ongoing conflict and martial law in the country. Also, cash generated from exports must be repatriated to Ukraine within 90 days (tightened from 180 days), which could constrain MHP's ability to service its foreign-currency debt in the near term. These risks are partly offset by MHP's large cash balance kept outside Ukraine (around 80% of cash as of end-2023) and only 50% of its export revenues being subject to the regulation. Disrupted Operations Hit Profitability: Fitch estimates MHP's EBITDA to have declined to USD517 million in 2023 from USD544 million in 2022 as its price mix only partly offset reduced sales volume, higher logistic, utilities and personnel costs, and the devaluation impact of the local currency. Fitch assumes a moderate reduction in commodities prices in international markets in 2024, which together with its cautious estimates for sales volumes, leads to a reduction in EBITDA margin to 16.7% in 2024 with limited profit recovery to 2026. Uncertainty on Export Routes Availability: Since the Russian invasion commercial routes of agricultural products have been severely disrupted as Ukrainian ports in the Black Sea were blocked and strikes at the borders have increased. Despite the availability of alternative options MHP's exports remain highly reliant on the temporary humanitarian Black Sea corridor. Any further operational escalation around MHP logistic environment may lead to additional logistic and transportation costs using alternative delivery routes. Ukrainian Food Security in Focus: MHP's main priority is to provide food for people in Ukraine. MHP historically supplied around half of all chicken produced commercially for Ukraine. Due to the disruptions, many other poultry producers have ceased operations as they were in locations closer to the war zone. MHP's poultry production is currently operating at close to full capacity. Strong Parent-Subsidiary Links: The Long-Term IDRs of PJSC Myronivsky Hliboproduct, MHP's 99.9%- owned subsidiary, are equalised with those of MHP reflecting its assessment of MHP's "Medium" operational and "High" strategic incentives for supporting the subsidiary. This is based on both companies operating with common management and Myronivsky Hliboproduct's strategic importance for the marketing and sales of goods produced by MHP in Ukraine. Fitch assesses legal incentives as "High" due the presence of cross-default/cross-acceleration provisions in Myronivsky Hliboproduct's major loan agreements and suretyships from operating companies generating a substantial portion of MHP's EBITDA. DERIVATION SUMMARY Fitch has performed a peer comparison to assess MHP versus their peers. However, Fitch acknowledges that MHP's rating is driven by its high credit risks related to the repayment of its upcoming senior unsecured note maturity amid limited access to capital markets and a weak operating environment. KEY ASSUMPTIONS - Revenue down 2.8% in 2024 on a normalisation in prices, from a 13% growth in 2023 - EBITDA margin of around 17% for 2024 to 2026, from an estimated 17.3% in 2023 weighed down by higher logistic and personnel costs - Capex of USD160 million a year for 2024 to2026 from an estimated USD180 million in 2023 - No dividends and M&A to 2026 RECOVERY ANALYSIS The recovery analysis assumes that MHP would be a going concern (GC) in bankruptcy and that it would be reorganised rather than liquidated; however, this assumption may be revisited depending on how the conflict evolves. Fitch has assumed a 10% administrative claim. Fitch estimates MHP's GC EBITDA at USD175 million, reflecting disruptions to exports and local operations resulting from Russia's invasion, vulnerability to foreign-exchange (FX) risks and to the volatility of poultry, grain, sunflower seeds prices, as well as complexity for senior noteholders to access cash proceeds amid high transfer and convertibility risks. Fitch uses an enterprise value (EV)/EBITDA multiple of 3.5x to calculate a post-reorganisation valuation and to reflect the heightened operating risks in the region and a mid-cycle multiple. Fitch does not assume MHP's pre-export financing (PXF) facility is fully drawn in its analysis. Unlike a revolving credit facility, a PXF facility has several drawdown restrictions and the availability window is limited to part of the year. PXF facilities are treated as prior-ranking debt in its waterfall analysis. The principal waterfall analysis generates a ranked recovery for the senior unsecured debt in the 'RR5' category, leading to a 'C' rating for senior unsecured bonds. The waterfall analysis output percentage based on current metrics and assumptions is 28%. This is slightly above the previously estimated 20% and reflects the partial senior notes repurchase. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: - An upgrade is unlikely at present unless MHP sees improved access to external financing and reduced operating risks along with relaxation of the restrictions on cross-border FX payments Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: - Evidence of a default or default-like event including entering into a grace period, a temporary waiver or standstill following non-payment of a financial obligation, announcement of a distressed debt exchange or uncured payment default would be rating-negative LIQUIDITY AND DEBT STRUCTURE Limited Liquidity: As of end-2023, MHP had about USD400 million of cash, including a restricted USD25 million for trade working-capital. Around 80% of its cash was in hard currency, of which 85% was held outside of Ukraine, which the company can utilise for its agricultural operations and to service its debt. Fitch believes MHP has sufficient liquidity to cover operating needs and coupon payment on senior unsecured bonds in 2024. MHP has been granted a facility up to USD480 million by three development financial institutions to repay 80% its 2024 Eurobond along with its own cash. To take advantage of prevailing low interest rates MHP announced two tender offers in September and December 2023 with a repurchase price above the market price, following which it was able to redeem around USD289 million. This leaves the remaining outstanding face value of USD211 million to be paid at maturity in May 2024. Fitch expects liquidity will tighten after the bond redemption but to remain sufficient for its operational needs. Nevertheless, Fitch continues to assess refinancing risks as high given MHP's weak access to external financing, which is captured by the IDR. ISSUER PROFILE MHP is the largest poultry producer and exporter in Ukraine (2022 revenues USD2.6 billion, EBITDA margins around 21%). ESG CONSIDERATIONS MHP has an ESG Relevance Score of '4' for group structure, reflecting related-party loans. This has a negative impact on its credit profile and is relevant to the rating in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- MHP SE LT IDR CC Affirmed CC LC LT IDR CC Affirmed CC senior unsecured LT C Affirmed RR5 C MHP Lux S.A. senior unsecured LT C Affirmed RR5 C Private Joint-Stock Company MHP LT IDR CC Affirmed CC LC LT IDR CC Affirmed CC Natl LT CC(ukr)Affirmed CC(ukr) MHP SE: Moody's Affirms 'Caa3' CFR & Alters Outlook to Stable ------------------------------------------------------------- Moody's Investors Service affirmed MHP SE's Caa3 long term corporate family rating and upgraded its probability of default rating to Caa3-PD from Ca-PD. Moody's also affirmed the national scale rating (NSR) long term corporate family rating of MHP at Caa3.ua. Concurrently, Moody's changed the outlook on MHP to stable from negative. RATINGS RATIONALE "The rating action reflects MHP's improved liquidity position after securing credit facilities from international and development financial institutions (IFIs) in October 2023 to support the refinancing of the company's USD500 million eurobonds due May 2024 (2024 eurobonds)" says Sebastien Cieniewski, Moody's lead analyst for MHP. Additionally the company completed two consecutive tender offers in November 2023 and January 2024 which enabled MHP to repurchase part of the 2024 eurobonds at a discount to preserve its cash balance. The rating agency now expects MHP to repay the remaining outstanding 2024 eurobonds at maturity. Moody's also forecasts MHP will have adequate liquidity to serve its funding needs in the next 18 months, including the servicing of coupon payments on the USD550 million eurobonds due April 2026 (2026 eurobonds) and USD350 million eurobonds due September 2029 (2029 eurobonds) from offshore accounts. MHP's credit profile remains nevertheless constrained by the challenges resulting from the ongoing invasion of Ukraine (Ca stable) by the Russian Federation, including disruptions in export routes. Moody's expects the company to fund its operations and service debt over the next 18 months, but its liquidity will weaken over the period. Moody's forecasts neutral to moderately negative free cash flow over the next 12 months reflecting mainly the softer operating performance, and large scheduled debt amortization as agreed in the credit agreement with the IFIs will also require cash outflows. Furthermore, MHP faces refinancing risk for its 2026 eurobonds as long as international debt capital markets remain closed to Ukrainian issuers. MHP signed agreements with IFIs, namely the U.S. International Development Finance Corporation (DFC), International Finance Corporation (IFC, Aaa stable), and European Bank for Reconstruction & Development (EBRD, Aaa stable), to provide facilities of up to USD480 million in aggregate, of which USD400 million dedicated to supporting the refinancing of the 2024 eurobonds and USD80 million for capital expenditures. MHP already received two tranches from the facilities totaling USD220.5 million to partially fund the repurchase of the 2024 eurobonds at the closing of two tender offers in November 2023 and January 2024. Moody's assumes that the company will use the remainder of the facilities alongside a small portion of its cash on balance sheet to fund the remaining outstanding notes at maturity in April 2024 (USD211 million still outstanding after the settlement of the tender which closed in January 2024). MHP's cash and cash equivalents amounted to USD443 million as of December 31, 2023, of which USD311 million was held by the company's subsidiaries outside Ukraine. Nevertheless, Moody's projects that this liquidity position will weaken over the next 18 months reflecting the forecast negative free cash flow but also significant scheduled debt repayments. The 6-year facilities from IFIs will amortize on a linear basis leading to repayments of USD80 million per annum once fully drawn. MHP guided for capital expenditures at moderately above USD200 million in 2024 – a similar level compared to 2023. MHP's revenues increased by 22% to USD2,294 million in the first nine months of 2023 compared to the same period last year. The increase in revenue was mainly driven by higher volumes of chicken meat and vegetable oil sold during the period due to weak comparables in the first half of 2022 after the outburst of the war in Ukraine. Improving volumes were nevertheless partly offset by declining export prices in the first nine months of 2023 – for example the average price per kg net of VAT of poultry meat decreased by 9% in the first nine months of 2023 compared the same period last year. Moody's expects export prices for MHP's products, including poultry meat and vegetable oil, to continue facing pressure in 2024 and remain lower compared to 2023 while domestic poultry prices should remain relatively stable. This should result in a decrease in group revenues of around 10% in the next 12 months. Consequently the rating agency projects MHP's Moody's adjusted EBITDA to decrease at around mid-teens in 2024 from USD519 million as of the last twelve months (LTM) period to September 30, 2023. OUTLOOK The stable outlook reflects diminished liquidity risk over the next 18 months and Moody's expectation that the company will continue to maintain a high level of export for its produce to optimize cash flow generation to limit cash burn. Additionally the stable outlook reflects the rating agency's assumption that the facilities from IFIs will remain available for the refinancing of the remaining portion of the 2024 eurobonds until their maturity. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS MHP's CFR is at the level of Ukraine's local and foreign currency country ceiling, making an upgrade of ratings unlikely absent a change in the sovereign ratings or ceilings. Further downgrade could be driven by a sovereign downgrade, an impaired liquidity position, including through the incapacity to refinance the 2024 eurobonds, further weakening in MHP's credit profile as a result of pronounced physical damage to assets, market and logistics disruptions, and negative cash flow generation. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Protein and Agriculture published in November 2021. COMPANY PROFILE MHP, domiciled in Cyprus, is one of Ukraine's leading agro-industrial groups. The company's operations include the production of poultry and sunflower oil, and the production and sale of convenience foods. The company is vertically integrated into grain and fodder production and has one of the largest land banks in Ukraine. Perutnina Ptuj, MHP's subsidiary, is a leading poultry and meat-processing producer in the Balkans with production assets in Slovenia, Croatia, Serbia, Bosnia and Herzegovina. =========== G R E E C E =========== GRIFONAS FINANCE 1: Fitch Affirms 'B-sf' Rating on Class C Notes ---------------------------------------------------------------- Fitch Ratings has upgraded Grifonas Finance No. 1 Plc. class A notes and revised the Outlook on the class B notes to Positive from Stable. Entity/Debt Rating Prior ----------- ------ ----- Grifonas Finance No. 1 Plc Class A XS0262719320 LT A+sf Upgrade Asf Class B XS0262719759 LT A-sf Affirmed A-sf Class C XS0262720252 LT B-sf Affirmed B-sf TRANSACTION SUMMARY The transaction comprises fully amortising residential mortgages originated and serviced by Consignment Deposits & Loans Fund (CDLF). KEY RATING DRIVERS Sovereign Upgrade and Criteria Update: The rating action follows the upgrade of Greece's Issuer Default Rating (IDR) to 'BBB-' from 'BB+' (see " Fitch Upgrades Greece to 'BBB-'; Outlook Stable"). It also reflects the recalibration of rating stresses for Greek residential mortgages as part of the European RMBS Rating Criteria up to the 'A+sf' structured finance (SF) rating cap for Greek transactions. Stable Asset Performance: Following the recalibration of asset assumptions, the class A notes are able to sustain stresses at the 'A+sf' SF rating cap. The Positive Outlook on the class B notes reflects Fitch's expectations that the notes could be upgraded as long as the transaction deleverages and credit enhancement increases. The Stable Outlook on the class A notes reflects the sovereign Rating Outlook. The class C notes' credit enhancement has increased but is not expected to sustain higher ratings in the short-to-medium term, leading to the Stable Outlook. It also relies more heavily on the cash reserve held with Elavon Financial Services DAC (A+/Stable/F1). Asset performance has remained overall stable since the last review in March 2023, and Fitch expects this trend to continue - notwithstanding the macro-economic uncertainty - given the portfolio deleveraging. Interest Payments and Liquidity Mechanism: Since February 2023, the class C interest payments were postponed to a more junior item in the waterfall following the cumulative default trigger breach (5.0%), to ensure additional protection for the class A and B notes. In addition, the structure includes a facility, which is non-amortising due to breached triggers and reduces the transaction's available funds given the associated commitment fee paid on the committed facility amount. The facility costs are included in Fitch's cash flow analysis, as senior expenses. Ratings Capped at 'A+sf': The class A notes' 'A+sf' rating is at the maximum achievable rating for Greek SF transactions, in accordance with the Structured Finance and Covered Bonds Country Risk Rating Criteria, five notches above Greece's Long-Term IDR (BBB-/Stable). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Insufficient credit enhancement to fully compensate the credit losses and cash flow stresses associated with the current ratings - For the class A notes, a downgrade of Greece's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Greek SF transactions, in accordance with the Structured Finance and Covered Bonds Country Risk Rating Criteria. This because these notes are rated at the maximum achievable rating, five notches above the sovereign IDR. - Excessive reliance on the transaction account bank holding the reserve fund may introduce a linkage of the rated notes to the rating of the transaction account bank (currently at 'A+'). Should this occur, a downgrade of the account bank may trigger a downgrade of the notes, if rated higher, to the same level as the account bank. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Continued stable asset performance and increasing credit enhancement could lead to an upgrade of the class B and C notes. For the class A notes they are rated at the highest level for SF transactions in Greece, in accordance with the Structured Finance and Covered Bonds Country Risk Rating Criteria, and therefore cannot be upgraded An upgrade of Greece's Long-Term IDR that could increase the maximum achievable rating for Greek SF transactions provided that the available credit enhancement is able to sustain higher ratings - Excessive reliance on the transaction account bank holding the reserve fund may introduce a linkage of the rated notes to the rating of the transaction account bank. Should this occur, the notes cannot be upgraded to a rating higher than the transaction account bank USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with any assumptions 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. ============= I R E L A N D ============= BLACKROCK EUROPEAN: S&P Affirms 'BB-(sf)' Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings raised its credit ratings on BlackRock European CLO I DAC's class B-1-R and B-2-R notes to 'AA+ (sf)' from 'AA (sf)', class C-R to 'AA- (sf)' from 'A (sf)', and class D-R to 'A- (sf)' from 'BBB (sf)'. S&P also affirmed its 'AAA (sf)' rating on the class A-R notes, its 'BB- (sf)' rating on the class E-R notes, and its 'B- (sf)' rating on the class F-R notes. BlackRock European CLO I is a cash flow CLO transaction securitizing a portfolio of primarily senior secured euro-denominated leveraged loans and bonds issued by European borrowers. The transaction is managed by BlackRock Investment Management (U.K.) Ltd. Its reinvestment period ended in June 2022. The rating actions follow the application of its relevant criteria and our credit and cash flow analysis of the transaction based on the December 2023 trustee report. Since the end of the reinvestment period, the class A-R notes have amortized to 74% of their initial size. As a result, the credit enhancement has increased for the class A-R, B-1-R, B-2-R, C-R, and D-R notes. S&P's scenario default rates (SDRs) have benefited from a reduction of the portfolio's weighted-average life to 3.28 years from 6.33 years and have decreased at each rating level. According to the December 2023 trustee report, all of the notes are paying current interest and all the coverage tests are passing. Table 1 Assets key metrics CURRENT* AS OF CLOSING Portfolio weighted-average rating B B 'CCC' assets (%) 7.00 2.55 Weighted-average life (years) 3.28 6.33 Obligor diversity measure 122.6 115.9 Industry diversity measure 23.4 19.9 Regional diversity measure 1.3 1.6 Total collateral amount (mil. EUR)§ 380.90 460.00 Defaulted assets (mil. EUR) 10.61 0.00 Number of performing obligors 147 139 'AAA' SDR (%) 54.25 67.28 'AAA' WARR (%) 37.10 33.69 *Based on the portfolio composition as reported by the trustee in December 2023 and S&P Global Ratings' data as of January 2024. §Performing assets plus cash and expected recoveries on defaulted assets. SDR--Scenario default rate. WARR--Weighted-average recovery rate. Table 2 Liabilities key metrics CURRENT CREDIT ENHANCEMENT CURRENT (BASED ON THE AMOUNT SEPTEMBER 2023 CREDIT ENHANCEMENT CLASS (MIL. EUR) TRUSTEE REPORT) (%) AT CLOSING (%) A-R 196.97 48.29 42.17 B-1-R 39.68 30.96 27.83 B-2-R 26.32 30.96 27.83 C-R 32.00 22.56 20.87 D-R 24.00 16.26 15.65 E-R 25.50 9.56 10.11 F-R 10.50 6.81 7.83 Credit enhancement = [Performing balance + cash balance + recovery on defaulted obligations (if any) – tranche balance (including tranche balance of all senior tranches)] / [Performing balance + cash balance + recovery on defaulted obligations (if any)]. S&P said, "Following the application of our relevant criteria, we believe that the class B-1-R, B-2-R, C-R, and D-R notes can now withstand higher rating scenarios. "Our standard cash flow analysis indicates that the available credit enhancement levels for the class B-1-R, B-2-R, C-R, D-R and E-R notes are commensurate with higher ratings those assigned. For these classes, we considered that the manager may still reinvest unscheduled redemption proceeds and sale proceeds from credit-impaired and credit-improved assets. Such reinvestments, as opposed to repayment of the liabilities, may therefore prolong the note repayment profile for the most senior class. We have also considered the level of cushion between our break-even default rate and SDR for these notes at their passing rating levels, as well as the current macroeconomic conditions and these classes' relative seniority. We therefore limited our upgrades on the class B-1-R, B-2-R, C-R, and D-R notes below our standard analysis passing levels, and affirmed our rating on the class E-R notes. "Our credit and cash flow analysis indicates that the class A-R notes are still commensurate with a 'AAA (sf)' rating, and the class F-R notes with a 'B- (sf)' rating. We therefore affirmed our rating on the class A-R and class F-R notes. "Counterparty, operational, and legal risks are adequately mitigated in line with our criteria. "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk to be limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. NEWHAVEN CLO II: Moody's Affirms B2 Rating on EUR13.2MM F-R Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Newhaven II CLO, Designated Activity Company: EUR21,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa1 (sf); previously on Aug 11, 2022 Affirmed Aa3 (sf) EUR22,200,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to A2 (sf); previously on Aug 11, 2022 Affirmed Baa1 (sf) Moody's has also affirmed the ratings on the following notes: EUR198,750,000 (Current outstanding amount EUR155,751,000) Class A-1-R Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on Aug 11, 2022 Affirmed Aaa (sf) EUR36,850,000 (Current outstanding amount EUR28,877,700) Class A-2-R Senior Secured Fixed Rate Notes due 2032, Affirmed Aaa (sf); previously on Aug 11, 2022 Affirmed Aaa (sf) EUR41,470,000 Class B-1-R Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on Aug 11, 2022 Upgraded to Aaa (sf) EUR10,530,000 Class B-2-R Senior Secured Fixed Rate Notes due 2032, Affirmed Aaa (sf); previously on Aug 11, 2022 Upgraded to Aaa (sf) EUR29,200,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2032, Affirmed Ba2 (sf); previously on Aug 11, 2022 Affirmed Ba2 (sf) EUR13,200,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2032, Affirmed B2 (sf); previously on Aug 11, 2022 Downgraded to B2 (sf) Newhaven II CLO, Designated Activity Company, issued in January 2016 and reset in February 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by Bain Capital Credit, Ltd. The transaction's reinvestment period ended in February 2022. RATINGS RATIONALE The rating upgrades on Class C-R and Class D-R notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio and the improvement in over-collateralisation ratios since the payment date in February 2023. The affirmations on the ratings on the Class A-1-R, A-2-R, B-1-R, B-2-R, E-R and F-R 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. The Class A-1-R and A-2-R notes have paid down by approximately EUR39.0 million (19.6%) and EUR7.2 million (19.6%) since February 2023 and EUR43.0 million (21.6%) EUR8.0 million (21.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated December 2023 [1] the Class A/B, Class C and Class D OC ratios are reported at 142.08%, 130.50% and 120.15% compared to February 2023 [2] levels of 136.86%, 127.40% and 118.73%, respectively. 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: EUR317.6m Defaulted Securities: EUR18.0m Diversity Score: 57 Weighted Average Rating Factor (WARF): 2853 Weighted Average Life (WAL): 3.6 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.8% Weighted Average Coupon (WAC): 4.3% Weighted Average Recovery Rate (WARR): 44.0% Par haircut in OC tests and interest diversion test: 0.0% 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. Moody's notes that the January 2024 trustee report was published at the time it was completing its analysis of the December 2023 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. Moody's have however taken into account additional defaults in January 2024 trustee report in Moody's analysis. 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 the 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: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. 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. PENTA CLO 4: Moody's Affirms B2 Rating on EUR10.45MM Class F Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Penta CLO 4 Designated Activity Company: EUR30,050,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to Aa2 (sf); previously on Apr 5, 2022 Upgraded to A1 (sf) EUR20,550,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to A3 (sf); previously on Apr 5, 2022 Upgraded to Baa1 (sf) Moody's has also affirmed the ratings on the following notes: EUR 236,000,000 (Current outstanding amount EUR179,254,911) Class A Senior Secured Floating Rate Notes due 2030, Affirmed Aaa (sf); previously on Apr 5, 2022 Affirmed Aaa (sf) EUR38,000,000 Class B-1 Senior Secured Floating Rate Notes due 2030, Affirmed Aaa (sf); previously on Apr 5, 2022 Upgraded to Aaa (sf) EUR10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2030, Affirmed Aaa (sf); previously on Apr 5, 2022 Upgraded to Aaa (sf) EUR27,100,000 Class E Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed Ba2 (sf); previously on Apr 5, 2022 Affirmed Ba2 (sf) EUR10,450,000 Class F Senior Secured Deferrable Floating Rate Notes due 2030, Affirmed B2 (sf); previously on Apr 5, 2022 Affirmed B2 (sf) Penta CLO 4 Designated Activity Company, issued in June 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by Partners Group (UK) Management Ltd. The transaction's reinvestment period ended in June 2022. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since December 2022. The affirmations on the ratings on the Class A, Class B-1, Class B-2, Class E and Class 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. The Class A notes have paid down by approximately EUR56.75 million (24.04%) since December 2022. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated December 2023 [1] the Class A/B, Class C, Class D, Class E and Class F OC ratios are reported at 143.03%, 128.22%, 119.74%, 110.14% and 106.84% compared to December 2022 [2] levels of 139.84%, 126.46%, 118.69%, 109.80% and 106.71%, respectively. Moody's notes that the December 2023 principal payments are not reflected in the reported OC 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. 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: EUR339.2m Diversity Score: 52 Weighted Average Rating Factor (WARF): 2920 Weighted Average Life (WAL): 3.48 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.79% Weighted Average Coupon (WAC): 4.51% Weighted Average Recovery Rate (WARR): 44.7% 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: 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. 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. TORO EUROPEAN 5: Moody's Affirms B2 Rating on EUR11.85MM F Notes ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Toro European CLO 5 Designated Activity Company: EUR34,000,000 Class B-1 Secured Floating Rate Notes due 2030, Upgraded to Aaa (sf); previously on Feb 18, 2022 Upgraded to Aa1 (sf) EUR22,850,000 Class B-2 Secured Fixed Rate Notes due 2030, Upgraded to Aaa (sf); previously on Feb 18, 2022 Upgraded to Aa1 (sf) EUR14,500,000 Class C-1 Secured Deferrable Floating Rate Notes due 2030, Upgraded to Aa2 (sf); previously on Feb 18, 2022 Upgraded to A1 (sf) EUR10,000,000 Class C-2 Secured Deferrable Floating Rate Notes due 2030, Upgraded to Aa2 (sf); previously on Feb 18, 2022 Upgraded to A1 (sf) EUR21,720,000 Class D Secured Deferrable Floating Rate Notes due 2030, Upgraded to A3 (sf); previously on Feb 18, 2022 Affirmed Baa2 (sf) Moody's has also affirmed the ratings on the following notes: EUR232,500,000 (Current outstanding amount EUR137,555,950) Class A Secured Floating Rate Notes due 2030, Affirmed Aaa (sf); previously on Feb 18, 2022 Affirmed Aaa (sf) EUR23,450,000 Class E Secured Deferrable Floating Rate Notes due 2030, Affirmed Ba2 (sf); previously on Feb 18, 2022 Affirmed Ba2 (sf) EUR11,850,000 Class F Secured Deferrable Floating Rate Notes due 2030, Affirmed B2 (sf); previously on Feb 18, 2022 Affirmed B2 (sf) Toro European CLO 5 Designated Activity Company, issued in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by Chenavari Credit Partners LLP. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class B-1, B-2, C-1, C-2 and D notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the payment date in April 2023. The affirmations on the ratings on the Class A, Class E and Class 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. The Class A notes have paid down by approximately EUR94.7 million (40.8%) in the last 12 months. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated January 2024 [1] the Class A/B, Class C, Class D, Class E and Class F OC ratios are reported at 145.7%, 131.6%, 121.3%, 111.8% and 107.5% compared to January 2023 [2] levels of 137.4%, 126.7%, 118.5%, 110.7% and 107.2%, respectively. Moody's notes that the January 2024 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: EUR298.71m Defaulted Securities: EUR2.25m Diversity Score: 47 Weighted Average Rating Factor (WARF): 2935 Weighted Average Life (WAL): 3.40 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.84% Weighted Average Coupon (WAC): 3.51% Weighted Average Recovery Rate (WARR): 42.68% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank and, 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: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. 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. =================== L U X E M B O U R G =================== AI CONVOY: Fitch Affirms 'B' LongTerm IDR, Outlook Stable --------------------------------------------------------- Fitch Ratings has affirmed AI Convoy (Luxembourg) S.a r.l.'s (Convoy) Long-Term Issuer Default Rating (IDR) at 'B' with a Stable Outlook. Fitch has also affirmed the company's first-lien senior secured debt at 'B+' with a Recovery Rating at 'RR3'. The affirmation reflects the company's diminishing scale following recently completed and announced asset disposals, currently high leverage and weak free cash flow (FCF) generation, offset by solid business profile, characterised by reasonable product, customer and geographical diversification, a long history of development of high-tech products for the aerospace and defence industry as well as exposure to end markets with strong and improving demand dynamics. The Stable Outlook assumes a marked reduction in leverage in mid-2024 following the disposal of the company's aerospace communications business for around USD1.1 billion and its view that underlying earnings margins are likely to remain strong and broadly stable in the short to medium term. KEY RATING DRIVERS Near-Term Debt Repayment Key: The rating and Outlook assume that the vast majority of the USD1.1 billion proceeds of the aerospace communications business sale to Thales SA, expected to be received in mid-2024, will be applied towards debt repayment. This will significantly lower key leverage metrics and lead to a financial profile, which will be strong for a 'B' category rating for a company with Convoy's business profile, thus potentially driving upward rating pressure. Leverage Still High for Rating: Fitch-calculated gross and net leverage at end-2023 are estimated at around 7.5x and 7.0x, respectively. These ratios are lower than at end-2022 (8.6x and 7.8x), but remain very high for the rating. The assumed application of disposal proceeds towards debt repayment should bring gross and net leverage down to around 3.5x and 2.2x, respectively. Failure to materially reduce debt in 2024 could result in negative rating action. Strong Earnings to Continue: In line with the aerospace & defence supply sector, Convoy displays strong EBITDA margins of over 20%, which are very strong for the current rating. The 2023 EBITDA margin will be somewhat lower than historically due to delays on some programmes. However, Fitch estimates it will range between 23% and 25% in the short to medium term due to prior cost-cutting, results from restructuring measures and the elimination of inefficiencies relating to supply-chain issues. FCF Expected to Improve: Fitch expects Convoy's normalised FCF margin to rise to low double digits and to remain broadly stable from 2024 onwards, boosting its financial flexibility and debt repayment capacity. In 2023, the FCF margin was weaker than expected due to the impact of delays on certain programmes such as the F-35 and SPY-6 radar, most of which have now been resolved, as well as somewhat higher-than previously expected capex. Modest Size: Convoy has a moderate strategic position in the sector as a mid-sized tier 2 and 3 supplier with a fairly low kit value on most programmes it participates in. Typically, Convoy's contracts are a mixture of fixed and variable price with limited input into the broader structure of a programme (pricing, timing, development work). This is offset by the company's positions in key programmes and the high-tech nature of its products and services, which serve as barriers to entry, especially in the short term. Diversified Programme Participation: Convoy has materially shrunk since it was bought by Advent in 2020 as a result of a number of disposals, although it continues to benefit from solid revenue diversification between various activities and a broad geographical split. It demonstrates moderately well-diversified platform participation across various defence and commercial segments, while customer diversification also remains sound. DERIVATION SUMMARY Convoy's displays a cash flow profile similar to other technology industrial companies such as The NORDAM Group LLC (B-/Stable), Sensata Technologies or aerospace and defence contractors such as MTU Aero Engines AG (BBB/Stable) with high double-digit EBITDA margins and positive free cash flows through the industry cycle. A key financial differentiating rating factor is leverage, which is lower at MTU than Convoy's which is the main reason for the differences in the ratings (along with Convoy's negative FCF margin for 2022 and 2021). Convoy's leverage profile is more commensurate with Nordam, while still higher than that of Leonardo S.p.A. (BBB-/Stable) and Hensoldt AG. Cobham's profitability is the strongest in its peer group, which is expected to be sustained for the forecast period. The business profiles of these names are varied and do not serve as key rating differentiating issues; but are often characterised by the same positive factors such as good positions in niche markets, strong relationships with customers and moderate diversification. KEY ASSUMPTIONS Revenue to modestly recover by 6.6% growth in 2023F despite the completion of divestments. Fitch expects negative growth of -3.2% and -2.8% in 2024F and 2025F, respectively, reflecting the impact of latest disposals. - EBITDA margin between 23-25% over the rating horizon, in line with historical performance and sector margins. - No further divestments and acquisitions except the announced ones - Capex expenditure at 7% annually - Full repayment of first-lien loan (remaining US dollar and euro) in 2024F from divestment proceeds and no dividends as publicly announced by management - Fitch's latest Global Economic Outlook interest rate assumptions used for floating instruments RECOVERY ANALYSIS Fitch estimates under its bespoke recovery analysis that a going-concern approach will lead to higher recoveries for creditors, given Convoy's long-term proven robust business model, long-term relationship with customers and suppliers, and existing barriers to entry in the market. Within the present scope of operations, Fitch estimates a going-concern value for Convoy at around USD1 billion (before deducting 10% for administrative claims), assuming a post-reorganisation 2023 EBITDA of about USD200 million at a multiple of 5x. This reflects the company's market positioning and adjusts for the value factoring drawdown of about USD115 million (as per Fitch's criteria the highest amount drawn in the past 12 months). Its waterfall analysis generated a ranked recovery in the 'RR3' band, indicating a 'B+' rating for its senior secured debt. The waterfall analysis output percentage on current metrics and assumptions is 62% for the senior secured debt. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: - Improvement in the business profile such as a more prominent participation in key programmes - EBITDA gross leverage below 4.5x - FCF margin above 5% - EBITDA interest cover above 3x Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: - Material cost overruns on key programmes - EBITDA gross leverage above 5.5x following the closure of the aerospace communications disposal or cancellation of the disposal - FCF margin below 1% - EBITDA interest cover below 2x LIQUIDITY AND DEBT STRUCTURE Solid Liquidity: Fitch views Convoy's liquidity as solid, as cash reserves and high expected FCF generation would be more than sufficient to cover any short-term working capital and debt service needs. At end-3Q23, the company had USD157 million of reported cash on its balance sheet, with a USD350 million revolving credit facility (RCF) drawn to USD338 million. There are no debt refinancing needs until mid-2025 when the RCF matures. ISSUER PROFILE Convoy is the holding company of Cobham plc after it was bought by private-equity firm Advent in 2020. Cobham is a global technology and services provider to the defence, aerospace, space, commercial and security sectors in the US, the UK, Europe, Australia and Asia. 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. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- AI Convoy (Luxembourg) S.a r.l. LT IDR B Affirmed B senior secured LT B+ Affirmed RR3 B+ ARVOS LUXCO: S&P Cuts ICR to 'CC' on Virtual Certainty of Default ----------------------------------------------------------------- S&P Global Ratings lowered to 'CC' from 'CCC' its ratings on industrial heat exchange solutions provider Arvos LuxCo S.a.r.l. and on its senior secured facilities. The '3' recovery ratings on the facilities remain unchanged, indicating its expectation of average recovery prospects (50%-70%, rounded estimate 50%) in a default scenario. The negative outlook reflects that S&P would assess the proposed restructuring as a default if executed as proposed, and captures our view that the group may stop servicing its debt as originally scheduled. S&P said, "We think that Arvos' proposed restructuring indicates that a default is imminent over the next three months. Arvos' partly drawn EUR28 million revolving credit facility (RCF) and its EUR112 million guarantee facility will mature on May 31, 2024, and its EUR427 million senior secured notes mature on Aug. 29, 2024. We would consider the company's proposed restructuring as a distressed debt exchange and tantamount to a default scenario. In our view, under the proposed transaction, investors will receive less value than the original promise. We also note that the offer stems from a distressed situation--rather than opportunistic--given the short time Arvos has ahead of its maturities, resulting in a stressed liquidity situation. "We understand that Arvos is current on its interest payments and plans to remain so until the transaction is completed, which we anticipate will happen over the next three months. We also estimate that Arvos has sufficient funds to ensure liquidity for operations. "We assess current capital structure as unsustainable and expect that the company will generate close to neutral free operating cash flow (FOCF).For the fiscal year ending March 31, 2024 (fiscal 2024), we forecast revenue growth of 15%-18% due to record high intake in fiscal 2023. We anticipate revenue will stabilize in fiscal 2025 on the back of an expected moderation in the order intake to moderate. In our view, higher volumes and better pricing will boost S&P Global Ratings-adjusted EBITDA margins to 15.0%-16.0% in fiscal 2024 before they steady at 14.0%-15.0% in fiscal 2025. The company reduced its debt to EBITDA to 12.7x in fiscal 2023 from 16.4x in fiscal 2022 and we expect this leverage metric to fall below 10x in fiscal 2024. Although we assume this translates into a notable improvement of Arvos' adjusted EBITDA to more than EUR55 million in fiscal 2024 (from EUR39 million in fiscal 2023), high interest payments will likely weigh on FOCF generation. "The negative outlook reflects the high likelihood that we view Arvos's debt restructuring as a distressed exchange, and the risk that the group stops servicing its debt according to the original schedule. "We would downgrade Arvos to 'SD' (selective default) or 'D' upon completion of the proposed debt restructuring. We will review the rating and outlook once we obtain sufficient information on the new capital structure and liquidity profile following implementation of the final transaction. "We would also lower the rating if Arvos failed its payment obligation per original debt agreements. "We could raise the rating if we no longer viewed the completion of a distressed exchange as likely, but we see this as improbable at this stage." INEOS GROUP: Fitch Lowers IDR to 'BB', Outlook Stable ----------------------------------------------------- Fitch Ratings has downgraded INEOS Group Holdings S.A.'s (IGH) Issuer Default Rating (IDR) to 'BB' from 'BB+'. The Outlook is Stable. Fitch also downgraded the senior secured ratings of debt issued by Ineos Finance Plc and Ineos US Finance LLC to 'BB+' from 'BBB-', and assigned expected senior secured ratings of 'BB+(EXP)' to the seven-year term loans B (TLB) proposed by these entities. The Recovery Ratings are 'RR2'. The downgrade reflects IGH's high leverage, resulting from prolonged weak chemical markets in 2023 and 2024, sustained sizeable acquisitions, and large capex until 2025 as IGH builds Project One (P1). This will drive EBITDA net leverage to peak at 6.8x in 2024 and return below 4x in 2026. Fitch assumes P1 lifts EBITDA from 2027. The Stable Outlook reflects its expectations that deleveraging will be achieved as chemical markets recover, contributions to cash flows from acquisitions rise and takes into account IGH's efforts to reduce non-P1 capex, costs and dividends, especially in 2024. IGH's rating continues to reflect its position as one of the world's largest petrochemical producers, with leading market positions in Europe and the US and a growing presence in Asia. It manufactures a wide range of olefin derivatives serving diverse end-markets and operates large integrated production facilities with partial feedstock flexibility. IGH plans to raise about EUR2 billion equivalent in TLB and other senior secured debt. The proceeds will be used to repay existing senior secured debt, finance two upcoming acquisitions, pay transaction fees and expenses, and for general corporate purposes including to prefund P1. Fitch will assign final ratings upon receipt of final documentation largely conforming to the draft documentation reviewed. KEY RATING DRIVERS Leverage Surge: Fitch expects EBITDA net leverage to rise to 5.9x in 2023 and 6.8x in 2024 due to a combination of prolonged weak chemical markets, high growth capex and significant loans to related parties. Fitch forecasts Fitch-defined EBITDA to fall 44% in 2023 to EUR1.5 billion and to modestly increase to EUR1.7 billion in 2024 due to the impact of acquisitions and the recovery of chemical demand in 2H24. Meanwhile, Fitch forecasts net debt to peak at EUR11.5 billion in 2024 due to P1 capex and about EUR1.7 billion of outflows related to acquisitions. This is despite its expectation of no dividend payments and strict control of non-P1 capex in 2024. IGH's leverage will decline from 2025, assuming a further improvement in market conditions supporting EBITDA growth, and will fall below 4x in 2026. P1 Supports Costs Position: IGH is constructing a new 1.45 million tonne per year ethane cracker in Belgium, which will supplement IGH's ethylene requirements in Europe, contributing up to EUR600 million of additional EBITDA. Similar to IGH's ethane cracker in Norway, P1 will receive ethane feedstock from the US, resulting in a cost advantage over most EU naphtha crackers. This will increase IGH's exposure to US ethane feedstock, in addition to its US assets (about 45% of production capacity). Moreover, P1's expected low emissions will position IGH well for possible future regulation in Europe. P1 Debt Consolidated: Fitch includes P1 project finance debt in its calculation of financial debt due to the strategic nature of the investment for IGH, despite the lack of recourse to IGH, as Fitch would expect its financial support if needed. Excluding P1 debt, Fitch estimates that IGH's EBITDA net leverage will average 5x in 2023-2025 and fall below 3x from 2026, while its free cash flow (FCF) will be positive. The EUR4 billion project is funded by a EUR3.5 billion facility, which will start amortising once P1 is completed, over 10 years. Sustained M&A: In 2024 IGH will spend about EUR1 billion to acquire Lyondellbasell's US ethylene oxide business and for an INEOS affiliate's and TotalEnergies' cracker and derivative assets in Lavéra. Fitch also assumes the 50% stake in the Tianjin Nangang Ethylene Project (Tianjin) to be acquired in 2024 upon completion. This follows USD1.8 billion spent in 2022-2023 for Mitsui Phenols Singapore Ltd and the 50% interest in Shanghai SECCO Petrochemical Company Limited (SECCO). These acquisitions increase the group's exposure to Asia, reinforce its oxide business and continue to grow the group's scale. In its view, this sustained activity during the market downturn illustrates IGH's opportunistic approach to acquisitions, to take advantage of attractive asset valuation, which may be more cost efficient than greenfield investments. Market, Capex, Group Risks: The volatility of the chemical markets and the extent of current capacity oversupply cast doubt on the timing and strength of a recovery. Global capacity rationalisation may be required to re-balance supply with weak demand due to lower growth in China, the world's largest chemical market, compared with historical standards. Moreover, the P1 permit issue, now resolved, highlights the execution risks of such projects, in addition with possible cost overruns. Finally, large related-party transactions have reduced liquidity, with uncertain repayment timings. Notching for Instrument Ratings: About 75% of IGH's debt at end-3Q23 consisted of senior secured notes and term loans, which rank equally among themselves. The remaining debt mainly consists of debt facilities used to fund the acquisition of assets and capex. The senior secured debt contains no financial maintenance covenant and is rated one notch above the IDR to reflect its security package. Rated on Standalone Basis: IGH is the largest subsidiary of INEOS Limited, accounting for almost half its EBITDA, but Fitch rates it on a standalone basis as it operates as a restricted group with no guarantees or cross-default provisions with INEOS Limited or other entities within the wider group. Corporate Governance: IGH's corporate governance limitations are a lack of independent directors, a three-person private shareholding structure and key-person risk at INEOS Limited, as well as limited transparency on IGH's strategy around related-party transactions and dividends. These factors are incorporated into IGH's ratings and are mitigated by strong systemic governance in the countries in which INEOS Limited operates, its record of adherence to internal financial policies, historically manageable ordinary dividend distributions, related-party transactions at arm's length, and solid financial reporting. DERIVATION SUMMARY IGH's business profile reflects its large, multiple manufacturing facilities across North America, Europe and Asia, and exposure to volatile and commoditised olefins and its derivatives. This is consistent with that of sector peers, such as Celanese Corp. (BBB-/Stable), BASF SE (A/Stable) and sister company INEOS Quattro Holdings Limited (Quattro; BB/Negative). BASF is larger, more geographically diversified and with greater exposure to downstream production than IGH. Moreover, Fitch forecasts BASF to maintain lower EBITDA net leverage at about 2x in 2023-2026. IGH has stronger market-leading positions, larger scale and greater diversification and production flexibility than Celanese, which is focused on acetyls. However, Celanese has stronger EBITDA margins in the 20% range and EBITDA net leverage expected below 5x in 2023-2024. IGH's scale and diversification is comparable to Quattro's. However, Fitch believes that IGH's cost position is stronger due to its ability to use ethane feedstocks at its US and Norway cracker, which provide a sustainable cost advantage in olefins and polymers. Both IGH and Quattro's EBITDA net leverage will rise significantly above their rating sensitivities in 2023-2024, but Fitch expects Quattro's to return below the negative sensitivity in 2025, compared with 2026 for IGH. IGH's structure is complex compared with peers as it is part of the wider INEOS Limited, embracing other chemical businesses, mostly in Europe, with a three-person private shareholding. INEOS Limited has a record of opportunistic M&A activities and related-party transactions across the group, which increase the risk of temporary surge of leverage above publicly stated leverage targets. KEY ASSUMPTIONS - Revenues to fall 29% in 2023, then growing 7% in 2024 and 2025, 4% in 2026 and 1% in 2027 - EBITDA margin to fall to 10% in 2023, growing to 11% in 2024, 13% in 2025, 14% in 2026 and 15% in 2027 - Capex of EUR1.45 billion in 2023, EUR1.75 billion in 2024, EUR1.4 billion in 2025, EUR1.1 billion in 2026 and EUR0.8 billion in 2027 - P1 completed in 2026 with EBITDA contribution from 2027. - Dividends of EUR250 million in 2023, no dividend in 2024 and EUR200 million-EUR250 million from 2025 onwards - Acquisition of 50% stake in Tianjin Nangang ethylene project and the ethylene oxide asset from Lyondellbasell to close in 2024 - Dividends received from SECCO JV and Tianjin JV from 2025 and 2026 onwards, respectively RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: - EBITDA net leverage maintained at or under 3x through the cycle - Corporate-governance improvements, in particular, better transparency on decisions regarding dividends and related-party loans, and independent directors on the board Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: - Further weakening of leverage metrics versus Fitch's rating case linked to acquisitions or higher dividends leading to forecast EBITDA net leverage remaining above 4x beyond 2025 - Significant deterioration in business profile such as cost position, scale, diversification or product leadership or prolonged market pressure translating into EBITDA margins well below 10% on a sustained basis LIQUIDITY AND DEBT STRUCTURE Robust Liquidity: At 30 September 2023, IGH had unrestricted cash of EUR2.1 billion, which easily covers EUR0.2 billion of debt due within the next 12 months. In addition, it had EUR541 million undrawn under its EUR800 million receivables securitisation facility, which matures in December 2024. An inventory financing facility also supports liquidity. Capex for P1 will mostly be funded by a EUR3.5 billion project finance facility. Higher Interest Costs: Most of IGH's debt had floating interest rates as of 30 September 2023. Fitch expects interest expense to rise to EUR570 million in 2023 from EUR154 million in 2022. Interest-rate hedges until 2025 partially offset some of the increased interest cost due to rising base rates. ISSUER PROFILE IGH is an intermediate holding company within INEOS Limited, one of the largest chemical companies in the world, operating in the commoditised petrochemical segment of olefins and polymers. SUMMARY OF FINANCIAL ADJUSTMENTS - Fitch reclassified EUR1,089 million of lease liabilities to other financial liabilities and excluded them from financial debt - Fitch reclassified EUR52 million of lease interest expense and EUR175 million of right-of-use asset amortisation as cash operating costs, reducing EBITDA by EUR227 million - Fitch excluded EUR160 million used as collateral against bank guarantees and letters of credit from available cash and equivalents - Debt increased by amortised issuance costs of EUR124 million - Fitch excluded EUR4.2 million of exceptional expenses from EBITDA for 2022 ESG CONSIDERATIONS Fitch has revised IGH's ESG Relevance Score for 'Governance Structure' to '4' from '3' due to ownership concentration and a lack of board independence in light of opportunistic decision-making process despite weak chemical market conditions. IGH has an ESG Relevance Score of '4' for 'Group Structure' due to the complex group structure of the wider INEOS Limited group and of IGH and related party transactions. These scores have a negative impact on the credit profile, and are relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- INEOS Group Holdings S.A. LT IDR BB Downgrade BB+ Ineos US Finance LLC senior secured LT BB+ Downgrade RR2 BBB- senior secured LT BB+(EXP)Expected Rating RR2 Ineos Finance plc senior secured LT BB+(EXP)Expected Rating RR2 senior secured LT BB+ Downgrade RR2 BBB- NEXA RESOURCES: Moody's Alters Outlook on 'Ba2' CFR to Negative --------------------------------------------------------------- Moody's Investors Service affirmed Nexa Resources S.A.'s Ba2 corporate family rating and the Ba2 ratings on its backed senior unsecured bonds due 2027 and 2028. The outlook was changed to negative from stable. RATINGS RATIONALE The affirmation of the Ba2 rating and the change of the outlook to negative is supported by the unexpected deterioration in credit metrics during 2023, caused primarily by disruptions in the Aripuanã ramp-up, which consumed about $200 million in additional cash, combined with weaker zinc prices (average zinc prices in 2023 were $1.19/lb, compared to $1.57/lb in 2022 and $1.37/lb in 2021). The negative outlook reflects the weaknesses in credit metrics, with gross leverage (total Moody's adjusted debt to EBITDA) at 5.2x and interest coverage (Moody's-adjusted EBIT/interest expenses) at 0.2x in LTM September 2023. Although Moody's anticipates a recovery in operational performance in 2024, with full-ramp-up of Aripuanã, it may take longer for credit metrics to recover to levels commensurate with the Ba2 rating. In case the recovery does not materialize as expected, a downgrade is likely. Nexa has historically maintained good liquidity and leverage metrics, with strong cash balances relative to its debt amortization schedule. The company has a formal cash policy that takes into consideration obligations due in the next 12 months. As of September 2023, Nexa had $422 million in cash and a fully available $320 million sustainability revolving credit facility (RCF), committed until October 2028. Cash balance fully covers debt maturities through 2026. Nexa Ba2 ratings remain supported by the company's strong presence in the global zinc market (fifth-largest producer of mined zinc globally) and its production profile, with the integration of mining operations with smelters, both in Brazil and Peru. Constraining the ratings are Nexa's exposure to commodity price volatility, given its high concentration in zinc (55% of total production in the twelve months ended in September 2023) and its exposure to a single mine - Cerro Lindo - that is responsible for 44% of total mine output on a zinc equivalent basis. Nexa's relatively modest revenue size ($2.7 billion in the twelve months ended in September 2023) compared to its global peers is an additional constraint. ENVIRONMENTAL, SOCIAL & GOVERNANCE CONSIDERATIONS As for the environmental, social and governance (ESG) factors incorporated into Nexa's ratings, Moody's considers governance as a relevant factor, with Nexa's governance score of G-3 reflecting mainly management credibility and track record related to challenges of operating performance which negatively affected cash flows. As a mining company, Nexa has a very high natural capital and waste and pollution exposure, given the significant impact on the land of Nexa's mining and smelting operations. The company mitigates such exposure with specific initiatives to reduce greenhouse gas emissions and investments to decrease the disposal of tailings in dams through dry stacking and to reduce the generation of mining and smelting waste. Nexa's exposure to social risk factors are high as well, in particular health and safety (due to the nature of mining operations) and responsible production (in particular in Peru), and demographic and societal trends (zinc is heavily dependent on the automotive industry). The ESG Credit Impact Score is CIS-3, which reflects the fact that ESG considerations have a limited impact on the current ratings, with greater potential for future negative impact over time given that exposures to environmental (E-5) and social (S-4) factors, inherent to the mining industry. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS An upward rating or outlook movement would require improvement in operational track record, with all operations performing evenly overtime, with consistent positive free cash flow generation and stability of credit metrics. Positive rating pressure would also require competitive cost position in mining and smelting operations, comfortably within the first or second quartile of the industry cost curve. Additionally, the outlook or ratings could be positively affected if the company maintains a sound liquidity profile, with leverage (total adjusted debt to EBITDA) trending towards 3x or lower, and interest coverage (EBIT to interest expenses) trending towards 4.0x and above. A cash flow from operations minus dividends to total debt ratio above 30% on a sustainable basis could also support a positive rating action. Nexa's ratings could be downgraded if its profitability and cash generation capacity continues to be impaired by operational challenges, or if there is a structural decline in metal prices (mainly zinc), with EBIT margins staying below 12.5% and generation of negative free cash flow on a sustained basis. Production costs increasing significantly and falling to the third or fourth quartile of the industry cost curve; or leverage staying above 3.5x and interest coverage staying below 3.5x for a prolonged period could also create negative rating pressure. Higher dividend payout, jeopardizing the company's liquidity position and leading to cash flow from operations minus dividends/debt staying below 25% could also lead to a negative action. The principal methodology used in these ratings was Mining published in October 2021. Nexa Resources S.A. (Nexa) is a subsidiary of Votorantim S.A. (64.7%), with integrated operations (mines and smelters) in Brazil and Peru, mostly concentrated in zinc, but also with exposure to copper, silver, lead and gold. Nexa is the fifth-largest zinc producer in the world, with operations spread out in three mines in Peru (Cerro Lindo, Atacocha and El Porvenir) and three in Brazil (Vazante, Morro Agudo and Aripuana), and a zinc smelter in Peru (Cajamarquilla) and two zinc smelters in Brazil (Tres Marias and Juiz de Fora). In the twelve months ended in September 2023, Nexa reported revenue of $2.7 billion. ================= M A C E D O N I A ================= EURONICKEL INDUSTRIES: Court Opens Bankruptcy Proceedings --------------------------------------------------------- Dragana Petrushevska at SeeNews reports that a primary court in North Macedonia's Kavadarci opened bankruptcy proceedings against local ferronickel producer Euronickel Industries, former Feni Industries, local media reported on Feb. 2. The court appointed Aco Petrov as bankruptcy administrator, SeeNews relays, citing state-run Macedonian Information Agency (MIA). Employees of Euronickel Industries filed a court request for the launch of bankruptcy proceedings against the company, seeking compensation for three months of unpaid salaries, local media reported, SeeNews notes. The factory employs over 800 people. In the meantime, local lender Komercijalna Banka is in negotiations with several potential investors to sell Euronickel Industries assets worth EUR37.9 million (US$41.2 million) which were seized through a procedure for forced collection of claims, the bank said, SeeNews relates. Komercijalna Banka is the main creditor of Euronickel Industries, which is facing operational difficulties stemming from high energy costs and a decline in orders, SeeNews says, citing local media reports. According to SeeNews, bankruptcy proceedings against the company will not affect the sale of the assets, as Komercijalna Banka is free to sell them without limitations. ===================== N E T H E R L A N D S ===================== BARENTZ MIDCO: Moody's Alters Outlook on 'B2' CFR to Negative ------------------------------------------------------------- Moody's Investors Service affirmed Barentz Midco B.V.'s (Barentz or the company) B2 corporate family rating and B2-PD probability of default rating. Concurrently Moody's affirmed the B2 instrument ratings on all the outstanding backed senior secured facilities issued by Barentz Bidco B.V., Barentz Finco UK Limited and CI (Maroon) Holdings, LLC. Moody's changed the outlook on all ratings to negative from stable. RATINGS RATIONALE The change of the outlook to negative reflects Barentz's weak credit metrics, including expected pro-forma gross leverage (including full year impact of acquisitions) of around 6.5x in 2023, and the company's intention to raise additional debt (not included in the previous gross leverage ratio) in the coming months resulting in a delayed deleveraging trajectory compared to Moody's previous estimates. Moody's assumes that the planned debt proceeds will leave the restricted group, which Moody's views as credit negative particularly given that it occurs during a time of weaker demand, recognizing that Barentz experienced a less severe hit to its 2023 performance than some other chemical distributors. Over the next 12-18 months, Moody's anticipates modest organic growth for most specialty chemicals distributors supported by a moderate recovery in demand. In particular, Moody's forecasts Barentz's EBITDA, as defined and adjusted by Moody's, to be around EUR230 million in 2024 leading to a Moody's-adjusted gross leverage of 6.5x to 6.8x pending on the exact amount of debt issuance. This positions the company weakly in its B2 rating with limited headroom for debt-funded acquisitions or operational underperformance. Moody's definition of gross debt includes sizeable put options granted to minority shareholders and non-recourse factoring. The ratings affirmation reflects the company's leadership positions in the global specialty chemicals and life science ingredients markets; its focus on more defensible end markets, such as food and pharma; and its capital spending-light business model. Its good liquidity profile further supports the CFR. The rating continues to be constrained by Barentz's aggressive financial policy, with a tolerance for high leverage and a track record of debt-funded acquisitions. The company has also sizable payment-in-kind notes outside the restricted group, which are not included in Moody's debt definition. LIQUIDITY Barentz has good liquidity. As of the end of September 2023, the company reported EUR125 million of cash on balance sheet and full availability under its revolving credit facility which was recently upsized to EUR245 million. In combination with expected funds from operation generation, these sources are sufficient to cover capital spending and swings in working capital. OUTLOOK The negative outlook on Barentz's ratings reflects the weak positioning of the rating within the B2 rating category and Moody's assumption that the company will upstream the proceeds from the planned debt issuance over the next months. ESG CONSIDERATIONS Governance considerations are a key driver in this action, reflecting the company's proposed actions to raise new debt. Considerations include Barentz's aggressive financial policy, illustrated by its high leverage and the high pace of debt-funded acquisitions. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Positive pressure could arise if the company builds a track record of reducing its Moody's-adjusted total debt/EBITDA sustainably below 5x; continues to generate meaningful positive free cash flow (FCF), while also maintaining an adequate liquidity profile; Moody's-adjusted EBITA/interest expense is around 2.5x; demonstrates a disciplined approach concerning inorganic growth opportunities. Negative pressure on the ratings could arise with evidence of the company's inability to generate sustained positive FCF; deterioration of the liquidity profile; Moody's-adjusted total debt/EBITDA remains above 6x; EBITA/interest expense deteriorated below 1.75x on a sustainable basis. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Distribution and Supply Chain Services published in February 2023. COMPANY DESCRIPTION Headquartered in the Netherlands, Barentz Midco B.V. (Barentz) is one of the world's leading specialty ingredients distributors, with a focus on the life science end markets and a global footprint. The company offers value-added services, such as premixing and blending, and formulation support, and operates globally more than 50 formulation laboratories. Its main markets are human nutrition, pharmaceuticals, personal care, performance materials and animal nutrition. Barentz is owned by the private equity firm Cinven, management and the Stichting Barentz Beheer foundation. GREENKO ENERGY: Fitch Alters Outlook on 'BB' LongTerm IDR to Stable ------------------------------------------------------------------- Fitch Ratings has revised the Outlook on Greenko Energy Holdings' (Greenko) Long-Term Issuer Default Rating (IDR) to Stable from Negative, and affirmed the IDR at 'BB'. The agency has also affirmed the 'BB' ratings on the senior notes issued by Greenko Solar (Mauritius) Limited, Greenko Dutch B.V, Greenko Power II Limited and and Greenko Wind Projects (Mauritius) Ltd. These issuers are subsidiaries of Greenko, which guarantees all these notes. The Outlook revision to Stable from Negative reflects improvement in Greenko's business profile with commissioning of its first pumped hydro storage project (PSP) in the Indian state of Andhra Pradesh (AP), by mid-2024, and progress made on another three PSPs. In addition, the receipt of long outstanding receivables and timely payment of current dues under late payment surcharge (LPS) rules has improved Greenko's cash flows from operations (CFO) and eased pressure on its working capital. Fitch views that Greenko's reduced business risk sufficiently compensates for its relatively weak EBITDA/net interest cover for the 'BB' rating level, and has revised the negative sensitivity for the metric to 1.5x. Fitch expects Greenko's EBITDA/net interest cover to hover around 1.5x - 1.6x in the financial year ending March 2025 (FY25) and FY26, before improving to 2.0x by FY27. KEY RATING DRIVERS Improving Cash Flow Predictability: Fitch expects the higher contribution from availability-based power storage facility PSPs to improve Greenko's cash flow predictability as this will reduce its exposure to wind and solar resource risk, which is affected by seasonal and climatic patterns. The commissioning of two PSPs in AP and Madhya Pradesh (MP) will reduce the contribution of renewables assets (wind, solar and hydro) in Greenko's operating portfolio capacity of 5.5GW to about 62% by FYE26, from 100% currently. These PSPs will account for about 24% of FY26 EBITDA. Better Counterparty Profile, Lower Receivables: Fitch expects Greenko's exposure to weaker counterparties in state utilities to decline to 53% in FY26 from 73% currently, as it plans to tie up most of the PSPs capacity with customers that pay on time. Payments from state utilities, particularly from AP, have improved significantly under LPS rules since August 2022. As a result, Greenko's receivable days improved to around 200 days in November 2023 from above 340 days in FY21 and FY22. Fitch expects continued payment improvements in the near term, with receivables to fall to around 120 days by FYE25. However, there are risks to sustained improvement in state utilities' timely payments as long as the structural issues of timely cost recovery and low operating efficiencies remain. High Capex, Moderate Construction Risk: Fitch expects the group's capex for its four PSPs to remain high and average around USD750 million a year, excluding interest during construction, over FY24 to FY27 (FY23: USD422 million). Greenko has completed about 90% of the construction of its AP PSP and awarded civil, hydro and manufacturing contracts for MP PSP. Fitch expects AP PSP to start commercial operations in 2QFY25, followed by MP PSP by FYE26. The execution risks are manageable due to moderate technological intensity and management's strong expertise. Continuing Support from GIC: Greenko's rating is underpinned by consistent financial support and strategic appraisal from Singapore sovereign wealth fund GIC, which owns a 57.1% stake and holds four of the 13 board seats. GIC is also involved in the group's strategy, including investment plans and oversight of operations, and risk management practices. The PSPs are supported by shareholder equity commitments of around USD940 million over FY24-FY27, or about 25% of the costs. The other key shareholders include Abu Dhabi Investment Authority (ADIA) and ORIX Corporation (A-/Stable). Teesta Acquisition - Event Risk: The Teesta hydro project was heavily damaged by flash floods in October 2023, but there is lack of clarity on the extent of the damage, potential recovery from insurance and its timing. Greenko owns 34% of the project and has the right of first refusal for the rest of the shares. However, given the damage at the site, as well as the uncertainty on the timing and costs, Fitch will treat any further stake acquisition as an event risk, if it proceeds. Consolidated Credit Assessment: Fitch takes a consolidated view of the Greenko group, driven by observed fungibility of cash within the group. The US dollar notes' indentures of the issuing entities in the group restrict the outflow of cash if it leads to higher leverage or reduces the restricted groups' (RGs) debt-servicing capability beyond the covenant levels. However, debt-free unrestricted assets may be dropped into RGs in exchange for cash, allowing Greenko to access RG-level cash. This mitigates the holding company's cash flow subordination, in its view. Foreign-Exchange Risk Largely Hedged: Foreign-exchange risk arises as the earnings of Greenko's assets are in Indian rupees, while the notes are denominated in US dollars. The group's policy requires Greenko to hedge substantially the principal of its US dollar notes over the tenor of the bonds. The coupons are usually hedged until the no-call period ends and are then rolled over, based on market dynamics. DERIVATION SUMMARY Fitch regards ReNew Energy Global Plc (REGP, BB-/Stable) and Concord New Energy Group Limited (CNE, BB-/Positive) as Greenko's close peers. REGP, like Greenko, is one of India's leading power producers, with a focus on renewable energy. However, REGP's operating capacity has increased to more than Greenko's over the last few years as Greenko is constructing PSPs, which have a longer gestation period then wind and solar power generation projects. Greenko's better credit assessment than REGP's is supported by its stronger financial access, due to strong support from its key shareholders, including GIC. This enables the company to rely on fresh equity for investments and acquisitions while using cash generated from operations to deleverage. REGP's resource risk is lower, with higher exposure of 48% to solar-based projects, compared with Greenko's exposure of 28% to solar and 14% to hydro. REGP's counterparty risk is also lower, with 45% of capacity contracted with sovereign-owned entities and the balance with state-owned distribution companies (40%) and direct sales (15%). Nevertheless, Greenko's resource risk and counterparty profile will improve as it commissions PSPs, starting mid-2024. CNE is a renewable power operator in China with 3.6GW of attributable installed wind and solar capacity. Its feed-in tariffs are stable and its counterparty risk is lower than that of Greenko, as its revenue stream is mostly reliant on State Grid Corporation of China (A+/Stable) and China's Renewable Energy Subsidy Fund, while Greenko has exposure to weak state-owned distribution companies. Greenko is assessed at one-notch above CNE due to its larger operating scale, which brings benefits of diversity and granularity across multiple projects, and a more diversified resource mix as well as stronger funding access due to shareholder support. However, these are partly offset by Greenko's weaker interest coverage. KEY ASSUMPTIONS Fitch's Key Assumptions within its Rating Case for the Issuer: - Plant load factors of operating wind and solar assets to remain in line with historical average - Tariffs in line with power purchase agreements - Average receivable days to decrease to 120 in FY25 (FY23: 229, FY24 estimate: 170) - First PSP in AP to start commercial operations within 2QFY25 - Capex for PSPs to remain high, averaging around USD750 million a year, excluding interest during construction, over FY24 to FY27 (FY23: USD422 million) - Cash accruals from operations to be used to deleverage, with growth capex financed by external funds supported by equity injection of around USD940 million in total over FY24 to FY27 RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: - Net debt/EBITDA below 4.5x on a sustained basis, provided that there is no significant increase in Greenko's overall business risk profile Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: - EBITDA/net interest expense sustained below 1.5x, driven by prolonged deterioration in receivables, high capex or high payouts for acquisitions; - Any shareholder changes that adversely affect the company's risk profile, including its liquidity and refinancing, risk-management policies or growth risk appetite; - Significant adverse developments related to storage projects, which may include rising construction risk or changes diluting the economics of the investments; - Failure to mitigate foreign-exchange risk adequately. LIQUIDITY AND DEBT STRUCTURE Adequate Liquidity; Strong Access: Greenko had a readily available cash balance of USD545 million at end-September 2023, against current debt maturities of USD880 million. However, Fitch expects Greenko to refinance its maturities in a timely manner. In addition, Fitch expects Greenko's liquidity to be boosted by reduction in receivables from state utilities. Fitch expects Greenko to generate negative free cash flow in the medium term due to its high capex, which will be funded by a mix of additional debt and equity. However, Greenko benefits from committed equity investments and solid financial access, supported by its strong shareholders. ISSUER PROFILE Greenko is one of India's leading renewable energy companies, with an operating capacity of 5.5GW that is diversified by wind (58%), solar (28%), hydro and others (14%) assets across 14 states. Greenko is developing PSPs with a total capacity of 7,200 MW across four states in India. 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. Entity/Debt Rating Prior ----------- ------ ----- Greenko Solar (Mauritius) Limited senior unsecured LT BB Affirmed BB Greenko Energy Holdings LT IDR BB Affirmed BB Greenko Wind Projects (Mauritius) Ltd senior unsecured LT BB Affirmed BB Greenko Dutch B.V senior unsecured LT BB Affirmed BB Greenko Power II Limited senior unsecured LT BB Affirmed BB JUBILEE PLACE 3: Moody's Hikes Rating on Class X2 Notes to B1 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of four notes and affirmed the ratings of seven notes in two Dutch Buy-to-Let RMBS: Jubilee Place 2021-1 B.V. and Jubilee Place 3 B.V. The rating action reflects the better than expected collateral performance and increased levels of credit enhancement for the affected notes. In addition, for the Class X2 notes in Jubilee Place 3 B.V., the rating action reflected the curing on unpaid interest following the repayment of the Class X1 notes. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain their current ratings. Jubilee Place 2021-1 B.V. EUR254.4M Class A Notes, Affirmed Aaa (sf); previously on Aug 8, 2022 Affirmed Aaa (sf) EUR15.2M Class B Notes, Affirmed Aa3 (sf); previously on Aug 8, 2022 Affirmed Aa3 (sf) EUR9.4M Class C Notes, Affirmed Aa3 (sf); previously on Aug 8, 2022 Upgraded to Aa3 (sf) EUR6.5M Class D Notes, Upgraded to A2 (sf); previously on Aug 8, 2022 Affirmed Baa1 (sf) EUR3.6M Class E Notes, Affirmed Ba2 (sf); previously on Aug 8, 2022 Affirmed Ba2 (sf) Jubilee Place 3 B.V. EUR287.7M Class A Notes, Affirmed Aaa (sf); previously on May 25, 2023 Affirmed Aaa (sf) EUR18.9M Class B Notes, Affirmed Aa3 (sf); previously on May 25, 2023 Affirmed Aa3 (sf) EUR10.7M Class C Notes, Upgraded to Aa3 (sf); previously on May 25, 2023 Upgraded to A1 (sf) EUR7.4M Class D Notes, Upgraded to Baa1 (sf); previously on May 25, 2023 Upgraded to Baa2 (sf) EUR3.3M Class E Notes, Affirmed Ba3 (sf); previously on May 25, 2023 Affirmed Ba3 (sf) EUR3.3M Class X2 Notes, Upgraded to B1 (sf); previously on Jan 21, 2022 Definitive Rating Assigned Ca (sf) Both transactions are cash securitisations of Dutch buy-to-let mortgage loans originated by three originators: Dutch Mortgage Services B.V. (NR), DNL 1 B.V. (NR) and Community Hypotheken B.V. (NR). RATINGS RATIONALE The rating action is prompted by decreased key collateral assumptions, namely the portfolio Expected Loss (EL) and MILAN CE assumptions due to better than expected collateral performance, as well as by an increase in credit enhancement available for the affected notes. In addition, for the Class X2 notes in Jubilee Place 3 B.V., the rating action reflected the curing on unpaid interest following the repayment of the Class X1 notes. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain their current ratings. Revision of Key Collateral Assumptions: As part of the rating action, Moody's reassessed its lifetime loss expectation for the portfolio reflecting the collateral performance to date. The performance of both transactions has continued to be stable over the past year. In Jubilee Place 2021-1 B.V., total delinquencies have decreased in the past year, with 90 days plus arrears currently standing at 0.12% of current pool balance. There have been no losses to date. In Jubilee Place 3 B.V., total delinquencies have increase slightly in the past year, although there are currently no loans in 90 days plus arrears. In this transaction there have likewise been no losses to date. In Jubilee Place 2021-1 B.V., Moody's decreased the expected loss assumption to 2.00% as a percentage of current pool balance from 3.40% due to the strong performance. The revised expected loss assumption corresponds to 1.23% as a percentage of original pool balance. In Jubilee Place 3 B.V., Moody's decreased the expected loss assumption to 2.40% as a percentage of current pool balance from 3.33% due to the strong performance. The revised expected loss assumption corresponds to 2.01% as a percentage of original pool balance. Moody's has also assessed loan-by-loan information as a part of its detailed transaction review to determine the credit support consistent with target rating levels and the volatility of future losses. As a result, in Jubilee Place 2021-1 B.V. Moody's has decreased the MILAN CE assumption to 16% from 17%. In Jubilee Place 3 B.V. Moody's has decreased the MILAN CE assumption to 17% from 18%. Increase in Available Credit Enhancement Sequential amortization led to the increase in the credit enhancement available in both of these transactions. For instance, since their last respective rating actions the credit enhancement for the Class D notes in Jubilee Place 2021-1 B.V. increased to 3.10% from 2.88%, and for the Class C notes in Jubilee Place 3 B.V. to 4.95% from 4.76%. For the Class X2 notes in Jubilee Place 3 B.V., the rating action reflects the curing of unpaid interest following the repayment of the Class X1 notes. Prior to the repayment of the Class X1 notes, principal payments on this class of notes ranked prior to interest payments on the Class X2 notes, leading to unpaid interest on the Class X2 notes while the Class X1 notes were still outstanding. In January 2024 the Class X1 notes were repaid in full, and the unpaid interest on Class X2 was fully cured. The excess spread available in the transaction is now used to pay interest and principal on the Class X2 notes. Counterparty Exposure The rating actions took into consideration the notes' exposure to relevant counterparties, such as the servicer. Moody's considered how the liquidity available in the transactions and other mitigants support continuity of note payments, in case of servicer default, using the CR assessment as a reference point for servicers. Both transactions have amortising liquidity reserve funds, which provide liquidity for the Class A notes only. The notes ranking below Class A notes do not benefit from any reserve fund and rely on the principal to pay interest mechanism, which is in itself limited in certain circumstances, to support timely payments of interest. Therefore, the ratings of the Class B and C notes in Jubilee Place 2021-1 B.V. and the rating of the Class B notes in Jubilee Place 3 B.V. are constrained by operational risk due to insufficient liquidity. Methodology Underlying the Analysis The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in October 2023. The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Please see "Moody's Approach to Rating RMBS Using the MILAN Framework" for further information on Moody's analysis at the initial rating assignment and the on-going surveillance in RMBS. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement and (3) improvements in the credit quality of the transaction counterparties. Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties. ============= R O M A N I A ============= ELEFANT.RO: Files Request to Open Insolvency Proceedings -------------------------------------------------------- Bogdan Todasca at SeeNews reports that Romanian online retailer elefant.ro said it has filed a request with the Bucharest Tribunal to open insolvency proceedings. According to SeeNews, Elefant.ro intends to propose a reorganisation plan while maintaining the right to manage its activity, the company said in a filing with the Bucharest Stock Exchange on Jan. 31. In early August 2023, local real estate company Miller Centre filed a request for the launch of insolvency proceedings against the online retailer with the Bucharest Tribunal, elefant.ro said in a bourse filing at the time, SeeNews relates. Elefant.ro stated back then that the request was unfounded as the creditor's claim fell below the threshold value required for initiating insolvency procedures, SeeNews discloses. Later that month, Miller Centre withdrew its request for insolvency proceedings against its debtor, as revealed in a subsequent bourse filing, SeeNews recounts. ========= S P A I N ========= AUTONORIA SPAIN 2021: Fitch Hikes Rating on Class F Notes to 'BBsf' ------------------------------------------------------------------- Fitch Ratings has upgraded Autonoria Spain 2021, FT Class F Notes and affirmed the class A to E notes with Stable Outlooks, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Autonoria Spain 2021, FT Class A ES0305565006 LT AAAsf Affirmed AAAsf Class B ES0305565014 LT AA+sf Affirmed AA+sf Class C ES0305565022 LT A+sf Affirmed A+sf Class D ES0305565030 LT Asf Affirmed Asf Class E ES0305565048 LT BBBsf Affirmed BBBsf Class F ES0305565055 LT BBsf Upgrade B+sf TRANSACTION SUMMARY The transaction is a securitisation of a portfolio of fully amortising auto loans originated in Spain by Banco Cetelem S.A.U. (Cetelem, the seller and originator, unrated). Cetelem is a specialist lender fully owned by BNP Paribas S.A. (A+/Stable/F1). The securitised portfolio includes loans for the acquisition of passenger cars (new and used), motorcycles and recreational vehicles. The transaction closed in June 2021, it ended its revolving period in June 2022 and the notes are amortising on a pro-rata manner. KEY RATING DRIVERS PIR Cap Removed: The upgrade of the class F notes is driven by its updated assessment of payment interruption risk (PIR), considering its view that Cetelem is an operational continuity bank. Consequently, Fitch has removed the class F notes' rating cap of 'B+sf'. As the class F notes are excluded from the transaction liquidity arrangement and its interest payments are non-deferrable when it is the most senior tranche, its maximum achievable rating is 'A+sf' under the agency's rating criteria. Key mitigants of PiR include daily transfers of cash collections from the Collection Account Bank (CAB) to the Transaction Account Bank (TAB), and direct debit collections for all the loans. Broadly Stable Asset Performance Outlook: Fitch has calibrated the blended remaining life base-case default rate to 2.8% (from 3.4%) and increased the 'AAA' multiple to 5.7x (from 5.2x). The revision of asset assumptions reflects the robust performance since closing with gross cumulative defaults and late stage arrears (90+ days in arrears) at 0.7% and 0.1%, respectively, as of latest reporting date November 2023 and broadly stable asset outlook. Fitch has maintained the assumptions on recoveries with a 20% blended base case and 45% 'AAA' recovery haircut. CE Trends; Pro-Rata Amortisation: The rating actions reflect Fitch's view that credit enhancement (CE) ratios are able to compensate the credit and cash flow stresses commensurate with the respective ratings. Fitch expects CE to remain stable as the class A to G notes continue amortising pro rata. Fitch does not expect the switch to sequential amortisation triggers to be breached in the medium term, due to the observed and expected portfolio performance. Fitch views the tail risk posed by the pro rata paydown as mitigated by the mandatory switch to sequential amortisation when the note balance falls below 10% of its initial balance. Mezzanine, Junior Notes' Ratings Capped: The maximum achievable rating for the class B notes is 'AA+sf' and for the class C to F notes 'A+sf', as per Fitch's counterparty criteria, due to the minimum eligibility rating thresholds defined for the hedge provider and guarantor of 'A-' or 'F1' and 'BBB' or 'F2' respectively, which are insufficient to support 'AAAsf' and 'AAsf' ratings. These rating caps do not apply to the senior class A notes, which have minimum counterparty ratings of 'A' or 'F1', commensurate with the highest rating category. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade For the class A notes, a downgrade of Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions. This is because these notes are rated at the maximum achievable rating, six notches above the sovereign IDR. Long-term asset performance deterioration such as increased delinquencies or reduced portfolio yield, which could be driven by changes in portfolio characteristics, macroeconomic conditions, business practices or the legislative landscape. For instance, a 25% increase in defaults and a 25% decrease in recoveries combined would lead to a downgrade of between one and three notches for the class B to F notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The class A notes are rated at the highest level on Fitch's scale and cannot be upgraded. For the class D to F notes, CE ratios increase as the transaction deleverages able to fully compensate the credit losses and cash flow stresses commensurate with higher rating scenarios. For the class B to F notes, updated swap counterparty eligibility triggers that would allow the notes' rating to be higher than the established rating caps. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Autonoria Spain 2021, FT Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with any assumptions 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. FONCAIXA FTGENCAT 5: Moody's Affirms C Rating on EUR26.5MM D Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating of Class C notes in FONCAIXA FTGENCAT 5, FTA. The rating action reflects the increased levels of credit enhancement for the affected notes. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain their current ratings. EUR449.4M Class A (G) Notes, Affirmed Aa1 (sf); previously on Jun 12, 2023 Affirmed Aa1 (sf) EUR21M Class B Notes, Affirmed Aa1 (sf); previously on Jun 12, 2023 Affirmed Aa1 (sf) EUR16.5M Class C Notes, Upgraded to Aa1 (sf); previously on Jun 12, 2023 Upgraded to Aa3 (sf) EUR26.5M Class D Notes, Affirmed C (sf); previously on Jun 12, 2023 Affirmed C (sf) Maximum achievable rating is Aa1(sf) for structured finance transactions in Spain, driven by the corresponding local currency country ceiling of the country. RATINGS RATIONALE The rating action is prompted by an increase in credit enhancement for the affected tranche. Revision of Key Collateral Assumptions SME: As part of the rating action, Moody's reassessed its default probability and recovery rate assumptions for the portfolio reflecting the collateral performance to date. The performance of the transaction has continued to be stable since the last rating action in June 2023. Total delinquencies have decreased in the past year, with 90 days plus arrears currently standing at 4.26% of current pool balance. Cumulative defaults currently stand at 8.46% of original pool balance up from with 8.41% a year earlier. For FONCAIXA FTGENCAT 5, FTA, the current default probability is 17% of the current portfolio balance and the assumption for the stochastic recovery rate is 60%. Moody's has decreased the CoV to 52.8% from 56.5%, which, combined with the revised key collateral assumptions, corresponds to a portfolio credit enhancement of 24.5%. Moody's has also assessed loan-by-loan information as a part of its detailed transaction review to determine the credit support consistent with target rating levels and the volatility of future losses. As a result, Moody's has maintained the portfolio credit enhancement assumption at 24.5%. Increase in Available Credit Enhancement Sequential amortization led to the increase in the credit enhancement available in this transaction. For instance, the credit enhancement for Class C increased to 32.1% from 27.9% since the last rating action. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "SME Asset-Backed Securitizations methodology" published in December 2023. Counterparty Exposure The rating actions took into consideration the notes' exposure to relevant counterparties, such as servicer, account bank or swap provider. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement and (3) improvements in the credit quality of the transaction counterparties and (4) a decrease in sovereign risk. Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties. PAX MIDCO: S&P Affirms 'B-' ICR & Alters Outlook to Positive ------------------------------------------------------------ S&P Global Ratings revised its outlook on concession catering operator Pax Midco (Areas) to positive from stable and affirmed its 'B-' long-term issuer credit rating on the company. S&P also affirmed its 'B-' issue rating on Areas' term loan B; the '3' recovery rating on the debt is unchanged. The positive outlook reflects S&P's expectations that the company will continue improving its top line and EBITDA base in fiscal 2024, leading to S&P Global Ratings-adjusted leverage declining towards 5.0x with FOCF after lease payments, with FOCF after lease payments turning positive by at least EUR20 million in fiscal 2025 after a dip in 2024 on high capex and interest costs. Areas exhibited higher-than-expected operating performance in fiscal 2023 and a strong start for fiscal 2024 on the solid recovery and expansion of air traffic in a turbulent economy. Areas had EUR2.1 billion of sales for fiscal 2023, 10% above pre-pandemic levels of EUR1.9 billion, 23.3% above fiscal 2022, and 3.9% above S&P's expectations from June 2023. All segments exhibited robust year-on-year growth, with airports leading at 28.4% growth compared with fiscal 2022's EUR985 million, and 4.3% higher than pre-pandemic levels of EUR944 million. Fueling the robust recovery and expansion were continued recovery of air traffic volumes at 80%-85% of 2019 levels, additional secured revenue from new contracts, in line with the group's ambitious growth strategy, and low elasticity of demand enabling sizable price increases. S&P said, "We initially expected current economic uncertainty to affect Areas and the wider travel retail industry negatively, despite the leisure sector's overall resilience due to pent-up demand from COVID-19. To date, the sector has not register any downward signs, with robust summer trading (July-September) and continued expansion in the last quarter of calendar 2023. We attribute this outperformance to the pent-up demand as anticipated and the travel population, more specifically air travel, being less exposed to disposable income pressures. With increased top-line levels and recurring cost savings from pandemic times bearing fruits, the group managed to sizably increase its profitability to near pre-pandemic levels. The company reported EUR467 million of post-IFRS-16 EBITDA translating into our preliminary S&P Global Ratings-adjusted EBITDA of about EUR454 million and a 21.7% margin, slightly below 22%-23% pre-pandemic. Profitability outperformance was fully offset by higher expansion capex and lower working capital inflow, leading to the group meeting our expectations in terms of FOCF after lease payments at break-even. The first three months of fiscal 2024 show encouraging signs, with the top line and EBITDA already above budget, paving the way for a robust fiscal year ahead. In terms of cash generation, while we expect a significant increase in capex for the year, in line with the company's strategy to increase its EBITDA base, capex is already below the budgeted envelope, pointing to an overall lower cash consumption for the year." Areas' ratings resiliency should continue in 2024 amid an unsupportive economic landscape. Travel retail and, more, broadly leisure-related industries have been somewhat sheltered from the economic turbulence. S&P said, "We attribute this to the pent-up demand, which led customers to preserve leisure-related spendings. With the economic deterioration leading to additional squeezing on households' disposable income, we expect the situation to reverse in 2024, with decreasing spending for discretionary goods. We expect this to predominantly affect railways and motorways, because the airports segment is targeting a population with inherently higher purchasing power and thus more immune to economic factors. Areas' growth should continue to be supported by the continuation of the recovery of air traffic, expected to reach 90%-105% of pre-pandemic levels for 2024, coupled with price increases from the company's low degree of demand elasticity, despite still-lower business travel, traditionally a more profitable segment, compared with pre-pandemic levels. That, combined with the group's still-ambitious capex program and bids for new tenders, should translate into a minimal deceleration of growth in fiscal 2024 at 4.1%, with revenue reaching EUR2.2 billion, before picking up in fiscal 2025 at 7.0% (to EUR2.3 billion). Similar to the rest of the industry, Areas faced pressure on its cost structure in fiscal 2023, particularly energy prices, food costs, and staff costs. For fiscal 2024, we expect energy prices to normalize over the next year and food cost to stabilize. Still, we expect staff costs to further strain the company's cost structure, with expected increases in regulatory minimum wages and tight labor markets. Recurring cost-cutting initiatives set during pandemic times should compensate for that and lift margins in fiscal 2024, reaching 9.0%-9.5% on pre-IFRS-16 terms. We expect Areas to reach pre-pandemic profitability of about 10% in fiscal 2025." Travel dynamics in Europe are likely to gradually evolve in favor of railways, translating into more muted long-term growth prospects for air traffic. Under the Paris Agreement, EU countries are committed to making the area's climate-neutral by 2050. To achieve this, by 2030, the EU will reduce its economywide net greenhouse gas emissions by at least 55% from 1990 levels and will continue to progressively cut emissions to 2050. S&P sees both the European Commission and member states taking measures to green the aviation industry, mostly through developing biofuels (which will come at a cost) and limiting the recourse to aviation and favoring railways. For instance, the German government recently launched a EUR50 monthly pass for unlimited national rail services use, Schiphol airport in the Netherlands indicated it will decrease by 20% its traffic, and France will prohibit national short distance flights with an alternative available through rails in less than 2.5 hours. Further measures to favor rail over air should translate in very gradual growth in railway traffic over air traffic expansion. Areas is partly protected from that because it is also positioned in the railway travel retail segment and expanding, but the railway segment has lower profitability than airports, diluting the group's overall margin profile. Still, the transition is likely to be gradual and international traffic and more specifically traffic from Asia-Pacific and the Americas should pick up, fueling overall air traffic segment growth of 2%-3%, below pre-pandemic assumptions of 3%-4%, but still somewhat robust. Areas has been deleveraging since the pandemic through an EBITDA growth strategy, although FOCF after full concession payments will remain depressed over the next 12 months. Since fiscal 2021, the company has proven its ability to quickly deleverage its capital structure and returned to its pre-pandemic S&P Global Ratings-adjusted debt to EBITDA at 5.3x in fiscal 2023 from 9.5x in fiscal 2021, beating our June expectations of 5.8x. S&P said, "We expect leverage to continue declining to 4.6x in fiscal 2025, owing to top-line expansion together with increasing profitability returning to pre-pandemic levels in fiscal 2024. Nevertheless, gross financial leverage remained high at 7.9x in fiscal 2023 considering a pre-IFRS-16 EBITDA (management-defined) of EUR185 million and a total of EUR1.46 billion of financial instruments with expectations of declining to 5.7x in fiscal 2025. Areas' revolving credit facility (RCF) is coming due in January 2026, six months ahead of its EUR1.05 billion term loan B, which we expect the group to address in a timely manner. It has about EUR31 million of state-backed loan amortization due in each of fiscal 2024 in fiscal 2025. It also faces increased capex from infrastructure operators' increased capacities and postponed projects during the pandemic, together with increased interest payments due to higher expectations in three months' Euribor on its uncapped floating rate facilities. We therefore expect FOCF after full concession payments to be negative in fiscal 2024 at EUR47 million and become positive in fiscal 2025 but remaining minimal at about EUR30 million once short-term interest rates normalize at lower levels. However, Areas' investment strategy should enable it to expand its EBITDA base and we would expect the group's ability to decrease overall capex should interest rates remain higher for longer or operations be further challenged, as it did during the pandemic when it slashed capex about EUR50 million." S&P said, "The positive outlook reflects our expectation that Areas will keep on improving its top-line and EBITDA base in fiscal 2024 leading to S&P Global Ratings-adjusted leverage declining towards 5.0x, with FOCF after lease payments turning positive by EUR20 million in fiscal 2025 after a dip in 2024 on high capex and interest costs. "We could upgrade Areas if the group was to perform in line with or above our expectations in terms of topline expansion and profitability level, translating in an S&P Global Ratings-adjusted EBITDA trending below 5.0x and FOCF after concession payment becoming durably positive; "We could take a negative rating action on Areas if S&P Global Ratings-adjusted debt to EBITDA were to rise above 6x, FOCF after concession payments remained negative in fiscal 2025, or liquidity deteriorated significantly, leading to heightened refinancing risk. This could occur if there was a sizable drop traffic due to challenging economic conditions limiting households' ability to travel, significant debt-funded acquisitions, or more ambitious capex plan for fiscal years 2024 and 2025. A negative rating action could also follow the group not addressing its maturities in a timely manner or if it contemplated a debt repurchase below par, which we could view as distressed." =========== S W E D E N =========== REDHALO MIDCO: Moody's Ups CFR & Senior Secured Term Loans to B2 ---------------------------------------------------------------- Moody's Investors Service upgraded Redhalo Midco (UK) Limited's (group.one or the company) long term corporate family rating to B2 from B3 and the probability of default rating to B2-PD from B3-PD. Concurrently, Moody's upgraded to B2 from B3 the ratings of the senior secured revolving credit facility (RCF) and senior secured term loans. The outlook on all ratings remains stable. RATINGS RATIONALE The rating action reflects group.one's improved business profile following the acquisition and successful integration of dogado GmbH and our expectation that continued growth will lead to further improvement in credit metrics in line with the B2 rating, as well as clarity regarding the company's financial policy. The latter includes a commitment to reinvest cash generated in the business, not to pay dividends and to maintain leverage around or below 5.0x on a Senior Facilities Agreement (SFA) defined leverage, which in the absence of transformative M&A as stated by the company we expect will be broadly in line with Moody's-adjusted leverage around or below 6.0x. Pro forma for the dogado GmbH and other smaller acquisitions during 2023, revenue increased by 8.5% to EUR303 million in the fiscal year ended September 2023, driven by price increases, net customer growth and up- and cross-sell initiatives, whilst company-adjusted EBITDA grew by 18% to EUR134 million. Moody's expects the positive fundamentals of the online presence solutions market, group.one's leading position in the countries it operates, and the company's operational leverage will allow the company to continue to grow revenue and EBITDA. Pro forma for acquisitions, Moody's-adjusted leverage with R&D capitalized was 6.3x in the last twelve months ended in November 2023. Based on expected growth and the financial policy commitment, the rating agency estimates leverage to improve to below 6.0x in the next 12 to 18 months, in line with the B2 rating level. Moody's also estimates its adjusted free cash flow to debt will be above 5% in the next 12 to months. Group.one's growing customer base, both organically and via acquisitions; high profitability and operational leverage; underlying free cash flow generation capacity; and the high share of contracted revenues that provides good revenue visibility, all support the B2 CFR. Conversely, the company's limited scale, the fragmented and competitive mass-market web services industry with low barriers to entry, the risk of elevated churn rates in a recessionary scenario, and the company's acquisitive business model that may lead to a delay in the expected leverage reduction all constrain the rating. RATING OUTLOOK Group.one's stable rating outlook reflects Moody's expectation that the company's credit metrics will remain commensurate with the B2 ratings triggers over the next 12 to 18 months. The outlook incorporates Moody's assumption that EBITDA will support a decline in leverage to below 6x, that there will be no significant increase in leverage from any future debt-funded acquisitions or shareholder distributions, and that the company will maintain adequate liquidity. LIQUIDITY Group.one has good liquidity, supported by EUR34 million of cash available on balance sheet as of September 30, 2023, the fully undrawn EUR80 million revolving credit facility (RCF), with a planned increase to EUR120 million over the coming weeks, and Moody's expectation of positive FCF over the next 12 to 18 months, boosted by a proposed partial TLB re-pricing transaction recently launched. The RCF is subject to a springing financial covenant, which requires senior secured net leverage to remain below 10.85x and is tested if the RCF is drawn by more than 40%. Moody's does not expect the covenant to apply but estimates good cushion. The existing undrawn EUR100 million acquisition capex facility is expected to be cancelled. STRUCTURAL CONSIDERATIONS The senior secured bank credit facilities are rated B2, at the same level as the CFR, reflecting their pari passu ranking and upstream guarantees from operating companies. The senior secured credit facilities mainly benefit from first ranking transaction security over shares, bank accounts and intragroup receivables of material subsidiaries. Moody's typically views debt with this type of security package to be akin to unsecured debt. However, the credit facilities benefit from upstream guarantees from operating companies accounting for at least 80% of consolidated EBITDA. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Positive rating pressure could develop if the company continues to improve its business profile and grow its revenue and EBITDA; Moody's-adjusted leverage (R&D capitalised) improves to below 5.0x; Moody's-adjusted FCF/debt improves towards 10%; and Moody's-adjusted (EBITDA – capital expenditures) / interest expense improves towards 3.0x, all on a sustained basis. Adequate liquidity and financial policy clarity are also important considerations. Conversely, negative rating pressure could develop if the company's revenue and EBITDA growth is weaker than expected such that Moody's-adjusted leverage (R&D capitalised) is above 6.0x; Moody's-adjusted FCF/debt is below 5%, or Moody's-adjusted (EBITDA – capital expenditures)/ interest expenses is below 2.0x, all on a sustained basis; or if liquidity deteriorates. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Services published in November 2021. COMPANY PROFILE Headquartered in Malmo, Sweden, group.one is a provider of online presence solutions with around 2 million customers and 4.5 million subscriptions and leading market positions in its core Northern European markets of the Netherlands, Sweden, Norway, Denmark, Belgium, Finland and the DACH-region. The company primarily focuses on the mass-market segment of the web services industry. Its customers are small and medium-sized enterprises (SMEs) as well as private individuals. group.one provides its customers affordable and easy-to-use webhosting solutions including domain, website builder, email and calendar management, and security, marketing and software-as-a-service solutions. The company has completed several acquisitions, which strengthened its market positions in the Nordics, Benelux and DACH-region, and expanded its product offering. It is since 2019 majority owned by private equity firm Cinven and recently Ontario Teachers' Pension Plan became a minority shareholder complemented by management minorities. =========================== U N I T E D K I N G D O M =========================== ABRA GROUP: Moody's Lowers CFR to Caa3 & Alters Outlook to Negative ------------------------------------------------------------------- Moody's Investors Service has downgraded Abra Group Limited (Abra)'s corporate family rating to Caa3 from Caa1. At the same time, Moody's has downgraded to Caa3 from Caa1 the ratings on the $1 billion backed senior secured notes and $453 million backed senior secured exchangeable notes due 2028 issued by Abra Global Finance and unconditionally and irrevocably guaranteed by Abra. The outlook for Abra and Abra Global Finance was changed to negative from stable. RATINGS RATIONALE The downgrade of Abra's ratings follows the downgrade in Gol Linhas Aereas Inteligentes S.A.'s ratings to Ca as a result of its filing for voluntary protection under the U.S. Chapter 11 financial reorganization process. As part of the filing for Chapter 11, Gol was granted an automatic stay for all debt obligations, including the secured notes due 2028, which are the main source of cash for Abra to cover its own interest payments. The uncertainties regarding the continuity of Gol's interest payments and management fees to Abra increase Abra's credit risk and could lead to liquidity squeezes. At the end of January 2024, Abra had $86 million in cash, not including $15 million that should return from Gol to Abra for the loan made before the Chapter 11 filing. Abra's main source of cash relates to the cash payments from Gol's secured notes due 2028, and management fees from Gol and Avianca, which provides coverage for the cash interest payment at Abra, despite Moody's expectations of no dividend payments from Gol or Avianca at least for the next 2 years. Moody's estimates that Abra's sources of cash excluding the payments from Gol covers its cash interest expense by only 0.4x-0.5x, compared to 1.5x-2.0x with Gol's interest payments and management fees. Abra's main cash outflows relate to its notes interest payments (about $60-70 million per year) and annual expenses at the holding level of approximately $20 million per year. With this liquidity profile, Abra could absorb up to two years with no cash inflow from Gol before consuming all of its cash position and potentially entering into a debt restructure with its own creditors. Gol secured $950 million in a DIP financing to continue operating during the reorganization process, granted by creditors of Abra. The DIP could lead to continued interest payments for Abra, however the final decision is subject to court hearings as part of Gol's reorganization process. Before Gol filed for Chapter 11, Abra signed a forbearance agreement with its creditors to avoid the exercise of the rights and remedies with respect to specified defaults as a result of Gol's filing. Abra's Caa3 rating reflects the group's size, scale, market position and good business profile of its main subsidiaries Gol Linhas Aereas Inteligentes S.A. ("Gol", Ca negative) and Avianca Group International Limited ("Avianca", B2 stable), with significant cross selling, network and loyalty program coordination synergies, and increased connectivity and geographic diversity within Latin America. The Abra group offers over 1,700 daily flights with around 100 billion in annual ASKs, with a fleet of over 300 aircrafts, serving 155 destinations and with over 80 million passengers transported and 30 million of members in its loyalty programs. The rating is primarily constrained by the credit profile of Gol and Avianca, and by Abra's dependence on cash from the subsidiaries to cover interest payments at the holding level. Gol's filing for Chapter 11 could lead to a lack of interest payments to Abra, pressuring its liquidity profile. RATING OUTLOOK The negative outlook reflects Moody's view of uncertainties regarding the cash interest payment of Gol's notes, which may lead to liquidity squeezes for Abra in the next 12-18 months. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS An upgrade of Abra's rating would require an improvement in the credit profile of Gol or Avianca. Additional sources of cash that improves its coverage of cash interest could also lead to an upgrade of its rating. Abra's rating could be downgraded if the company's liquidity profile deteriorates as a result of the lack of cash inflows from Gol for an extended period of time that result in losses to creditors higher than those associated with the Caa3 rating. COMPANY PROFILE Created in 2022 and incorporated in the UK, Abra is the platform company that holds 54% of the equity in Gol Linhas Aereas Inteligentes S.A., one of Brazil's leading domestic low-cost carrier, 100% of Avianca Group International Limited, a leading Latin American airline serving the domestic markets of Colombia, Ecuador and Central America and international routes in North, Central and South America, Europe and the Caribbean, as well as a financial investment in SKY Airlines S. A. ("SKY"), a Chilean low-cost domestic carrier. Abra reported pro forma consolidated revenue of $3.5 billion in the nine months ended in September 2023. The principal methodology used in these ratings was Passenger Airlines published in August 2021. BRIDGEGATE FUNDING: S&P Lowers Class E Notes Rating to 'B-' ----------------------------------------------------------- S&P Global Ratings lowered its credit ratings on Bridgegate Funding PLC's class B notes to 'AA (sf)' from 'AA+ (sf)', class C-Dfrd notes to 'BBB+ (sf)' from 'AA- (sf)', class D-Dfrd notes to 'BB+ (sf)' from 'A (sf)', class E-Dfrd notes to 'B- (sf)' from 'BBB+ (sf)', class F-Dfrd notes to 'CCC (sf)' from 'BB+ (sf)', and class X-Dfrd notes to 'CCC- (sf)' from 'BBB- (sf)'. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A notes. S&P said, "We assigned ratings to Bridgegate Funding on Jan. 19, 2023. Following our periodic review of the performance of the transaction, we discovered that at the time of assigning our ratings on the notes, we had incorrectly calculated the interest payment on the rated notes. Had we calculated this correctly at the time, the class B and class C-Dfrd notes would have passed our cash flow stresses at the 'BBB+' and 'BB+' rating levels respectively. The class D-Dfrd, E-Dfrd, F-Dfrd, and class X-Dfrd notes would have faced shortfalls under our standard cash flow analysis at the 'B' rating level. With rising interest rates resulting in an increase in loan arrears, undercollateralization has further reduced the excess spread available on the notes. Due to the error in sizing the interest payment on the rated notes and the deteriorating transaction performance, we have lowered our ratings on the class B to F-Dfrd notes and the class X-Dfrd notes." Bridgegate Funding is a static U.K. RMBS transaction. The portfolio comprises a mix of owner-occupied and BTL mortgage loans, part of which was previously securitized in the Deva Financing PLC transaction, which redeemed in 2021. The pool is well-seasoned. All of the loans are first-lien U.K. loans (either owner-occupied and BTL residential mortgage loans). The loans are secured on properties in England, Wales, Scotland, and Northern Ireland and were mostly originated between 2006 and 2008. S&P said, "At the time of our initial rating analysis in January 2023, credit enhancement on the notes was provided via subordination and the reserve fund. Currently, the reserve fund is completely drawn (following a drawing made in March 2023 to pay the senior expenses, which was a one-time senior servicing fee). The liquidity reserve currently stands at GBP25.98 million and is below the target level of GBP26.22 million. There is negative carry in the transaction as the arrears increased to 22% in October 2023 from 12.6% at the time of our initial analysis." The class Z notes have an uncleared principal deficiency ledger (PDL) balance of GBP22.0 million. The accumulation of the class Z notes' PDL is mostly due to principal borrowing rather than actual realized losses. The cumulative losses currently stand at GBP8.7 million. The total portfolio amortized to GBP2.2 billion as of October 2023 from GBP2.8 billion at issuance. The prepayment rate has been strong historically (with an average of 17%). S&P said, "We have updated our credit and cash flow analysis based on the data available for the October 2023 pool (and since closing). The historical prepayment rate (since closing) for this pool has been higher than the 4% low assumption in the pre- and post-recession scenarios outlined in our RMBS criteria. We have therefore adjusted our prepayment stresses at rating levels below 'A-'." The weighted-average foreclosure frequency (WAFF) assumptions for the performing subpool have increased due to higher arrears, and the weighted-average loss severity (WALS) figures have dropped due to the growth in the house price index. As such, the credit coverage is now lower than it was at closing. Portfolio WAFF and WALS RATING LEVEL WAFF (%) WALS (%) CREDIT COVERAGE (%) AAA 37.50 22.30 8.36 AA 33.53 15.48 5.19 A 31.25 7.45 2.33 BBB 28.87 4.77 1.38 BB 26.27 3.64 0.96 B 25.68 2.91 0.75 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. S&P said, "Considering these factors, we believe that the available credit enhancement is commensurate with lower ratings on the class B to F-Dfrd notes and class X-Dfrd notes. The downgrades of these classes of notes primarily reflect the correction of an earlier error, where we incorrectly sized the interest payments on the notes. "The class E-Dfrd, F-Dfrd, and class X-Dfrd notes face shortfalls under our standard cash flow analysis at the 'B' rating level. Therefore, we applied our 'CCC' criteria to assess if either a rating of 'B-' or in the 'CCC' category would be appropriate. " The 'CCC' criteria specify the need to assess whether there is reliance on favorable business, financial, and economic conditions to meet the payment of interest and principal. "Under our ratings definitions, a security would generally be rated 'B-' if we believe the obligor has the capacity to meet its financial commitment on the obligation under the current conditions. However, to be assigned a rating above 'B-', a security must have sufficient credit enhancement to withstand scenarios that are more stressful than the current conditions. "In our steady state scenario, we reduced our prepayment assumptions in our 'high' interest rate scenario to 10%--based on the observed prepayments--considered actual fees in our cash flow analysis and did not apply spread compression or commingling stresses. In the steady state scenario, the class E-Dfrd notes pass our steady state cash flow stresses while the class F-Dfrd and class X-Dfrd notes fail to pass. "In our view, payment of interest and principal on the class E-Dfrd notes does therefore not depend on favorable business, financial, and economic conditions. However, for the class F-Dfrd notes and class X-Dfrd notes, payment of interest and principal does depend on favorable business, financial, and economic conditions. We therefore lowered to 'B- (sf)' from 'BBB+ (sf)' our rating on the class E-Dfrd notes and to 'CCC (sf)' from 'BB+ (sf)' our rating on the class F-Dfrd notes." The downgrade of the class X-Dfrd notes to 'CCC- (sf)', also considered, in addition to the above, that there is no hard credit enhancement available to this class of notes and its seniority in the waterfall to get repaid. S&P said, "We have affirmed our 'AAA (sf)' rating on the class A notes. The available credit enhancement on these senior-most rated notes is commensurate with our 'AAA (sf)' rating. Compared with the other classes of notes, the buildup in credit enhancement on the senior-most class has been more significant." The Mortgage Business PLC is the servicer in this transaction. There are no rating constraints in the transaction under S&P's counterparty, operational risk, or structured finance sovereign risk criteria. S&P said, "Macroeconomic forecasts and forward-looking analysis The information in this section reflects our most recent published economic forecasts. The current U.K. macroeconomic outlook remains uncertain and has recently been subject to significant changes within short timeframes. In addition to increased energy costs and the overall cost of living, rate rise expectations remain fluid against a backdrop of a stagnating macroeconomic environment. The ratings assigned reflect this market uncertainty and our overall analysis considers the implications of a further deterioration in credit conditions." CO-OPERATIVE BANK: Fitch Hikes LongTerm IDR to BB+, Outlook Pos. ---------------------------------------------------------------- Fitch Ratings has upgraded The Co-operative Bank p.l.c.'s Long-Term Issuer Default Rating (IDR) to 'BB+' from 'BB'. The Outlook is Positive. The bank's Viability Rating (VR) has also been upgraded to 'bb' from 'bb-'. The upgrade reflects Fitch's view that the bank has extended its record of structural profitability and increased its capital and leverage buffers. It also reflects substantial progress in its transformation programme and in improving cost efficiency. The Positive Outlook reflects Fitch's view that the ratings could be upgraded if the business profile continues to strengthen, operating profitability improves further, in particular against competitive and macro-economic pressures, while maintaining adequate capital buffers. KEY RATING DRIVERS Rating Uplift to Opco: The Co-operative Bank's Long-Term IDR is one notch above its VR because resolution funds issued by The Co-operative Bank Holdings plc, the bank's ultimate holding company, afford additional protection to the bank's external senior creditors, in case of its failure. Business Profile Drives VR: The VR is two notches below the 'bbb-' implied VR because the bank's business profile, which continues to be subject to strategic execution risk and competitive pressures, has a strong impact on its assessment. The VR also reflects the bank's low-risk credit exposures, healthy impaired loans ratio, strengthening profitability, improved capitalisation and reasonable funding and liquidity. Transformation Progress Supports Business Model: The Co-operative Bank's limited scale, low market shares and lack of diversification weigh on its business model, notwithstanding its ethical focus that supports its franchise. The bank's acquisition of Sainsbury's Bank's GBP0.5 billion mortgage portfolio in 3Q23 helped to increase its scale moderately. Progress in upgrading the bank's savings and mortgage platforms in 2023 should further improve cost efficiency from 2024. The bank has recently entered exclusive merger talks with Coventry Building Society (Coventry; A-/ Stable). The talks are in early stages. The impact of a merger on The Co-operative Bank's ratings would depend on the structure of the transaction and the resulting impact on the bank's business profile, financial metrics and any support available from a new owner. Mortgage Loans Underpin Risks: The Co-operative Bank primarily underwrites low-risk owner-occupied and buy-to-let residential mortgages, with a small share of unsecured retail and higher loan-to-value (LTV) lending. Fitch expects muted mortgage lending growth in 2024, due to a subdued housing market and high interest rates. The average mortgage LTV in the portfolio has increased slightly to 55% at end-3Q23 (end-2022: 54%), but remains low and provides a buffer against moderate house price falls. Resilient Asset Quality: The Co-operative Bank's impaired loan ratio of 0.7% at end-3Q23 (or 0.4% when excluding purchased originated credit-impaired (POCI) loans) reflects its robust asset quality. Fitch expects the ratio (including POCI loans) to rise to around 1% by end-2025, mainly due to high interest rates and affordability pressures. Low-risk mortgage loans and conservative underwriting standards should support asset quality. Continued Improvements in Profitability: The Co-operative Bank's operating profit/risk-weighted assets (RWAs) ratio of 2.5% in 1H23 (2022: 2.8%) is significantly stronger than its four-year average (-0.2%), reflecting the bank's turnaround from a period of losses. Fitch forecasts operating profit to moderate in 2024 due to a contracting loan book and rising loan impairment charges, before it recovers in 2025 as investment benefits feed through and as impairments normalise. Structural hedge income should help mitigate rising funding costs. Stronger Capital Position: The Co-operative Bank's common equity Tier 1 ratio of 20.1% at end-September 2023 reflects mortgage loans' low risk-weights (RWA density: 18% at end-1H23) under the bank's internal ratings-based approach. It remains compliant with regulatory requirements, and has resources in excess of end-state minimum requirements for own funds and eligible liabilities (MREL). Its UK leverage ratio increased slightly to 4.2% at end-September 2023 (end-2022: 4%), creating additional capacity for the bank to gradually expand its balance sheet. Stable Retail Funding: The bank is mainly retail deposit-funded, with 78% of non-equity funding sourced through a fairly resilient core deposit base at end-3Q23. Access to wholesale markets has improved, and funding largely consists of MREL-eligible debt, Tier 2 debt, RMBS and the Bank of England's Term Funding Scheme with additional incentives for SMEs. Liquidity is healthy, with a liquidity coverage ratio of 222% at end-3Q23. The bank's Short-Term IDR of 'B' is the only available option for a Long-Term IDR of 'BB+' under Fitch's rating criteria. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Outlook on the Long-Term IDR could be revised to Stable if the bank's business profile and profitability do not improve as expected, for example due to competitive pressure on revenues or delays to improving cost efficiency. The ratings could be downgraded from materially weaker profitability or faster-than-planned growth that erode capital buffers, with no clear actions to swiftly restore them. Weak strategic execution driven by intense competition could put the VR under pressure. The Long-Term IDR is also sensitive to the bank's ability to meet its end-state resolution buffer requirements, which include qualifying junior debt and internal subordinated debt. The Long-Term IDR could also be downgraded to the same level as the VR if the bank is no longer required or able to meet end-state MREL regulatory requirements. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch is likely to upgrade the ratings if the bank's business profile improves further, demonstrated by continued successful strategic execution and improving structural profitability. An upgrade would also require the bank maintaining sufficient capital buffers above their regulatory minimum capital requirements. VR ADJUSTMENTS The VR of 'bb' is below the 'bbb-' implied VR due to the following adjustment reason: business profile (negative). The operating environment score of 'aa-' is in line with the 'aa' category implied score. Sovereign rating was identified as a relevant negative factor in the assessment. The business profile score of 'bb' is below the 'bbb' category implied score due to the following adjustment reasons: business model (negative), market position (negative). The asset quality score of 'bbb+' is below the 'aa' category implied score due to the following adjustment reason: concentrations (negative). The capitalisation and leverage score of 'bb+' is below the 'aa' category implied score due to the following adjustment reason: leverage and risk-weight calculation (negative). The funding and liquidity score of 'bb+' is below the 'a' category implied score due to the following adjustment reason: non-deposit funding (negative). 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. Entity/Debt Rating Prior ----------- ------ ----- The Co-operative Bank p.l.c. LT IDR BB+ Upgrade BB ST IDR B Affirmed B Viability bb Upgrade bb- Government Support ns Affirmed ns CORINTHIAN DEVELOPMENTS: Goes Into Administration ------------------------------------------------- BBC News reports that Corinthian Developments, the company behind a multimillion-pound waterfront development in Cornwall, has gone into administration. Administrators Moorfields Advisory said they had been appointed to oversee the North Quay development in Hayle, BBC relates. The 100-acre development (40.4 hectares) is located within a World Heritage Site. According to BBC, Councillor Peter Channon, a member of the town's harbour board, said a meeting with administrators had been "positive". Mr. Channon, as cited by BBC, said he was hopeful the development could enter a "turnaround period" now administrators had been appointed. "It's probably the best thing that could have happened because now it will have to be finished off properly," he said. "The important thing the locals will get an input into what goes on here." He said the site was privately owned, but the council had some say as the planning authority, BBC notes. FONTWELL SECURITIES 2016: Fitch Affirms B-sf Rating on Cl. S Notes ------------------------------------------------------------------ Fitch Ratings has upgraded six classes of Fontwell Securities 2016 Limited, and affirmed the others as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Fontwell Securities 2016 Limited A LT AA-sf Affirmed AA-sf B LT AA-sf Affirmed AA-sf C LT AA-sf Affirmed AA-sf D LT AA-sf Affirmed AA-sf E LT AA-sf Affirmed AA-sf F LT AA-sf Affirmed AA-sf G LT AA-sf Affirmed AA-sf H LT AA-sf Affirmed AA-sf I LT AA-sf Affirmed AA-sf J LT AA-sf Affirmed AA-sf K LT AA-sf Affirmed AA-sf L LT AA-sf Affirmed AA-sf M LT A-sf Upgrade BBB+sf N LT BBB+sf Upgrade BBB-sf O LT BBB+sf Upgrade BBB-sf P LT BB+sf Upgrade B+sf Q LT BB+sf Upgrade B+sf R LT BB-sf Upgrade B+sf S LT B-sf Affirmed B-sf TRANSACTION SUMMARY The transaction is a granular synthetic securitisation of partially funded credit default swaps (CDS) referencing a static portfolio of secured loans granted to UK borrowers in the farming and agriculture sector. The loans were originated by AMC plc, a fully owned subsidiary of Lloyds Bank plc (A+/Stable/F1). The ratings address the likelihood of a claim being made by the protection buyer under the CDS by the end of the protection period in December 2024, in accordance with the documentation. KEY RATING DRIVERS Higher Credit Enhancement: The rating actions reflect the increased credit enhancement due to the transaction deleveraging since the last review in early 2023. As of 12 December 2023, the class A tranche balance has further amortised to 21.5% of its original notional from 32% as of last review, leading to an increase in available credit enhancement for all notes. The class A to L notes' ratings are currently constrained by the UK Long-Term Issuer Default Rating (IDR) of 'AA-'/Negative. The transaction references a static portfolio of secured loans granted to UK borrowers in the farming and agriculture sector and the sector is still highly dependent on direct subsidies, albeit reducing, from the UK. MIR Deviation: The class S tranche's rating is two notches below the model-implied rating (MIR). The MIR deviation reflects the tranche's limited credit enhancement and the subordinated status of the tranche. The class T notes' balance reflects the adjustment of the initial loss for outstanding verified credit events at 35%, and the balance can write up or down depending on the ultimate verified loss, noting that so far there have been no losses to the loans in the originator's book. However, due to the limited credit enhancement for the class S tranche, this class is vulnerable to higher than expected defaults or lower than expected recoveries. Low Default Risk: The transaction has performed better than Fitch's expectations with the amount of outstanding credit events decreasing by EUR1.29 million since its last review (currently comprising 1.5% of outstanding portfolio balance). This is significantly lower than the annual average probability of default (based on 90 days past due) for this transaction set at 2.0%. Collateral Dilution Risk: The eligibility criteria and the originator's policies set the maximum loan-to-value (LTV) at 60%, calculated on a borrower basis. However, available mortgage collateral secures all AMC's exposure, including debt outside of the transaction. Any recoveries will be shared pro rata across a borrower's different AMC debts. The current LTV in the portfolio is around 24%, but any additional lending could reduce the collateral share for the securitised exposures. Fitch has stressed the LTV to 50% for loans with LTVs under 50%. The vast majority of available collateral is over agricultural land. In the recovery analysis, Fitch has applied its commercial property haircuts, which are 75% at the 'AA' level, and would reverse most of the increase experienced over the last 10 years. Limited Obligor Concentration: The portfolio is diverse with a total of 4,853 loans. The largest obligor and top 10 contribute around 0.6% and 5.3% of the total reference portfolio balance, respectively. Single Industry Exposure: All the borrowers in the reference portfolio are exposed to the UK farming and agriculture sector. Accordingly, Fitch continues to apply a bespoke correlation of 10%. This bespoke correlation reflects the low volatility of observed defaults in the originator's farming and agricultural loan book. It was calibrated at closing so that the portfolio default rate at 'B' stress can cover the maximum cumulative historical default of the originator's farming and agricultural loan book. Since the transaction has performed in line with expectations, the correlation of 10% is still applicable. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase in the default rate at all rating levels by 25% of the current portfolio's mean default rate, and a decrease of the recovery rate by 25% would result in no impact on the class A to L notes and downgrades of no more than four notches for the remaining notes, with a larger impact on the more junior tranches. If credit enhancement cannot fully compensate for the credit losses associated with the current ratings scenarios, notes could be downgraded, although this is not expected for the senior and mezzanine tranches. Further, a downgrade of the UK sovereign's Long-Term IDR could lower the maximum achievable structured finance rating for the transaction. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A decrease in the default rate at all rating levels by 25% of the portfolio's mean default rate, and an increase of the recovery rate by 25% based on the stressed loan-to-value ratio of the loans would have no impact on the class A to L notes and lead to upgrades of no more than five notches for the remaining notes. If credit enhancement ratios increase as the transaction deleverages, fully compensating credit losses that are commensurate with higher rating scenarios, the senior and mezzanine tranches could be upgraded. However, the class A to L notes' ratings are currently constrained at the UK's IDR. Fitch does not expect to upgrade the class A to L notes above the UK's IDR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fontwell Securities 2016 Limited Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with any assumptions 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. INTERNATIONAL GAME: Fitch Affirms BB+ LongTerm IDR, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has affirmed the Long-Term Issuer Default Ratings (IDRs) of International Game Technology plc (IGT) and IGT Lottery Holdings B.V. (IGTBV) at 'BB+'. Fitch has also affirmed IGT's senior secured debt at 'BBB-'/'RR2'. The 'RR2' for IGT's secured debt reflects its designation as a Category 2 first lien under Fitch's recovery criteria, given the instruments are issued by non-US based borrower. The Rating Outlook is Stable. The rating reflects IGT's conservative leverage profile, robust profitability, and solid liquidity, while also considering its leading share in core gaming end markets, specifically lottery. The strong credit profile positions IGT favorably to continue funding slot machine development, shareholder returns, and absorb potential future cash demands related to lottery concessions. The rating is balanced against the competitive intensity for rebids, growing market share, and the capital-intensive nature of the lottery industry that tend to include material, upfront cash payments. KEY RATING DRIVERS Credit Profile Improvement: Fitch projects IGT's 2023 EBITDA leverage to decline to 3.6x, largely due to the YTD 3Q23 double-digit growth in its gaming segment, further declining to low 3.0x by 2026. Management has a 2025 2.5x-3.5x net leverage target, and was at the midpoint of the band at Sept. 30, 2023. Fitch focuses on gross metrics and subtracts minority distributions from adjusted EBITDA (approximately 0.5x difference in leverage due to the latter). IGT has about 48% remaining under its existing USD300 million share repurchase program expiring in November 2025, and Fitch also assumes a relatively favorable dividend policy. There is also a possibility of tuck-in M&A, considering its 2022 acquisition of iSoftBet has started delivering healthy contributions. Divestitures Drive Debt Paydown: From 2021-2022, IGT sold its Italian B2C gaming business and Italian payments business, with proceeds primarily used to pay down debt. As of 2Q23, IGT is in the midst of a review to explore strategic alternatives for its gaming and digital segments, considering the company's EV/EBITDA multiple continues to lag its peers. Barring a status quo, Fitch believes a part of the proceeds could potentially be used to further de-lever, while also bolstering IGT's liquidity for the upcoming lottery rebid cycle. Lottery Exposure a Credit Strength: IGT generates about 70% of its EBITDA from lotteries, which is resilient and less prone to economic shocks and other threats seen elsewhere in the gaming industry. It also exhibits favorable characteristics relative to other forms of gaming such as less cash flow volatility, stable low-to-mid single-digit growth rates even during periods of dislocation, and higher profit margins, while benefitting from significant barriers to entry due to high regulatory oversight and capital intensity. Industry Leader: IGT is a market leader in lottery technology and services. The company contracts with about 40 jurisdictional clients in the U.S., including Texas, California and New York, and also benefits from a solid market position in the Italian lottery and Canadian video lotteries. Its lottery contracts are subject to renewals and extensions, but IGT has generally been able to extend them prior to expiration through strong performance and value-added services, with California, Kentucky, and South Dakota among the most recently secured multi-year extensions, and Connecticut and Brazil being brand-new wins. Considerable Cash Demands: IGT's considerable recurring cash demands include upfront license renewal fees, renewals and extensions of contracts, which, along with the development of the lottery terminals and slot participation games, reduce FCF. Upcoming capex is expected to increase due to the maturity of the Italian Lotto contract in 2025, New York and Texas in 2026, and other smaller opportunities in the Americas, but is estimated to return to normalized levels thereafter. IGT also pays about USD400 million of parent dividends and distributions to minority holders annually. Slot Trends Stabilizing: IGT saw its ship share and installed base erode over the last decade as newer competitors invested heavily in the U.S. and increased scale, though it has gained North American ship share over the last four years. Its current installed base has benefited from healthy international growth and a stabilization in North America. The average daily yields on IGT's installed slots remain over the pre-pandemic level of USD40 in North America, while its international yield has now caught up with that threshold. Average Sales Price (ASP) across all jurisdictions have also risen as suppliers are sharing rising input costs with operators. Growing Digital Business: IGT operates as a B2B player in the fast-growing U.S. digital gaming industry. The PlayDigital segment has grown 26% over the last 12 months but still accounts for 6% of IGT's sales. Growth is supported by continued adoption of IGT's offering in iGaming and Sports Betting, but longer-term growth will require more iGaming legalization, increased IGT capabilities, and geographic expansion. Fitch believes the ideal development pattern would be to accelerate organic growth, while doing bolt-on acquisitions as the current rating has room to accommodate strategic M&A. Recurring Revenues: About 80% of IGT's revenues are recurring, with the balance coming mostly from slot sales. These revenues are largely based on percentage of end-user sales, including participation in gaming machine wins and lottery sales. The recurring revenues are dependent on the operating environment, concession terms, and the share of casino floor devoted to IGT games. While IGT has been successful in retaining its top incumbent contract rebids, the termination or failure to renew or extend its contracts, which are awarded through competitive procurements, could place the company at a competitive disadvantage. Parent Subsidiary Linkage: Fitch applies the strong subsidiary/weak parent approach under its Parent and Subsidiary Linkage Rating Criteria. Fitch views the linkage as strong across IGT's entities given the openness of access and control by the parent and relative ease of cash movement throughout the structure. Fitch views the entities on a consolidated basis, and the ratings are linked. DERIVATION SUMMARY IGT's 'BB+' IDR reflects its conservative proforma leverage profile, solid CFFO generation, and leading market position in the global lottery and gaming equipment industries. It has a similar credit profile as Light & Wonder's (LNW; BB/Stable), another global slot supplier with a similar market share as IGT's, despite slightly higher leverage thanks to meaningful lottery exposure, which can withstand higher leverage as lottery business tends to be resilient and less prone to recessionary headwinds and economic shocks, threats seen elsewhere in the gaming industry, resulting in favorable characteristics such as stable low-to-mid single-digit growth rates, and higher profit margins. LNW's conservative leverage target band of 2.5x-3.5x and solid expected FCF margin position it well for a gaming supplier and mobile developer. Aristocrat (ALL; BBB-/Positive), which has a market-leading position in the slot segment, is rated one-notch higher than IGT, reflecting its strong business profile as a global gaming supplier and low gross leverage (target net leverage of 1.0x-2.0x), which Fitch views as appropriate for a low-investment-grade issuer. ALL has also made an accelerated and concerted push into the online real money gaming (RMG) space, while maintaining its leading position in social casino, casual, and role-playing games (RPG) gaming genres. On the other hand, Everi Holdings (EVRI; BB-/Stable) is rated two notches lower than IGT due to the slot supplier and cash services provider's smaller size, and the intense competition, potential regulatory changes, adaptation risks of new gaming technologies, and integration risks of newly-acquired companies it faces. IGT is stronger than its lottery peers - Scientific Games (B/Stable); Intralot (CCC+/RWP); and Allwyn (BB-/Stable). Scientific Games has meaningfully higher leverage (in the 7.0x range), while Intralot has upcoming re-financing risk and substantial exposure to emerging markets (Turkey and Argentina account for approximately 25% of its sales, both of which have suffered substantial currency depreciation), and Allwyn has some group structure complexity and has instated a more shareholder-friendly policy. KEY ASSUMPTIONS - Total revenues narrowly ease in 2024, followed by modest low single-digit growth thereafter; - Segmentally, 2024 Lottery sales decline about 3% due to a drop in North American Lottery Management Agreement (LMA) revenue from lower jackpot activity as compared with the prior year, followed by a steady growth of approximately 2% over Fitch's forecast horizon. iLottery, which currently accounts for a small portion of the segment, continues its double-digit growth potential; - 2024 Global Gaming segment sales moderate after a strong growth cycle in 2023 across each of unit sales (both expansionary and replacement), ASP, installed base units, and yields as Fitch projects a neutral outlook for global gaming for the year, reflecting a slight pullback from the pent-up demand seen in the U.S., which tends to drive nearly 70% of its segment sales. Subsequent growth is expected to be in about mid-single digit territory; --PlayDigital segment's organic sales also experience a marginal pull back in 2024 but growth still remains in the high single digits, expanding steadily thereafter; - Cost of services and product sales as a percentage of revenue decline slightly as IGT continues to execute on its 2025 operating income margin targets, and remains stable thereafter; - EBITDA margin remains in the low 40s over Fitch's forecast period; - Capital commitments remain elevated over Fitch's forecast horizon due to some potential opportunities in the Americas, a successful re-bid of the Italian Lotto contract, and key renewals/extensions in the New York and Texas contracts, resulting in an FCF margin in the low double digits; - Gross debt declines only to accommodate the EUR200 million annual amortization required by IGT's term loans. However, Fitch also assumes that a part of the upfront cost to renew the Italian Lotto contract will be funded by a draw on its revolver, which can then be re-financed by an ensuing medium-term bond; - Capital allocation is balanced between shareholder returns via share repurchases and dividend payouts. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: - EBITDA leverage declining below 3.5x; - Stable or growing slot share, particularly in North America; - New adjacencies (i.e. iLottery and Digital) achieving meaningful scale faster-than-anticipated. Factors that could, individually or collectively, lead to negative rating action/downgrade: - EBITDA leverage sustaining above 4.0x; - The loss of a material lottery contract(s), meaningful market share erosion, or a weakening of underlying lottery fundamentals. Meaningful, debt-funded upfront payments for lottery concessions could also affect the rating if not coupled with a credible de-levering strategy; - Slots business suffering from market share loss or the deterioration of operating fundamentals. If the secured notes and term loan are rated investment-grade by certain combinations of rating agencies, the collateral would fall away. If this were to transpire, the secured debt would be rated on par with the IDR and receive no upward notching. LIQUIDITY AND DEBT STRUCTURE Strong Liquidity underpinned by Healthy FCF: At Sept. 30, 2023, IGT had USD558 million in unrestricted cash and USD1.3 billion in additional borrowing capacity under its partially drawn revolving facilities, both of which mature in July 2027, compared with a scheduled debt repayment of EUR200 million per annum for its term loans maturing in January 2027. Fitch projects discretionary FCF (CFFO less capex) to remain healthy at over USD600 million over its forecast horizon. IGT's capital structure, which is currently fully secured, does not have any meaningful near-term maturities until its set of 2026 bonds. ISSUER PROFILE IGT is a leader in gaming across the lottery, gaming machines, and digital channels, and provides an integrated portfolio of gaming technology products and services. It is the world's largest lottery operator and a top 3 slots supplier. 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. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- International Game Technology plc LT IDR BB+ Affirmed BB+ senior secured LT BBB- Affirmed RR2 BBB- IGT Lottery Holdings B.V. LT IDR BB+ Affirmed BB+ senior secured LT BBB- Affirmed RR2 BBB- INTERNATIONAL PERSONAL: Moody's Affirms 'Ba3' CFR, Outlook Stable ----------------------------------------------------------------- Moody's Investors Service affirmed International Personal Finance plc's (IPF) Ba3 corporate family rating and its Ba3 backed senior unsecured ratings and (P)Ba3 backed senior unsecured MTN programme ratings. The outlook on the issuer remains stable. RATINGS RATIONALE The affirmation of IPF's Ba3 CFR reflects its solid loss-absorption capacity driven by its strong capitalisation and profitability, which collectively provide a buffer against unforeseen credit losses that could stem from the company's focus on the non-prime consumer segment. The CFR also considers the benefit of economic diversification to IPF's business model from its international footprint. At the same time, the CFR also incorporates IPF's reliance on confidence-sensitive wholesale funding, mostly in the form of bonds and bank credit facilities, which could present funding challenges during a market downturn. The existence of the negative pledge provision in credit agreements, which restricts IPF's access to secured funding, further constrains its financial flexibility. IPF's diversified borrowing sources under credit facilities provided by a number of banks, partly mitigates this concern; however, its limited long-term funding sources, together with a large bond maturity (EUR341 million) in November 2025, present a refinancing risk. The Ba3 rating of IPF's backed senior unsecured notes reflects their priorities of claim and asset coverage in the company's current liability structure. OUTLOOK The outlook is stable reflecting Moody's expectation that IPF will maintain solid financial performance and liquidity position over the next 12-18 months, while refinancing its EUR341 million bond at least a year prior to its maturity. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS IPF's ratings could be upgraded following a material improvement in its funding profile, as evidenced by significantly reduced debt maturity concentrations and by substantially increased availability under its credit facilities that could be used for general corporate purposes. IPF's CFR could be downgraded if IPF's asset quality meaningfully weakens and its profitability deteriorates, or if IPF does not renew its November 2025 bond maturity at least a year in advance of its maturity. The positioning of the CFR could be reassessed if IPF becomes subject to significantly adverse regulatory changes that would affect its business viability in some of its markets. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Finance Companies Methodology published in November 2019. JUPITER MORTGAGE 1: Fitch Assigns Final CCC Rating on Class X Notes ------------------------------------------------------------------- Fitch Ratings has assigned Jupiter Mortgage No. 1 PLC's notes final ratings. Entity/Debt Rating Prior ----------- ------ ----- Jupiter Mortgage No.1 PLC A XS2737623459 LT AAAsf New Rating AAA(EXP)sf B XS2737623376 LT AAsf New Rating AA(EXP)sf C XS2737623533 LT A-sf New Rating A-(EXP)sf Class A Loan Note LT AAAsf New Rating AAA(EXP)sf D XS2737623889 LT BBBsf New Rating BBB(EXP)sf E XS2737623616 LT B+sf New Rating B+(EXP)sf F XS2737623707 LT B-sf New Rating B-(EXP)sf X XS2737624267 LT CCCsf New Rating CCC(EXP)sf Z XS2737618962 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes were issued to refinance Jupiter Mortgage No.1 PLC - a securitisation of loans originated by multiple lenders. KEY RATING DRIVERS Mixed Sector Portfolio: The portfolio comprises prime (58%) and non-conforming (42%) loans. Fitch has split the pool into two based on each of the originators' lending practices and applied the relevant prime, buy-to-let (BTL) and non-conforming matrices. Originator Adjustment Applied: Fitch applied an originator adjustment of 1.4x and 1.0x to the foreclosure frequency of the prime owner-occupied (OO) and prime BTL sub-pools. When setting the originator adjustment, Fitch considered the lending criteria of the originators at the time to be in line with standard OO and BTL offers, while the historical performance is weaker than Fitch expects for current OO origination. The approach taken is consistent with comparable transactions by similar originators. An originator adjustment of 1.0x was applied to the OO sub-pool of the non-conforming pool as this sub-pool is in line with the characteristics, lending practices and historical performance of non-conforming origination. A 1.5x originator adjustment was applied to the non-conforming BTL sub-pool, which is consistent with its approach for similar non-conforming BTL sub-pools. This reflects the loose underwriting standards compared with current practices by BTL lenders. Seasoned Loans and Arrears: About 99.6% of the portfolio was originated between 2003 and 2009. The mortgage loans have benefited from considerable house price indexation, with a weighted average (WA) indexed current loan-to-value (CLTV) of 49.5% leading to a WA sustainable LTV (sLTV) of 63.0%. The OO loans in total make up 44.7% of the portfolio and contain a high proportion of self-certified, interest-only and restructured loan arrangements. Total arrears for the pool are around 20%, in line with the non-conforming index. For 5% of the collateral portfolio, borrowers have not made any payments in the last three months. Rental Income, Restructuring Data: Rental income figures for 58% of the BTL loans within the prime pool were not provided to Fitch for its asset analysis. Fitch has assumed the minimum permissible rental income for the BTL loans based on the originators' lending criteria at the time of origination, using conservative assumptions for the interest rate assessment. Loan level restructuring data was provided to Fitch including the type and date of restructure and Fitch has applied adjustments where the restructure was for credit-related events and not for inconsequential changes. Fitch expects to continue to receive such information for ongoing surveillance. Collateral Underperformance Risk: The asset pool has demonstrated rising arrears over recent months and this trend is likely to continue. The defaulted balance as of the pool cut-off date stands at approximately GBP61 million. The issuer will incur losses if the sale of property does not result in sufficient net proceeds to repay the current balance of these loans. Fitch has accounted for these risks through its rating determination, which for some tranches are one notch below their model- implied ratings. Weak Representations and Warranties Framework: The loan sale agreement contains limited warranties made by the seller in respect of the underlying assets. The seller has limited resources to indemnify the issuer and the sponsor's liability to the seller is, in turn, subject to time limitations. Fitch views this framework as weaker than normal UK RMBS standards, but the seasoning of the assets, the availability of assigned rights to the issuer and the absence of warranty breaches since the original closing in 2021 constitute sufficient mitigating factors. CRITERIA VARIATION A criteria variation has been made to the application of Fitch's UK RMBS Criteria. Criteria permit for a rating to be assigned that is one notch higher or lower than the model-implied rating based on other qualitative or quantitative factors that are not captured directly in modelling. Fitch has assigned a rating two notches below the model-implied rating for the class E notes as this class demonstrates particular vulnerability to reductions in revenue and recovery rates. These are relevant factors Fitch considers in its rating determination given collateral historical performance and the current economic environment. 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 the credit enhancement available to the notes. In addition, unexpected declines in recoveries could result in lower net proceeds, which may make some notes' ratings susceptible to negative rating action depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the weighted average foreclosure frequencies (WAFF) and a 15% decrease in the weighted average recovery rates (WARR) would lead to model-implied downgrades of two notches for the class A notes, three notches for the class B and class C notes and four notches for the class D notes. The class E, F and X notes would be assigned distressed ratings in this scenario. The exposure draft for the Global Structured Finance Rating Criteria published on 14 December 2023 will not have any impact on the ratings once the final version is published. This is because the exposure draft introduces changes to its interest deferral analysis while no ratings assigned to this transaction are constrained by interest deferrals. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable-to-improved asset performance driven by stable delinquencies and defaults would lead to increasing credit enhancement and, potentially, upgrades. Fitch found a decrease in the WAFF of 15% and an increase in the WARR of 15% would lead to model-implied upgrades of two notches for the class B and class C notes, four notches for the class D notes, seven notches for the class E notes and five notches for the class F notes. The class A notes are at the highest achievable rating on Fitch's scale and cannot be upgraded. The class X notes would continue to be assigned a distressed rating in this scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on the verification of data fields contained within the loan-level data against the loan system. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. 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 Jupiter Mortgage No.1 PLC has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy& Data Security due to the high proportion of interest-only loans in legacy OO mortgages, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Jupiter Mortgage No.1 PLC has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a large proportion of the pool containing OO loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Jupiter Mortgage No.1 PLC has an ESG Relevance Score of '4' for Exposure to Social Impacts due to the high proportion of borrowers in the pool that have already reverted to a floating rate and are currently paying a high standard variable rate. These borrowers may not be in a position to refinance. This has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. LUDGATE FUNDING 2007: Fitch Affirms B- Rating on Class E Debt ------------------------------------------------------------- Fitch Ratings has revised the Outlooks on Ludgate Funding Plc Series 2007 FF1 (LF 2007) and Ludgate Funding Plc's Series 2008-W1 (LF 2008) notes to Stable from Negative. It has also affirmed all ratings and removed the class E notes of both transactions from Rating Watch Negative (RWN). Entity/Debt Rating Prior ----------- ------ ----- Ludgate Funding Plc's Series 2008-W1 Class A1 XS0353588386 LT AAAsf Affirmed AAAsf Class A2b XS0353589608 LT AAAsf Affirmed AAAsf Class Bb XS0353591505 LT AA+sf Affirmed AA+sf Class Cb XS0353594434 LT AA-sf Affirmed AA-sf Class D XS0353595597 LT Asf Affirmed Asf Class E XS0353600348 LT BBB+sf Affirmed BBB+sf Ludgate Funding Plc Series 2007 FF1 Class A2a XS0304503534 LT AAAsf Affirmed AAAsf Class A2b XS0304504003 LT AAAsf Affirmed AAAsf Class Bb XS0304508681 LT A+sf Affirmed A+sf Class Cb XS0304509739 LT BBB+sf Affirmed BBB+sf Class Da XS0304510158 LT BB+sf Affirmed BB+sf Class Db XS0304512105 LT BB+sf Affirmed BB+sf Class E XS0304515546 LT B-sf Affirmed B-sf Class Ma XS0304504698 LT AA+sf Affirmed AA+sf Class Mb XS0304505232 LT AA+sf Affirmed AA+sf TRANSACTION SUMMARY LF 2007 and LF 2008 are secured by loans originated by Wave (formerly Freedom Funding Limited) and purchased by Merrill Lynch International Bank Limited. The loans are buy-to-let and non-conforming owner-occupied and secured against properties located in England and Wales. KEY RATING DRIVERS Transition to Alternative Reference Rate: Fitch placed the class E notes on RWN in July 2023. Fitch had previously revised all Outlooks to Negative due to the risk that the interest rate on the notes could become fixed if the notes did not transition to an alternative reference rate by March 2024; when the Financial Conduct Authority plans to stop the publication of three-month GBP Libor. A notice to noteholders was finally published in January 2024 by the issuer following consent from noteholders to transition to compounded daily SONIA. Fitch has been informed and removed the class E notes from RWN, and revised the Outlooks to Stable. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transactions' performance may be affected by changes in market conditions and economic environment. Weakening economic performance is strongly correlated with increasing levels of delinquencies and defaults that could reduce credit enhancement (CE) available to the 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 potentially upgrades. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Ludgate Funding Plc Series 2007 FF1, Ludgate Funding Plc's Series 2008-W1 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 transactions' initial closing. The subsequent performance of the transactions 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. ESG CONSIDERATIONS Ludgate Funding Plc Series 2007 FF1 and Ludgate Funding Plc's Series 2008-W1 have an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to a material concentration of interest only loans, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Ludgate Funding Plc Series 2007 FF1 and Ludgate Funding Plc's Series 2008-W1 have an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to mortgage pools with limited affordability checks and self-certified income, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REDHALO MIDCO: S&P Gives 'B' Rating on Term Loan B-3 for Repricing ------------------------------------------------------------------ S&P Global Ratings assigned its 'B' issue rating and '3' recovery rating to the EUR430 million term loan B-3 to be issued by one.com Group AB and sotus 860.GmbH, subsidiaries of Redhalo Midco (Uk) Ltd. (B/Stable/--), the owner of European web hosting provider group.one. The '3' recovery rating indicates S&P's expectation of meaningful (50%-70%; rounded estimate: 60%) recovery of principal in the event of a payment default. The term loan is part of group.one's plans to reprice its existing debt facility B-1. S&P thinks the transaction will improve the company's cash flow thanks to an annual interest savings of about EUR10 million. The like-for-like debt issuance of EUR430 million will carry an interest margin of a low 4.0%, versus the higher 6.5% margin on the current term loan B-1. These savings, together with our expectation of strong EBITDA growth in 2024, should drive the company's free operating cash flow to more than EUR60 million, compared with our estimate of less than EUR30 million in 2023 on a pro forma basis. group.one is also increasing its revolving credit facility (RCF) to EUR120 million, from EUR80 million, and canceling its EUR100 million acquisition capex facility. Following the acquisition of web hosting and digital marketing services provider dogado at the start of 2023, group.one's economies of scale have been effective. The company's pro forma revenue increased 8.5% to EUR303 million in fiscal 2023, with a reported EBITDA margin of 44.1%, compared with 40.7% in fiscal 2022. S&P said, "We forecast that the EBITDA margin will further expand toward 50% in 2025 thanks to sound operating leverage, tight cost control, expected synergies, and diminishing one-off costs. But first, because of still-high one-off costs and limited synergies anticipated this year, S&P Global Ratings-adjusted EBITDA margin will expand to 42% in fiscal 2024 from about 40% in fiscal 2023, and adjusted debt to EBITDA will improve to about 5.5x--our threshold for a 'B+' rating--from 6.5x in fiscal 2023. We also think that the company could deleverage toward 4x in 2025, absent any major debt-funded acquisitions or sizable shareholder returns." S&P said, "We think group.one will continue to benefit from the strong uptick in digitalization. The company's topline growth could reach about 15% despite the relatively weak economic backdrop. We think small and midsize enterprises, the company's main clientele, will continue to increase their spending on their online presence. We think this presents group.one with natural cross-selling opportunities and pricing upside, considering the company's expanded product offering following the dogado acquisition and relatively low-price value proposition compared with that of major competitors like team.blue." Issue Ratings -- Recovery Analysis Key analytical factors -- The proposed EUR430 million term loan B-3 and the existing EUR350 million term loan B and the EUR120 million pari passu RCF raised by Redhalo Midco (UK) Ltd. and its subsidiaries one.com Group AB and Isthmus Danish Bidco ApS are rated 'B' with a '3' recovery rating. -- The '3' recovery rating indicates S&P's expectation of meaningful (50%-70%; rounded estimate: 60%) recovery in the event of default. This reflects that no prior ranking debt is existing in the current capital structure and our valuation of Redhalo Midco (UK) Ltd. as a going concern, established and leading market position in the Nordic, Benelux and DACH regions' shared hosting markets and its own proprietary software solutions. -- The recovery rating is constrained by the business' asset-light nature and the company's high leverage resulting in high amount of same ranking debt at hypothetical default. -- In S&P's hypothetical default scenario, it assumes a severe economic downturn, and increased competition resulting in pricing pressures, and leading to a drop in revenue. Simulated default assumptions -- Simulated year of default: 2027 -- Minimum capex: 2.5% of forecast revenue in 2024 -- Cyclicality adjustment factor: 5% (standard assumption for the technology, software, and software services sectors) -- Emergence EBITDA: about EUR91 million -- Implied enterprise value multiple: 6.5x -- Jurisdiction: U.K. Simplified waterfall -- Gross recovery value: about EUR589 million -- Net value available to creditors after admin. expense (5%): EUR559 million -- Estimated first-lien debt claims: EUR917 million --Recovery expectations: 50%-70% (rounded estimate: 60%) --Recovery rating: 3 -- All debt amounts include six months of prepetition interest. -- The RCF is assumed to be 85% drawn at default. The recovery range is rounded down to the nearest 5%. Key metrics Redhalo Midco (Uk) Ltd.--Forecast summary Industry sector: Software & services (MIL. EUR) 2021A 2022A 2023E 2024F 2025F Revenue 118 147 303 348 380 EBITDA (reported) 47 61 122 150 194 Plus/(less): Other (2) 0 (2) (4) (4) EBITDA 45 61 120 146 190 Less: Cash interest paid (28) (29) (64) (62) (52) Less: Cash taxes paid (1) 0 (9) (3) (17) Funds from operations 15 32 48 80 121 (FFO) Free operating cash flow 32 31 31 66 112 (FOCF) Debt (reported) 343 343 782 782 782 Plus: Lease liabilities debt 6 3 5 6 6 Debt 349 346 787 788 788 Cash and short-term investments (reported) 70 74 30 91 96 ADJUSTED RATIOS Debt/EBITDA (x) 7.8 5.7 6.5 5.4 4.1 FFO/debt (%) 4.4 9.2 6.0 10.2 15.3 FOCF/debt (%) 9.2 8.8 3.9 8.3 14.3 Annual revenue growth (%)46.1 24.2 107.0 14.7 9.2 EBITDA margin (%) 38.0 41.4 39.7 41.9 50.1 Fiscal year ends Sept. 30. All figures adjusted by S&P Global Ratings, unless stated as reported. 2023 results are on a pro forma basis. a--Actual. e--Estimate. f--Forecast. REKOM UK: Confirms Plans to Close 17 Venues Under Pre-pack Deal --------------------------------------------------------------- Sam Honey at KentLive reports that a long-running Dartford nightclub has been forced to close its doors for good as its operator has fallen into administration. According to KentLive, Rekom UK, the nation's biggest nightclub firm, has confirmed plans to close 17 venues across the country as part of a pre-pack administration. The company has contended with higher bills and rising running costs, and has recently confirmed plans to call in administrators as difficulties worsened, KentLive relates. Among the venues set to close are six Przym nightclubs and four ATIK venues, with an estimated 471 jobs to be lost in total, KentLive discloses. The ATIK venue in Dartford was left with no choice but shut permanently, KentLive relays. Rekom UK has previously stated that it has faced an "extremely difficult" year for the late-night sector due to the rising cost of living and rocketing energy and utilities, KentLive recounts. It added that it would face further pressure from needing "to find an extra GBP2 million in wages" after the Government announced a rise in the minimum wage, KentLive states. Grant Thornton UK LLP has been appointed as administrators, KentLive discloses. The business was previously known as Deltic Group before it fell into administration in late 2020 amid the strains of the pandemic and back-to-back lockdowns, KentLive notes. It was later bought Scandinavian nightclub operator Rekom and the Nordic arm of Rekom is not affected by the closures, according to KentLive. SMALL ROBOT: Enters Liquidation, Seeks Buyer for Assets ------------------------------------------------------- Future Farming reports that UK's Small Robot Company (SRC) proceeds into liquidation. The technology of the company delivered value at a profit, with customers waiting, but could not secure the required investment to scale, Future Farming discloses. According to SRC on LinkedIn they had a signed Term Sheet, but the investment did not land before the runway ended, Future Farming relates. "As of February 1, Kroll has been appointed as administrators to sell the assets. We have worked with them to find potential acquirers, ideally to find a future for some of the team and the technology which continues to have a benefit to farmers, and the planet," Future Farming quotes SRC as saying. STRATTON HAWKSMOOR 2022-1: Fitch Affirms B-sf Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed Stratton Hawksmoor 2022-1 PLC's notes. Entity/Debt Rating Prior ----------- ------ ----- Stratton Hawksmoor 2022-1 PLC Class A1 XS2503014057 LT AAAsf Affirmed AAAsf Class A2 XS2503014131 LT AAAsf Affirmed AAAsf Class B XS2503014214 LT AA+sf Affirmed AA+sf Class C XS2503014305 LT A+sf Affirmed A+sf Class D XS2503014487 LT BBB+sf Affirmed BBB+sf Class E XS2503014644 LT BBB+sf Affirmed BBB+sf Class F XS2503014727 LT BBsf Affirmed BBsf Class G XS2503014990 LT B-sf Affirmed B-sf Class X1 XS2503015021 LT B-sf Affirmed B-sf TRANSACTION SUMMARY This transaction is a refinancing of four transactions that contained a mix of first-lien residential non-conforming and buy-to-let (BTL) assets that were originated prior to the global financial crisis. The four transactions were: Hawksmoor Mortgage Funding 2019-1, Stratton Mortgage Funding 2019-1, Clavis Securities plc Series 2006-1 and Clavis Securities plc Series 2007-1. The four sub-pools are serviced by Kensington Mortgage Company (Hawksmoor Mortgage Funding 2019-1), BCM Global/Link (Stratton 2019-1) and CLS (Clavis 2006-1 and Clavis 2007-1). KEY RATING DRIVERS Worsening Asset Performance: The portfolio consists of first-lien residential non-conforming and BTL assets that were originated pre-crisis. Fitch sees risk of performance deterioration in non-conforming pools as a result of elevated interest rates. Both early-stage and late-stage arrears have risen since the last review to 24.15% from 16.5% and 15.62% from 10.2%, respectively. A further increase in early-stage arrears or a migration towards later stages of arrears could result in an increase in the weighted average foreclosure frequency (WAFF) and lower model-implied ratings (MIR) in future model updates. The ratings of the class D notes have been constrained by one notch below their MIR to account for this risk. Increasing Credit Enhancement: Credit enhancement (CE) has increased since the last review supporting the affirmations of the notes. Fitch has included the liquidity reserve fund and general reserve fund in its CE calculation for the class A1 notes because they are immediately available to provide credit support by covering for class A1 principal deficiency ledger amounts. CE for the class A1 notes has increased to 23.7% from 21.4%. Rising Repossessions: The number of repossessions, while currently at a low proportion of the total pool, has grown to 0.4% of the outstanding portfolio from 0.1% since the last review. Fitch estimates that the current loss rate on sold repossessions is around 13.5%. If this trend was confirmed for a larger proportion of the collateral, loss rates could be higher than its base case. This could in turn imply lower MIR for the more junior tranches. Fitch's 'Bsf' WAFF at 12.0% (all assumed to go through the repossession process) currently still provides sufficient headroom. Multiple Servicer Platforms: The transaction's collateral portfolio is serviced by three different servicers, each in charge of a different portfolio. Fitch considers that this feature, together with the availability of a liquidity reserve and a reserve fund, mitigates the risk of payment interruption arising from a servicer default. In the event that a servicer defaulted on its obligations, Fitch believes that the continued operations of the others would prevent any non-payment of non-deferrable interest. Additionally, a back-up servicer facilitator is in place, reducing the expected time it would take to appoint a new servicer. 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 economic environment. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce CE available to the notes. Additionally, unanticipated declines in recoveries could also result from lower net proceeds, which may make certain notes susceptible to negative rating action depending on the extent of the decline in recoveries. Fitch conducts sensitivity analyses by stressing both a transaction's base-case FF and recovery rate (RR) assumptions, and examining the rating implications for all classes of issued notes. A 15% increase in the WAFF and a 15% decrease in the WARR indicate a rating impact of up to one notch for the class A1 and A2 notes, three notches for the class C and D notes, five notches for the class E notes and six-notches for the class F 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 and potential upgrades. Fitch tested an additional rating sensitivity scenario by applying a decrease in the FF of 15% and an increase in the RR of 15%, which indicate a rating impact of up to one notch for the class B notes, three notches for the class D and E notes and six notches for the class F notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. 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 Stratton Hawksmoor 2022-1 PLC has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the owner-occupied (OO) sub-pool comprising a significant proportion (over 20%) of pre-2014 collateral with limited affordability checks and self-certified income. This has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Stratton Hawksmoor 2022-1 PLC has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to the OO sub-pool containing a concentration (over 20%) of interest-only loans. This has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. STRATTON MORTGAGE 2024-1: Fitch Assigns 'BB-sf' Rating on E Notes ----------------------------------------------------------------- Fitch Ratings has assigned Stratton Mortgage Funding 2024-1 Plc's notes final ratings, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Stratton Mortgage Funding 2024-1 Plc A XS2728570248 LT AAAsf New Rating AAA(EXP)sf B XS2728570321 LT AA-sf New Rating AA-(EXP)sf C XS2728570594 LT A-sf New Rating A-(EXP)sf Class A Loan LT AAAsf New Rating D XS2728574232 LT BBB-sf New Rating BBB-(EXP)sf E XS2728574406 LT BB-sf New Rating BB-(EXP)sf F XS2728574588 LT CCCsf New Rating CCC(EXP)sf X1 XS2728574828 LT CCCsf New Rating CCC(EXP)sf X2 XS2728575049 LT CCsf New Rating CC(EXP)sf Z XS2728574745 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The transaction is a securitisation of loans that were originated by multiple lenders and previously securitised in the Stratton Mortgage Funding 2021-2 transaction. KEY RATING DRIVERS Mixed Sector Portfolio: The portfolio comprised 55.7% prime and 44.3% non-conforming loans. Fitch has split the pool into two based on each of the originators' lending practices and applied the relevant prime, BTL and non-conforming matrices. Originator Adjustment Applied: Fitch applied an originator adjustment of 1.4x and 1.0x to the foreclosure frequency (FF) of the owner-occupier (OO) and BTL prime loans, respectively. When setting the originator adjustment, Fitch considered the lending criteria of the originators at the time to be in line with standard OO and BTL products, while the historical performance is weaker than Fitch expects for current OO origination. The approach is consistent with comparable transactions by similar originators. An originator adjustment of 1.0x was applied to the OO non-conforming loans, as this sub-pool is in line with characteristics, lending practices and historical performance of non-conforming originations. A 1.5x originator adjustment was applied to the non-conforming BTL loans, which is consistent with its approach for similar non-conforming BTL sub-pools. This reflects the fairly loose underwriting standard compared with current practices by BTL lenders. Seasoned Loans and Arrears: About 99% of the portfolio was originated between 2003 and 2008. The mortgage loans have benefitted from considerable house price indexation, with a weighted average (WA) indexed current loan-to-value (CLTV) of 50.5% leading to a WA sustainable LTV (sLTV) of 64.2%. The OO loans, which make up 44.3% of the portfolio, contain a high proportion of self-certified, interest-only and restructured loan arrangements. Total WA arrears stand at 25.4%. For 5% of the collateral portfolio, borrowers have not made any payment in the last three months. Rental Income and Restructuring Data: Rental income figures for 46% of BTL loans within the prime pool were not provided to Fitch for its asset analysis. Fitch has assumed the minimum permissible rental income for the BTL loans based on the originators' lending criteria at the time of origination, using conservative assumptions for the interest-rate assessment. Loan level restructuring data was provided to Fitch including the type and date of restructure, and Fitch has applied adjustments where the restructure was for credit-related events and not for inconsequential changes. Fitch expects to continue to receive such information for the ratings. Collateral Underperformance Risk: The asset pool has demonstrated rising arrears over recent months and this trend is likely to continue in the months after closing. In addition, around GBP27 million of assets are either in litigation or have a Law of Property Act receiver appointed that may dispose of the security to repay the mortgage. The issuer will incur losses if the sale of property does not result in sufficient net proceeds to repay the current balance of these loans. Fitch has accounted for these risks through its rating determination, which for some tranches are one notch below their model-implied ratings. Weak Representations and Warranties Framework: The seller provides the majority of representations and warranties (R&W) Fitch expects in a UK RMBS transaction, but many are qualified by the seller. Protection for R&W breaches is limited to the seller's obligation to repurchase mortgage loans or make an indemnity payment in lieu of such repurchase. The seller is not a rated entity and may have limited resources available to indemnify the issuer or to repurchase loans on a breach of the R&Ws. Fitch views this framework as weak in comparison with typical UK RMBS, but the seasoning of the assets and the absence of warranty breaches in the SMF 2021-2 transaction make the likelihood of the issuer suffering a material loss sufficiently remote. 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. Additionally, unanticipated declines in recoveries could also result from lower net proceeds, which may make certain notes susceptible to negative rating action depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the weighted average (WA) FF and a 15% decrease in the WA recovery rate (RR) indicates model-implied downgrades of two notches for the class A and B notes, three notches for the class C notes and four notches for the class D notes. The class E, F, X1 and X2 notes would have distressed ratings in this scenario. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE and, potentially, upgrades. Fitch found a decrease in the WAFF of 15% and an increase in the WARR of 15% indicates model-implied upgrades of three notches for the class B notes, two notches for the class C notes, five notches for the class D notes, six notches for the class E notes and four notches for the class F notes. The class A notes are at the highest achievable rating on Fitch's scale and cannot be upgraded, while the class X1 and X2 notes would remain at their distressed ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15Eh) as prepared by PricewaterhouseCoopersLLP. The third-party due diligence described in Form 15E focused on validating loan level data against the relevant sources. Fitch considered this information in its analysis, which did not have an effect on Fitch's analysis or conclusions. 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 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 reliable. ESG CONSIDERATIONS Stratton Mortgage Funding 2024-1 Plc has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the high proportion of interest-only loans in legacy OO mortgages, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Stratton Mortgage Funding 2024-1 Plc has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a large proportion of the pool containing OO loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SYNTHOMER PLC: S&P Lowers ICR to 'BB-' on High Leverage ------------------------------------------------------- S&P Global Ratings lowered its ratings on chemical manufacturer Synthomer PLC and its debt to 'BB-' from 'BB'. The recovery rating on the debt remains at '3', reflecting its expectation of meaningful recovery prospects (55% rounded estimate). S&P said, "The negative outlook indicates that we could lower the rating if Synthomer's EBITDA and leverage fail to improve in line with our base-case assumptions, such that adjusted debt to EBITDA exceeds 5.0x over the next 18 months. We could also lower the ratings if Synthomer is unable to refinance its upcoming bond or obtain covenant waivers in a timely manner. "Conditions in the sector are likely to remain difficult through the first half of 2024, followed by a moderate, volume-driven recovery in the second half. We estimate that Synthomer's adjusted debt-to-EBITDA will remain elevated for longer, and could be as high as 5.7x-5.9x in 2024. Adjusted EBITDA is forecast to increase modestly in 2024, to about GBP140 million-GBP145 million from the GBP130 million we estimate for 2023, and to improve to GBP210 million-GBP220 million only in 2025. Leverage could therefore fall to below 4.0x in 2025, depending on the strength of the recovery in adjusted EBITDA." In estimating adjusted debt for 2023, S&P factors in about GBP65 million of pension liabilities (net of tax), GBP45 million of lease liabilities, GBP38 million related to a fine from the European Commission, and about GBP120 million of factoring liabilities. Although Synthomer's management took corrective actions in 2023, adjusted debt to EBITDA at the end of the year is likely to be at the high end of our expectations, at about 6.0x. Conditions in the chemical industry were difficult in 2023, as heightened macroeconomic uncertainty depressed demand in Synthomer's end markets for its construction, coatings, and adhesive solutions products. Demand for nitrile-butadiene rubber (NBR) was further subdued by continued destocking at glove manufacturers, causing capacity utilization to be low. Adhesives and NBR business lines also suffered tough competition from Chinese producers. These issues were compounded at Synthomer by company-specific factors, such as asset reliability in the adhesive technologies business and supply-chain disruptions. These depressed profitability—S&P estimate sthat Synthomer will post an adjusted EBITDA margin of just 6.4% in 2023, following the already-low 9.3% it posted in 2022. Management delivered clear steps to reduce leverage and manage liquidity in 2023. These included GBP261 million in net proceeds from an equity raise in September; the disposal of its film and laminates business in February, which brought in net cash proceeds of $260.3 million; the cancellation of dividends; a cut in capital expenditure (capex); and a focus on working capital, cash conversion, and margin protection measures. In addition, over the past 18 months, the company has twice requested that its revolving credit facility (RCF) and U.K. export finance lenders agree to reset the covenants so that it remains compliant with the required thresholds. We consider these actions critical to supporting Synthomer's balance sheet and liquidity in a tough market. S&P said, "We assigned a new management and governance (M&G) assessment of neutral to Synthomer. The assignment follows the Jan. 7, 2024, publication of S&P Global Ratings' revised criteria for evaluating the credit risks presented by an entity's M&G framework. Our assessment indicates that we see management and governance practices as neutral to overall credit risk at Synthomer. The new M&G assessment had no impact on our rating or outlook on Synthomer. "The negative outlook indicates that we could lower the rating if Synthomer's EBITDA and leverage were to fall short of our base-case assumptions. We could also lower the ratings if Synthomer proves unable to refinance its upcoming EUR520 million bond, due July 1, 2025, or obtain covenant waivers in a timely manner." S&P could lower the rating if: -- S&P forecasts that adjusted debt to EBITDA will remain above 5.0x for the next 18 months, for example, because of a weaker-than-anticipated market rebound; -- Synthomer's free operating cash flow (FOCF) turns consistently negative, without any prospect of a swift recovery; -- Further covenant pressure emerged; or -- There is a delay in the refinancing of the bond that matures on July 1, 2025, so that it becomes a short-term liability. S&P could revise the outlook to stable if: -- Adjusted leverage remains well below 5.0x; -- The company consistently generates positive FOCF of at least GBP50 million; and -- S&P forecasts that Synthomer will maintain adequate liquidity and comfortable headroom under its financial covenants. YOUNGS TRANSPORTATION: Goes Into Administration ----------------------------------------------- Dominic Bareham at East Anglian Daily Times reports that a transport and warehousing firm which operates at the Port of Felixstowe has gone into administration, it has emerged. According to East Anglian Daily Times, Youngs Transportation & Logistics, based at Grays in south Essex, has applied to the Insolvency and Companies List to appoint an administrator. As well as in Felixstowe, the company has operations at Grays, Southampton and Warrington. The reasons why the company has gone into administration are unknown, along with the number of job losses, though on its website it says that it has been in operation for 50 years and has a fleet of more than 150 vehicles, together with extensive warehouse facilities, East Anglian Daily Times notes. Its website says the firm arranges the transportation of abnormal and obscure loads and dangerous goods, as well as warehousing. Youngs' Felixstowe depot is based less than a mile from the port, the UK's largest in terms of container shipping, in Dooley Road. =============== X X X X X X X X =============== [*] BOND PRICING: For the Week January 29 to February 2, 2024 ------------------------------------------------------------- Coupon Maturity Currency Issuer Price ------ -------- -------- ------ ----- Codere Finance 2 Luxembour 12.750 11/30/2027 EUR 2.266 Codere Finance 2 Luxembour 11.000 9/30/2026 EUR 53.400 Oscar Properties Holding A 11.317 7/5/2024 SEK 5.426 Mallinckrodt International 10.000 6/15/2029 USD 10.017 Solocal Group 10.925 3/15/2025 EUR 19.864 Codere Finance 2 Luxembour 13.625 11/30/2027 USD 2.416 Bakkegruppen AS 11.700 2/3/2025 NOK 46.359 R-Logitech Finance SA 10.250 9/26/2027 EUR 15.250 Saderea DAC 12.500 11/30/2026 USD 43.437 Codere Finance 2 Luxembour 13.625 11/30/2027 USD 2.416 Caybon Holding AB 10.550 3/3/2025 SEK 45.999 Plusplus Capital Financial 11.000 7/29/2026 EUR 9.705 Ilija Batljan Invest AB 10.797 SEK 3.209 Tinkoff Bank JSC Via TCS F 11.002 USD 37.000 IOG Plc 13.438 9/20/2024 EUR 10.000 UkrLandFarming PLC 10.875 3/26/2018 USD 3.557 YA Holding AB 12.789 12/17/2024 SEK 15.000 Offentliga Hus I Norden AB 10.924 SEK 44.406 Mallinckrodt International 10.000 4/15/2025 USD 12.205 Bourbon Corp SA 11.652 EUR 1.288 Immigon Portfolioabbau AG 10.258 EUR 9.938 Avangardco Investments Pub 10.000 10/29/2018 USD 0.109 Bilt Paper BV 10.360 USD 2.692 Solocal Group 10.925 3/15/2025 EUR 19.212 Privatbank CJSC Via UK SPV 10.250 1/23/2018 USD 0.646 Virgolino de Oliveira Fina 11.750 2/9/2022 USD 0.653 Codere Finance 2 Luxembour 11.000 9/30/2026 EUR 53.400 Virgolino de Oliveira Fina 10.500 1/28/2018 USD 0.180 Phosphorus Holdco PLC 10.000 4/1/2019 GBP 0.373 Transcapitalbank JSC Via T 10.000 USD 0.784 Virgolino de Oliveira Fina 10.500 1/28/2018 USD 0.180 Privatbank CJSC Via UK SPV 10.875 2/28/2018 USD 8.605 Turkiye Ihracat Kredi Bank 12.540 9/14/2028 TRY 49.478 Mallinckrodt International 10.000 4/15/2025 USD 12.205 Sidetur Finance BV 10.000 4/20/2016 USD 0.300 Mallinckrodt International 10.000 6/15/2029 USD 10.017 Santander Consumer Finance 10.757 EUR 92.858 Privatbank CJSC Via UK SPV 11.000 2/9/2021 USD 1.000 UBS AG/London 16.500 7/22/2024 CHF 42.450 Virgolino de Oliveira Fina 10.875 1/13/2020 USD 36.000 Codere Finance 2 Luxembour 12.750 11/30/2027 EUR 2.266 Societe Generale SA 21.000 12/26/2025 USD 27.300 UBS AG/London 12.000 2/22/2024 CHF 50.000 Bulgaria Steel Finance BV 12.000 5/4/2013 EUR 0.216 Societe Generale SA 16.000 7/3/2024 USD 24.400 Virgolino de Oliveira Fina 10.875 1/13/2020 USD 36.000 Societe Generale SA 16.000 7/3/2024 USD 32.250 BNP Paribas SA 10.000 7/26/2027 USD 10.350 Tailwind Energy Chinook Lt 12.500 9/27/2019 USD 1.500 Societe Generale SA 13.010 11/14/2024 USD 27.000 Virgolino de Oliveira Fina 11.750 2/9/2022 USD 0.653 Bilt Paper BV 10.360 USD 2.692 ACBA Bank OJSC 11.500 3/1/2026 AMD 0.000 Deutsche Bank AG/London 13.750 6/20/2026 TRY 39.312 Phosphorus Holdco PLC 10.000 4/1/2019 GBP 0.373 National Mortgage Co RCO C 12.000 3/30/2026 AMD 0.000 Citigroup Global Markets F 25.530 2/18/2025 EUR 2.070 Converse Bank 10.500 5/22/2024 AMD 0.000 BNP Paribas Issuance BV 20.000 9/18/2026 EUR 48.850 UkrLandFarming PLC 10.875 3/26/2018 USD 3.557 KPNQwest NV 10.000 3/15/2012 EUR 0.821 Societe Generale SA 18.000 5/31/2024 USD 21.000 Goldman Sachs Internationa 16.288 3/17/2027 USD 29.130 Lehman Brothers Treasury C 18.250 10/2/2008 USD 0.100 Fast Credit Capital UCO CJ 11.500 7/13/2024 AMD 0.000 Ukraine Government Bond 10.570 5/10/2027 UAH 46.880 Tonon Luxembourg SA 12.500 5/14/2024 USD 0.010 Sintekom TH OOO 13.000 1/23/2025 RUB 18.380 UniCredit Bank GmbH 10.500 9/23/2024 EUR 33.470 Societe Generale SA 20.000 1/29/2026 USD 34.000 ObedinenieAgroElita OOO 13.750 5/22/2024 RUB 18.890 Zurcher Kantonalbank Finan 17.400 4/19/2024 USD 48.550 Leonteq Securities AG/Guer 28.000 6/5/2024 CHF 26.440 Bank Vontobel AG 25.000 7/22/2024 USD 45.600 BLT Finance BV 12.000 2/10/2015 USD 10.500 Deutsche Bank AG/London 12.780 3/16/2028 TRY 49.331 Privatbank CJSC Via UK SPV 10.875 2/28/2018 USD 8.605 Petromena ASA 10.850 11/19/2018 USD 0.622 NTRP Via Interpipe Ltd 10.250 8/2/2017 USD 0.937 Banco Espirito Santo SA 10.000 12/6/2021 EUR 0.063 Ukraine Government Bond 12.500 4/27/2029 UAH 41.059 Ukraine Government Bond 12.500 10/12/2029 UAH 39.745 Ameriabank CJSC 10.000 2/20/2025 AMD 0.000 Sidetur Finance BV 10.000 4/20/2016 USD 0.300 Finca Uco Cjsc 12.500 6/21/2024 AMD 0.000 DZ Bank AG Deutsche Zentra 20.200 3/22/2024 EUR 46.270 Credit Agricole Corporate 10.200 12/13/2027 TRY 48.340 Evocabank CJSC 11.000 9/28/2024 AMD 0.000 Societe Generale SA 15.000 8/30/2024 USD 17.000 Societe Generale SA 16.260 8/1/2024 USD 40.200 UBS AG/London 14.750 3/11/2024 CHF 50.350 UBS AG/London 16.000 3/11/2024 CHF 8.420 UBS AG/London 12.250 3/11/2024 CHF 8.080 Bank Vontobel AG 11.000 2/23/2024 CHF 9.000 UBS AG/London 12.250 3/11/2024 EUR 36.250 Finca Uco Cjsc 12.000 2/10/2025 AMD 0.000 UniCredit Bank GmbH 10.700 2/3/2025 EUR 28.150 UniCredit Bank GmbH 10.700 2/17/2025 EUR 28.380 UBS AG/London 21.600 8/2/2027 SEK 58.560 UniCredit Bank GmbH 16.550 8/18/2025 USD 37.480 Societe Generale SA 22.750 10/17/2024 USD 19.400 Bank Vontobel AG 12.000 9/30/2024 EUR 40.000 Societe Generale SA 20.000 12/18/2025 USD 28.000 Landesbank Baden-Wuerttemb 11.000 3/22/2024 EUR 32.320 UBS AG/London 13.000 9/30/2024 CHF 16.920 Landesbank Baden-Wuerttemb 12.500 3/22/2024 EUR 29.610 Corner Banca SA 13.000 4/3/2024 CHF 32.610 Societe Generale SA 15.000 10/31/2024 USD 25.900 Societe Generale SA 20.000 11/28/2025 USD 13.500 Societe Generale SA 16.000 8/1/2024 USD 16.900 Societe Generale SA 18.000 8/1/2024 USD 20.950 Societe Generale SA 20.000 7/21/2026 USD 16.000 UniCredit Bank GmbH 10.300 9/27/2024 EUR 33.150 Bank Vontobel AG 13.000 3/18/2024 CHF 25.600 Bank Julius Baer & Co Ltd/ 18.400 3/20/2024 CHF 46.850 EFG International Finance 10.300 8/23/2024 USD 33.680 Societe Generale SA 13.500 8/23/2024 USD 49.700 Societe Generale SA 11.000 7/14/2026 USD 20.900 Societe Generale SA 18.000 8/1/2024 USD 20.954 Societe Generale SA 25.260 10/30/2025 USD 10.000 Societe Generale SA 26.640 10/30/2025 USD 5.000 Bank Vontobel AG 13.500 1/8/2025 CHF 44.300 Raiffeisen Schweiz Genosse 20.000 8/28/2024 CHF 53.360 Leonteq Securities AG/Guer 22.000 8/28/2024 CHF 40.500 Societe Generale SA 15.000 4/3/2024 USD 14.250 Societe Generale SA 14.000 4/3/2024 USD 19.000 Leonteq Securities AG 20.000 8/28/2024 CHF 39.310 Bank Vontobel AG 28.000 9/9/2024 CHF 45.800 UBS AG/London 10.000 3/23/2026 USD 26.130 Societe Generale SA 16.750 3/22/2024 USD 8.000 Inecobank CJSC 10.000 4/28/2025 AMD 0.000 UBS AG/London 16.000 4/19/2024 CHF 31.000 Leonteq Securities AG/Guer 20.000 8/7/2024 CHF 31.120 Leonteq Securities AG/Guer 30.000 8/7/2024 CHF 34.190 Bank Vontobel AG 19.000 4/9/2024 CHF 13.500 Societe Generale SA 18.000 5/31/2024 USD 13.400 JP Morgan Structured Produ 15.500 11/4/2024 USD 30.480 Raiffeisen Schweiz Genosse 18.400 5/2/2024 CHF 19.560 Bank Vontobel AG 23.500 4/29/2024 CHF 19.700 Basler Kantonalbank 26.000 5/8/2024 CHF 22.880 Bank Vontobel AG 13.000 6/26/2024 CHF 26.500 Bank Vontobel AG 18.500 12/16/2024 CHF 34.200 UBS AG/London 18.750 4/26/2024 CHF 19.380 Leonteq Securities AG/Guer 25.000 5/2/2024 CHF 20.810 Leonteq Securities AG/Guer 27.500 5/2/2024 CHF 21.180 Bank Vontobel AG 10.000 8/19/2024 CHF 28.600 HSBC Trinkaus & Burkhardt 23.250 3/22/2024 EUR 43.580 Corner Banca SA 23.000 8/21/2024 CHF 39.510 Raiffeisen Switzerland BV 12.300 8/21/2024 CHF 35.330 UniCredit Bank GmbH 19.600 3/22/2024 EUR 44.700 UniCredit Bank GmbH 18.200 6/28/2024 EUR 49.210 Leonteq Securities AG/Guer 20.000 5/2/2024 CHF 22.850 Russian Railways JSC 12.940 2/28/2040 RUB 50.000 Leonteq Securities AG/Guer 26.000 5/22/2024 CHF 25.570 Evocabank CJSC 11.000 9/27/2025 AMD 0.000 Societe Generale SA 16.000 7/3/2024 USD 15.400 Societe Generale SA 18.000 7/3/2024 USD 23.839 Societe Generale SA 15.000 7/3/2024 USD 22.500 UBS AG/London 15.750 2/5/2024 CHF 48.550 Armenian Economy Developme 10.500 5/4/2025 AMD 0.000 Raiffeisen Switzerland BV 20.000 2/20/2024 CHF 16.800 Bank Vontobel AG 20.500 11/4/2024 CHF 35.300 Russian Railways JSC 12.940 2/28/2040 RUB 50.000 Leonteq Securities AG/Guer 24.000 5/17/2024 CHF 45.000 Leonteq Securities AG 25.000 12/11/2024 CHF 48.160 Leonteq Securities AG/Guer 27.000 2/16/2024 CHF 13.690 Leonteq Securities AG 18.000 9/11/2024 CHF 45.760 Leonteq Securities AG/Guer 20.000 2/20/2024 CHF 16.690 Vontobel Financial Product 10.000 3/22/2024 EUR 41.340 Leonteq Securities AG/Guer 21.600 2/20/2024 CHF 17.030 Landesbank Baden-Wuerttemb 15.000 2/23/2024 EUR 38.030 Zurcher Kantonalbank Finan 12.000 2/14/2024 CHF 37.650 Credit Suisse AG/London 29.000 3/28/2024 USD 16.748 Raiffeisen Switzerland BV 15.000 3/6/2024 CHF 43.260 Swissquote Bank SA 22.760 3/6/2024 CHF 28.180 Leonteq Securities AG/Guer 19.000 6/3/2024 CHF 47.240 Zurcher Kantonalbank Finan 24.000 3/1/2024 USD 43.570 Zurcher Kantonalbank Finan 12.500 3/8/2024 CHF 47.300 Raiffeisen Switzerland BV 14.000 3/6/2024 CHF 25.690 Leonteq Securities AG/Guer 21.000 5/22/2024 USD 31.860 Bank Vontobel AG 15.000 3/11/2024 CHF 43.900 Vontobel Financial Product 12.000 3/22/2024 EUR 45.460 Vontobel Financial Product 23.500 3/22/2024 EUR 34.510 Vontobel Financial Product 21.000 3/22/2024 EUR 37.120 Vontobel Financial Product 22.000 3/22/2024 EUR 35.670 Vontobel Financial Product 25.000 3/22/2024 EUR 33.470 Vontobel Financial Product 13.500 3/22/2024 EUR 42.500 Vontobel Financial Product 18.500 3/22/2024 EUR 39.950 Vontobel Financial Product 24.500 3/22/2024 EUR 47.890 Leonteq Securities AG/Guer 15.000 4/30/2024 CHF 40.560 Bank Vontobel AG 12.000 2/5/2024 CHF 35.300 Leonteq Securities AG/Guer 14.000 4/30/2024 CHF 25.050 Bank Vontobel AG 15.000 2/5/2024 CHF 8.400 Swissquote Bank SA 14.560 3/13/2024 CHF 42.230 Leonteq Securities AG/Guer 26.000 3/13/2024 CHF 14.120 Corner Banca SA 18.500 9/23/2024 CHF 32.880 Leonteq Securities AG/Guer 30.000 5/8/2024 CHF 24.040 Leonteq Securities AG 26.000 7/3/2024 CHF 31.780 DZ Bank AG Deutsche Zentra 23.600 3/22/2024 EUR 42.200 UniCredit Bank GmbH 15.900 3/22/2024 EUR 50.670 Swissquote Bank SA 21.060 4/11/2024 CHF 23.730 Leonteq Securities AG/Guer 24.000 4/3/2024 CHF 17.250 Vontobel Financial Product 18.500 3/22/2024 EUR 48.600 Swissquote Bank SA 16.380 7/31/2024 CHF 28.120 Societe Generale SA 15.000 9/29/2025 USD 10.750 Bank Julius Baer & Co Ltd/ 14.900 2/28/2024 CHF 43.800 UBS AG/London 21.250 4/2/2024 CHF 16.620 Leonteq Securities AG/Guer 15.000 4/3/2024 CHF 25.470 Zurcher Kantonalbank Finan 16.500 3/27/2024 CHF 40.350 Corner Banca SA 24.000 4/3/2024 CHF 19.410 UniCredit Bank GmbH 14.900 3/22/2024 EUR 48.940 UniCredit Bank GmbH 17.900 3/22/2024 EUR 45.980 UniCredit Bank GmbH 19.500 6/28/2024 EUR 48.320 UBS AG/London 14.250 7/12/2024 EUR 37.500 UniCredit Bank GmbH 16.400 3/22/2024 EUR 47.400 UBS AG/London 19.000 7/12/2024 CHF 29.540 Leonteq Securities AG/Guer 28.000 3/20/2024 CHF 45.130 Leonteq Securities AG/Guer 20.000 2/6/2024 CHF 13.400 Leonteq Securities AG/Guer 30.000 2/6/2024 CHF 15.840 Raiffeisen Switzerland BV 20.000 5/22/2024 CHF 29.230 Swissquote Bank SA 17.170 2/6/2024 CHF 39.670 Raiffeisen Switzerland BV 15.000 2/6/2024 CHF 39.470 Zurcher Kantonalbank Finan 21.000 5/17/2024 CHF 37.150 Raiffeisen Switzerland BV 16.000 5/22/2024 CHF 30.070 Leonteq Securities AG/Guer 30.000 3/20/2024 CHF 16.510 Swissquote Bank SA 20.120 6/20/2024 CHF 28.310 Leonteq Securities AG/Guer 16.000 6/20/2024 CHF 31.720 Armenian Economy Developme 11.000 10/3/2025 AMD 0.000 Bank Vontobel AG 21.000 2/26/2024 CHF 16.800 Leonteq Securities AG/Guer 22.000 4/3/2024 CHF 28.650 Bank Vontobel AG 10.000 5/28/2024 CHF 24.500 Swissquote Bank SA 27.700 9/4/2024 CHF 46.140 Bank Vontobel AG 12.250 6/17/2024 CHF 49.000 Bank Vontobel AG 21.750 3/18/2024 CHF 13.700 Vontobel Financial Product 11.000 6/28/2024 EUR 42.910 Raiffeisen Switzerland BV 16.000 6/12/2024 CHF 30.960 Raiffeisen Schweiz Genosse 20.000 6/12/2024 CHF 29.040 Raiffeisen Switzerland BV 10.500 7/11/2024 USD 23.180 Basler Kantonalbank 16.000 6/14/2024 CHF 30.280 EFG International Finance 24.000 6/14/2024 CHF 27.890 Leonteq Securities AG/Guer 30.000 4/24/2024 CHF 21.180 Zurcher Kantonalbank Finan 18.000 4/17/2024 CHF 18.190 Leonteq Securities AG/Guer 25.000 3/6/2024 CHF 12.580 Bank Vontobel AG 12.000 6/10/2024 CHF 41.600 Leonteq Securities AG/Guer 28.000 4/11/2024 CHF 20.750 Bank Julius Baer & Co Ltd/ 17.200 2/16/2024 CHF 38.150 Leonteq Securities AG 26.000 7/10/2024 CHF 33.760 Leonteq Securities AG/Guer 24.000 7/10/2024 CHF 33.260 Swissquote Bank SA 26.120 7/10/2024 CHF 33.810 Citigroup Global Markets F 14.650 7/22/2024 HKD 35.910 Leonteq Securities AG/Guer 20.000 2/9/2024 CHF 43.090 Leonteq Securities AG/Guer 27.000 2/9/2024 CHF 11.150 Leonteq Securities AG/Guer 11.000 5/13/2024 CHF 39.440 Swissquote Bank SA 17.200 2/13/2024 CHF 37.980 Zurcher Kantonalbank Finan 21.750 2/8/2024 CHF 47.110 Zurcher Kantonalbank Finan 24.250 3/28/2024 USD 48.340 Raiffeisen Schweiz Genosse 20.000 4/3/2024 CHF 18.920 UniCredit Bank GmbH 13.500 6/28/2024 EUR 49.890 Societe Generale Effekten 13.500 2/23/2024 EUR 49.110 DZ Bank AG Deutsche Zentra 21.300 3/22/2024 EUR 49.710 Leonteq Securities AG/Guer 27.600 6/26/2024 CHF 28.060 Leonteq Securities AG/Guer 21.600 6/26/2024 CHF 31.580 Leonteq Securities AG/Guer 20.000 9/26/2024 USD 38.100 Raiffeisen Switzerland BV 20.000 6/26/2024 CHF 28.630 Vontobel Financial Product 19.500 6/28/2024 EUR 48.320 Vontobel Financial Product 16.250 3/22/2024 EUR 24.760 Zurcher Kantonalbank Finan 17.000 3/13/2024 CHF 50.400 Corner Banca SA 22.000 3/20/2024 CHF 17.060 Raiffeisen Switzerland BV 20.000 3/20/2024 CHF 16.930 DZ Bank AG Deutsche Zentra 22.700 3/22/2024 EUR 46.470 Vontobel Financial Product 16.000 3/22/2024 EUR #N/A N/A Vontobel Financial Product 21.750 3/22/2024 EUR 22.500 UniCredit Bank GmbH 12.600 6/28/2024 EUR 51.270 Leonteq Securities AG/Guer 24.000 3/27/2024 CHF 28.130 ACBA Bank OJSC 11.000 12/1/2025 AMD 0.000 Leonteq Securities AG/Guer 23.000 3/27/2024 CHF 17.780 Leonteq Securities AG/Guer 25.000 3/27/2024 CHF 18.160 Leonteq Securities AG/Guer 18.000 3/27/2024 CHF 29.500 Raiffeisen Switzerland BV 15.000 3/20/2024 CHF 25.400 UBS AG/London 17.500 3/15/2024 CHF 43.850 Leonteq Securities AG/Guer 27.000 5/30/2024 CHF 31.310 Swissquote Bank SA 26.980 6/5/2024 CHF 30.940 UBS AG/London 26.000 3/22/2024 CHF 14.680 UBS AG/London 18.750 5/31/2024 CHF 23.640 UBS AG/London 18.750 4/15/2024 CHF 18.080 Leonteq Securities AG/Guer 26.000 4/17/2024 CHF 19.970 UniCredit Bank GmbH 16.800 3/22/2024 EUR 47.210 UniCredit Bank GmbH 15.200 3/22/2024 EUR 48.740 DZ Bank AG Deutsche Zentra 22.900 3/22/2024 EUR 48.110 Leonteq Securities AG/Guer 22.000 4/17/2024 CHF 29.270 UBS AG/London 18.500 6/14/2024 CHF 22.840 Vontobel Financial Product 17.500 3/22/2024 EUR 48.490 Swissquote Bank SA 26.040 7/17/2024 CHF 34.710 Societe Generale SA 20.000 9/18/2026 USD 11.750 Swissquote Bank SA 17.200 2/27/2024 CHF 43.760 Bank Vontobel AG 20.750 6/24/2024 CHF 20.200 HSBC Trinkaus & Burkhardt 22.750 3/22/2024 EUR 46.420 BNP Paribas Issuance BV 19.000 9/18/2026 EUR 0.820 Erste Group Bank AG 14.500 8/2/2024 EUR 49.600 Basler Kantonalbank 24.000 7/5/2024 CHF 32.430 Zurcher Kantonalbank Finan 18.000 2/15/2024 CHF 29.150 UBS AG/London 16.750 2/15/2024 EUR 43.900 Leonteq Securities AG/Guer 22.000 9/18/2024 CHF 45.650 Vontobel Financial Product 21.000 3/22/2024 EUR 46.090 Leonteq Securities AG/Guer 27.000 7/24/2024 CHF 34.450 Leonteq Securities AG/Guer 23.000 7/24/2024 CHF 32.210 Leonteq Securities AG/Guer 15.000 7/24/2024 CHF 28.150 Raiffeisen Schweiz Genosse 20.000 7/24/2024 CHF 34.790 Bank Vontobel AG 25.500 4/3/2024 CHF 19.300 Bank Vontobel AG 10.000 2/19/2024 CHF 41.500 Vontobel Financial Product 10.000 3/22/2024 EUR 41.320 Vontobel Financial Product 23.500 3/22/2024 EUR 33.240 Vontobel Financial Product 16.000 3/22/2024 EUR 46.980 EFG International Finance 11.120 12/27/2024 EUR 30.650 Ist Saiberian Petroleum OO 14.000 12/28/2024 RUB 16.990 Societe Generale SA 27.300 10/20/2025 USD 11.000 Leonteq Securities AG/Guer 26.000 7/31/2024 CHF 32.860 Bank Vontobel AG 22.000 5/31/2024 CHF 21.800 Raiffeisen Switzerland BV 20.000 3/13/2024 CHF 15.910 Finca Uco Cjsc 13.000 5/30/2025 AMD 0.000 Leonteq Securities AG 24.000 7/17/2024 CHF 39.430 Leonteq Securities AG/Guer 19.000 5/24/2024 CHF 26.800 Bank Vontobel AG 24.000 3/25/2024 CHF 17.400 Vontobel Financial Product 22.000 3/22/2024 EUR 46.220 Swissquote Bank SA 13.230 2/27/2024 CHF 42.820 Leonteq Securities AG/Guer 18.000 2/27/2024 CHF 26.400 Leonteq Securities AG/Guer 22.000 2/27/2024 CHF 17.530 Raiffeisen Switzerland BV 14.000 2/27/2024 CHF 44.620 Vontobel Financial Product 20.500 3/22/2024 EUR 47.380 UBS AG/London 10.000 5/14/2024 USD 9.975 Leonteq Securities AG/Guer 14.000 7/3/2024 CHF 28.410 UniCredit Bank GmbH 14.300 6/28/2024 EUR 48.610 Bank Vontobel AG 13.000 3/4/2024 CHF 43.600 Basler Kantonalbank 24.000 3/8/2024 CHF 16.140 Leonteq Securities AG/Guer 23.000 3/13/2024 USD 39.550 Leonteq Securities AG/Guer 30.000 3/13/2024 CHF 17.480 Leonteq Securities AG 20.000 7/3/2024 CHF 30.110 Vontobel Financial Product 23.000 3/22/2024 EUR 38.270 Vontobel Financial Product 21.500 3/22/2024 EUR 46.230 Vontobel Financial Product 24.500 3/22/2024 EUR 42.910 Vontobel Financial Product 25.000 3/22/2024 EUR 42.160 Vontobel Financial Product 12.500 3/22/2024 EUR 41.640 Vontobel Financial Product 11.000 3/22/2024 EUR 41.460 Bank Vontobel AG 25.000 2/12/2024 CHF 14.400 DZ Bank AG Deutsche Zentra 21.100 6/28/2024 EUR 37.700 Vontobel Financial Product 22.000 3/22/2024 EUR 39.600 Vontobel Financial Product 20.000 3/22/2024 EUR 48.180 Vontobel Financial Product 17.500 3/22/2024 EUR 44.370 Vontobel Financial Product 14.500 3/22/2024 EUR 46.630 Vontobel Financial Product 20.000 3/22/2024 EUR 42.330 Lehman Brothers Treasury C 12.000 7/13/2037 JPY 0.100 Lehman Brothers Treasury C 10.000 6/11/2038 JPY 0.100 Ukraine Government Bond 10.710 4/26/2028 UAH 41.336 Ukraine Government Bond 11.580 2/2/2028 UAH 44.282 Ukraine Government Bond 11.570 3/1/2028 UAH 43.801 Ukraine Government Bond 11.110 3/29/2028 UAH 42.498 Lehman Brothers Treasury C 11.750 3/1/2010 EUR 0.100 Lehman Brothers Treasury C 11.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury C 10.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury C 13.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury C 13.000 12/14/2012 USD 0.100 Ukraine Government Bond 11.000 2/16/2037 UAH 26.436 Lehman Brothers Treasury C 11.250 12/31/2008 USD 0.100 Ukraine Government Bond 10.360 11/10/2027 UAH 43.173 Getin Noble Bank SA 10.570 4/29/2024 PLN 50.055 Bank Vontobel AG 23.000 2/12/2024 CHF 13.900 DZ Bank AG Deutsche Zentra 12.800 3/22/2024 EUR 45.340 DZ Bank AG Deutsche Zentra 11.200 6/28/2024 EUR 46.780 UBS AG/London 19.000 2/15/2024 CHF 34.650 Vontobel Financial Product 25.000 3/22/2024 EUR 35.730 Vontobel Financial Product 24.000 3/22/2024 EUR 36.920 Vontobel Financial Product 18.500 3/22/2024 EUR 50.340 Vontobel Financial Product 23.000 3/22/2024 EUR 44.510 Raiffeisen Switzerland BV 17.000 2/13/2024 CHF 13.260 Raiffeisen Switzerland BV 14.000 2/13/2024 CHF 37.770 Finca Uco Cjsc 13.000 11/16/2024 AMD 9.447 DZ Bank AG Deutsche Zentra 12.500 3/22/2024 EUR 48.990 Tonon Luxembourg SA 12.500 5/14/2024 USD 0.010 Bank Julius Baer & Co Ltd/ 18.000 2/9/2024 CHF 33.600 Lehman Brothers Treasury C 13.000 7/25/2012 EUR 0.100 Lehman Brothers Treasury C 16.000 10/8/2008 CHF 0.100 Lehman Brothers Treasury C 11.000 12/20/2017 AUD 0.100 Lehman Brothers Treasury C 14.900 9/15/2008 EUR 0.100 Bulgaria Steel Finance BV 12.000 5/4/2013 EUR 0.216 Lehman Brothers Treasury C 10.500 8/9/2010 EUR 0.100 Lehman Brothers Treasury C 11.000 12/19/2011 USD 0.100 Lehman Brothers Treasury C 13.500 11/28/2008 USD 0.100 Lehman Brothers Treasury C 10.000 3/27/2009 USD 0.100 Lehman Brothers Treasury C 11.000 6/29/2009 EUR 0.100 Lehman Brothers Treasury C 15.000 3/30/2011 EUR 0.100 PA Resources AB 13.500 3/3/2016 SEK 0.124 Lehman Brothers Treasury C 10.000 10/23/2008 USD 0.100 Lehman Brothers Treasury C 10.000 5/22/2009 USD 0.100 Lehman Brothers Treasury C 10.442 11/22/2008 CHF 0.100 Lehman Brothers Treasury C 13.500 6/2/2009 USD 0.100 Lehman Brothers Treasury C 23.300 9/16/2008 USD 0.100 Lehman Brothers Treasury C 16.000 12/26/2008 USD 0.100 Lehman Brothers Treasury C 13.432 1/8/2009 ILS 0.100 Lehman Brothers Treasury C 16.000 11/9/2008 USD 0.100 Lehman Brothers Treasury C 15.000 6/4/2009 CHF 0.100 Lehman Brothers Treasury C 11.000 7/4/2011 USD 0.100 Lehman Brothers Treasury C 11.000 7/4/2011 CHF 0.100 Lehman Brothers Treasury C 12.000 7/4/2011 EUR 0.100 Ukraine Government Bond 11.000 3/24/2037 UAH 26.269 Ukraine Government Bond 11.000 4/1/2037 UAH 26.237 Ukraine Government Bond 11.000 4/20/2037 UAH 26.072 Lehman Brothers Treasury C 14.100 11/12/2008 USD 0.100 Ukraine Government Bond 11.000 4/23/2037 UAH 26.162 Lehman Brothers Treasury C 13.150 10/30/2008 USD 0.100 Lehman Brothers Treasury C 16.800 8/21/2009 USD 0.100 Lehman Brothers Treasury C 10.000 10/22/2008 USD 0.100 Lehman Brothers Treasury C 16.000 10/28/2008 USD 0.100 Lehman Brothers Treasury C 16.200 5/14/2009 USD 0.100 Lehman Brothers Treasury C 10.600 4/22/2014 MXN 0.100 Lehman Brothers Treasury C 17.000 6/2/2009 USD 0.100 Lehman Brothers Treasury C 12.400 6/12/2009 USD 0.100 Lehman Brothers Treasury C 10.000 6/17/2009 USD 0.100 Ukraine Government Bond 11.000 4/8/2037 UAH 26.212 Teksid Aluminum Luxembourg 12.375 7/15/2011 EUR 0.619 Lehman Brothers Treasury C 14.900 11/16/2010 EUR 0.100 Lehman Brothers Treasury C 11.000 12/20/2017 AUD 0.100 Lehman Brothers Treasury C 11.000 12/20/2017 AUD 0.100 ********* 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 * * *